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BNO vs. DBA
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between BNO and DBA is 0.20, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.


Performance

BNO vs. DBA - Performance Comparison

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

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Key characteristics

Sharpe Ratio

BNO:

-0.48

DBA:

0.94

Sortino Ratio

BNO:

-0.46

DBA:

1.33

Omega Ratio

BNO:

0.95

DBA:

1.16

Calmar Ratio

BNO:

-0.28

DBA:

0.37

Martin Ratio

BNO:

-1.22

DBA:

3.13

Ulcer Index

BNO:

10.36%

DBA:

4.73%

Daily Std Dev

BNO:

28.43%

DBA:

16.30%

Max Drawdown

BNO:

-87.06%

DBA:

-67.97%

Current Drawdown

BNO:

-41.79%

DBA:

-28.06%

Returns By Period

In the year-to-date period, BNO achieves a -9.72% return, which is significantly lower than DBA's 1.62% return. Over the past 10 years, BNO has underperformed DBA with an annualized return of 1.19%, while DBA has yielded a comparatively higher 2.94% annualized return.


BNO

YTD

-9.72%

1M

0.26%

6M

-8.18%

1Y

-12.29%

5Y*

28.12%

10Y*

1.19%

DBA

YTD

1.62%

1M

2.70%

6M

10.42%

1Y

14.00%

5Y*

16.59%

10Y*

2.94%

*Annualized

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BNO vs. DBA - Expense Ratio Comparison

BNO has a 0.90% expense ratio, which is lower than DBA's 0.94% expense ratio.


Risk-Adjusted Performance

BNO vs. DBA — Risk-Adjusted Performance Rank

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

BNO
The Risk-Adjusted Performance Rank of BNO is 55
Overall Rank
The Sharpe Ratio Rank of BNO is 55
Sharpe Ratio Rank
The Sortino Ratio Rank of BNO is 66
Sortino Ratio Rank
The Omega Ratio Rank of BNO is 77
Omega Ratio Rank
The Calmar Ratio Rank of BNO is 66
Calmar Ratio Rank
The Martin Ratio Rank of BNO is 33
Martin Ratio Rank

DBA
The Risk-Adjusted Performance Rank of DBA is 7676
Overall Rank
The Sharpe Ratio Rank of DBA is 8282
Sharpe Ratio Rank
The Sortino Ratio Rank of DBA is 8181
Sortino Ratio Rank
The Omega Ratio Rank of DBA is 7878
Omega Ratio Rank
The Calmar Ratio Rank of DBA is 6060
Calmar Ratio Rank
The Martin Ratio Rank of DBA is 7878
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

BNO vs. DBA - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for United States Brent Oil Fund LP (BNO) and Invesco DB Agriculture Fund (DBA). 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.


The current BNO Sharpe Ratio is -0.48, which is lower than the DBA Sharpe Ratio of 0.94. The chart below compares the historical Sharpe Ratios of BNO and DBA, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


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Dividends

BNO vs. DBA - Dividend Comparison

BNO has not paid dividends to shareholders, while DBA's dividend yield for the trailing twelve months is around 4.01%.


TTM2024202320222021202020192018
BNO
United States Brent Oil Fund LP
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
DBA
Invesco DB Agriculture Fund
4.01%4.08%4.63%0.48%0.00%0.00%1.55%1.06%

Drawdowns

BNO vs. DBA - Drawdown Comparison

The maximum BNO drawdown since its inception was -87.06%, which is greater than DBA's maximum drawdown of -67.97%. Use the drawdown chart below to compare losses from any high point for BNO and DBA. For additional features, visit the drawdowns tool.


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Volatility

BNO vs. DBA - Volatility Comparison

United States Brent Oil Fund LP (BNO) has a higher volatility of 9.15% compared to Invesco DB Agriculture Fund (DBA) at 4.01%. This indicates that BNO's price experiences larger fluctuations and is considered to be riskier than DBA based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


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