PJAN vs. UNG
PJAN (Innovator U.S. Equity Power Buffer ETF - January) and UNG (United States Natural Gas Fund LP) are both exchange-traded funds - PJAN is a Defined Outcome fund tracking the Cboe S&P 500 15% Buffer Protect January Series Index, while UNG is a Oil & Gas fund tracking the Front Month Natural Gas. Both are passively managed. Over the past 5 years, PJAN returned 8.76%/yr vs -24.47%/yr for UNG. At a 0.05 correlation, their price movements are largely independent. PJAN charges 0.79%/yr vs 1.28%/yr for UNG.
Performance
PJAN vs. UNG - Performance Comparison
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Returns By Period
In the year-to-date period, PJAN achieves a 4.83% return, which is significantly higher than UNG's -7.42% return.
PJAN
- 1D
- 0.41%
- 1M
- 0.16%
- YTD
- 4.83%
- 6M
- 5.48%
- 1Y
- 14.36%
- 3Y*
- 12.39%
- 5Y*
- 8.76%
- 10Y*
- —
UNG
- 1D
- 1.70%
- 1M
- 1.70%
- YTD
- -7.42%
- 6M
- -10.84%
- 1Y
- -30.62%
- 3Y*
- -23.83%
- 5Y*
- -24.47%
- 10Y*
- -21.38%
PJAN vs. UNG - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | |
|---|---|---|---|---|---|---|---|---|
PJAN Innovator U.S. Equity Power Buffer ETF - January | 4.83% | 11.29% | 13.45% | 18.18% | -5.29% | 8.80% | 7.68% | 12.97% |
UNG United States Natural Gas Fund LP | -7.42% | -27.07% | -17.11% | -64.04% | 12.89% | 35.76% | -45.43% | -31.77% |
Correlation
The correlation between PJAN and UNG is -0.24, meaning they tend to move in opposite directions. This is especially valuable for risk management - when one declines, the other has historically tended to hold steady or rise.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | -0.24 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.06 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.05 |
Correlation (All Time) Calculated using the full available price history since Jan 2, 2019 | 0.05 |
The correlation between PJAN and UNG shifts across timeframes, from -0.24 (1 year) to 0.05 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
PJAN vs. UNG — Risk / Return Rank
PJAN
UNG
PJAN vs. UNG - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Innovator U.S. Equity Power Buffer ETF - January (PJAN) 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| PJAN | UNG | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +2.81 | ||
| Sortino ratioReturn per unit of downside risk | +3.76 | ||
| Omega ratioGain probability vs. loss probability | 1.48 | 0.95 | +0.53 |
| Calmar ratioReturn relative to maximum drawdown | 2.97 | -0.67 | +3.64 |
| Martin ratioReturn relative to average drawdown | 15.67 | -0.97 | +16.65 |
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Drawdowns
PJAN vs. UNG - Drawdown Comparison
The maximum PJAN drawdown since its inception was -21.25%, smaller than the maximum UNG drawdown of -99.88%. Use the drawdown chart below to compare losses from any high point for PJAN and UNG.
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Drawdown Indicators
| PJAN | UNG | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -21.25% | -99.88% | +78.63% |
Max Drawdown (1Y)Largest decline over 1 year | -4.63% | -43.86% | +39.23% |
Max Drawdown (3Y)Largest decline over 3 years | -10.49% | -68.16% | +57.67% |
Max Drawdown (5Y)Largest decline over 5 years | -11.93% | -92.49% | +80.56% |
Max Drawdown (10Y)Largest decline over 10 years | — | -93.55% | — |
Current DrawdownCurrent decline from peak | -0.54% | -99.86% | +99.32% |
Average DrawdownAverage peak-to-trough decline | -1.72% | -89.96% | +88.24% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.88% | 30.28% | -29.40% |
Volatility
PJAN vs. UNG - Volatility Comparison
The current volatility for Innovator U.S. Equity Power Buffer ETF - January (PJAN) is 1.64%, while United States Natural Gas Fund LP (UNG) has a volatility of 12.64%. This indicates that PJAN 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.
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Volatility by Period
| PJAN | UNG | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.64% | 12.64% | -11.00% |
Volatility (6M)Calculated over the trailing 6-month period | 4.89% | 52.01% | -47.12% |
Volatility (1Y)Calculated over the trailing 1-year period | 5.91% | 60.61% | -54.70% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 8.94% | 64.11% | -55.17% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 10.59% | 54.77% | -44.18% |
PJAN vs. UNG - Expense Ratio Comparison
PJAN has a 0.79% expense ratio, which is lower than UNG's 1.28% expense ratio.
Dividends
PJAN vs. UNG - Dividend Comparison
Neither PJAN nor UNG has paid dividends to shareholders.
Frequently Asked Questions
PJAN and UNG have a correlation of -0.24, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
UNG has higher volatility (12.64%) compared to PJAN (1.64%). In terms of maximum drawdown, PJAN dropped -21.25% vs UNG's -99.88%.
On 5-year performance, PJAN leads with 8.76% vs -24.47% for UNG. On fees, PJAN is cheaper at 0.79% per year. On volatility, PJAN has been the lower-risk option at 1.64%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 5-year period, PJAN has performed better with a 8.76% return vs -24.47%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
PJAN is cheaper with a 0.79% expense ratio, compared with 1.28% for UNG.
PJAN and UNG have nearly identical dividend yields, around 0.00%.
PJAN is categorized as Defined Outcome, while UNG is Oil & Gas. PJAN tracks Cboe S&P 500 15% Buffer Protect January Series Index, while UNG tracks Front Month Natural Gas. They also come from different issuers: Innovator and Concierge Technologies. Their fees differ too: 0.79% for PJAN and 1.28% for UNG.
PJAN currently has the higher Sharpe Ratio (2.33 vs -0.49), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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