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UNG vs. COMT
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between UNG and COMT is 0.34, 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

UNG vs. COMT - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in United States Natural Gas Fund LP (UNG) and iShares Commodities Select Strategy ETF (COMT). The values are adjusted to include any dividend payments, if applicable.

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Key characteristics

Sharpe Ratio

UNG:

-0.13

COMT:

-0.22

Sortino Ratio

UNG:

0.38

COMT:

-0.10

Omega Ratio

UNG:

1.04

COMT:

0.99

Calmar Ratio

UNG:

-0.03

COMT:

-0.10

Martin Ratio

UNG:

-0.10

COMT:

-0.46

Ulcer Index

UNG:

26.76%

COMT:

5.61%

Daily Std Dev

UNG:

61.31%

COMT:

16.62%

Max Drawdown

UNG:

-99.85%

COMT:

-51.89%

Current Drawdown

UNG:

-99.79%

COMT:

-21.62%

Returns By Period

In the year-to-date period, UNG achieves a -0.59% return, which is significantly higher than COMT's -1.03% return. Over the past 10 years, UNG has underperformed COMT with an annualized return of -23.17%, while COMT has yielded a comparatively higher 2.62% annualized return.


UNG

YTD

-0.59%

1M

-1.88%

6M

24.98%

1Y

-12.51%

5Y*

-19.21%

10Y*

-23.17%

COMT

YTD

-1.03%

1M

-0.40%

6M

3.22%

1Y

-4.43%

5Y*

13.40%

10Y*

2.62%

*Annualized

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UNG vs. COMT - Expense Ratio Comparison

UNG has a 1.28% expense ratio, which is higher than COMT's 0.48% expense ratio.


Risk-Adjusted Performance

UNG vs. COMT — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

UNG
The Risk-Adjusted Performance Rank of UNG is 1616
Overall Rank
The Sharpe Ratio Rank of UNG is 1111
Sharpe Ratio Rank
The Sortino Ratio Rank of UNG is 2323
Sortino Ratio Rank
The Omega Ratio Rank of UNG is 2020
Omega Ratio Rank
The Calmar Ratio Rank of UNG is 1414
Calmar Ratio Rank
The Martin Ratio Rank of UNG is 1414
Martin Ratio Rank

COMT
The Risk-Adjusted Performance Rank of COMT is 1010
Overall Rank
The Sharpe Ratio Rank of COMT is 1010
Sharpe Ratio Rank
The Sortino Ratio Rank of COMT is 1010
Sortino Ratio Rank
The Omega Ratio Rank of COMT is 1010
Omega Ratio Rank
The Calmar Ratio Rank of COMT is 1111
Calmar Ratio Rank
The Martin Ratio Rank of COMT is 1010
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

UNG vs. COMT - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for United States Natural Gas Fund LP (UNG) and iShares Commodities Select Strategy ETF (COMT). 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.


The current UNG Sharpe Ratio is -0.13, which is higher than the COMT Sharpe Ratio of -0.22. The chart below compares the historical Sharpe Ratios of UNG and COMT, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


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Dividends

UNG vs. COMT - Dividend Comparison

UNG has not paid dividends to shareholders, while COMT's dividend yield for the trailing twelve months is around 4.95%.


TTM20242023202220212020201920182017201620152014
UNG
United States Natural Gas Fund LP
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
COMT
iShares Commodities Select Strategy ETF
4.95%4.90%5.19%29.79%17.79%0.36%2.61%11.65%5.16%0.52%1.44%0.56%

Drawdowns

UNG vs. COMT - Drawdown Comparison

The maximum UNG drawdown since its inception was -99.85%, which is greater than COMT's maximum drawdown of -51.89%. Use the drawdown chart below to compare losses from any high point for UNG and COMT. For additional features, visit the drawdowns tool.


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Volatility

UNG vs. COMT - Volatility Comparison

United States Natural Gas Fund LP (UNG) has a higher volatility of 15.43% compared to iShares Commodities Select Strategy ETF (COMT) at 4.57%. This indicates that UNG's price experiences larger fluctuations and is considered to be riskier than COMT based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


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