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Funds (13F)

Saba Capital Management, L.P.

Backtest from 16 Aug 2013 to 2 Nov 2026 · weekly · hypothetical

Watch this strategy
Return a year
+18.6%
S&P 500 +14.1%
Last 12 months
−7.5%
S&P 500 +12.1%
Sharpe ratio
0.56
S&P 500 0.77
Biggest drop
−56.7%
S&P 500 −31.8%
$10.0k$20.0k$40.0k$80.0k 2013201520172019202120232025 $95.3k$57.0k
StrategyS&P 500 $10,000 in Saba Capital Management, L.P. from 16 Aug 2013 against the S&P 500 (total return) over the same dates, marked weekly, log scale. Hypothetical: before taxes and trading costs.

About

Copies Saba Capital Management, L.P.'s quarterly 13F holdings in the companies we cover, weighted by reported value: it buys on the first trading day after each 13F is filed (up to 45 days after the quarter) and holds until the next filing. A 13F shows long US-listed positions only, at the quarter's end, so this misses shorts, cash, bonds, non-US holdings and trading within the quarter.

Saba Capital Management, L.P.'s 13F holdings →

Key statistics

MeasureStrategyS&P 500
Return a year (compound)+18.6%+14.1%
Total return+853%+470%
Last 12 months−7.5%+12.1%
Last 3 months+3.9%—
Last month+4.8%—
This year so far−2.3%—
Volatility a year41.1%16.0%
Sharpe ratio0.560.77
Biggest drop−56.7%−31.8%
Beta to the S&P 5001.411.00
Alpha a year (t-statistic)+5.8% (0.62)—
Share of weeks up54%—

Sharpe ratio uses returns above the 3-month Treasury bill rate. Alpha is the yearly return left after allowing for the strategy's exposure to the S&P 500 (CAPM); a t-statistic below about 2 means it cannot be told apart from luck.

Insights

CompanyWeightHeld sinceReturn since
FSK8.1%——
APO5.3%——
ARES5.1%——
CNNE4.2%——
WB4.1%——
SNAP3.6%——
EVTL3.3%——
META3.3%——
BMBL3.3%——
BABA3.0%——
WDAY2.9%——
INTU2.6%——
TSLA2.4%——
BX2.3%——
PAGS2.1%——
TASK2.0%——
SABR1.8%——
CYH1.8%——
AAPL1.7%——
CAG1.7%——
PDD1.6%——
CPB1.5%——
NVDA1.3%——
BA1.3%——
HPP1.3%——
STHO1.3%——
PLTR1.1%——
NWL1.0%——
AXP1.0%——
DAAQ0.9%——
SHOP0.9%——
BAX0.9%——
PLAY0.8%——
COF0.8%——
CODI0.7%——
COMP0.7%——
UIS0.7%——
CMG0.7%——
BNC0.6%——
ORCL0.6%——
NFLX0.6%——
VERX0.6%——
JHX0.5%——
GDS0.5%——
BZH0.5%——
TDS0.5%——
CEG0.5%——
DJT0.5%——
IPXG0.5%——
AXON0.5%——
AERO0.5%——
UBER0.4%——
ETOR0.4%——
NCDL0.4%——
MFIC0.4%——
SYF0.4%——
BW0.4%——
CBRE0.4%——
OLN0.4%——
FRMM0.4%——
PSNY0.4%——
GM0.3%——
WGO0.3%——
TONX0.3%——
CPRI0.3%——
AVX0.3%——
ZS0.3%——
SKYA0.3%——
IREN0.3%——
ASPI0.3%——
JD0.3%——
AIRS0.3%——
SLRC0.3%——
EMBC0.2%——
VOYG0.2%——
VISN0.2%——
PPL0.2%——
WHR0.2%——
AGI0.2%——
VRA0.1%——
CE0.1%——
EMPD0.1%——
PYPL0.1%——
PLNT0.1%——
CHTR0.1%——
RNA0.1%——
CCXI0.1%——
HSDT0.1%——
GRNT0.1%——
TROX0.1%——
NAKA0.1%——
CLF0.1%——
ARBE0.1%——
AR0.1%——
ORA0.1%——
VST0.1%——
THC0.1%——
SVIA0.0%——
BBWI0.0%——
FWDI0.0%——
AVAT0.0%——

Weighted by reported value in the latest 13F, held until the next filing.

PeriodReturn a yearS&P 500SharpeS&P 500Biggest dropBetaAlpha (t)
Whole backtest16 Aug 2013 to 2 Nov 2026+18.6%+14.1%0.560.77−56.7%1.41+5.8% (0.62)
2018 onwards5 Jan 2018 to 2 Nov 2026+24.0%+13.9%0.630.64−56.7%1.36+12.1% (0.99)
Last three years3 Nov 2023 to 2 Nov 2026+16.3%+21.8%0.571.16−25.1%1.21−6.2% (−0.64)
Last year7 Nov 2025 to 2 Nov 2026−3.1%+14.2%−0.180.84−21.3%1.53−19.4% (−1.24)
DateCompanyAction
21 Aug 2026WHRBought
21 Aug 2026WDAYBought
21 Aug 2026VSTBought
21 Aug 2026SLRCBought
21 Aug 2026PLNTBought
21 Aug 2026NCDLBought
21 Aug 2026NAKABought
21 Aug 2026MFICBought
21 Aug 2026JHXBought
21 Aug 2026JDBought
21 Aug 2026INTUBought
21 Aug 2026CHTRBought
21 Aug 2026CEGBought
21 Aug 2026CEBought
21 Aug 2026CCXIBought
21 Aug 2026BZHBought
21 Aug 2026AXONBought
21 Aug 2026AVXBought
21 Aug 2026AVATBought
21 Aug 2026AGIBought
21 Aug 2026AEROBought
22 May 2026ZSBought
22 May 2026VRABought
22 May 2026THCBought
22 May 2026TASKBought

Dated at the rebalance that made the change.

DateCompanyAction
21 Aug 2026SLGSold
21 Aug 2026RITMSold
21 Aug 2026QCOMSold
21 Aug 2026PURRSold
21 Aug 2026OWLSold
21 Aug 2026OPTUSold
21 Aug 2026MRVLSold
21 Aug 2026GEOSold
21 Aug 2026FUNSold
21 Aug 2026FROGSold
21 Aug 2026EMATSold
21 Aug 2026CRWDSold
21 Aug 2026CMPSSold
21 Aug 2026AMDSold
21 Aug 2026AALSold
22 May 2026SWSold
22 May 2026FUSESold
22 May 2026CRMLSold
22 May 2026CORZSold
22 May 2026BIDUSold
22 May 2026AMATSold
22 May 2026AESSold
22 May 2026ABUSSold
22 May 2026ABNBSold
20 Feb 2026REALSold

Dated at the rebalance that made the change.

Backtests are hypothetical and use today's listed companies only, which flatters results. Past performance does not predict future returns. This is research, not investment advice. How we backtest