Saba Closed-End Funds ETF

10-Year Study

CEFS.US · · US · ETF

Executive Summary: Saba Closed-End Funds ETF has compounded at 11.5% annually over the last 10 years, with a maximum drawdown of 25.1% and an annualized volatility of 15.2%.

1Y CAGR
+17.9%
3Y CAGR
+20.4%
5Y CAGR
+12.6%
10Y CAGR
+11.5%

History & Riski10-year historical performance analysis including CAGR, Max Drawdown, Sharpe & Sortino ratios, annual returns, and rolling volatility — all computed from daily market data.

10-Year Growth of $10,000

Max DrawdownMax DrawdownThe largest peak-to-trough decline in the asset's value over the measurement period.Click for full definition →
25.1%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.57
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
0.63
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
14.4%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2019 · +28.5%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2018 · -10.5%
% Positive Years% Positive YearsThe percentage of calendar years in the measurement period where the asset delivered a positive return.Click for full definition →
78%

Annual Returns

Rolling 12-Month Returns

Rolling 12-Month Annualised Volatility

Historical Drawdowns

Monthly Returns

Monthly Returns Heatmap

YearJanFebMarAprMayJunJulAugSepOctNovDecAnn.
20261.30.8-3.66.7————————5.1%
20254.4-1.2-1.6-0.84.62.41.21.21.90.70.42.516.7%
20241.53.85.6-3.65.13.71.52.22.6-1.84.1-3.123.5%
202310.0-2.71.3-0.4-1.35.23.8-2.1-4.4-3.611.53.521.0%
2022-1.2-1.4-0.2-4.20.6-7.27.51.9-9.54.38.1-4.4-7.1%
20212.72.23.92.00.61.5-0.21.60.61.7-1.21.317.9%
20200.7-4.6-21.57.58.01.65.02.9-1.3-0.08.10.93.4%
201910.34.50.04.0-2.93.70.7-1.31.50.80.93.828.5%
20181.3-1.9-1.81.4-1.2-0.31.00.80.7-4.8-0.6-5.3-10.5%
2017———3.21.20.53.0-0.82.80.8-0.11.913.1%

Risk X-RayiA 19-factor macroeconomic risk decomposition showing exactly which market forces (equity beta, rates, inflation, credit, commodity, crypto) drive this asset's volatility. Powered by multivariate regression against daily factor returns.

Risk Profile Insight: This asset has an estimated annualized volatility of 15.2%. The dominant macroeconomic risk driver is VTI.US, accounting for 109.4% of variance. Idiosyncratic stock-specific factors contribute 9.4%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2017-03-0110000
2017-04-0110320.958056999463
2017-05-0110444.972217243236
2017-06-0110499.641512815919
2017-07-0110813.87793511382
2017-08-0110723.247893887792
2017-09-0111027.177809643304
2017-10-0111110.86216167772
2017-11-0111098.763219214914
2017-12-0111307.133894963255
2018-01-0111459.266893708551
2018-02-0111237.901057537194
2018-03-0111034.235526079945
2018-04-0111190.625560136226
2018-05-0111051.59974905897
2018-06-0111021.016311166875
2018-07-0111128.674493636852
2018-08-0111217.848180677543
2018-09-0111290.889944434488
2018-10-0110743.860906972577
2018-11-0110679.22118659258
2018-12-0110116.844416562108
2019-01-0111156.345223158272
2019-02-0111656.546872199318
2019-03-0111659.571607815022
2019-04-0112125.380892633091
2019-05-0111778.32048754257
2019-06-0112209.849435382685
2019-07-0112290.509051801399
2019-08-0112126.613192328376
2019-09-0112314.034773256859
2019-10-0112411.386449184443
2019-11-0112521.285176554939
2019-12-0112997.288940670373
2020-01-0113084.222082810542
2020-02-0112484.988349166519
2020-03-019799.583258648505
2020-04-0110537.61874887973
2020-05-0111378.719304534863
2020-06-0111564.572504032982
2020-07-0112143.977415307403
2020-08-0112491.822011113105
2020-09-0112326.24574296469
2020-10-0112325.013443269403
2020-11-0113324.408496146265
2020-12-0113439.796558523034
2021-01-0113799.74009679154
2021-02-0114100.533249686325
2021-03-0114653.499731134612
2021-04-0114946.675031367631
2021-05-0115043.130489335008
2021-06-0115261.471589890663
2021-07-0115230.664097508516
2021-08-0115470.29037461911
2021-09-0115563.945151460839
2021-10-0115833.930811973474
2021-11-0115637.32299695286
2021-12-0115839.532174224772
2022-01-0115652.670729521424
2022-02-0115438.810718766805
2022-03-0115407.331062914502
2022-04-0114754.660333393083
2022-05-0114846.746728804448
2022-06-0113780.695465137123
2022-07-0114808.09732927048
2022-08-0115088.83760530561
2022-09-0113657.01738662843
2022-10-0114242.247714644203
2022-11-0115395.56820218677
2022-12-0114716.907151819325
2023-01-0116182.335544004303
2023-02-0115740.164007886719
2023-03-0115939.012367807853
2023-04-0115871.908048037285
2023-05-0115671.37927944076
2023-06-0116484.13694210432
2023-07-0117110.481269044634
2023-08-0116753.338411901776
2023-09-0116014.85481269045
2023-10-0115431.304893350065
2023-11-0117199.43090159527
2023-12-0117808.971141781683
2024-01-0118082.429646890127
2024-02-0118762.322996952862
2024-03-0119821.764653163653
2024-04-0119107.254884387887
2024-05-0120085.92489693494
2024-06-0120837.40365656928
2024-07-0121160.154149489157
2024-08-0121634.477504929204
2024-09-0122200.99928302563
2024-10-0121799.941745832588
2024-11-0122696.271733285535
2024-12-0121991.28428033698
2025-01-0122968.049829718588
2025-02-0122688.541853378745
2025-03-0122322.436816633803
2025-04-0122150.36296827389
2025-05-0123167.79440759993
2025-06-0123730.95536834558
2025-07-0124008.670908765012
2025-08-0124298.261337157197
2025-09-0124752.867897472668
2025-10-0124937.600824520527
2025-11-0125039.09750851407
2025-12-0125656.36762860728
2026-01-0125990.320846029754
2026-02-0126203.17261157914
2026-03-0125262.143753360822
2026-04-0126953.75515325327
Annual Return Matrix
YearAnnual Return
2018-0.10526889390877026
20190.28471768522927365
20200.0340461476137528
20210.17855445990214136
2022-0.07087488506966533
20230.21010284009165026
20240.2348430521482039
20250.1666607234734061
20260.05056785681537335
Total Factor Risk
0.1520000135922238
VTI.US Exposure
1.094287739011344
VEA.US Exposure
0.20267453555294515
VWO.US Exposure
0.029571781605396457
QQQ.US Exposure
-0.2791960676869866
VTV.US Exposure
-0.17546495957511407
IJR.US Exposure
0.017263185726948804
QUAL.US Exposure
-0.00447211033812766
SHV.US Exposure
0.008489512134574342
TLT.US Exposure
0.019619078018382922
LQD.US Exposure
-0.01417710865584317
HYG.US Exposure
0.027761940029987536
GLD.US Exposure
-0.012881297167742164
USO.US Exposure
0.0027547189968380134
VNQ.US Exposure
-0.02815594095051858
BTC-USD.CC Exposure
0.0028319949439602056
CPER.US Exposure
0.03970828744223187
VIX.INDX Exposure
-0.03879476250860704
UUP.US Exposure
-0.01658139813902747
TIP.US Exposure
0.031016394519279004
Idiosyncratic Exposure
0.09374447704007847
Value Score
50
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
0
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
15.2%

FundamentalsiCompany financial health metrics: P/E valuation, dividend yield, Piotroski F-Score (9-point profitability signal), Altman Z-Score (bankruptcy risk proxy), and a radar chart across 6 fundamental dimensions. Note: ETFs may show N/A for some metrics.

Fundamental Dimensions

Core Valuation

P/E Ratio (TTM)P/E RatioPrice-to-Earnings ratio — the market price of a stock divided by its earnings per share, a key valuation measure.Click for full definition →N/A
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →0.00%
Market Cap$0
Piotroski F-ScorePiotroski F-ScoreA 9-point scoring system evaluating a company's financial strength across profitability, leverage, and operating efficiency.Click for full definition →
9-point profitability signal
0.0/ 9
Weak
Altman Z-ScoreAltman Z-ScoreA bankruptcy prediction model that combines 5 financial ratios into a single score indicating financial distress risk.Click for full definition →
Bankruptcy risk proxy
1.18
Distress Zone
Income Simulation

Based on $10,000 initial investment.

Total Income Generated
$314
Avg Yield on Cost
3.14%
Annual Income Simulation Table
Historical Realised Yields
YearAnnual PayoutYield on CostQuality
2026$313.683.14%Solid

Momentum & MacroiPrice momentum indicators relative to key technical levels: distance from 50-Day SMA (intermediate trend), 200-Day SMA (long-term trend), 52-Week High (bullish proximity), and Beta (market sensitivity coefficient).

vs 50-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
+4.5%
Above/below 50-day moving average
vs 200-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
+7.9%
Above/below 200-day moving average
vs 52-Week High52-Week HighThe highest price an asset reached in the past 52 weeks — a key reference for momentum and valuation context.Click for full definition →
0.0% from high
Distance from 52-week high
BetaBetaA measure of an asset's sensitivity to broad market movements relative to a benchmark (e.g. S&P 500).Click for full definition →
0.98
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is Saba Closed-End Funds ETF a high-risk investment?

Saba Closed-End Funds ETF (CEFS.US) has an annualized volatility of 15.2% and experienced a maximum drawdown of 25.1% over the last 10 years. Its primary macro risk driver is VTI.US.

What is the 10-year return of CEFS.US?

Over the past 10 years, CEFS.US has generated a Compound Annual Growth Rate (CAGR) of 11.5%. It has had a positive return in 78% of the years measured.

Data Methodology & Trust

The risk and return information on this page is pre-calculated mathematically using daily market data spanning a 10-year period. Fundamentals (such as P/E Ratio, Market Cap, and Dividend Yield) represent trailing averages and may not immediately reflect real-time live market fluctuations. Advanced scoring models like the Piotroski F-Score and Altman Z-Score are proxies applied to publicly available trailing-twelve-month financial statements and may not account for recent off-balance-sheet events, qualitative company shifts, or sector-specific capital structures. Macroeconomic factor exposures are estimated via multivariate regression against standard market indices. This data is provided for quantitative insight and backtesting research, and should not be misconstrued as tailored financial advice.

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