BNO vs. CPSY

Last updated Jun 4, 2026

BNO (United States Brent Oil Fund LP) and CPSY (Calamos S&P 500 Structured Alt Protection ETF - January) are both exchange-traded funds - BNO is a Oil & Gas fund tracking the Front Month Brent Crude Oil, while CPSY is a Defined Outcome fund actively managed by Calamos. BNO is passively managed, while CPSY is actively managed. Over the past year, BNO returned 91.89% vs 7.60% for CPSY. At a correlation of -0.13, they often move in opposite directions. BNO charges 0.90%/yr vs 0.69%/yr for CPSY.

Performance

BNO vs. CPSY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in United States Brent Oil Fund LP (BNO) and Calamos S&P 500 Structured Alt Protection ETF - January (CPSY). 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 CPSY's 2.37% return.

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%

CPSY

• 1D: 0.02%
• 1M: 0.80%
• YTD: 2.37%
• 6M: 2.92%
• 1Y: 7.60%
• 3Y*: —
• 5Y*: —
• 10Y*: —

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

BNO vs. CPSY - Yearly Performance Comparison

	2026 (YTD)	2025
BNO United States Brent Oil Fund LP	90.47%	-7.57%
CPSY Calamos S&P 500 Structured Alt Protection ETF - January	2.37%	6.83%

Correlation

The correlation between BNO and CPSY is -0.29, meaning they tend to move in opposite directions. This is especially valuable for risk management - when one declines, the other has historically tended to hold steady or rise.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	-0.29
Correlation (All Time) Calculated using the full available price history since Jan 3, 2025	-0.13

The correlation between BNO and CPSY shifts across timeframes, from -0.29 (1 year) to -0.13 (all time), reflecting how their relationship changes across market environments.

Return for Risk

BNO vs. CPSY — 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

CPSY

CPSY Risk / Return Rank: 95
CPSY Sharpe Ratio Rank: 95
CPSY Sortino Ratio Rank: 97
CPSY Omega Ratio Rank: 96
CPSY Calmar Ratio Rank: 90
CPSY Martin Ratio Rank: 95

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. CPSY - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for United States Brent Oil Fund LP (BNO) and Calamos S&P 500 Structured Alt Protection ETF - January (CPSY). 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	CPSY	Difference
Sharpe ratio: Return per unit of total volatility	2.23	3.74	-1.51
Sortino ratio: Return per unit of downside risk	2.73	6.06	-3.34
Omega ratio: Gain probability vs. loss probability	1.38	1.84	-0.46
Calmar ratio: Return relative to maximum drawdown	5.17	5.67	-0.50
Martin ratio: Return relative to average drawdown	9.76	29.46	-19.70
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. CPSY - Sharpe Ratio Comparison

The current BNO Sharpe Ratio is 2.23, which is lower than the CPSY Sharpe Ratio of 3.74. The chart below compares the historical Sharpe Ratios of BNO and CPSY, 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	CPSY	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.23	3.74	-1.51
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.69	—	—
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.37	—	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.14	2.14	-2.00

Drawdowns

BNO vs. CPSY - Drawdown Comparison

The maximum BNO drawdown since its inception was -87.06%, which is greater than CPSY's maximum drawdown of -3.01%. Use the drawdown chart below to compare losses from any high point for BNO and CPSY.

Drawdown Indicators

	BNO	CPSY	Difference
Max Drawdown Largest peak-to-trough decline	-87.06%	-3.01%	-84.05%
Max Drawdown (1Y) Largest decline over 1 year	-17.87%	-1.35%	-16.52%
Max Drawdown (3Y) Largest decline over 3 years	-23.75%	—	—
Max Drawdown (5Y) Largest decline over 5 years	-33.70%	—	—
Max Drawdown (10Y) Largest decline over 10 years	-75.18%	—	—
Current Drawdown Current decline from peak	-10.29%	0.00%	-10.29%
Average Drawdown Average peak-to-trough decline	-40.17%	-0.33%	-39.84%
Ulcer Index Depth and duration of drawdowns from previous peaks	9.45%	0.26%	+9.19%

Volatility

BNO vs. CPSY - Volatility Comparison

United States Brent Oil Fund LP (BNO) has a higher volatility of 14.22% compared to Calamos S&P 500 Structured Alt Protection ETF - January (CPSY) at 0.31%. This indicates that BNO's price experiences larger fluctuations and is considered to be riskier than CPSY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	BNO	CPSY	Difference
Volatility (1M) Calculated over the trailing 1-month period	14.22%	0.31%	+13.91%
Volatility (6M) Calculated over the trailing 6-month period	36.10%	1.42%	+34.68%
Volatility (1Y) Calculated over the trailing 1-year period	41.46%	2.04%	+39.42%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	35.38%	3.08%	+32.30%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	36.68%	3.08%	+33.60%

BNO vs. CPSY - Expense Ratio Comparison

BNO has a 0.90% expense ratio, which is higher than CPSY's 0.69% expense ratio.

Dividends

BNO vs. CPSY - Dividend Comparison

Neither BNO nor CPSY has paid dividends to shareholders.

Tickers have no history of dividend payments

Frequently Asked Questions

Can I hold both BNO and CPSY in my portfolio?

BNO and CPSY have a correlation of -0.29, 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 CPSY?

BNO has higher volatility (14.22%) compared to CPSY (0.31%). In terms of maximum drawdown, BNO dropped -87.06% vs CPSY's -3.01%.

Which ETF is better, BNO or CPSY?

On 1-year performance, BNO leads with 91.89% vs 7.60% for CPSY. On fees, CPSY is cheaper at 0.69% per year. On volatility, CPSY has been the lower-risk option at 0.31%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, BNO or CPSY?

Over the 1-year period, BNO has performed better with a 91.89% return vs 7.60%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, BNO or CPSY?

CPSY is cheaper with a 0.69% expense ratio, compared with 0.90% for BNO.

Which ETF pays a higher dividend yield, BNO or CPSY?

BNO and CPSY have nearly identical dividend yields, around 0.00%.

What is the main difference between BNO and CPSY?

BNO is categorized as Oil & Gas, while CPSY is Defined Outcome. They also come from different issuers: Concierge Technologies and Calamos. Their fees differ too: 0.90% for BNO and 0.69% for CPSY.

Which has better risk-adjusted returns?

CPSY currently has the higher Sharpe Ratio (3.74 vs 2.23), 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.