Early last year, José Mourinho couldn't resist a little dig at his predecessor in the Real Madrid job. Asked about his continued presence in the Bernabeu hotseat (a bit of a recurring theme), the Portuguese gave a little smile and said if he was to ever leave, it certainly wouldn't be to go to Malaga. He would only consider a "big club" worthy of his signature.
It would be interesting to learn what Mourinho thinks of Malaga now. Real travels to the south coast on Saturday for the final game of the year one place and five points better off than Pellegrini's side.
Making its Champions League debut, having finished fourth on a frantic final matchday last season, Malaga is one of only four sides to have reached the knockout stages unbeaten.
It so nearly all went up in smoke just six months ago. Reports of Malaga's financial problems were nothing new in a league where many club owners are just on the wrong side of shady. Few could forget erstwhile Xerez president Joaquin Bilbao, who attracted the attention of the authorities after a shoot-out at a brothel.
Or Hercules honcho Enrique Ortiz, who was caught on tape chuckling about paying an opposition keeper to throw a game and trying to bribe other teams during the club's promotion year. At the time in Spain, match-fixing was not considered a crime.
The difference in Malaga's case was its owners were respectable foreign businessmen. However, Pellgrini oversaw training during the summer with wages unpaid, the threat of administrative relegation to Segunda B hanging over the club and Sheikh Abdullah bin Nasser Al-Thani and his board keeping very low profiles indeed.
Santi Cazorla was given leave to talk to other clubs on a Wednesday afternoon. On Thursday morning the Spain international was on a flight to London. Jose Salomon Rondon also left. The administrators were licking their pencils.
Disaster was eventually averted, through the sale of Cazorla and the team's successful Champions League playoff tie against Panathinaikos, in what really was a game for survival.
All the while, nobody complained. Club captain Weligton Oliveira stoically declared that if it had to, the club would start the season with kids or whatever it could lay its hands on.
Players that might have left, like Isco, Joaquin or Nacho Monreal, stuck it out.
Now, the club is back on top. Moreover, it is playing some wonderful, if slightly erratic stuff, as a goal difference of minus-one suggests. The games against Zenit in the Champions League and Valencia in La Liga particularly spring to mind.
Joaquin is playing as he did at Betis after an underwhelming spell at Mestalla. Isco has been largely living up to the expectations he created at Valencia. Even Javier Saviola has recovered his love for the game.
Unlike most of its peers, Malaga as a club seems to be having a high-old time this season. The players' enjoyment is infectious. You just can't help wishing Malaga well. There is no "sadness" at La Rosaleda and fewer pretensions. Long may it continue.