UNG vs. ^GSPC
UNG (United States Natural Gas Fund LP) is Oil & Gas fund tracking the Front Month Natural Gas, while ^GSPC (S&P 500 Index) is an index. Over the past 10 years, UNG returned -21.26%/yr vs 13.45%/yr for ^GSPC. At a 0.05 correlation, their price movements are largely independent.
Performance
UNG vs. ^GSPC - Performance Comparison
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Returns By Period
In the year-to-date period, UNG achieves a -7.26% return, which is significantly lower than ^GSPC's 8.18% return. Over the past 10 years, UNG has underperformed ^GSPC with an annualized return of -21.26%, while ^GSPC has yielded a comparatively higher 13.45% annualized return.
UNG
- 1D
- -2.57%
- 1M
- 7.57%
- YTD
- -7.26%
- 6M
- -24.55%
- 1Y
- -33.82%
- 3Y*
- -22.97%
- 5Y*
- -23.84%
- 10Y*
- -21.26%
^GSPC
- 1D
- 0.30%
- 1M
- 0.09%
- YTD
- 8.18%
- 6M
- 8.17%
- 1Y
- 23.42%
- 3Y*
- 19.88%
- 5Y*
- 11.91%
- 10Y*
- 13.45%
UNG vs. ^GSPC - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
UNG United States Natural Gas Fund LP | -7.26% | -27.07% | -17.11% | -64.04% | 12.89% | 35.76% | -45.43% | -31.77% | 5.96% | -37.58% |
^GSPC S&P 500 Index | 8.18% | 16.39% | 23.31% | 24.23% | -19.44% | 26.89% | 16.26% | 28.88% | -6.24% | 19.42% |
Correlation
The correlation between UNG and ^GSPC is -0.19, 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 | -0.19 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.03 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.07 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.06 |
Correlation (All Time) Calculated using the full available price history since Apr 19, 2007 | 0.05 |
The correlation between UNG and ^GSPC shifts across timeframes, from -0.19 (1 year) to 0.07 (5 years), reflecting how their relationship changes across market environments.
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Return for Risk
UNG vs. ^GSPC — Risk / Return Rank
UNG
^GSPC
UNG vs. ^GSPC - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for United States Natural Gas Fund LP (UNG) and S&P 500 Index (^GSPC). 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.
| UNG | ^GSPC | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -2.50 | ||
| Sortino ratioReturn per unit of downside risk | -3.13 | ||
| Omega ratioGain probability vs. loss probability | 0.94 | 1.35 | -0.42 |
| Calmar ratioReturn relative to maximum drawdown | -0.77 | 2.59 | -3.36 |
| Martin ratioReturn relative to average drawdown | -1.13 | 11.84 | -12.98 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| UNG | ^GSPC | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | -0.56 | 1.94 | -2.50 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | -0.37 | 0.71 | -1.08 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | -0.39 | 0.75 | -1.14 |
Sharpe Ratio (All Time)Calculated using the full available price history | -0.57 | 0.47 | -1.04 |
Drawdowns
UNG vs. ^GSPC - Drawdown Comparison
The maximum UNG drawdown since its inception was -99.88%, which is greater than ^GSPC's maximum drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for UNG and ^GSPC.
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Drawdown Indicators
| UNG | ^GSPC | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -99.88% | -56.78% | -43.10% |
Max Drawdown (1Y)Largest decline over 1 year | -43.86% | -9.10% | -34.76% |
Max Drawdown (3Y)Largest decline over 3 years | -68.16% | -18.90% | -49.26% |
Max Drawdown (5Y)Largest decline over 5 years | -92.49% | -25.43% | -67.06% |
Max Drawdown (10Y)Largest decline over 10 years | -93.55% | -33.92% | -59.63% |
Current DrawdownCurrent decline from peak | -99.86% | -2.68% | -97.18% |
Average DrawdownAverage peak-to-trough decline | -89.97% | -10.72% | -79.25% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 29.93% | 1.98% | +27.95% |
Volatility
UNG vs. ^GSPC - Volatility Comparison
United States Natural Gas Fund LP (UNG) has a higher volatility of 13.75% compared to S&P 500 Index (^GSPC) at 3.80%. This indicates that UNG's price experiences larger fluctuations and is considered to be riskier than ^GSPC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| UNG | ^GSPC | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 13.75% | 3.80% | +9.95% |
Volatility (6M)Calculated over the trailing 6-month period | 53.10% | 9.41% | +43.69% |
Volatility (1Y)Calculated over the trailing 1-year period | 60.78% | 12.17% | +48.61% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 64.14% | 16.94% | +47.20% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 54.78% | 18.09% | +36.69% |
Frequently Asked Questions
UNG and ^GSPC have a correlation of -0.19, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
UNG has higher volatility (13.75%) compared to ^GSPC (3.80%). In terms of maximum drawdown, UNG dropped -99.88% vs ^GSPC's -56.78%.
^GSPC currently has the higher Sharpe Ratio (1.94 vs -0.56), 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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