PortfoliosLab logo
Tools
Performance Analysis
Risk Analysis
Optimization
Factor Model
See All Tools
Portfolio Analysis
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
BNO vs. UNG
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


BNOUNG
YTD Return15.23%-29.24%
1Y Return20.62%-47.47%
3Y Return (Ann)24.66%-28.15%
5Y Return (Ann)10.39%-31.38%
10Y Return (Ann)-3.11%-28.34%
Sharpe Ratio0.76-0.89
Daily Std Dev28.31%55.53%
Max Drawdown-87.06%-99.82%
Current Drawdown-32.25%-99.82%

Correlation

0.11
-1.001.00

The correlation between BNO and UNG is 0.11, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.

Performance

BNO vs. UNG - Performance Comparison

In the year-to-date period, BNO achieves a 15.23% return, which is significantly higher than UNG's -29.24% return. Over the past 10 years, BNO has outperformed UNG with an annualized return of -3.11%, while UNG has yielded a comparatively lower -28.34% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-100.00%-80.00%-60.00%-40.00%-20.00%0.00%20.00%OctoberNovemberDecember2024FebruaryMarch
22.98%
-98.52%
BNO
UNG

Compare stocks, funds, or ETFs


United States Brent Oil Fund LP

United States Natural Gas Fund LP

BNO vs. UNG - Expense Ratio Comparison

BNO has a 0.90% expense ratio, which is lower than UNG's 1.28% expense ratio.

UNG
United States Natural Gas Fund LP
0.50%1.00%1.50%2.00%1.28%
0.50%1.00%1.50%2.00%0.90%

Risk-Adjusted Performance

BNO vs. UNG - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for United States Brent Oil Fund LP (BNO) and United States Natural Gas Fund LP (UNG). 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.


Sharpe ratioSortino ratioOmega ratioCalmar ratioUlcer Index
BNO
United States Brent Oil Fund LP
0.76
UNG
United States Natural Gas Fund LP
-0.89

BNO vs. UNG - Sharpe Ratio Comparison

The current BNO Sharpe Ratio is 0.76, which is higher than the UNG Sharpe Ratio of -0.89. The chart below compares the 12-month rolling Sharpe Ratio of BNO and UNG.


Rolling 12-month Sharpe Ratio-1.00-0.500.000.501.00OctoberNovemberDecember2024FebruaryMarch
0.76
-0.89
BNO
UNG

Dividends

BNO vs. UNG - Dividend Comparison

Neither BNO nor UNG has paid dividends to shareholders.


Tickers have no history of dividend payments

Drawdowns

BNO vs. UNG - Drawdown Comparison

The maximum BNO drawdown since its inception was -87.06%, smaller than the maximum UNG drawdown of -99.82%. The drawdown chart below compares losses from any high point along the way for BNO and UNG


-100.00%-90.00%-80.00%-70.00%-60.00%-50.00%-40.00%-30.00%OctoberNovemberDecember2024FebruaryMarch
-32.25%
-98.73%
BNO
UNG

Volatility

BNO vs. UNG - Volatility Comparison

The current volatility for United States Brent Oil Fund LP (BNO) is 4.80%, while United States Natural Gas Fund LP (UNG) has a volatility of 13.39%. This indicates that BNO experiences smaller price fluctuations and is considered to be less risky than UNG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


5.00%10.00%15.00%20.00%25.00%OctoberNovemberDecember2024FebruaryMarch
4.80%
13.39%
BNO
UNG