Data Source: from January 1982 to November 2022 (~41 years)
Consolidated Returns as of 30 November 2022
Live Update: Dec 07 2022, 10:59AM Eastern Time
Category: Commodities
ETF: United States Brent Oil Fund (BNO)
ETF • LIVE PERFORMANCE (USD currency)
0.73%
1 Day
Dec 07 2022, 10:59AM Eastern Time
9.21%
Current Month
December 2022

In the last 30 Years, the United States Brent Oil Fund (BNO) ETF obtained a 5.23% compound annual return, with a 33.09% standard deviation.

The ETF is related to the following investment themes:

  • Asset Class: Commodity
  • Commodity: Brent Oil

Historical Returns as of Nov 30, 2022

Historical returns and Metrics of United States Brent Oil Fund (BNO) ETF.

Returns and metrics are calculated based on monthly returns, assuming:
  • No fees or capital gain taxes

ETF Returns, up to December 2010, are retrieved using the historical series of equivalent ETFs / Assets.
UNITED STATES BRENT OIL FUND (BNO) ETF
Portfolio Metrics
Data Source: 1 January 1982 - 30 November 2022 (~41 years)
Swipe left to see all data
Metrics as of Nov 30, 2022
1M 3M 6M 1Y 3Y 5Y 10Y 20Y 30Y MAX
(~41Y)
Portfolio
Return (%)
-5.03 -4.31 -15.53 53.32 14.80 11.18 -3.44 6.40 5.23 2.10
US Inflation (%) 0.00 0.62 1.96 7.22 5.03 3.85 2.61 2.52 2.50 2.86
Infl. Adjusted
Return (%)
-5.03 -4.90 -17.15 42.99 9.30 7.05 -5.90 3.79 2.66 -0.74
Waiting for updates, inflation of Nov 2022 is temporarily set to 0%. Returns / Inflation rates over 1 year are annualized.
RISK INDICATORS
Standard Deviation (%) 29.35 50.17 42.74 36.60 33.82 33.09 33.37
Sharpe Ratio 1.78 0.29 0.24 -0.11 0.16 0.09 -0.06
Sortino Ratio 2.43 0.37 0.31 -0.15 0.21 0.13 -0.08
MAXIMUM DRAWDOWN
Drawdown Depth (%) -19.50 -66.33 -69.90 -84.53 -84.77 -84.77 -84.77
Start (yyyy mm) 2022 06 2020 01 2018 10 2014 07 2008 07 2008 07 2008 07
Bottom (yyyy mm) 2022 09 2020 04 2020 04 2020 04 2020 04 2020 04 2020 04
Start to Bottom (# months) 4 4 19 70 142 142 142
Start to Recovery (# months) in progress
> 6
22
40
> 101
> 173
> 173
> 173
ROLLING PERIOD RETURNS - Annualized
Best Return (%) 158.18 44.89 37.62 26.45 12.33 6.02
Worst Return (%) -66.00 -35.91 -21.99 -13.17 -3.07 -0.63
% Positive Periods 55% 57% 60% 58% 89% 98%
MONTHS
Positive 0 1 1 7 22 39 69 142 204 267
Negative 1 2 5 5 14 21 51 98 156 224
% Positive 0% 33% 17% 58% 61% 65% 58% 59% 57% 54%
WITHDRAWAL RATES (WR)
Safe WR (%) 29.56 19.24 4.28 8.86 4.38 1.16
Perpetual WR (%) 8.51 6.59 0.00 3.65 2.59 0.00
Terms and Definitions
  • Annualized Portfolio Return: it's the annualized geometric mean return of the ETF
  • Standard Deviation: it's a measure of the dispersion of returns around the mean
  • Sharpe Ratio: it's a measure of risk-adjusted performance of the ETF. It's calculated by dividing the excess return of the ETF over the risk-free rate by the ETF standard deviation. The risk-free rate here considered is the 1-3 Mth T-Bill return.
  • Sortino Ratio: another measure of risk-adjusted performance of the ETF. It's a modification of the Sharpe Ratio (same formula but the denominator is the ETF downside standard deviation).
  • Maximum Drawdown: a drawdown refers to the decline in value from a relative peak value to a relative trough. A maximum drawdown is the maximum observed loss from a peak to a trough of a portfolio before a new peak is attained.
  • Rolling Returns: returns over a time frame (best, worst, % of positive returns).
  • Pos./Neg. Months: number of months with positive/negative return.
  • Safe Withdrawal Rate (SWR): it's the percentage of the original portfolio balance that can be withdrawn at the end of each year with inflation adjustment, without the portfolio running out of money (dollar amount withdrawal).
  • Perpetual Withdrawal Rate (PWR): it's the percentage of portfolio balance that can be withdrawn at the end of each year, while retaining the inflation adjusted portfolio balance (percentage withdrawal).

Correlations as of Nov 30, 2022

Monthly correlations of United States Brent Oil Fund (BNO) ETF vs the main Asset Classes, over different timeframes.

Correlation measures to what degree the returns of the two assets move in relation to each other.

Correlation coefficient is a numerical value between -1 and +1.

If one variable goes up by a certain amount, the correlation coefficient indicates which way the other variable moves and by how much.

Asset correlations are calculated based on monthly returns.

Columns are sortable (click on table header to sort).

UNITED STATES BRENT OIL FUND (BNO) ETF
Monthly correlations as of 30 November 2022
Swipe left to see all data
Correlation vs BNO
 
Asset Class 1 Year 5 Years 10 Years 30 Years Since
Jan 1992
US Total Stock Market
VTI
0.24
0.50
0.44
0.29
0.29
US Large Cap
SPY
0.27
0.47
0.42
0.28
0.28
US Small Cap
IJR
0.31
0.60
0.50
0.34
0.33
US REITs
VNQ
0.24
0.44
0.21
0.15
0.15
US Technology
QQQ
0.11
0.35
0.29
0.22
0.21
Preferred Stocks
PFF
0.05
0.39
0.28
0.15
0.15
EAFE Stocks
EFA
0.21
0.57
0.50
0.36
0.36
World All Countries
VT
0.24
0.55
0.49
0.35
0.35
Emerging Markets
EEM
0.03
0.44
0.41
0.31
0.31
Europe
VGK
0.24
0.59
0.51
0.34
0.34
Pacific
VPL
0.15
0.52
0.42
0.35
0.34
Latin America
FLLA
0.60
0.58
0.51
0.36
0.36
US Total Bond Market
BND
0.02
-0.04
-0.11
-0.07
-0.07
Long Term Treasuries
TLT
-0.13
-0.35
-0.40
-0.27
-0.26
US Cash
BIL
-0.68
-0.37
-0.15
-0.01
-0.01
TIPS
TIP
0.33
0.11
0.06
0.10
0.10
Invest. Grade Bonds
LQD
0.04
0.21
0.11
0.05
0.05
High Yield Bonds
HYG
0.25
0.50
0.48
0.27
0.27
International Bonds
BNDX
0.05
0.00
-0.11
0.03
0.04
Emerg. Market Bonds
EMB
-0.01
0.44
0.35
0.18
0.18
Gold
GLD
0.14
-0.06
0.02
0.14
0.14
Commodities
DBC
0.85
0.90
0.91
0.83
0.83

Capital Growth as of Nov 30, 2022

An investment of 1000$, since December 1992, now would be worth 4617.68$, with a total return of 361.77% (5.23% annualized).

The Inflation Adjusted Capital now would be 2200.28$, with a net total return of 120.03% (2.66% annualized).
An investment of 1000$, since January 1982, now would be worth 2343.67$, with a total return of 134.37% (2.10% annualized).

The Inflation Adjusted Capital now would be 739.25$, with a net total return of -26.08% (-0.74% annualized).

Drawdowns

Worst drawdowns since December 1992.

Swipe left to see all data
Drawdown period
Recovery period
Total
Drawdown Start Bottom #Months End #Months #Months
-84.77% Jul 2008 Apr 2020 142 in progress 31 173
-56.07% Jan 1997 Nov 1998 23 Dec 1999 13 36
-39.96% Dec 2000 Nov 2001 12 Feb 2003 15 27
-31.07% May 1993 Dec 1993 8 Mar 1996 27 35
-27.78% Mar 2003 Apr 2003 2 Apr 2004 12 14
-23.62% Aug 2006 Jan 2007 6 Jul 2007 6 12
-17.86% Sep 2005 Nov 2005 3 Apr 2006 5 8
-17.39% Nov 2004 Dec 2004 2 Feb 2005 2 4
-14.95% Mar 2000 Apr 2000 2 May 2000 1 3
-11.91% Jul 2000 Jul 2000 1 Aug 2000 1 2
-8.29% Apr 1996 May 1996 2 Aug 1996 3 5
-6.96% Jun 2004 Jun 2004 1 Jul 2004 1 2
-6.56% Apr 2005 May 2005 2 Jun 2005 1 3
-5.93% Sep 2000 Sep 2000 1 Nov 2000 2 3
-5.66% Aug 2007 Aug 2007 1 Sep 2007 1 2
-2.92% Dec 1992 Dec 1992 1 Feb 1993 2 3
-2.62% Nov 2007 Nov 2007 1 Dec 2007 1 2
-2.33% Oct 1996 Oct 1996 1 Dec 1996 2 3
-2.24% May 2006 May 2006 1 Jun 2006 1 2
-1.75% Jan 2008 Jan 2008 1 Feb 2008 1 2

Worst drawdowns since January 1982.

Swipe left to see all data
Drawdown period
Recovery period
Total
Drawdown Start Bottom #Months End #Months #Months
-84.77% Jul 2008 Apr 2020 142 in progress 31 173
-74.41% Jan 1982 Jul 1986 55 Sep 1990 50 105
-73.25% Oct 1990 Nov 1998 98 Jul 2004 68 166
-23.62% Aug 2006 Jan 2007 6 Jul 2007 6 12
-17.86% Sep 2005 Nov 2005 3 Apr 2006 5 8
-17.39% Nov 2004 Dec 2004 2 Feb 2005 2 4
-6.56% Apr 2005 May 2005 2 Jun 2005 1 3
-5.66% Aug 2007 Aug 2007 1 Sep 2007 1 2
-2.62% Nov 2007 Nov 2007 1 Dec 2007 1 2
-2.24% May 2006 May 2006 1 Jun 2006 1 2
-1.75% Jan 2008 Jan 2008 1 Feb 2008 1 2
-1.05% Aug 2004 Aug 2004 1 Sep 2004 1 2

Rolling Returns ( more details)

United States Brent Oil Fund (BNO) ETF: annualized rolling and average returns

Swipe left to see all data
Rolling
Period
Return (*) Negative
Periods
Average (%) Best (%) Worst (%)
1 Year
8.70 158.18
Mar 1999 - Feb 2000
-66.00
May 2019 - Apr 2020
45.21%
2 Years
4.72 108.61
May 2020 - Apr 2022
-48.80
Mar 2014 - Feb 2016
46.79%
3 Years
2.92 44.89
May 2003 - Apr 2006
-35.91
Feb 2013 - Jan 2016
43.20%
5 Years
2.91 37.62
Jul 2003 - Jun 2008
-21.99
May 2015 - Apr 2020
40.28%
7 Years
2.98 28.59
Feb 1999 - Jan 2006
-21.59
May 2013 - Apr 2020
42.65%
10 Years
3.81 26.45
Jul 1998 - Jun 2008
-13.17
May 2010 - Apr 2020
42.47%
15 Years
5.08 18.55
Jan 1999 - Dec 2013
-6.57
Dec 1983 - Nov 1998
20.51%
20 Years
5.72 12.33
Jan 1994 - Dec 2013
-3.07
Jan 1982 - Dec 2001
10.71%
30 Years
3.82 6.02
Oct 1988 - Sep 2018
-0.63
Oct 1990 - Sep 2020
1.52%
(*) Annualized rolling and average returns over full calendar month periods

If you need a deeper detail about rolling returns, please refer to the United States Brent Oil Fund (BNO) ETF: Rolling Returns page.

Seasonality

United States Brent Oil Fund (BNO) ETF: in which months is it better to invest?

Both the Average Return and the Gain Frequency (Win %) are useful to get an idea of what happened in the past.

For further information about the seasonality, check the Asset Class Seasonality page.
Swipe left to see all data
Monthly Average Return (%) and Gain Frequency
Return (%) Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Average
Gain Frequency
5.31
80%
4.40
60%
-6.58
60%
2.74
80%
9.05
80%
4.90
80%
-0.01
60%
-2.46
40%
0.67
60%
-0.21
60%
-2.56
40%
5.77
80%
 Capital Growth on monthly avg returns
100
105.31
109.93
102.70
105.52
115.07
120.71
120.69
117.72
118.51
118.26
115.24
121.89
Best 15.7
2022
17.9
2021
10.2
2022
8.4
2018
39.3
2020
10.3
2020
4.9
2020
4.2
2018
10.4
2021
10.5
2022
25.7
2020
11.8
2021
Worst -12.8
2020
-11.0
2020
-51.2
2020
-11.0
2020
-13.2
2019
-3.5
2022
-6.1
2018
-7.9
2019
-8.8
2022
-11.0
2020
-21.1
2018
-8.3
2018
Monthly Seasonality over the period Dec 2017 - Nov 2022
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Monthly Average Return (%) and Gain Frequency
Return (%) Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Average
Gain Frequency
0.42
50%
3.95
70%
-4.39
40%
3.93
70%
4.37
60%
2.06
60%
-2.53
50%
0.13
60%
-0.62
50%
-0.61
60%
-3.31
50%
0.44
70%
 Capital Growth on monthly avg returns
100
100.42
104.39
99.80
103.72
108.25
110.49
107.69
107.83
107.16
106.51
102.98
103.44
Best 15.7
2022
17.9
2021
10.2
2022
18.5
2015
39.3
2020
10.3
2020
7.3
2017
7.5
2016
10.4
2021
10.5
2022
25.7
2020
11.8
2021
Worst -12.8
2020
-11.0
2020
-51.2
2020
-11.0
2020
-13.2
2019
-4.2
2015
-19.0
2015
-7.9
2019
-10.6
2015
-11.0
2020
-21.1
2018
-18.8
2014
Monthly Seasonality over the period Dec 2012 - Nov 2022
Swipe left to see all data
Monthly Average Return (%) and Gain Frequency
Return (%) Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Average
Gain Frequency
0.09
54%
0.76
59%
0.76
54%
3.19
66%
1.83
49%
0.60
51%
0.45
59%
2.51
56%
1.78
56%
-1.69
51%
-2.10
46%
-0.49
53%
 Capital Growth on monthly avg returns
100
100.09
100.85
101.61
104.85
106.78
107.42
107.91
110.62
112.59
110.69
108.37
107.84
Best 15.9
1987
17.9
2021
40.1
1999
18.5
2015
39.3
2020
17.5
1999
22.9
1990
41.4
1986
46.2
1990
14.5
2007
25.7
2020
13.9
2002
Worst -29.0
1991
-22.7
1986
-51.2
2020
-12.9
2003
-14.6
2010
-16.9
1986
-19.8
1986
-12.6
1994
-16.2
1988
-33.5
2008
-21.1
2018
-25.1
2000
Monthly Seasonality over the period Jan 1982 - Nov 2022

Monthly/Yearly Returns

United States Brent Oil Fund (BNO) ETF data source starts from January 1982: let's focus on monthly and yearly returns.

We are providing two different views:
  • Histogram: it shows the distribution of the returns recorded so far
  • Plain Table: it shows the detailed monthly and yearly returns
MONTHLY RETURNS HISTOGRAM
Jan 1982 - Nov 2022
267 Positive Months (54%) - 224 Negative Months (46%)
MONTHLY RETURNS TABLE
Jan 1982 - Nov 2022
(Scroll down to see all data)
Swipe left to see all data
Yearly Return(%)
Monthly Return(%)
Year Total Infl.Adj Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
2022
+37.11 +28.27 15.7 12.2 10.2 2.1 11.1 -3.5 -1.1 -7.5 -8.8 10.5 -5.0
2021
+62.34 +51.67 6.7 17.9 -2.0 6.8 3.8 9.3 1.4 -4.2 10.4 7.8 -16.0 11.8
2020
-38.23 -39.06 -12.8 -11.0 -51.2 -11.0 39.3 10.3 4.9 3.1 -8.7 -11.0 25.7 8.1
2019
+36.01 +32.97 12.8 8.7 2.3 7.4 -13.2 5.9 0.9 -7.9 3.0 0.8 3.6 10.0
2018
-15.30 -16.89 4.1 -5.8 7.8 8.4 4.2 2.5 -6.1 4.2 7.5 -9.1 -21.1 -8.3
2017
+15.43 +13.05 -2.8 0.9 -5.6 -4.3 -2.6 -4.0 7.3 0.7 7.9 7.8 3.2 7.2
2016
+28.10 +25.50 -7.4 0.3 7.8 18.3 3.7 -1.1 -13.8 7.5 5.1 -4.3 4.1 8.6
2015
-46.08 -46.47 -11.8 16.5 -12.2 18.5 -3.1 -4.2 -19.0 1.8 -10.6 0.4 -11.3 -17.4
2014
-49.03 -49.42 -5.3 2.9 -0.8 0.5 1.6 3.3 -5.9 -3.2 -8.6 -9.9 -17.9 -18.8
2013
+8.54 +6.94 5.0 -3.1 -0.3 -7.4 -1.2 2.1 6.1 6.8 -3.5 1.0 1.5 2.3
2012
+9.95 +8.07 3.6 11.0 0.5 -2.4 -14.6 -3.8 7.0 11.5 -1.9 -2.6 3.2 0.9
2011
+19.52 +16.08 7.3 10.9 4.7 7.6 -7.4 -3.6 4.3 -1.8 -11.6 10.9 1.9 -2.4
2010
+21.58 +19.79 -8.3 8.6 6.6 5.7 -14.6 0.5 4.2 -4.5 10.3 1.0 3.3 10.3
2009
+70.94 +66.41 0.6 1.0 6.2 3.2 29.0 5.8 3.5 -2.9 -0.8 8.9 4.3 -0.7
2008
-51.42 -51.47 -1.7 8.6 0.2 11.0 14.7 9.4 -11.3 -8.0 -13.9 -33.5 -18.1 -14.8
2007
+54.21 +48.16 -5.7 7.8 10.0 -0.7 0.6 5.0 7.9 -5.7 8.9 14.5 -2.6 6.3
2006
+3.19 +0.63 11.9 -6.4 6.7 9.3 -2.2 4.4 2.2 -6.5 -11.1 -5.5 8.9 -5.3
2005
+45.77 +40.96 13.5 9.0 8.4 -5.9 -0.7 9.6 6.8 12.9 -5.3 -8.5 -5.2 7.1
2004
+34.11 +29.88 -3.3 10.5 -2.2 9.4 7.5 -7.0 16.0 -1.0 17.1 5.6 -7.1 -11.1
2003
+5.27 +3.33 8.5 5.4 -17.1 -12.9 11.1 7.6 0.1 3.9 -6.4 0.3 2.7 6.0
2002
+44.02 +40.68 -3.6 11.2 19.8 3.6 -7.6 4.6 -0.5 8.0 4.7 -10.5 -2.2 13.9
2001
-16.63 -17.91 11.7 -4.1 -3.2 12.7 5.2 -11.1 -5.3 7.0 -11.9 -12.4 -6.0 4.0
2000
-7.23 -10.27 0.9 8.2 -11.8 -3.6 18.5 8.0 -11.9 17.8 -5.9 3.1 3.6 -25.1
1999
+144.35 +137.96 7.8 -4.1 40.1 8.7 -10.1 17.5 10.6 10.1 10.5 -8.0 9.0 8.8
1998
-36.26 -37.27 -3.4 -11.2 0.6 1.4 -0.6 -6.9 -2.2 -7.7 21.5 -9.9 -20.9 0.7
1997
-30.62 -31.78 -5.4 -16.3 -1.2 -0.5 4.8 -4.6 2.3 -2.3 7.5 0.6 -5.4 -12.8
1996
+29.90 +25.72 -9.9 7.5 9.3 -2.0 -6.4 6.2 -0.1 9.9 11.7 -2.3 0.4 4.6
1995
+11.09 +8.34 1.8 0.4 3.7 8.9 -7.1 -7.5 -2.3 1.5 -0.8 1.3 4.3 7.6
1994
+25.00 +21.74 7.7 -6.1 -0.7 18.4 4.8 6.5 6.1 -12.6 5.6 -1.3 1.1 -3.6
1993
-27.83 -29.76 1.0 2.4 -0.1 1.3 -3.4 -5.4 -4.3 2.0 2.0 -9.4 -8.1 -9.1
1992
+3.86 +0.93 3.1 -3.3 3.4 8.4 5.7 -1.8 0.3 -3.3 2.7 -4.4 -3.1 -2.9
1991
-37.71 -39.56 -29.0 -6.9 -3.6 7.9 -1.1 -2.6 5.4 4.9 2.3 4.4 -8.9 -12.5
1990
+39.40 +31.38 -1.1 -2.9 -5.6 -6.9 -5.1 -0.6 22.9 34.8 46.2 -12.0 -15.1 -3.2
1989
+30.67 +24.87 2.5 3.1 19.2 -3.1 -6.3 -1.5 -5.5 4.4 5.3 2.6 -0.8 9.7
1988
-13.54 -17.20 -9.5 -9.5 7.1 7.0 -4.2 -8.0 5.7 -7.0 -16.2 4.1 10.3 10.5
1987
+12.96 +8.17 15.9 -6.1 3.5 2.6 2.3 0.9 5.5 -6.8 -0.3 1.1 -5.9 1.4
1986
-40.08 -40.73 -15.6 -22.7 -20.5 -9.3 14.2 -16.9 -19.8 41.4 5.6 -2.6 5.5 9.1
1985
-1.52 -5.13 0.0 5.2 -0.6 -0.7 -4.4 -1.0 1.8 1.6 1.3 3.1 4.1 -10.9
1984
-6.04 -9.61 2.6 1.1 0.9 0.1 -1.0 -2.5 -4.0 1.3 0.1 -1.0 -1.1 -2.5
1983
-9.25 -12.56 -1.0 -7.4 -3.4 5.0 0.7 1.7 2.2 1.6 -2.7 -2.2 -2.5 -1.1
1982
-14.92 -18.06 -3.6 -13.1 -5.7 7.1 9.0 1.1 -3.8 -2.6 4.7 1.8 -2.5 -6.0

ETF Returns, up to December 2010, are simulated. They have been calculated using the historical series of equivalent ETFs / Assets.

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