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FNX vs. BNO
Performance
Return for Risk
Drawdowns
Volatility
Dividends

FNX vs. BNO

Last updated Jun 3, 2026

FNX (First Trust Mid Cap Core AlphaDEX Fund) and BNO (United States Brent Oil Fund LP) are both exchange-traded funds - FNX is a Mid Cap Blend Equities fund tracking the NASDAQ AlphaDEX Mid Cap Core Index, while BNO is a Oil & Gas fund tracking the Front Month Brent Crude Oil. Both are passively managed. Over the past 10 years, FNX returned 11.92%/yr vs 13.38%/yr for BNO. At a 0.28 correlation, their price movements are largely independent. FNX charges 0.60%/yr vs 0.90%/yr for BNO.

Performance

FNX vs. BNO - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in First Trust Mid Cap Core AlphaDEX Fund (FNX) 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, FNX achieves a 12.02% return, which is significantly lower than BNO's 86.76% return. Over the past 10 years, FNX has underperformed BNO with an annualized return of 11.92%, while BNO has yielded a comparatively higher 13.38% annualized return.

FNX

1D
0.82%
1M
1.97%
YTD
12.02%
6M
13.02%
1Y
28.41%
3Y*
17.06%
5Y*
8.39%
10Y*
11.92%

BNO

1D
0.76%
1M
-7.65%
YTD
86.76%
6M
83.45%
1Y
89.50%
3Y*
27.10%
5Y*
23.77%
10Y*
13.38%
*Multi-year figures are annualized to reflect compound growth (CAGR)

FNX vs. BNO - Yearly Performance Comparison

2026 (YTD)202520242023202220212020201920182017
FNX
First Trust Mid Cap Core AlphaDEX Fund		12.02%9.87%12.21%20.39%-13.57%25.05%16.04%26.97%-11.23%17.66%
BNO
United States Brent Oil Fund LP		86.76%-5.44%9.67%-3.43%35.25%62.34%-38.23%36.01%-15.30%15.43%

Correlation

The correlation between FNX and BNO is -0.22, 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

-0.22

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

0.03

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

0.15

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

0.23

Correlation (All Time)
Calculated using the full available price history since Jun 3, 2010

0.28

The correlation between FNX and BNO shifts across timeframes, from -0.22 (1 year) to 0.28 (all time), reflecting how their relationship changes across market environments.

Compare stocks, funds, or ETFs

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First Trust Mid Cap Core AlphaDEX Fund

United States Brent Oil Fund LP

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Often compared with BNO:
BNO vs. USOBNO vs. XLEBNO vs. USLBNO vs. BOILBNO vs. UNGBNO vs. UCOBNO vs. XOM

Return for Risk

FNX vs. BNO — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
FNX
FNX Risk / Return Rank: 5454
Overall Rank
FNX Sharpe Ratio Rank: 5151
Sharpe Ratio Rank
FNX Sortino Ratio Rank: 5353
Sortino Ratio Rank
FNX Omega Ratio Rank: 4848
Omega Ratio Rank
FNX Calmar Ratio Rank: 6060
Calmar Ratio Rank
FNX Martin Ratio Rank: 5858
Martin Ratio Rank
BNO
BNO Risk / Return Rank: 6565
Overall Rank
BNO Sharpe Ratio Rank: 6464
Sharpe Ratio Rank
BNO Sortino Ratio Rank: 5656
Sortino Ratio Rank
BNO Omega Ratio Rank: 6060
Omega Ratio Rank
BNO Calmar Ratio Rank: 8989
Calmar Ratio Rank
BNO Martin Ratio Rank: 5757
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.

FNX vs. BNO - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust Mid Cap Core AlphaDEX Fund (FNX) 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.

FNXBNODifference

Sharpe ratio

Return per unit of total volatility

1.77

2.17

-0.40

Sortino ratio

Return per unit of downside risk

2.59

2.68

-0.09

Omega ratio

Gain probability vs. loss probability

1.31

1.37

-0.06

Calmar ratio

Return relative to maximum drawdown

3.06

5.39

-2.33

Martin ratio

Return relative to average drawdown

10.55

10.23

+0.32

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

FNX vs. BNO - Sharpe Ratio Comparison

The current FNX Sharpe Ratio is 1.77, which is comparable to the BNO Sharpe Ratio of 2.17. The chart below compares the historical Sharpe Ratios of FNX 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

FNXBNODifference

Sharpe Ratio (1Y)

Calculated over the trailing 1-year period

1.77

2.17

-0.40

Sharpe Ratio (5Y)

Calculated over the trailing 5-year period

0.41

0.68

-0.26

Sharpe Ratio (10Y)

Calculated over the trailing 10-year period

0.54

0.37

+0.18

Sharpe Ratio (All Time)

Calculated using the full available price history

0.42

0.14

+0.28

Drawdowns

FNX vs. BNO - Drawdown Comparison

The maximum FNX drawdown since its inception was -57.11%, smaller than the maximum BNO drawdown of -87.06%. Use the drawdown chart below to compare losses from any high point for FNX and BNO.

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Drawdown Indicators

FNXBNODifference

Max Drawdown

Largest peak-to-trough decline

-57.11%

-87.06%

+29.95%

Max Drawdown (1Y)

Largest decline over 1 year

-9.24%

-17.87%

+8.63%

Max Drawdown (3Y)

Largest decline over 3 years

-24.97%

-23.75%

-1.22%

Max Drawdown (5Y)

Largest decline over 5 years

-24.97%

-33.70%

+8.73%

Max Drawdown (10Y)

Largest decline over 10 years

-43.95%

-75.18%

+31.23%

Current Drawdown

Current decline from peak

-0.59%

-12.04%

+11.45%

Average Drawdown

Average peak-to-trough decline

-8.41%

-40.18%

+31.77%

Ulcer Index

Depth and duration of drawdowns from previous peaks

2.68%

9.43%

-6.75%

Volatility

FNX vs. BNO - Volatility Comparison

The current volatility for First Trust Mid Cap Core AlphaDEX Fund (FNX) is 4.74%, while United States Brent Oil Fund LP (BNO) has a volatility of 15.03%. This indicates that FNX 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

FNXBNODifference

Volatility (1M)

Calculated over the trailing 1-month period

4.74%

15.03%

-10.29%

Volatility (6M)

Calculated over the trailing 6-month period

11.45%

36.08%

-24.63%

Volatility (1Y)

Calculated over the trailing 1-year period

16.11%

41.56%

-25.45%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

20.50%

35.37%

-14.87%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

21.97%

36.68%

-14.71%

FNX vs. BNO - Expense Ratio Comparison

FNX has a 0.60% expense ratio, which is lower than BNO's 0.90% expense ratio.

Dividends

FNX vs. BNO - Dividend Comparison

FNX's dividend yield for the trailing twelve months is around 0.83%, 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%
FNX
First Trust Mid Cap Core AlphaDEX Fund		0.83%0.88%1.26%1.11%1.19%0.94%1.04%1.21%1.01%0.90%1.07%1.07%

Frequently Asked Questions

FNX and BNO have a correlation of -0.22, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

BNO has higher volatility (15.03%) compared to FNX (4.74%). In terms of maximum drawdown, FNX dropped -57.11% vs BNO's -87.06%.

On 10-year performance, BNO leads with 13.38% vs 11.92% for FNX. On fees, FNX is cheaper at 0.60% per year. On volatility, FNX has been the lower-risk option at 4.74%. 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 13.38% return vs 11.92%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

FNX is cheaper with a 0.60% expense ratio, compared with 0.90% for BNO.

FNX has the higher dividend yield at 0.83%, compared with 0.00% for BNO.

FNX is categorized as Mid Cap Blend Equities, while BNO is Oil & Gas. FNX tracks NASDAQ AlphaDEX Mid Cap Core Index, while BNO tracks Front Month Brent Crude Oil. They also come from different issuers: First Trust and Concierge Technologies. Their fees differ too: 0.60% for FNX and 0.90% for BNO.

BNO currently has the higher Sharpe Ratio (2.17 vs 1.77), 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.

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