UNG vs. KAUG

Last updated Jun 24, 2026

UNG (United States Natural Gas Fund LP) and KAUG (Innovator U.S. Small Cap Power Buffer ETF) are both exchange-traded funds - UNG is a Oil & Gas fund tracking the Front Month Natural Gas Futures, while KAUG is a Defined Outcome fund actively managed by Innovator. UNG is passively managed, while KAUG is actively managed. Over the past year, UNG returned -31.71% vs 15.78% for KAUG. At a correlation of -0.13, they often move in opposite directions. UNG charges 1.17%/yr vs 0.79%/yr for KAUG.

Performance

UNG vs. KAUG - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in United States Natural Gas Fund LP (UNG) and Innovator U.S. Small Cap Power Buffer ETF (KAUG). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, UNG achieves a -6.20% return, which is significantly lower than KAUG's 7.75% return.

UNG

• 1D: -2.29%
• 1M: 5.12%
• YTD: -6.20%
• 6M: -10.85%
• 1Y: -31.71%
• 3Y*: -27.52%
• 5Y*: -24.87%
• 10Y*: -21.37%

KAUG

• 1D: -0.05%
• 1M: 0.99%
• YTD: 7.75%
• 6M: 7.02%
• 1Y: 15.78%
• 3Y*: —
• 5Y*: —
• 10Y*: —

*Multi-year figures are annualized to reflect compound growth (CAGR)

UNG vs. KAUG - Yearly Performance Comparison

	2026 (YTD)	2025	2024
UNG United States Natural Gas Fund LP	-6.20%	-27.07%	24.15%
KAUG Innovator U.S. Small Cap Power Buffer ETF	7.75%	5.52%	0.81%

Correlation

The correlation between UNG and KAUG is -0.28, 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	-0.28
Correlation (All Time) Calculated using the full available price history since Aug 1, 2024	-0.13

The correlation between UNG and KAUG shifts across timeframes, from -0.28 (1 year) to -0.13 (all time), reflecting how their relationship changes across market environments.

Return for Risk

UNG vs. KAUG — Risk / Return Rank

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

UNG

UNG Risk / Return Rank: 4
UNG Sharpe Ratio Rank: 5
UNG Sortino Ratio Rank: 5
UNG Omega Ratio Rank: 5
UNG Calmar Ratio Rank: 2
UNG Martin Ratio Rank: 3

KAUG

KAUG Risk / Return Rank: 74
KAUG Sharpe Ratio Rank: 67
KAUG Sortino Ratio Rank: 72
KAUG Omega Ratio Rank: 70
KAUG Calmar Ratio Rank: 82
KAUG Martin Ratio Rank: 80

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

UNG vs. KAUG - 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. Small Cap Power Buffer ETF (KAUG). 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	KAUG	Difference
Sharpe ratio: Return per unit of total volatility	-0.53	1.99	-2.52
Sortino ratio: Return per unit of downside risk	-0.45	2.94	-3.39
Omega ratio: Gain probability vs. loss probability	0.94	1.38	-0.44
Calmar ratio: Return relative to maximum drawdown	-0.80	4.02	-4.82
Martin ratio: Return relative to average drawdown	-1.25	14.64	-15.89

UNG vs. KAUG - Sharpe Ratio Comparison

The current UNG Sharpe Ratio is -0.53, which is lower than the KAUG Sharpe Ratio of 1.99. The chart below compares the historical Sharpe Ratios of UNG and KAUG, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

UNG vs. KAUG - Drawdown Comparison

The maximum UNG drawdown since its inception was -99.88%, which is greater than KAUG's maximum drawdown of -15.66%. Use the drawdown chart below to compare losses from any high point for UNG and KAUG.

Drawdown Indicators

	UNG	KAUG	Difference
Max Drawdown Largest peak-to-trough decline	-99.88%	-15.66%	-84.22%
Max Drawdown (1Y) Largest decline over 1 year	-39.94%	-3.94%	-36.00%
Max Drawdown (3Y) Largest decline over 3 years	-68.16%	—	—
Max Drawdown (5Y) Largest decline over 5 years	-92.49%	—	—
Max Drawdown (10Y) Largest decline over 10 years	-93.55%	—	—
Current Drawdown Current decline from peak	-99.86%	-0.05%	-99.81%
Average Drawdown Average peak-to-trough decline	-89.97%	-2.84%	-87.13%
Ulcer Index Depth and duration of drawdowns from previous peaks	26.12%	1.08%	+25.04%

Volatility

UNG vs. KAUG - Volatility Comparison

United States Natural Gas Fund LP (UNG) has a higher volatility of 12.10% compared to Innovator U.S. Small Cap Power Buffer ETF (KAUG) at 1.06%. This indicates that UNG's price experiences larger fluctuations and is considered to be riskier than KAUG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	UNG	KAUG	Difference
Volatility (1M) Calculated over the trailing 1-month period	12.10%	1.06%	+11.04%
Volatility (6M) Calculated over the trailing 6-month period	50.87%	5.07%	+45.80%
Volatility (1Y) Calculated over the trailing 1-year period	60.39%	7.97%	+52.42%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	64.14%	11.15%	+52.99%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	54.80%	11.15%	+43.65%

UNG vs. KAUG - Expense Ratio Comparison

UNG has a 1.17% expense ratio, which is higher than KAUG's 0.79% expense ratio.

Dividends

UNG vs. KAUG - Dividend Comparison

Neither UNG nor KAUG has paid dividends to shareholders.

Tickers have no history of dividend payments

Frequently Asked Questions

Can I hold both UNG and KAUG in my portfolio?

UNG and KAUG have a correlation of -0.28, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, UNG or KAUG?

UNG has higher volatility (12.10%) compared to KAUG (1.06%). In terms of maximum drawdown, UNG dropped -99.88% vs KAUG's -15.66%.

Which ETF is better, UNG or KAUG?

On 1-year performance, KAUG leads with 15.78% vs -31.71% for UNG. On fees, KAUG is cheaper at 0.79% per year. On volatility, KAUG has been the lower-risk option at 1.06%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, UNG or KAUG?

Over the 1-year period, KAUG has performed better with a 15.78% return vs -31.71%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, UNG or KAUG?

KAUG is cheaper with a 0.79% expense ratio, compared with 1.17% for UNG.

Which ETF pays a higher dividend yield, UNG or KAUG?

UNG and KAUG have nearly identical dividend yields, around 0.00%.

What is the main difference between UNG and KAUG?

UNG is categorized as Oil & Gas, while KAUG is Defined Outcome. They also come from different issuers: USCF Investments and Innovator. Their fees differ too: 1.17% for UNG and 0.79% for KAUG.

Which has better risk-adjusted returns?

KAUG currently has the higher Sharpe Ratio (1.99 vs -0.53), 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.