UNG vs. PJAN
UNG (United States Natural Gas Fund LP) and PJAN (Innovator U.S. Equity Power Buffer ETF - January) are both exchange-traded funds - UNG is a Oil & Gas fund tracking the Front Month Natural Gas, while PJAN is a Defined Outcome fund tracking the Cboe S&P 500 15% Buffer Protect January Series Index. Both are passively managed. Over the past 5 years, UNG returned -24.47%/yr vs 8.76%/yr for PJAN. At a 0.05 correlation, their price movements are largely independent. UNG charges 1.28%/yr vs 0.79%/yr for PJAN.
Performance
UNG vs. PJAN - 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 PJAN's 4.83% 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%
PJAN
- 1D
- 0.41%
- 1M
- 0.16%
- YTD
- 4.83%
- 6M
- 5.48%
- 1Y
- 14.36%
- 3Y*
- 12.39%
- 5Y*
- 8.76%
- 10Y*
- —
UNG vs. PJAN - 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% |
PJAN Innovator U.S. Equity Power Buffer ETF - January | 4.83% | 11.29% | 13.45% | 18.18% | -5.29% | 8.80% | 7.68% | 12.97% |
Correlation
The correlation between UNG and PJAN is -0.24, 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 | -0.24 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.06 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.05 |
Correlation (All Time) Calculated using the full available price history since Jan 2, 2019 | 0.05 |
The correlation between UNG and PJAN shifts across timeframes, from -0.24 (1 year) to 0.05 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
UNG vs. PJAN — Risk / Return Rank
UNG
PJAN
UNG vs. PJAN - 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 Power Buffer ETF - January (PJAN). 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 | PJAN | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -2.81 | ||
| Sortino ratioReturn per unit of downside risk | -3.76 | ||
| Omega ratioGain probability vs. loss probability | 0.95 | 1.48 | -0.53 |
| Calmar ratioReturn relative to maximum drawdown | -0.67 | 2.97 | -3.64 |
| Martin ratioReturn relative to average drawdown | -0.97 | 15.67 | -16.65 |
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Drawdowns
UNG vs. PJAN - Drawdown Comparison
The maximum UNG drawdown since its inception was -99.88%, which is greater than PJAN's maximum drawdown of -21.25%. Use the drawdown chart below to compare losses from any high point for UNG and PJAN.
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Drawdown Indicators
| UNG | PJAN | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -99.88% | -21.25% | -78.63% |
Max Drawdown (1Y)Largest decline over 1 year | -43.86% | -4.63% | -39.23% |
Max Drawdown (3Y)Largest decline over 3 years | -68.16% | -10.49% | -57.67% |
Max Drawdown (5Y)Largest decline over 5 years | -92.49% | -11.93% | -80.56% |
Max Drawdown (10Y)Largest decline over 10 years | -93.55% | — | — |
Current DrawdownCurrent decline from peak | -99.86% | -0.54% | -99.32% |
Average DrawdownAverage peak-to-trough decline | -89.96% | -1.72% | -88.24% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 30.28% | 0.88% | +29.40% |
Volatility
UNG vs. PJAN - Volatility Comparison
United States Natural Gas Fund LP (UNG) has a higher volatility of 12.64% compared to Innovator U.S. Equity Power Buffer ETF - January (PJAN) at 1.64%. This indicates that UNG's price experiences larger fluctuations and is considered to be riskier than PJAN based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| UNG | PJAN | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 12.64% | 1.64% | +11.00% |
Volatility (6M)Calculated over the trailing 6-month period | 52.01% | 4.89% | +47.12% |
Volatility (1Y)Calculated over the trailing 1-year period | 60.61% | 5.91% | +54.70% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 64.11% | 8.94% | +55.17% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 54.77% | 10.59% | +44.18% |
UNG vs. PJAN - Expense Ratio Comparison
UNG has a 1.28% expense ratio, which is higher than PJAN's 0.79% expense ratio.
Dividends
UNG vs. PJAN - Dividend Comparison
Neither UNG nor PJAN has paid dividends to shareholders.
Frequently Asked Questions
UNG and PJAN have a correlation of -0.24, 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 PJAN (1.64%). In terms of maximum drawdown, UNG dropped -99.88% vs PJAN's -21.25%.
On 5-year performance, PJAN leads with 8.76% vs -24.47% for UNG. On fees, PJAN is cheaper at 0.79% per year. On volatility, PJAN has been the lower-risk option at 1.64%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 5-year period, PJAN has performed better with a 8.76% return vs -24.47%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
PJAN is cheaper with a 0.79% expense ratio, compared with 1.28% for UNG.
UNG and PJAN have nearly identical dividend yields, around 0.00%.
UNG is categorized as Oil & Gas, while PJAN is Defined Outcome. UNG tracks Front Month Natural Gas, while PJAN tracks Cboe S&P 500 15% Buffer Protect January Series Index. They also come from different issuers: Concierge Technologies and Innovator. Their fees differ too: 1.28% for UNG and 0.79% for PJAN.
PJAN currently has the higher Sharpe Ratio (2.33 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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