United States Brent Oil Fund LP

10-Year Study

BNO.US · · US · ETF

Executive Summary: United States Brent Oil Fund LP has compounded at 12.7% annually over the last 10 years, with a maximum drawdown of 69.9% and an annualized volatility of 31.1%.

1Y CAGR
+92.4%
3Y CAGR
+27.1%
5Y CAGR
+23.2%
10Y CAGR
+12.7%

History & Riski10-year historical performance analysis including CAGR, Max Drawdown, Sharpe & Sortino ratios, annual returns, and rolling volatility — all computed from daily market data.

10-Year Growth of $10,000

Max DrawdownMax DrawdownThe largest peak-to-trough decline in the asset's value over the measurement period.Click for full definition →
69.9%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.50
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
0.69
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
37.4%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2026 · +73.3%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2020 · -38.2%
% Positive Years% Positive YearsThe percentage of calendar years in the measurement period where the asset delivered a positive return.Click for full definition →
60%

Annual Returns

Rolling 12-Month Returns

Rolling 12-Month Annualised Volatility

Historical Drawdowns

Monthly Returns

Monthly Returns Heatmap

YearJanFebMarAprMayJunJulAugSepOctNovDecAnn.
202616.35.649.4-5.6————————73.3%
20254.1-3.33.1-17.04.38.49.1-4.8-0.9-1.6-1.4-2.9-5.4%
20245.63.17.30.2-4.85.7-2.6-4.3-5.54.2-1.73.39.7%
2023-0.4-2.2-3.51.4-9.54.414.02.37.9-5.8-5.9-3.9-3.4%
202215.712.210.22.111.1-3.5-1.1-7.5-8.810.5-5.0-1.435.2%
20216.717.9-2.06.83.89.31.4-4.210.47.8-16.011.862.3%
2020-12.8-11.1-51.2-11.039.310.34.93.1-8.7-11.025.78.1-38.2%
201912.88.72.37.4-13.25.90.9-7.93.00.83.610.036.0%
20184.1-5.87.88.44.22.5-6.14.27.5-9.1-21.1-8.3-15.3%
2017-2.80.9-5.6-4.3-2.6-4.07.30.77.97.83.27.215.4%
2016———18.33.7-1.1-13.87.55.1-4.34.18.627.9%

Risk X-RayiA 19-factor macroeconomic risk decomposition showing exactly which market forces (equity beta, rates, inflation, credit, commodity, crypto) drive this asset's volatility. Powered by multivariate regression against daily factor returns.

Risk Profile Insight: This asset has an estimated annualized volatility of 31.1%. The dominant macroeconomic risk driver is USO.US, accounting for 75.0% of variance. Idiosyncratic stock-specific factors contribute 3.3%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2016-03-0110000
2016-04-0111827.079934747144
2016-05-0112267.536704730832
2016-06-0112137.030995106037
2016-07-0110464.926590538336
2016-08-0111247.960848287114
2016-09-0111827.079934747144
2016-10-0111313.213703099509
2016-11-0111778.140293637847
2016-12-0112789.559543230016
2017-01-0112430.668841761828
2017-02-0112544.861337683524
2017-03-0111843.393148450245
2017-04-0111337.683523654161
2017-05-0111044.045676998368
2017-06-0110603.588907014682
2017-07-0111378.466557911908
2017-08-0111460.032626427408
2017-09-0112365.415986949429
2017-10-0113336.052202283852
2017-11-0113768.352365415985
2017-12-0114763.458401305059
2018-01-0115367.04730831974
2018-02-0114477.977161500818
2018-03-0115611.745513866234
2018-04-0116924.95921696574
2018-05-0117642.74061990212
2018-06-0118091.353996737358
2018-07-0116982.05546492659
2018-08-0117699.836867862967
2018-09-0119021.20717781403
2018-10-0117283.849918433934
2018-11-0113629.690048939643
2018-12-0112504.078303425775
2019-01-0114102.773246329527
2019-02-0115326.264274061989
2019-03-0115676.998368678629
2019-04-0116843.393148450243
2019-05-0114616.639477977162
2019-06-0115473.083197389886
2019-07-0115611.745513866234
2019-08-0114371.941272430671
2019-09-0114804.241435562806
2019-10-0114918.433931484502
2019-11-0115456.769983686787
2019-12-0117006.525285481242
2020-01-0114836.867862969006
2020-02-0113197.389885807504
2020-03-016435.562805872756
2020-04-015725.9380097879275
2020-05-017977.1615008156605
2020-06-018800.978792822185
2020-07-019233.278955954323
2020-08-019518.760195758565
2020-09-018686.78629690049
2020-10-017732.463295269168
2020-11-019722.675367047308
2020-12-0110505.709624796085
2021-01-0111207.177814029363
2021-02-0113213.703099510603
2021-03-0112952.691680261012
2021-04-0113833.605220228386
2021-05-0114363.784665579118
2021-06-0115701.46818923328
2021-07-0115913.539967373574
2021-08-0115244.698205546494
2021-09-0116835.236541598693
2021-10-0118148.450244698208
2021-11-0115252.854812398042
2021-12-0117055.46492659054
2022-01-0119738.988580750407
2022-02-0122153.344208809136
2022-03-0124412.724306688415
2022-04-0124918.433931484506
2022-05-0127683.523654159868
2022-06-0126704.730831973902
2022-07-0126411.09298531811
2022-08-0124437.19412724307
2022-09-0122283.849918433934
2022-10-0124624.79608482871
2022-11-0123384.99184339315
2022-12-0123066.88417618271
2023-01-0122969.004893964113
2023-02-0122463.295269168026
2023-03-0121680.261011419247
2023-04-0121973.89885807504
2023-05-0119893.964110929854
2023-06-0120774.877650897226
2023-07-0123686.78629690049
2023-08-0124241.435562805873
2023-09-0126158.238172920068
2023-10-0124632.95269168026
2023-11-0123189.233278955955
2023-12-0122275.69331158238
2024-01-0123531.810766721042
2024-02-0124249.592169657422
2024-03-0126027.73246329527
2024-04-0126076.672104404566
2024-05-0124812.398042414356
2024-06-0126223.491027732463
2024-07-0125530.179445350732
2024-08-0124429.037520391517
2024-09-0123091.353996737358
2024-10-0124053.83360522023
2024-11-0123654.159869494288
2024-12-0124429.037520391517
2025-01-0125432.30016313214
2025-02-0124600.326264274063
2025-03-0125375.20391517129
2025-04-0121068.515497553017
2025-05-0121965.74225122349
2025-06-0123809.135399673734
2025-07-0125970.63621533442
2025-08-0124730.831973898858
2025-09-0124510.603588907015
2025-10-0124119.086460032628
2025-11-0123792.82218597064
2025-12-0123099.510603588908
2026-01-0126876.019575856444
2026-02-0128393.1484502447
2026-03-0142422.51223491028
2026-04-0140032.626427406205
Annual Return Matrix
YearAnnual Return
20170.15433673469387776
2018-0.1530386740331492
20190.36007827788649704
2020-0.3822541966426859
20210.6234472049689439
20220.3524629363940699
2023-0.034299858557284346
20240.09666788722079822
2025-0.05442404006677792
20260.7330508474576269
Total Factor Risk
0.31054665328294656
VTI.US Exposure
0.019928270657080954
VEA.US Exposure
0.03433647226493348
VWO.US Exposure
0.0029104977920780825
QQQ.US Exposure
-0.01910737909898909
VTV.US Exposure
-0.002149354835344613
IJR.US Exposure
-0.00041248204292622923
QUAL.US Exposure
0.003257272028983519
SHV.US Exposure
0.17634856739654545
TLT.US Exposure
-0.01600300860318716
LQD.US Exposure
0.025348405190745476
HYG.US Exposure
-0.0021125390981262416
GLD.US Exposure
0.002108040413038999
USO.US Exposure
0.7500055846056771
VNQ.US Exposure
-0.001649676866830514
BTC-USD.CC Exposure
0.00024224175322316296
CPER.US Exposure
0.0002950773439836645
VIX.INDX Exposure
0.00010553364579966823
UUP.US Exposure
-0.006549981780789579
TIP.US Exposure
-0.000022512198180660556
Idiosyncratic Exposure
0.0331209714322844
Value Score
50
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
0
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
31.1%

FundamentalsiCompany financial health metrics: P/E valuation, dividend yield, Piotroski F-Score (9-point profitability signal), Altman Z-Score (bankruptcy risk proxy), and a radar chart across 6 fundamental dimensions. Note: ETFs may show N/A for some metrics.

Fundamental Dimensions

Core Valuation

P/E Ratio (TTM)P/E RatioPrice-to-Earnings ratio — the market price of a stock divided by its earnings per share, a key valuation measure.Click for full definition →N/A
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →0.00%
Market Cap$0
Piotroski F-ScorePiotroski F-ScoreA 9-point scoring system evaluating a company's financial strength across profitability, leverage, and operating efficiency.Click for full definition →
9-point profitability signal
0.0/ 9
Weak
Altman Z-ScoreAltman Z-ScoreA bankruptcy prediction model that combines 5 financial ratios into a single score indicating financial distress risk.Click for full definition →
Bankruptcy risk proxy
1.18
Distress Zone
Income Simulation

Based on $10,000 initial investment.

Total Income Generated
$0
Avg Yield on Cost
0.00%

Momentum & MacroiPrice momentum indicators relative to key technical levels: distance from 50-Day SMA (intermediate trend), 200-Day SMA (long-term trend), 52-Week High (bullish proximity), and Beta (market sensitivity coefficient).

vs 50-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
+14.4%
Above/below 50-day moving average
vs 200-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
+48.8%
Above/below 200-day moving average
vs 52-Week High52-Week HighThe highest price an asset reached in the past 52 weeks — a key reference for momentum and valuation context.Click for full definition →
10.2% from high
Distance from 52-week high
BetaBetaA measure of an asset's sensitivity to broad market movements relative to a benchmark (e.g. S&P 500).Click for full definition →
1.15
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is United States Brent Oil Fund LP a high-risk investment?

United States Brent Oil Fund LP (BNO.US) has an annualized volatility of 31.1% and experienced a maximum drawdown of 69.9% over the last 10 years. Its primary macro risk driver is USO.US.

What is the 10-year return of BNO.US?

Over the past 10 years, BNO.US has generated a Compound Annual Growth Rate (CAGR) of 12.7%. It has had a positive return in 60% of the years measured.

Data Methodology & Trust

The risk and return information on this page is pre-calculated mathematically using daily market data spanning a 10-year period. Fundamentals (such as P/E Ratio, Market Cap, and Dividend Yield) represent trailing averages and may not immediately reflect real-time live market fluctuations. Advanced scoring models like the Piotroski F-Score and Altman Z-Score are proxies applied to publicly available trailing-twelve-month financial statements and may not account for recent off-balance-sheet events, qualitative company shifts, or sector-specific capital structures. Macroeconomic factor exposures are estimated via multivariate regression against standard market indices. This data is provided for quantitative insight and backtesting research, and should not be misconstrued as tailored financial advice.

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