BNO vs. COP

Last updated Jun 4, 2026

BNO (United States Brent Oil Fund LP) is Oil & Gas fund tracking the Front Month Brent Crude Oil, while COP (ConocoPhillips Company) is a stock. Over the past 10 years, BNO returned 13.60%/yr vs 13.90%/yr for COP. A 0.59 correlation means they provide meaningful diversification when combined.

Performance

BNO vs. COP - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in United States Brent Oil Fund LP (BNO) and ConocoPhillips Company (COP). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, BNO achieves a 90.47% return, which is significantly higher than COP's 29.12% return. Both investments have delivered pretty close results over the past 10 years, with BNO having a 13.60% annualized return and COP not far ahead at 13.90%.

BNO

• 1D: 1.99%
• 1M: -10.29%
• YTD: 90.47%
• 6M: 86.00%
• 1Y: 91.89%
• 3Y*: 27.93%
• 5Y*: 24.16%
• 10Y*: 13.60%

COP

• 1D: 1.87%
• 1M: -3.98%
• YTD: 29.12%
• 6M: 31.65%
• 1Y: 39.91%
• 3Y*: 8.69%
• 5Y*: 18.95%
• 10Y*: 13.90%

*Multi-year figures are annualized to reflect compound growth (CAGR)

BNO vs. COP - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
BNO United States Brent Oil Fund LP	90.47%	-5.44%	9.67%	-3.43%	35.25%	62.34%	-38.23%	36.01%	-15.30%	15.43%
COP ConocoPhillips Company	29.12%	-2.34%	-12.02%	1.98%	71.69%	86.60%	-36.04%	6.63%	15.63%	11.95%

Correlation

The correlation between BNO and COP is 0.65, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.65
Correlation (3Y) Calculated over the trailing 3-year period	0.63
Correlation (5Y) Calculated over the trailing 5-year period	0.64
Correlation (10Y) Calculated over the trailing 10-year period	0.61
Correlation (All Time) Calculated using the full available price history since Jun 3, 2010	0.59

The correlation between BNO and COP has been stable across timeframes, ranging from 0.59 to 0.65 - a consistent structural relationship.

Return for Risk

BNO vs. COP — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

BNO

BNO Risk / Return Rank: 65
BNO Sharpe Ratio Rank: 66
BNO Sortino Ratio Rank: 56
BNO Omega Ratio Rank: 60
BNO Calmar Ratio Rank: 88
BNO Martin Ratio Rank: 55

COP

COP Risk / Return Rank: 76
COP Sharpe Ratio Rank: 79
COP Sortino Ratio Rank: 73
COP Omega Ratio Rank: 69
COP Calmar Ratio Rank: 80
COP Martin Ratio Rank: 78

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

BNO vs. COP - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for United States Brent Oil Fund LP (BNO) and ConocoPhillips Company (COP). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.

	BNO	COP	Difference
Sharpe ratio: Return per unit of total volatility	2.23	1.37	+0.86
Sortino ratio: Return per unit of downside risk	2.73	1.92	+0.80
Omega ratio: Gain probability vs. loss probability	1.38	1.22	+0.15
Calmar ratio: Return relative to maximum drawdown	5.17	2.69	+2.48
Martin ratio: Return relative to average drawdown	9.76	6.13	+3.63
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

BNO vs. COP - Sharpe Ratio Comparison

The current BNO Sharpe Ratio is 2.23, which is higher than the COP Sharpe Ratio of 1.37. The chart below compares the historical Sharpe Ratios of BNO and COP, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	BNO	COP	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.23	1.37	+0.86
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.69	0.58	+0.10
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.37	0.37	0.00
Sharpe Ratio (All Time) Calculated using the full available price history	0.14	0.23	-0.09

Drawdowns

BNO vs. COP - Drawdown Comparison

The maximum BNO drawdown since its inception was -87.06%, roughly equal to the maximum COP drawdown of -84.55%. Use the drawdown chart below to compare losses from any high point for BNO and COP.

Drawdown Indicators

	BNO	COP	Difference
Max Drawdown Largest peak-to-trough decline	-87.06%	-84.55%	-2.51%
Max Drawdown (1Y) Largest decline over 1 year	-17.87%	-14.90%	-2.97%
Max Drawdown (3Y) Largest decline over 3 years	-23.75%	-36.19%	+12.44%
Max Drawdown (5Y) Largest decline over 5 years	-33.70%	-36.19%	+2.49%
Max Drawdown (10Y) Largest decline over 10 years	-75.18%	-70.66%	-4.52%
Current Drawdown Current decline from peak	-10.29%	-10.36%	+0.07%
Average Drawdown Average peak-to-trough decline	-40.17%	-25.49%	-14.68%
Ulcer Index Depth and duration of drawdowns from previous peaks	9.45%	6.53%	+2.92%

Volatility

BNO vs. COP - Volatility Comparison

United States Brent Oil Fund LP (BNO) has a higher volatility of 14.22% compared to ConocoPhillips Company (COP) at 8.92%. This indicates that BNO's price experiences larger fluctuations and is considered to be riskier than COP based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	BNO	COP	Difference
Volatility (1M) Calculated over the trailing 1-month period	14.22%	8.92%	+5.30%
Volatility (6M) Calculated over the trailing 6-month period	36.10%	22.81%	+13.29%
Volatility (1Y) Calculated over the trailing 1-year period	41.46%	29.27%	+12.19%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	35.38%	32.72%	+2.66%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	36.68%	37.67%	-0.99%

Dividends

BNO vs. COP - Dividend Comparison

BNO has not paid dividends to shareholders, while COP's dividend yield for the trailing twelve months is around 2.77%.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
BNO United States Brent Oil Fund LP	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
COP ConocoPhillips Company	2.77%	3.40%	3.35%	3.37%	4.23%	2.70%	4.23%	2.05%	1.86%	1.93%	1.99%	6.30%

Frequently Asked Questions

Can I hold both BNO and COP in my portfolio?

BNO and COP have a correlation of 0.65, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, BNO or COP?

BNO has higher volatility (14.22%) compared to COP (8.92%). In terms of maximum drawdown, BNO dropped -87.06% vs COP's -84.55%.

Which has better risk-adjusted returns?

BNO currently has the higher Sharpe Ratio (2.23 vs 1.37), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.