DataGridView sort and e.g. BindingList<T> in .NET

I'm using a BindingList<T> in my Windows Forms that contains a list of "IComparable<Contact>" Contact-objects. Now I'd like the user to be able to sort by any column displayed in the grid.

There is a way described on MSDN online which shows how to implement a custom collection based on BindingList<T> which allows sorting. But isn't there a Sort-event or something that could be caught in the DataGridView (or, even nicer, on the BindingSource) to sort the underlying collection using custom code?

I don't really like the way described by MSDN. The other way I could easily apply a LINQ query to the collection.