It's usually the other way around. Segmented runs are faster than single segment runs. Single segment runs are when you beat the whole game without saving or stopping once. Segmeted runs are where you save at spots, so you can have better sections of those spots, and thus get better times.
By SDA rules, you need to save in the same location where you'll restart from (to make the run continuous, and so that it doesn't count as a "warp"). Sometimes, this saving location may be out of your way, so it's "possible" for single segment runs to be faster. But only if you never make mistakes.