UNG vs. MXNUSD=X
UNG (United States Natural Gas Fund LP) is Oil & Gas fund tracking the Front Month Natural Gas Futures, while MXNUSD=X (MXN/USD) is a currency. Over the past 10 years, UNG returned -22.45%/yr vs 0.68%/yr for MXNUSD=X. At a 0.07 correlation, their price movements are largely independent.
Performance
UNG vs. MXNUSD=X - Performance Comparison
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Returns By Period
In the year-to-date period, UNG achieves a -16.07% return, which is significantly lower than MXNUSD=X's 3.57% return. Over the past 10 years, UNG has underperformed MXNUSD=X with an annualized return of -22.45%, while MXNUSD=X has yielded a comparatively higher 0.68% annualized return.
UNG
- 1D
- -2.09%
- 1M
- -12.35%
- 6M
- -0.39%
- YTD
- -16.07%
- 1Y
- -35.08%
- 3Y*
- -29.27%
- 5Y*
- -28.40%
- 10Y*
- -22.45%
- ALL TIME*
- -28.43%
MXNUSD=X
- 1D
- 0.56%
- 1M
- -0.47%
- 6M
- 1.02%
- YTD
- 3.57%
- 1Y
- 7.53%
- 3Y*
- -0.78%
- 5Y*
- 2.98%
- 10Y*
- 0.68%
- ALL TIME*
- -2.39%
UNG vs. MXNUSD=X - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
UNG United States Natural Gas Fund LP | -16.07% | -27.07% | -17.11% | -64.04% | 12.89% | 35.76% | -45.43% | -31.77% | 5.96% | -37.58% |
MXNUSD=X MXN/USD | 3.57% | 15.65% | -18.53% | 14.83% | 5.29% | -3.10% | -4.83% | 3.73% | 0.35% | 5.25% |
Correlation
The correlation between UNG and MXNUSD=X is -0.12, 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 | -0.12 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.02 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.05 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.05 |
Correlation (All Time) Calculated using the full available price history since Aug 27, 2007 | 0.07 |
The correlation between UNG and MXNUSD=X shifts across timeframes, from -0.12 (1 year) to 0.07 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
UNG vs. MXNUSD=X — Risk / Return Rank
UNG
MXNUSD=X
UNG vs. MXNUSD=X - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for United States Natural Gas Fund LP (UNG) and MXN/USD (MXNUSD=X). 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 | MXNUSD=X | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.37 | ||
| Sortino ratioReturn per unit of downside risk | -1.72 | ||
| Omega ratioGain probability vs. loss probability | 0.93 | 1.15 | -0.22 |
| Calmar ratioReturn relative to maximum drawdown | -0.88 | 1.09 | -1.97 |
| Martin ratioReturn relative to average drawdown | -1.42 | 3.76 | -5.18 |
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Drawdowns
UNG vs. MXNUSD=X - Drawdown Comparison
The maximum UNG drawdown since its inception was -99.88%, which is greater than MXNUSD=X's maximum drawdown of -61.16%. Use the drawdown chart below to compare losses from any high point for UNG and MXNUSD=X.
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Drawdown Indicators
| UNG | MXNUSD=X | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -99.88% | -61.16% | -38.72% |
Max Drawdown (1Y)Largest decline over 1 year | -39.94% | -5.52% | -34.42% |
Max Drawdown (3Y)Largest decline over 3 years | -68.16% | -21.70% | -46.46% |
Max Drawdown (5Y)Largest decline over 5 years | -92.49% | -21.70% | -70.79% |
Max Drawdown (10Y)Largest decline over 10 years | -93.55% | -31.20% | -62.35% |
Current DrawdownCurrent decline from peak | -99.87% | -43.29% | -56.58% |
Average DrawdownAverage peak-to-trough decline | -90.01% | -37.11% | -52.90% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 25.99% | 1.72% | +24.27% |
Volatility
UNG vs. MXNUSD=X - Volatility Comparison
United States Natural Gas Fund LP (UNG) has a higher volatility of 10.17% compared to MXN/USD (MXNUSD=X) at 1.77%. This indicates that UNG's price experiences larger fluctuations and is considered to be riskier than MXNUSD=X based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| UNG | MXNUSD=X | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 10.17% | 1.77% | +8.40% |
Volatility (6M)Calculated over the trailing 6-month period | 47.34% | 6.44% | +40.90% |
Volatility (1Y)Calculated over the trailing 1-year period | 59.71% | 7.69% | +52.02% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 64.17% | 10.34% | +53.83% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 54.76% | 12.19% | +42.57% |
Frequently Asked Questions
UNG and MXNUSD=X have a correlation of -0.12, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
UNG has higher volatility (10.17%) compared to MXNUSD=X (1.77%). In terms of maximum drawdown, UNG dropped -99.88% vs MXNUSD=X's -61.16%.
MXNUSD=X currently has the higher Sharpe Ratio (0.78 vs -0.59), 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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