Data Source: from May 1990 to November 2022 (~33 years)
Consolidated Returns as of 30 November 2022
Live Update: Dec 07 2022, 10:00AM Eastern Time
Category: Commodities
ETF: United States Natural Gas Fund (UNG)
ETF • LIVE PERFORMANCE (USD currency)
3.54%
1 Day
Dec 07 2022, 10:00AM Eastern Time
20.03%
Current Month
December 2022

In the last 30 Years, the United States Natural Gas Fund (UNG) ETF obtained a -8.68% compound annual return, with a 53.02% standard deviation.

The ETF is related to the following investment themes:

  • Asset Class: Commodity
  • Commodity: Natural Gas

Historical Returns as of Nov 30, 2022

Historical returns and Metrics of United States Natural Gas Fund (UNG) ETF.

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

ETF Returns, up to December 2007, are retrieved using the historical series of equivalent ETFs / Assets.
UNITED STATES NATURAL GAS FUND (UNG) ETF
Portfolio Metrics
Data Source: 1 May 1990 - 30 November 2022 (~33 years)
Swipe left to see all data
Metrics as of Nov 30, 2022
1M 3M 6M 1Y 3Y 5Y 10Y 20Y 30Y MAX
(~33Y)
Portfolio
Return (%)
4.12 -32.95 -23.97 40.72 5.97 -2.59 -12.60 -15.72 -8.68 -7.21
US Inflation (%) 0.00 0.62 1.96 7.22 5.03 3.85 2.61 2.52 2.50 2.61
Infl. Adjusted
Return (%)
4.12 -33.37 -25.43 31.24 0.90 -6.21 -14.82 -17.79 -10.91 -9.56
Waiting for updates, inflation of Nov 2022 is temporarily set to 0%. Returns / Inflation rates over 1 year are annualized.
RISK INDICATORS
Standard Deviation (%) 86.24 66.30 57.81 47.35 50.05 53.02 52.99
Sharpe Ratio 0.46 0.08 -0.06 -0.28 -0.34 -0.20 -0.21
Sortino Ratio 0.67 0.13 -0.10 -0.43 -0.52 -0.31 -0.32
MAXIMUM DRAWDOWN
Drawdown Depth (%) -35.61 -48.40 -75.35 -91.34 -99.57 -99.57 -99.57
Start (yyyy mm) 2022 09 2019 12 2018 12 2014 05 2005 10 2005 10 2005 10
Bottom (yyyy mm) 2022 10 2020 12 2020 12 2020 12 2020 12 2020 12 2020 12
Start to Bottom (# months) 2 13 25 80 183 183 183
Start to Recovery (# months) in progress
> 3
22
> 48
> 103
> 206
> 206
> 206
ROLLING PERIOD RETURNS - Annualized
Best Return (%) 325.00 62.83 30.14 23.04 0.95 -7.00
Worst Return (%) -77.97 -55.60 -48.11 -35.87 -22.52 -11.24
% Positive Periods 46% 44% 45% 41% 1% 0%
MONTHS
Positive 1 1 3 7 19 31 54 110 174 191
Negative 0 2 3 5 17 29 66 130 186 200
% Positive 100% 33% 50% 58% 53% 52% 45% 46% 48% 49%
WITHDRAWAL RATES (WR)
Safe WR (%) 21.88 11.76 2.57 0.24 0.37 0.46
Perpetual WR (%) 0.89 0.00 0.00 0.00 0.00 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 Natural Gas Fund (UNG) 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 NATURAL GAS FUND (UNG) ETF
Monthly correlations as of 30 November 2022
Swipe left to see all data
Correlation vs UNG
 
Asset Class 1 Year 5 Years 10 Years 30 Years Since
Jan 1992
US Total Stock Market
VTI
0.26
0.16
0.13
0.07
0.07
US Large Cap
SPY
0.27
0.17
0.13
0.07
0.07
US Small Cap
IJR
0.16
0.12
0.10
0.07
0.07
US REITs
VNQ
0.27
0.17
0.14
0.07
0.08
US Technology
QQQ
0.32
0.15
0.10
0.03
0.03
Preferred Stocks
PFF
0.29
0.09
0.09
0.06
0.07
EAFE Stocks
EFA
0.21
0.09
0.09
0.13
0.13
World All Countries
VT
0.26
0.14
0.12
0.10
0.10
Emerging Markets
EEM
0.21
0.11
0.09
0.08
0.08
Europe
VGK
0.20
0.05
0.08
0.09
0.09
Pacific
VPL
0.23
0.15
0.10
0.13
0.13
Latin America
FLLA
0.35
0.03
0.07
0.05
0.04
US Total Bond Market
BND
0.19
-0.08
-0.03
0.10
0.11
Long Term Treasuries
TLT
0.09
-0.17
-0.11
0.05
0.06
US Cash
BIL
-0.30
-0.15
-0.05
0.09
0.10
TIPS
TIP
0.36
0.08
0.11
0.19
0.20
Invest. Grade Bonds
LQD
0.21
-0.06
-0.01
0.08
0.08
High Yield Bonds
HYG
0.32
0.14
0.15
0.06
0.06
International Bonds
BNDX
0.25
-0.07
-0.04
0.09
0.09
Emerg. Market Bonds
EMB
0.24
0.01
0.04
0.07
0.07
Gold
GLD
-0.19
-0.17
-0.09
0.05
0.05
Commodities
DBC
0.40
0.20
0.24
0.45
0.45

Capital Growth as of Nov 30, 2022

An investment of 1000$, since December 1992, now would be worth 65.59$, with a total return of -93.44% (-8.68% annualized).

The Inflation Adjusted Capital now would be 31.25$, with a net total return of -96.87% (-10.91% annualized).
An investment of 1000$, since May 1990, now would be worth 87.46$, with a total return of -91.25% (-7.21% annualized).

The Inflation Adjusted Capital now would be 37.83$, with a net total return of -96.22% (-9.56% 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
-99.57% Oct 2005 Dec 2020 183 in progress 23 206
-78.13% Jan 2001 Jan 2002 13 Aug 2005 43 56
-57.82% Dec 1996 Feb 1999 27 May 2000 15 42
-46.99% Feb 1994 Jan 1995 12 Dec 1995 11 23
-36.14% Jul 1996 Aug 1996 2 Nov 1996 3 5
-23.48% Dec 1992 Jan 1993 2 Apr 1993 3 5
-16.33% Feb 1996 Apr 1996 3 Jun 1996 2 5
-15.68% Jul 2000 Jul 2000 1 Aug 2000 1 2
-13.42% Oct 2000 Oct 2000 1 Nov 2000 1 2
-13.26% Sep 1993 Dec 1993 4 Jan 1994 1 5
-7.78% May 1993 Jun 1993 2 Aug 1993 2 4

Worst drawdowns since May 1990.

Swipe left to see all data
Drawdown period
Recovery period
Total
Drawdown Start Bottom #Months End #Months #Months
-99.57% Oct 2005 Dec 2020 183 in progress 23 206
-78.13% Jan 2001 Jan 2002 13 Aug 2005 43 56
-57.82% Dec 1996 Feb 1999 27 May 2000 15 42
-52.11% Dec 1990 Feb 1992 15 Sep 1992 7 22
-46.99% Feb 1994 Jan 1995 12 Dec 1995 11 23
-36.50% Oct 1992 Jan 1993 4 Jan 1994 12 16
-36.14% Jul 1996 Aug 1996 2 Nov 1996 3 5
-16.33% Feb 1996 Apr 1996 3 Jun 1996 2 5
-15.68% Jul 2000 Jul 2000 1 Aug 2000 1 2
-13.42% Oct 2000 Oct 2000 1 Nov 2000 1 2
-11.26% Jun 1990 Jul 1990 2 Sep 1990 2 4

Rolling Returns ( more details)

United States Natural Gas Fund (UNG) ETF: annualized rolling and average returns

Swipe left to see all data
Rolling
Period
Return (*) Negative
Periods
Average (%) Best (%) Worst (%)
1 Year
2.37 325.00
Jan 2000 - Dec 2000
-77.97
Jul 2008 - Jun 2009
53.68%
2 Years
-3.85 124.18
Jan 1999 - Dec 2000
-64.92
Jul 2008 - Jun 2010
57.07%
3 Years
-6.14 62.83
Jan 1998 - Dec 2000
-55.60
Jul 2008 - Jun 2011
55.90%
5 Years
-7.07 30.14
Jan 1996 - Dec 2000
-48.11
Jul 2008 - Jun 2013
54.52%
7 Years
-7.79 30.79
Sep 1998 - Aug 2005
-40.33
Jul 2008 - Jun 2015
54.22%
10 Years
-8.15 23.04
Oct 1995 - Sep 2005
-35.87
Jul 2008 - Jun 2018
58.82%
15 Years
-9.16 14.53
Sep 1990 - Aug 2005
-29.50
Jan 2006 - Dec 2020
71.23%
20 Years
-10.09 0.95
Aug 1990 - Jul 2010
-22.52
Jan 2001 - Dec 2020
98.68%
30 Years
-8.99 -7.00
May 1992 - Apr 2022
-11.24
Dec 1990 - Nov 2020
100.00%
(*) 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 Natural Gas Fund (UNG) ETF: Rolling Returns page.

Seasonality

United States Natural Gas Fund (UNG) 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
6.71
80%
-4.34
20%
2.49
40%
7.70
80%
-0.74
60%
-4.64
20%
9.95
60%
13.29
100%
-1.87
60%
0.47
60%
-1.11
40%
-14.65
0%
 Capital Growth on monthly avg returns
100
106.71
102.08
104.62
112.67
111.84
106.65
117.25
132.83
130.35
130.96
129.51
110.53
Best 36.2
2022
9.7
2021
27.6
2022
26.8
2022
11.6
2022
24.3
2021
50.6
2022
37.8
2020
31.6
2021
11.7
2020
39.8
2018
-3.6
2017
Worst -14.8
2020
-11.2
2018
-7.2
2021
-4.9
2019
-15.6
2020
-31.9
2022
-3.8
2018
1.7
2019
-26.1
2022
-12.8
2022
-18.3
2021
-33.8
2018
Monthly Seasonality over the period Dec 2017 - 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
2.43
50%
-5.74
40%
4.24
50%
6.02
90%
-3.15
30%
-0.79
30%
1.99
30%
7.84
80%
-2.53
30%
-3.66
30%
0.15
60%
-9.28
20%
 Capital Growth on monthly avg returns
100
102.43
96.55
100.64
106.70
103.34
102.51
104.56
112.76
109.90
105.88
106.04
96.20
Best 36.2
2022
9.7
2021
27.6
2022
26.8
2022
11.6
2022
25.4
2016
50.6
2022
37.8
2020
31.6
2021
11.7
2020
39.8
2018
10.8
2016
Worst -15.8
2017
-29.1
2016
-7.2
2021
-4.9
2019
-15.6
2020
-31.9
2022
-14.2
2014
-2.6
2015
-26.1
2022
-15.5
2015
-18.3
2021
-33.8
2018
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
-3.36
41%
-2.44
41%
3.62
63%
2.92
66%
1.24
52%
-0.66
39%
-0.71
42%
2.03
58%
6.60
58%
3.87
58%
-1.46
42%
-5.56
28%
 Capital Growth on monthly avg returns
100
96.64
94.28
97.70
100.55
101.80
101.13
100.41
102.44
109.21
113.43
111.77
105.56
Best 36.2
2022
44.5
2003
34.9
2002
26.8
2022
38.7
2000
25.4
2016
50.6
2022
45.5
2005
38.9
1998
46.7
2001
46.7
2000
48.4
2000
Worst -41.6
2001
-29.1
2016
-37.5
2003
-14.0
2005
-16.6
2001
-31.9
2022
-32.3
2008
-27.8
2001
-26.1
2022
-15.5
2015
-29.6
1997
-35.7
1991
Monthly Seasonality over the period May 1990 - Nov 2022

Monthly/Yearly Returns

United States Natural Gas Fund (UNG) ETF data source starts from May 1990: 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
May 1990 - Nov 2022
191 Positive Months (49%) - 200 Negative Months (51%)
MONTHLY RETURNS TABLE
May 1990 - 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
+69.90 +58.94 36.2 -9.1 27.6 26.8 11.6 -31.9 50.6 10.6 -26.1 -12.8 4.1
2021
+35.76 +26.84 2.3 9.7 -7.2 9.7 0.1 24.3 5.2 11.3 31.6 -8.4 -18.3 -17.2
2020
-45.43 -46.17 -14.8 -8.8 -4.2 6.9 -15.6 -9.4 0.0 37.8 -19.3 11.7 -16.8 -13.2
2019
-31.77 -33.30 2.3 -2.2 -5.1 -4.9 -5.7 -5.5 -2.3 1.7 0.8 4.4 -14.3 -5.4
2018
+5.96 +3.98 7.6 -11.2 1.3 0.0 5.9 -0.8 -3.8 5.0 3.7 7.5 39.8 -33.8
2017
-37.58 -38.87 -15.8 -14.9 13.2 0.0 -8.6 -2.0 -6.8 6.2 -2.1 -9.0 1.2 -3.6
2016
+7.73 +5.54 -2.1 -29.1 10.6 4.1 -0.6 25.4 -1.0 -1.2 -1.1 -3.4 4.3 10.8
2015
-41.30 -41.72 -7.4 0.5 -3.6 1.7 -4.4 5.4 -3.8 -2.6 -8.6 -15.5 -11.1 -0.6
2014
-28.61 -29.15 16.9 5.5 -4.3 8.7 -5.1 -2.4 -14.2 5.5 -0.7 -8.3 4.8 -30.5
2013
+9.47 +7.85 -0.7 2.2 14.1 7.3 -9.2 -11.1 -3.9 4.1 -3.5 -2.8 7.8 8.0
2012
-26.86 -28.11 -18.7 -2.0 -22.6 3.1 2.3 14.9 14.3 -14.6 13.4 1.9 -6.2 -7.3
2011
-46.08 -47.63 0.0 -10.0 6.7 4.9 -2.2 -6.5 -4.7 -2.7 -11.8 0.0 -12.7 -17.9
2010
-40.58 -41.45 -7.6 -6.6 -20.6 -0.7 8.3 4.3 6.6 -22.8 -3.3 -5.7 -0.7 3.6
2009
-56.50 -57.65 -21.8 -4.5 -12.2 -13.6 11.2 -5.0 -7.2 -16.7 9.5 -12.5 -10.9 10.2
2008
-36.08 -36.14 8.4 16.0 6.4 7.8 6.4 13.2 -32.3 -13.7 -9.4 -13.3 -6.7 -14.0
2007
+18.80 +14.14 21.7 -4.8 5.9 1.7 0.9 -14.6 -8.6 -11.7 25.6 21.3 -12.3 2.5
2006
-43.88 -45.27 -17.0 -27.9 7.4 -9.1 -2.6 -4.4 34.5 -26.3 -7.1 34.1 17.4 -28.8
2005
+86.46 +80.30 5.0 6.5 13.7 -14.0 -3.1 9.4 12.9 45.5 21.3 -12.3 3.1 -10.8
2004
-2.59 -5.66 -12.7 0.4 9.5 -1.2 10.0 -4.6 -0.7 -17.0 33.9 28.4 -12.7 -21.0
2003
+29.05 +26.67 17.0 44.5 -37.5 6.4 16.1 -13.4 -12.8 0.3 2.1 1.3 -0.7 27.2
2002
+86.34 +82.02 -16.8 10.2 34.9 19.3 -15.2 0.9 -9.0 11.6 25.5 0.4 0.8 14.3
2001
-73.71 -74.11 -41.6 -8.3 -4.0 -6.6 -16.6 -20.9 6.5 -27.8 -5.7 46.7 -17.9 -4.9
2000
+325.00 +311.08 15.7 3.7 6.7 6.7 38.7 2.8 -15.7 26.7 8.4 -13.4 46.7 48.4
1999
+18.25 +15.16 -8.6 -8.4 23.6 11.9 1.6 4.5 6.2 11.1 -2.9 7.9 -22.2 -0.2
1998
-14.09 -15.45 -0.3 2.8 8.7 -11.9 -2.3 13.8 -25.3 -5.0 38.9 -6.5 -13.1 -1.6
1997
-17.88 -19.26 -13.5 -23.6 5.8 13.4 2.5 -4.5 1.8 24.7 13.6 15.2 -29.6 -9.4
1996
+5.27 +1.88 1.5 -15.9 4.5 -4.8 8.2 21.0 -25.7 -14.1 19.1 23.2 41.5 -28.6
1995
+55.34 +51.49 -19.7 5.6 17.8 -1.4 3.4 -10.9 5.5 8.3 0.1 6.6 8.1 29.8
1994
-18.16 -20.29 24.0 -13.5 -6.0 -0.4 -7.3 13.9 -13.3 -16.2 4.5 17.7 -13.1 -0.5
1993
+22.11 +18.84 -5.3 16.2 11.5 14.3 -0.6 -7.2 1.8 7.0 -3.5 3.4 -5.3 -8.2
1992
+25.61 +22.07 -12.1 -0.8 15.9 4.8 14.3 -6.6 24.6 11.6 19.1 -8.7 -9.1 -19.2
1991
-31.13 -33.18 -29.2 -0.5 -2.4 2.6 -3.1 -9.4 4.3 24.1 22.8 6.6 2.2 -35.7
1990
- - 1.6 -4.5 -7.1 6.3 29.0 22.0 3.6 -20.2

ETF Returns, up to December 2007, are simulated. They have been calculated using the historical series of equivalent ETFs / Assets.

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