UNG vs. BJAN
UNG (United States Natural Gas Fund LP) and BJAN (Innovator U.S. Equity Buffer ETF - January) are both exchange-traded funds - UNG is a Oil & Gas fund tracking the Front Month Natural Gas, while BJAN is a Defined Outcome fund tracking the S&P 500. Both are passively managed. Over the past 5 years, UNG returned -24.47%/yr vs 10.40%/yr for BJAN. At a 0.08 correlation, their price movements are largely independent. UNG charges 1.28%/yr vs 0.79%/yr for BJAN.
Performance
UNG vs. BJAN - Performance Comparison
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Returns By Period
In the year-to-date period, UNG achieves a -7.42% return, which is significantly lower than BJAN's 6.13% return.
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%
BJAN
- 1D
- 0.35%
- 1M
- 0.00%
- YTD
- 6.13%
- 6M
- 7.42%
- 1Y
- 19.73%
- 3Y*
- 16.36%
- 5Y*
- 10.40%
- 10Y*
- —
UNG vs. BJAN - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | |
|---|---|---|---|---|---|---|---|---|
UNG United States Natural Gas Fund LP | -7.42% | -27.07% | -17.11% | -64.04% | 12.89% | 35.76% | -45.43% | -31.77% |
BJAN Innovator U.S. Equity Buffer ETF - January | 6.13% | 14.81% | 17.36% | 23.66% | -11.40% | 13.86% | 12.54% | 22.27% |
Correlation
The correlation between UNG and BJAN is -0.22, 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 | -0.22 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.02 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.07 |
Correlation (All Time) Calculated using the full available price history since Jan 2, 2019 | 0.08 |
The correlation between UNG and BJAN shifts across timeframes, from -0.22 (1 year) to 0.08 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
UNG vs. BJAN — Risk / Return Rank
UNG
BJAN
UNG vs. BJAN - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for United States Natural Gas Fund LP (UNG) and Innovator U.S. Equity Buffer ETF - January (BJAN). 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.
| UNG | BJAN | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -2.87 | ||
| Sortino ratioReturn per unit of downside risk | -3.69 | ||
| Omega ratioGain probability vs. loss probability | 0.95 | 1.46 | -0.51 |
| Calmar ratioReturn relative to maximum drawdown | -0.67 | 3.00 | -3.67 |
| Martin ratioReturn relative to average drawdown | -0.97 | 14.94 | -15.91 |
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Drawdowns
UNG vs. BJAN - Drawdown Comparison
The maximum UNG drawdown since its inception was -99.88%, which is greater than BJAN's maximum drawdown of -26.86%. Use the drawdown chart below to compare losses from any high point for UNG and BJAN.
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Drawdown Indicators
| UNG | BJAN | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -99.88% | -26.86% | -73.02% |
Max Drawdown (1Y)Largest decline over 1 year | -43.86% | -6.27% | -37.59% |
Max Drawdown (3Y)Largest decline over 3 years | -68.16% | -13.81% | -54.35% |
Max Drawdown (5Y)Largest decline over 5 years | -92.49% | -17.38% | -75.11% |
Max Drawdown (10Y)Largest decline over 10 years | -93.55% | — | — |
Current DrawdownCurrent decline from peak | -99.86% | -1.06% | -98.80% |
Average DrawdownAverage peak-to-trough decline | -89.96% | -2.90% | -87.06% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 30.28% | 1.26% | +29.02% |
Volatility
UNG vs. BJAN - Volatility Comparison
United States Natural Gas Fund LP (UNG) has a higher volatility of 12.64% compared to Innovator U.S. Equity Buffer ETF - January (BJAN) at 2.23%. This indicates that UNG's price experiences larger fluctuations and is considered to be riskier than BJAN based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| UNG | BJAN | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 12.64% | 2.23% | +10.41% |
Volatility (6M)Calculated over the trailing 6-month period | 52.01% | 6.34% | +45.67% |
Volatility (1Y)Calculated over the trailing 1-year period | 60.61% | 7.87% | +52.74% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 64.11% | 11.99% | +52.12% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 54.77% | 14.06% | +40.71% |
UNG vs. BJAN - Expense Ratio Comparison
UNG has a 1.28% expense ratio, which is higher than BJAN's 0.79% expense ratio.
Dividends
UNG vs. BJAN - Dividend Comparison
Neither UNG nor BJAN has paid dividends to shareholders.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 |
|---|---|---|---|---|---|---|---|---|
BJAN Innovator U.S. Equity Buffer ETF - January | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 4.66% |
UNG United States Natural Gas Fund LP | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Frequently Asked Questions
UNG and BJAN have a correlation of -0.22, 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 BJAN (2.23%). In terms of maximum drawdown, UNG dropped -99.88% vs BJAN's -26.86%.
On 5-year performance, BJAN leads with 10.40% vs -24.47% for UNG. On fees, BJAN is cheaper at 0.79% per year. On volatility, BJAN has been the lower-risk option at 2.23%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 5-year period, BJAN has performed better with a 10.40% return vs -24.47%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
BJAN is cheaper with a 0.79% expense ratio, compared with 1.28% for UNG.
UNG and BJAN have nearly identical dividend yields, around 0.00%.
UNG is categorized as Oil & Gas, while BJAN is Defined Outcome. UNG tracks Front Month Natural Gas, while BJAN tracks S&P 500. They also come from different issuers: Concierge Technologies and Innovator. Their fees differ too: 1.28% for UNG and 0.79% for BJAN.
BJAN currently has the higher Sharpe Ratio (2.39 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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