CPSF vs. BNO

Last updated Aug 4, 2026

CPSF (Calamos S&P 500 Structured Alt Protection ETF - February) and BNO (United States Brent Oil Fund LP) are both exchange-traded funds - CPSF is a Defined Outcome fund actively managed by Calamos, while BNO is a Oil & Gas fund tracking the Crude Oil Brent ICE Near Term Futures. CPSF is actively managed, while BNO is passively managed. Over the past year, CPSF returned 6.83% vs 54.59% for BNO. Their -0.16 correlation means they have often moved in opposite directions in the past. CPSF charges 0.69%/yr vs 1.00%/yr for BNO.

Performance

CPSF vs. BNO - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Calamos S&P 500 Structured Alt Protection ETF - February (CPSF) and United States Brent Oil Fund LP (BNO). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, CPSF achieves a 3.13% return, which is significantly lower than BNO's 68.89% return.

CPSF

• 1D: 0.15%
• 1M: 0.67%
• 6M: 2.34%
• YTD: 3.13%
• 1Y: 6.83%
• 3Y*: —
• 5Y*: —
• 10Y*: —
• ALL TIME*: 6.23%

BNO

• 1D: -5.06%
• 1M: 20.57%
• 6M: 52.91%
• YTD: 68.89%
• 1Y: 54.59%
• 3Y*: 17.84%
• 5Y*: 21.29%
• 10Y*: 13.80%
• ALL TIME*: 3.97%

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

Liquidity Comparison

Position	Avg. Volume Value (2W)	Avg. Volume Value (1M)	Avg. Volume Value (3M)
BNO United States Brent Oil Fund LP	$109.23M	$101.30M	$143.17M
CPSF Calamos S&P 500 Structured Alt Protection ETF - February	$35.38K	$32.23K	$45.55K

CPSF vs. BNO - Yearly Performance Comparison

	2026 (YTD)	2025
CPSF Calamos S&P 500 Structured Alt Protection ETF - February	3.13%	6.14%
BNO United States Brent Oil Fund LP	68.89%	-9.17%

Correlation

The correlation between CPSF and BNO is -0.27, meaning they have often moved in opposite directions in the past. This relationship can weaken or reverse as market conditions change.

	Correlation
Correlation (1Y) Focuses on recent behavior, but can change the most.	-0.27
Correlation (All Time) Calculated using the full available price history since Feb 3, 2025	-0.16

The correlation between CPSF and BNO shifts across timeframes, from -0.27 (1 year) to -0.16 (all time), reflecting how their relationship changes across market environments.

Return for Risk

CPSF vs. BNO — Risk / Return Rank

Compare historical risk-adjusted metric ranks over the past 12 months.

CPSF

CPSF Risk / Return Rank: 96
CPSF Sharpe Ratio Rank: 96
CPSF Sortino Ratio Rank: 97
CPSF Omega Ratio Rank: 96
CPSF Calmar Ratio Rank: 94
CPSF Martin Ratio Rank: 96

BNO

BNO Risk / Return Rank: 47
BNO Sharpe Ratio Rank: 48
BNO Sortino Ratio Rank: 49
BNO Omega Ratio Rank: 49
BNO Calmar Ratio Rank: 44
BNO Martin Ratio Rank: 43

The rank (0–100) uses a weighted average of the Sharpe, Sortino, Omega, Calmar, and Martin percentile ranks for the trailing 12 months. Higher means stronger historical risk-adjusted performance within the peer group.

CPSF vs. BNO - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Calamos S&P 500 Structured Alt Protection ETF - February (CPSF) and United States Brent Oil Fund LP (BNO). 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.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

	CPSF	BNO	Difference
Sharpe ratio: Return per unit of total volatility	3.27	1.23	+2.05
Sortino ratio: Return per unit of downside risk	5.13	1.81	+3.32
Omega ratio: Gain probability vs. loss probability	1.69	1.23	+0.46
Calmar ratio: Return relative to maximum drawdown	5.28	1.59	+3.69
Martin ratio: Return relative to average drawdown	25.30	4.81	+20.49

CPSF vs. BNO - Sharpe Ratio Comparison

The current CPSF Sharpe Ratio is 3.27, which is higher than the BNO Sharpe Ratio of 1.23. The chart below compares the historical Sharpe Ratios of CPSF and BNO, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

CPSF vs. BNO - Drawdown Comparison

The maximum CPSF drawdown since its inception was -2.89%, smaller than the maximum BNO drawdown of -87.06%. Use the drawdown chart below to compare losses from any high point for CPSF and BNO.

Drawdown Indicators

	CPSF	BNO	Difference
Max Drawdown Largest peak-to-trough decline	-2.89%	-87.06%	+84.17%
Max Drawdown (1Y) Largest decline over 1 year	-1.30%	-34.46%	+33.16%
Max Drawdown (3Y) Largest decline over 3 years	—	-34.46%	—
Max Drawdown (5Y) Largest decline over 5 years	—	-34.46%	—
Max Drawdown (10Y) Largest decline over 10 years	—	-75.18%	—
Current Drawdown Current decline from peak	0.00%	-20.46%	+20.46%
Average Drawdown Average peak-to-trough decline	-0.33%	-39.99%	+39.66%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.27%	11.41%	-11.14%

Volatility

CPSF vs. BNO - Volatility Comparison

The current volatility for Calamos S&P 500 Structured Alt Protection ETF - February (CPSF) is 0.55%, while United States Brent Oil Fund LP (BNO) has a volatility of 18.59%. This indicates that CPSF experiences smaller price fluctuations and is considered to be less risky than BNO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	CPSF	BNO	Difference
Volatility (1M) Calculated over the trailing 1-month period	0.55%	18.59%	-18.04%
Volatility (6M) Calculated over the trailing 6-month period	1.54%	41.33%	-39.79%
Volatility (1Y) Calculated over the trailing 1-year period	2.10%	44.80%	-42.70%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	2.74%	36.47%	-33.73%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	2.74%	37.01%	-34.27%

CPSF vs. BNO - Expense Ratio Comparison

CPSF has a 0.69% expense ratio, which is lower than BNO's 1.00% expense ratio.

Dividends

CPSF vs. BNO - Dividend Comparison

Neither CPSF nor BNO has paid dividends to shareholders.

Tickers have no history of dividend payments

Frequently Asked Questions

Can I hold both CPSF and BNO in my portfolio?

CPSF and BNO have a correlation of -0.27, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, CPSF or BNO?

BNO has higher volatility (18.59%) compared to CPSF (0.55%). In terms of maximum drawdown, CPSF dropped -2.89% vs BNO's -87.06%.

Which ETF is better, CPSF or BNO?

On 1-year performance, BNO leads with 54.59% vs 6.83% for CPSF. On fees, CPSF is cheaper at 0.69% per year. On volatility, CPSF has been the lower-risk option at 0.55%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, CPSF or BNO?

Over the 1-year period, BNO has performed better with a 54.59% return vs 6.83%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, CPSF or BNO?

CPSF is cheaper with a 0.69% expense ratio, compared with 1.00% for BNO.

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

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

What is the main difference between CPSF and BNO?

CPSF is categorized as Defined Outcome, while BNO is Oil & Gas. They also come from different issuers: Calamos and USCF. Their fees differ too: 0.69% for CPSF and 1.00% for BNO.

Which has better risk-adjusted returns?

CPSF currently has the higher Sharpe Ratio (3.27 vs 1.23), 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.