CPSJ vs. BNO

Last updated Jun 4, 2026

CPSJ (Calamos S&P 500 Structured Alt Protection ETF - July) and BNO (United States Brent Oil Fund LP) are both exchange-traded funds - CPSJ is a Defined Outcome fund tracking the MerQube Cap Protect US Lrg Cap PR Index - Jul, while BNO is a Oil & Gas fund tracking the Front Month Brent Crude Oil. Both are passively managed. Over the past year, CPSJ returned 7.54% vs 91.89% for BNO. At a correlation of -0.07, they often move in opposite directions. CPSJ charges 0.69%/yr vs 0.90%/yr for BNO.

Performance

CPSJ 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 - July (CPSJ) 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, CPSJ achieves a 2.61% return, which is significantly lower than BNO's 90.47% return.

CPSJ

• 1D: 0.04%
• 1M: 0.70%
• YTD: 2.61%
• 6M: 2.98%
• 1Y: 7.54%
• 3Y*: —
• 5Y*: —
• 10Y*: —

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%

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

CPSJ vs. BNO - Yearly Performance Comparison

	2026 (YTD)	2025	2024
CPSJ Calamos S&P 500 Structured Alt Protection ETF - July	2.61%	7.43%	4.14%
BNO United States Brent Oil Fund LP	90.47%	-5.44%	-8.86%

Correlation

The correlation between CPSJ and BNO 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 Jul 2, 2024	-0.07

Over the past year, the inverse relationship between CPSJ and BNO has strengthened: their correlation has moved from -0.07 to -0.29, meaning they now move in opposite directions more often than their long-term average.

Return for Risk

CPSJ vs. BNO — Risk / Return Rank

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

CPSJ

CPSJ Risk / Return Rank: 94
CPSJ Sharpe Ratio Rank: 92
CPSJ Sortino Ratio Rank: 96
CPSJ Omega Ratio Rank: 96
CPSJ Calmar Ratio Rank: 90
CPSJ Martin Ratio Rank: 95

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

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.

CPSJ 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 - July (CPSJ) 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.

	CPSJ	BNO	Difference
Sharpe ratio: Return per unit of total volatility	3.30	2.23	+1.07
Sortino ratio: Return per unit of downside risk	5.44	2.73	+2.71
Omega ratio: Gain probability vs. loss probability	1.76	1.38	+0.39
Calmar ratio: Return relative to maximum drawdown	5.47	5.17	+0.30
Martin ratio: Return relative to average drawdown	30.62	9.76	+20.86
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

CPSJ vs. BNO - Sharpe Ratio Comparison

The current CPSJ Sharpe Ratio is 3.30, which is higher than the BNO Sharpe Ratio of 2.23. The chart below compares the historical Sharpe Ratios of CPSJ 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.

Sharpe Ratios by Period

	CPSJ	BNO	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	3.30	2.23	+1.07
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	1.63	0.14	+1.49

Drawdowns

CPSJ vs. BNO - Drawdown Comparison

The maximum CPSJ drawdown since its inception was -5.36%, smaller than the maximum BNO drawdown of -87.06%. Use the drawdown chart below to compare losses from any high point for CPSJ and BNO.

Drawdown Indicators

	CPSJ	BNO	Difference
Max Drawdown Largest peak-to-trough decline	-5.36%	-87.06%	+81.70%
Max Drawdown (1Y) Largest decline over 1 year	-1.38%	-17.87%	+16.49%
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	0.00%	-10.29%	+10.29%
Average Drawdown Average peak-to-trough decline	-0.45%	-40.17%	+39.72%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.25%	9.45%	-9.20%

Volatility

CPSJ vs. BNO - Volatility Comparison

The current volatility for Calamos S&P 500 Structured Alt Protection ETF - July (CPSJ) is 0.33%, while United States Brent Oil Fund LP (BNO) has a volatility of 14.22%. This indicates that CPSJ 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

	CPSJ	BNO	Difference
Volatility (1M) Calculated over the trailing 1-month period	0.33%	14.22%	-13.89%
Volatility (6M) Calculated over the trailing 6-month period	1.67%	36.10%	-34.43%
Volatility (1Y) Calculated over the trailing 1-year period	2.32%	41.46%	-39.14%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	4.59%	35.38%	-30.79%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	4.59%	36.68%	-32.09%

CPSJ vs. BNO - Expense Ratio Comparison

CPSJ has a 0.69% expense ratio, which is lower than BNO's 0.90% expense ratio.

Dividends

CPSJ vs. BNO - Dividend Comparison

Neither CPSJ nor BNO has paid dividends to shareholders.

Tickers have no history of dividend payments

Frequently Asked Questions

Can I hold both CPSJ and BNO in my portfolio?

CPSJ and BNO 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, CPSJ or BNO?

BNO has higher volatility (14.22%) compared to CPSJ (0.33%). In terms of maximum drawdown, CPSJ dropped -5.36% vs BNO's -87.06%.

Which ETF is better, CPSJ or BNO?

On 1-year performance, BNO leads with 91.89% vs 7.54% for CPSJ. On fees, CPSJ is cheaper at 0.69% per year. On volatility, CPSJ has been the lower-risk option at 0.33%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, CPSJ or BNO?

Over the 1-year period, BNO has performed better with a 91.89% return vs 7.54%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, CPSJ or BNO?

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

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

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

What is the main difference between CPSJ and BNO?

CPSJ is categorized as Defined Outcome, while BNO is Oil & Gas. CPSJ tracks MerQube Cap Protect US Lrg Cap PR Index - Jul, while BNO tracks Front Month Brent Crude Oil. They also come from different issuers: Calamos and Concierge Technologies. Their fees differ too: 0.69% for CPSJ and 0.90% for BNO.

Which has better risk-adjusted returns?

CPSJ currently has the higher Sharpe Ratio (3.30 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.