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FGM vs. BNO
Performance
Return for Risk
Drawdowns
Volatility
Dividends

FGM vs. BNO

Last updated Jun 5, 2026

FGM (First Trust Germany AlphaDEX Fund) and BNO (United States Brent Oil Fund LP) are both exchange-traded funds - FGM is a Europe Equities fund tracking the NASDAQ AlphaDEX Germany Index, while BNO is a Oil & Gas fund tracking the Front Month Brent Crude Oil. Both are passively managed. Over the past 10 years, FGM returned 8.07%/yr vs 13.13%/yr for BNO. At a 0.15 correlation, their price movements are largely independent. FGM charges 0.80%/yr vs 0.90%/yr for BNO.

Performance

FGM vs. BNO - Performance Comparison

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

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Returns By Period

In the year-to-date period, FGM achieves a 4.27% return, which is significantly lower than BNO's 85.31% return. Over the past 10 years, FGM has underperformed BNO with an annualized return of 8.07%, while BNO has yielded a comparatively higher 13.13% annualized return.

FGM

1D
0.14%
1M
0.55%
YTD
4.27%
6M
8.73%
1Y
19.10%
3Y*
21.88%
5Y*
4.22%
10Y*
8.07%

BNO

1D
-2.71%
1M
-9.80%
YTD
85.31%
6M
79.66%
1Y
88.71%
3Y*
26.74%
5Y*
23.48%
10Y*
13.13%
*Multi-year figures are annualized to reflect compound growth (CAGR)

FGM vs. BNO - Yearly Performance Comparison

2026 (YTD)202520242023202220212020201920182017
FGM
First Trust Germany AlphaDEX Fund		4.27%63.60%1.36%13.28%-30.46%6.10%17.26%20.77%-25.14%44.28%
BNO
United States Brent Oil Fund LP		85.31%-5.44%9.67%-3.43%35.25%62.34%-38.23%36.01%-15.30%15.43%

Correlation

The correlation between FGM and BNO is -0.39, 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

-0.39

Correlation (3Y)
Calculated over the trailing 3-year period

-0.13

Correlation (5Y)
Calculated over the trailing 5-year period

0.01

Correlation (10Y)
Calculated over the trailing 10-year period

0.12

Correlation (All Time)
Calculated using the full available price history since Feb 21, 2012

0.15

The correlation between FGM and BNO shifts across timeframes, from -0.39 (1 year) to 0.15 (all time), reflecting how their relationship changes across market environments.

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.

First Trust Germany AlphaDEX Fund

United States Brent Oil Fund LP

Often compared with FGM:
FGM vs. EWGFGM vs. DAXFGM vs. FEUZFGM vs. FLGRFGM vs. EXS1.DEFGM vs. KBWPFGM vs. SHLD
Often compared with BNO:
BNO vs. USOBNO vs. XLEBNO vs. USLBNO vs. BOILBNO vs. UNGBNO vs. UCOBNO vs. UNL

Return for Risk

FGM vs. BNO — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
FGM
FGM Risk / Return Rank: 2626
Overall Rank
FGM Sharpe Ratio Rank: 2626
Sharpe Ratio Rank
FGM Sortino Ratio Rank: 2626
Sortino Ratio Rank
FGM Omega Ratio Rank: 2626
Omega Ratio Rank
FGM Calmar Ratio Rank: 2424
Calmar Ratio Rank
FGM Martin Ratio Rank: 2626
Martin Ratio Rank
BNO
BNO Risk / Return Rank: 6565
Overall Rank
BNO Sharpe Ratio Rank: 6565
Sharpe Ratio Rank
BNO Sortino Ratio Rank: 5757
Sortino Ratio Rank
BNO Omega Ratio Rank: 6161
Omega Ratio Rank
BNO Calmar Ratio Rank: 8888
Calmar Ratio Rank
BNO Martin Ratio Rank: 5555
Martin Ratio Rank
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.

FGM vs. BNO - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust Germany AlphaDEX Fund (FGM) 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.

FGMBNODifference
Sharpe ratioReturn per unit of total volatility
0.94
2.15

-1.21

Sortino ratioReturn per unit of downside risk
1.40
2.65

-1.25

Omega ratioGain probability vs. loss probability

1.17

1.36

-0.19

Calmar ratioReturn relative to maximum drawdown

1.08

4.99

-3.91

Martin ratioReturn relative to average drawdown

3.41

9.39

-5.98

Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

FGM vs. BNO - Sharpe Ratio Comparison

The current FGM Sharpe Ratio is 0.94, which is lower than the BNO Sharpe Ratio of 2.15. The chart below compares the historical Sharpe Ratios of FGM 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.

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Sharpe Ratios by Period

FGMBNODifference

Sharpe Ratio (1Y)

Calculated over the trailing 1-year period

0.94

2.15

-1.21

Sharpe Ratio (5Y)

Calculated over the trailing 5-year period

0.17

0.67

-0.49

Sharpe Ratio (10Y)

Calculated over the trailing 10-year period

0.35

0.36

-0.01

Sharpe Ratio (All Time)

Calculated using the full available price history

0.34

0.14

+0.21

Drawdowns

FGM vs. BNO - Drawdown Comparison

The maximum FGM drawdown since its inception was -51.58%, smaller than the maximum BNO drawdown of -87.06%. Use the drawdown chart below to compare losses from any high point for FGM and BNO.

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Drawdown Indicators

FGMBNODifference

Max Drawdown

Largest peak-to-trough decline

-51.58%

-87.06%

+35.48%

Max Drawdown (1Y)

Largest decline over 1 year

-17.76%

-17.87%

+0.11%

Max Drawdown (3Y)

Largest decline over 3 years

-17.93%

-23.75%

+5.82%

Max Drawdown (5Y)

Largest decline over 5 years

-51.07%

-33.70%

-17.37%

Max Drawdown (10Y)

Largest decline over 10 years

-51.58%

-75.18%

+23.60%

Current Drawdown

Current decline from peak

-7.31%

-12.72%

+5.41%

Average Drawdown

Average peak-to-trough decline

-14.73%

-40.16%

+25.43%

Ulcer Index

Depth and duration of drawdowns from previous peaks

5.61%

9.48%

-3.87%

Volatility

FGM vs. BNO - Volatility Comparison

The current volatility for First Trust Germany AlphaDEX Fund (FGM) is 6.72%, while United States Brent Oil Fund LP (BNO) has a volatility of 14.12%. This indicates that FGM 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.

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Volatility by Period

FGMBNODifference

Volatility (1M)

Calculated over the trailing 1-month period

6.72%

14.12%

-7.40%

Volatility (6M)

Calculated over the trailing 6-month period

17.05%

36.21%

-19.16%

Volatility (1Y)

Calculated over the trailing 1-year period

20.51%

41.56%

-21.05%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

24.48%

35.40%

-10.92%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

23.10%

36.69%

-13.59%

FGM vs. BNO - Expense Ratio Comparison

FGM has a 0.80% expense ratio, which is lower than BNO's 0.90% expense ratio.

Dividends

FGM vs. BNO - Dividend Comparison

FGM's dividend yield for the trailing twelve months is around 0.64%, while BNO has not paid dividends to shareholders.

PositionTTM20252024202320222021202020192018201720162015
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%
FGM
First Trust Germany AlphaDEX Fund		0.64%0.66%2.56%2.82%5.44%1.43%1.33%2.30%2.18%2.11%1.33%1.13%

Frequently Asked Questions

FGM and BNO have a correlation of -0.39, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

BNO has higher volatility (14.12%) compared to FGM (6.72%). In terms of maximum drawdown, FGM dropped -51.58% vs BNO's -87.06%.

On 10-year performance, BNO leads with 13.13% vs 8.07% for FGM. On fees, FGM is cheaper at 0.80% per year. On volatility, FGM has been the lower-risk option at 6.72%. The better choice depends on whether you care most about return, fees, risk, or income.

Over the 10-year period, BNO has performed better with a 13.13% return vs 8.07%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

FGM is cheaper with a 0.80% expense ratio, compared with 0.90% for BNO.

FGM has the higher dividend yield at 0.64%, compared with 0.00% for BNO.

FGM is categorized as Europe Equities, while BNO is Oil & Gas. FGM tracks NASDAQ AlphaDEX Germany Index, while BNO tracks Front Month Brent Crude Oil. They also come from different issuers: First Trust and Concierge Technologies. Their fees differ too: 0.80% for FGM and 0.90% for BNO.

BNO currently has the higher Sharpe Ratio (2.15 vs 0.94), 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.

Portfolio Optimizer

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