TFJL vs. BNO
TFJL (Innovator 20+ Year Treasury Bond 5 Floor ETF - Quarterly) and BNO (United States Brent Oil Fund LP) are both exchange-traded funds - TFJL is a Defined Outcome fund actively managed by Innovator, while BNO is a Oil & Gas fund tracking the Front Month Brent Crude Oil. TFJL is actively managed, while BNO is passively managed. Over the past 5 years, TFJL returned -3.76%/yr vs 24.16%/yr for BNO. At a correlation of -0.19, they often move in opposite directions. TFJL charges 0.79%/yr vs 0.90%/yr for BNO.
Performance
TFJL vs. BNO - Performance Comparison
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Returns By Period
In the year-to-date period, TFJL achieves a -2.35% return, which is significantly lower than BNO's 90.47% return.
TFJL
- 1D
- -0.54%
- 1M
- -0.05%
- YTD
- -2.35%
- 6M
- -4.14%
- 1Y
- -2.72%
- 3Y*
- -1.72%
- 5Y*
- -3.76%
- 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%
TFJL vs. BNO - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|---|---|
TFJL Innovator 20+ Year Treasury Bond 5 Floor ETF - Quarterly | -2.35% | -0.81% | -6.79% | 8.23% | -17.17% | -2.46% | -1.98% |
BNO United States Brent Oil Fund LP | 90.47% | -5.44% | 9.67% | -3.43% | 35.25% | 62.34% | 9.99% |
Correlation
The correlation between TFJL and BNO is -0.36, 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 | -0.36 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.23 |
Correlation (5Y) Calculated over the trailing 5-year period | -0.22 |
Correlation (All Time) Calculated using the full available price history since Aug 19, 2020 | -0.19 |
The correlation between TFJL and BNO shifts across timeframes, from -0.36 (1 year) to -0.19 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
TFJL vs. BNO — Risk / Return Rank
TFJL
BNO
TFJL vs. BNO - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Innovator 20+ Year Treasury Bond 5 Floor ETF - Quarterly (TFJL) 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.
| TFJL | BNO | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -2.56 | ||
| Sortino ratioReturn per unit of downside risk | -3.14 | ||
| Omega ratioGain probability vs. loss probability | 0.95 | 1.38 | -0.42 |
| Calmar ratioReturn relative to maximum drawdown | -0.32 | 5.17 | -5.49 |
| Martin ratioReturn relative to average drawdown | -0.73 | 9.76 | -10.49 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| TFJL | BNO | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | -0.33 | 2.23 | -2.56 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | -0.40 | 0.69 | -1.09 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | — | 0.37 | — |
Sharpe Ratio (All Time)Calculated using the full available price history | -0.48 | 0.14 | -0.62 |
Drawdowns
TFJL vs. BNO - Drawdown Comparison
The maximum TFJL drawdown since its inception was -25.45%, smaller than the maximum BNO drawdown of -87.06%. Use the drawdown chart below to compare losses from any high point for TFJL and BNO.
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Drawdown Indicators
| TFJL | BNO | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -25.45% | -87.06% | +61.61% |
Max Drawdown (1Y)Largest decline over 1 year | -8.50% | -17.87% | +9.37% |
Max Drawdown (3Y)Largest decline over 3 years | -12.72% | -23.75% | +11.03% |
Max Drawdown (5Y)Largest decline over 5 years | -23.45% | -33.70% | +10.25% |
Max Drawdown (10Y)Largest decline over 10 years | — | -75.18% | — |
Current DrawdownCurrent decline from peak | -22.83% | -10.29% | -12.54% |
Average DrawdownAverage peak-to-trough decline | -15.02% | -40.17% | +25.15% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.74% | 9.45% | -5.71% |
Volatility
TFJL vs. BNO - Volatility Comparison
The current volatility for Innovator 20+ Year Treasury Bond 5 Floor ETF - Quarterly (TFJL) is 1.99%, while United States Brent Oil Fund LP (BNO) has a volatility of 14.22%. This indicates that TFJL 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
| TFJL | BNO | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.99% | 14.22% | -12.23% |
Volatility (6M)Calculated over the trailing 6-month period | 5.67% | 36.10% | -30.43% |
Volatility (1Y)Calculated over the trailing 1-year period | 8.22% | 41.46% | -33.24% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 9.34% | 35.38% | -26.04% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 9.03% | 36.68% | -27.65% |
TFJL vs. BNO - Expense Ratio Comparison
TFJL has a 0.79% expense ratio, which is lower than BNO's 0.90% expense ratio.
Dividends
TFJL vs. BNO - Dividend Comparison
Neither TFJL nor BNO has paid dividends to shareholders.
Frequently Asked Questions
TFJL and BNO have a correlation of -0.36, 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 TFJL (1.99%). In terms of maximum drawdown, TFJL dropped -25.45% vs BNO's -87.06%.
On 5-year performance, BNO leads with 24.16% vs -3.76% for TFJL. On fees, TFJL is cheaper at 0.79% per year. On volatility, TFJL has been the lower-risk option at 1.99%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 5-year period, BNO has performed better with a 24.16% return vs -3.76%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
TFJL is cheaper with a 0.79% expense ratio, compared with 0.90% for BNO.
TFJL and BNO have nearly identical dividend yields, around 0.00%.
TFJL is categorized as Defined Outcome, while BNO is Oil & Gas. They also come from different issuers: Innovator and Concierge Technologies. Their fees differ too: 0.79% for TFJL and 0.90% for BNO.
BNO currently has the higher Sharpe Ratio (2.23 vs -0.33), 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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