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FXZ vs. BNO
Performance
Return for Risk
Drawdowns
Volatility
Dividends

FXZ vs. BNO

Last updated Jun 4, 2026

FXZ (First Trust Materials AlphaDEX Fund) and BNO (United States Brent Oil Fund LP) are both exchange-traded funds - FXZ is a Materials fund tracking the StrataQuant Materials Index, while BNO is a Oil & Gas fund tracking the Front Month Brent Crude Oil. Both are passively managed. Over the past 10 years, FXZ returned 11.67%/yr vs 13.60%/yr for BNO. At a 0.32 correlation, their price movements are largely independent. FXZ charges 0.67%/yr vs 0.90%/yr for BNO.

Performance

FXZ vs. BNO - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in First Trust Materials AlphaDEX Fund (FXZ) 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, FXZ achieves a 29.62% return, which is significantly lower than BNO's 90.47% return. Over the past 10 years, FXZ has underperformed BNO with an annualized return of 11.67%, while BNO has yielded a comparatively higher 13.60% annualized return.

FXZ

1D
-0.40%
1M
5.70%
YTD
29.62%
6M
33.34%
1Y
53.31%
3Y*
13.07%
5Y*
7.84%
10Y*
11.67%

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)

FXZ vs. BNO - Yearly Performance Comparison

2026 (YTD)202520242023202220212020201920182017
FXZ
First Trust Materials AlphaDEX Fund		29.62%16.25%-16.31%16.27%-0.92%30.84%22.52%21.52%-22.62%23.72%
BNO
United States Brent Oil Fund LP		90.47%-5.44%9.67%-3.43%35.25%62.34%-38.23%36.01%-15.30%15.43%

Correlation

The correlation between FXZ and BNO is -0.14, 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

-0.14

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

0.09

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

0.21

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

0.27

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

0.32

The correlation between FXZ and BNO shifts across timeframes, from -0.14 (1 year) to 0.32 (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 Materials 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

FXZ vs. BNO — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
FXZ
FXZ Risk / Return Rank: 7474
Overall Rank
FXZ Sharpe Ratio Rank: 7575
Sharpe Ratio Rank
FXZ Sortino Ratio Rank: 7070
Sortino Ratio Rank
FXZ Omega Ratio Rank: 6666
Omega Ratio Rank
FXZ Calmar Ratio Rank: 8181
Calmar Ratio Rank
FXZ Martin Ratio Rank: 8080
Martin Ratio Rank
BNO
BNO Risk / Return Rank: 6565
Overall Rank
BNO Sharpe Ratio Rank: 6666
Sharpe Ratio Rank
BNO Sortino Ratio Rank: 5656
Sortino Ratio Rank
BNO Omega Ratio Rank: 6060
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.

FXZ vs. BNO - Risk-Adjusted Trends Comparison

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

FXZBNODifference
Sharpe ratioReturn per unit of total volatility
2.45
2.23

+0.22

Sortino ratioReturn per unit of downside risk
3.21
2.73

+0.49

Omega ratioGain probability vs. loss probability

1.40

1.38

+0.03

Calmar ratioReturn relative to maximum drawdown

4.20

5.17

-0.97

Martin ratioReturn relative to average drawdown

15.80

9.76

+6.04

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

FXZ vs. BNO - Sharpe Ratio Comparison

The current FXZ Sharpe Ratio is 2.45, which is comparable to the BNO Sharpe Ratio of 2.23. The chart below compares the historical Sharpe Ratios of FXZ 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

FXZBNODifference

Sharpe Ratio (1Y)

Calculated over the trailing 1-year period

2.45

2.23

+0.22

Sharpe Ratio (5Y)

Calculated over the trailing 5-year period

0.33

0.69

-0.36

Sharpe Ratio (10Y)

Calculated over the trailing 10-year period

0.47

0.37

+0.10

Sharpe Ratio (All Time)

Calculated using the full available price history

0.35

0.14

+0.21

Drawdowns

FXZ vs. BNO - Drawdown Comparison

The maximum FXZ drawdown since its inception was -65.46%, smaller than the maximum BNO drawdown of -87.06%. Use the drawdown chart below to compare losses from any high point for FXZ and BNO.

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Drawdown Indicators

FXZBNODifference

Max Drawdown

Largest peak-to-trough decline

-65.46%

-87.06%

+21.60%

Max Drawdown (1Y)

Largest decline over 1 year

-12.75%

-17.87%

+5.12%

Max Drawdown (3Y)

Largest decline over 3 years

-33.99%

-23.75%

-10.24%

Max Drawdown (5Y)

Largest decline over 5 years

-33.99%

-33.70%

-0.29%

Max Drawdown (10Y)

Largest decline over 10 years

-49.41%

-75.18%

+25.77%

Current Drawdown

Current decline from peak

-0.40%

-10.29%

+9.89%

Average Drawdown

Average peak-to-trough decline

-11.36%

-40.17%

+28.81%

Ulcer Index

Depth and duration of drawdowns from previous peaks

3.38%

9.45%

-6.07%

Volatility

FXZ vs. BNO - Volatility Comparison

The current volatility for First Trust Materials AlphaDEX Fund (FXZ) is 7.04%, while United States Brent Oil Fund LP (BNO) has a volatility of 14.22%. This indicates that FXZ 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

FXZBNODifference

Volatility (1M)

Calculated over the trailing 1-month period

7.04%

14.22%

-7.18%

Volatility (6M)

Calculated over the trailing 6-month period

16.40%

36.10%

-19.70%

Volatility (1Y)

Calculated over the trailing 1-year period

21.87%

41.46%

-19.59%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

24.13%

35.38%

-11.25%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

24.87%

36.68%

-11.81%

FXZ vs. BNO - Expense Ratio Comparison

FXZ has a 0.67% expense ratio, which is lower than BNO's 0.90% expense ratio.

Dividends

FXZ vs. BNO - Dividend Comparison

FXZ's dividend yield for the trailing twelve months is around 1.38%, 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%
FXZ
First Trust Materials AlphaDEX Fund		1.38%1.74%1.81%1.97%1.56%1.11%1.51%1.58%1.38%1.01%1.19%1.26%

Frequently Asked Questions

FXZ and BNO have a correlation of -0.14, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

BNO has higher volatility (14.22%) compared to FXZ (7.04%). In terms of maximum drawdown, FXZ dropped -65.46% vs BNO's -87.06%.

On 10-year performance, BNO leads with 13.60% vs 11.67% for FXZ. On fees, FXZ is cheaper at 0.67% per year. On volatility, FXZ has been the lower-risk option at 7.04%. 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 13.60% return vs 11.67%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

FXZ is cheaper with a 0.67% expense ratio, compared with 0.90% for BNO.

FXZ has the higher dividend yield at 1.38%, compared with 0.00% for BNO.

FXZ is categorized as Materials, while BNO is Oil & Gas. FXZ tracks StrataQuant Materials Index, while BNO tracks Front Month Brent Crude Oil. They also come from different issuers: First Trust and Concierge Technologies. Their fees differ too: 0.67% for FXZ and 0.90% for BNO.

FXZ currently has the higher Sharpe Ratio (2.45 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.

Portfolio Optimizer

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