ZMAY vs. BNO
ZMAY (Innovator Equity Defined Protection ETF - 1 Yr May) and BNO (United States Brent Oil Fund LP) are both exchange-traded funds - ZMAY is a Defined Outcome fund actively managed by Innovator, while BNO is a Oil & Gas fund tracking the Crude Oil Brent ICE Near Term Futures. ZMAY is actively managed, while BNO is passively managed. Over the past year, ZMAY returned 5.14% vs 62.83% for BNO. Their -0.19 correlation means they have often moved in opposite directions in the past. ZMAY charges 0.79%/yr vs 1.00%/yr for BNO.
Performance
ZMAY vs. BNO - Performance Comparison
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Returns By Period
In the year-to-date period, ZMAY achieves a 2.57% return, which is significantly lower than BNO's 77.90% return.
ZMAY
- 1D
- 0.28%
- 1M
- 0.52%
- 6M
- 2.33%
- YTD
- 2.57%
- 1Y
- 5.14%
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
- ALL TIME*
- 5.49%
BNO
- 1D
- 1.45%
- 1M
- 27.00%
- 6M
- 52.90%
- YTD
- 77.90%
- 1Y
- 62.83%
- 3Y*
- 20.31%
- 5Y*
- 20.89%
- 10Y*
- 15.06%
- ALL TIME*
- 4.31%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $107.13M | $97.34M | $147.52M | |
| $231.74K | $677.58K | $2.56M |
ZMAY vs. BNO - Yearly Performance Comparison
| 2026 (YTD) | 2025 | |
|---|---|---|
ZMAY Innovator Equity Defined Protection ETF - 1 Yr May | 2.57% | 4.22% |
BNO United States Brent Oil Fund LP | 77.90% | 9.64% |
Correlation
The correlation between ZMAY and BNO is -0.18, meaning they have often moved in opposite directions in the past. This relationship can weaken or reverse as market conditions change.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | -0.18 |
Correlation (All Time) Calculated using the full available price history since May 1, 2025 | -0.19 |
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Return for Risk
ZMAY vs. BNO — Risk / Return Rank
ZMAY
BNO
ZMAY vs. BNO - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Innovator Equity Defined Protection ETF - 1 Yr May (ZMAY) 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| ZMAY | BNO | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +1.67 | ||
| Sortino ratioReturn per unit of downside risk | +2.98 | ||
| Omega ratioGain probability vs. loss probability | 1.66 | 1.24 | +0.42 |
| Calmar ratioReturn relative to maximum drawdown | 7.36 | 1.70 | +5.66 |
| Martin ratioReturn relative to average drawdown | 33.69 | 5.15 | +28.53 |
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Drawdowns
ZMAY vs. BNO - Drawdown Comparison
The maximum ZMAY drawdown since its inception was -0.70%, smaller than the maximum BNO drawdown of -87.06%. Use the drawdown chart below to compare losses from any high point for ZMAY and BNO.
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Drawdown Indicators
| ZMAY | BNO | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -0.70% | -87.06% | +86.36% |
Max Drawdown (1Y)Largest decline over 1 year | -0.70% | -34.46% | +33.76% |
Max Drawdown (3Y)Largest decline over 3 years | — | -34.46% | — |
Max Drawdown (5Y)Largest decline over 5 years | — | -34.46% | — |
Max Drawdown (10Y)Largest decline over 10 years | — | -75.18% | — |
Current DrawdownCurrent decline from peak | 0.00% | -16.21% | +16.21% |
Average DrawdownAverage peak-to-trough decline | -0.09% | -39.99% | +39.90% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.15% | 11.86% | -11.71% |
Volatility
ZMAY vs. BNO - Volatility Comparison
The current volatility for Innovator Equity Defined Protection ETF - 1 Yr May (ZMAY) is 0.78%, while United States Brent Oil Fund LP (BNO) has a volatility of 17.47%. This indicates that ZMAY 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
| ZMAY | BNO | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 0.78% | 17.47% | -16.69% |
Volatility (6M)Calculated over the trailing 6-month period | 1.49% | 40.96% | -39.47% |
Volatility (1Y)Calculated over the trailing 1-year period | 1.73% | 44.54% | -42.81% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 1.79% | 36.41% | -34.62% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 1.79% | 36.98% | -35.19% |
ZMAY vs. BNO - Expense Ratio Comparison
ZMAY has a 0.79% expense ratio, which is lower than BNO's 1.00% expense ratio.
Dividends
ZMAY vs. BNO - Dividend Comparison
Neither ZMAY nor BNO has paid dividends to shareholders.
Frequently Asked Questions
ZMAY and BNO have a correlation of -0.18, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
BNO has higher volatility (17.47%) compared to ZMAY (0.78%). In terms of maximum drawdown, ZMAY dropped -0.70% vs BNO's -87.06%.
On 1-year performance, BNO leads with 62.83% vs 5.14% for ZMAY. On fees, ZMAY is cheaper at 0.79% per year. On volatility, ZMAY has been the lower-risk option at 0.78%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 1-year period, BNO has performed better with a 62.83% return vs 5.14%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
ZMAY is cheaper with a 0.79% expense ratio, compared with 1.00% for BNO.
ZMAY and BNO have nearly identical dividend yields, around 0.00%.
ZMAY is categorized as Defined Outcome, while BNO is Oil & Gas. They also come from different issuers: Innovator and USCF. Their fees differ too: 0.79% for ZMAY and 1.00% for BNO.
ZMAY currently has the higher Sharpe Ratio (2.98 vs 1.32), 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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