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UNL vs. BNO
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

UNL vs. BNO - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in United States 12 Month Natural Gas Fund LP (UNL) and United States Brent Oil Fund LP (BNO). The values are adjusted to include any dividend payments, if applicable.

-80.00%-60.00%-40.00%-20.00%0.00%20.00%JuneJulyAugustSeptemberOctoberNovember
-83.13%
10.63%
UNL
BNO

Returns By Period

In the year-to-date period, UNL achieves a -17.02% return, which is significantly lower than BNO's 3.66% return. Over the past 10 years, UNL has underperformed BNO with an annualized return of -8.86%, while BNO has yielded a comparatively higher -0.96% annualized return.


UNL

YTD

-17.02%

1M

-0.84%

6M

-15.84%

1Y

-32.38%

5Y (annualized)

-4.97%

10Y (annualized)

-8.86%

BNO

YTD

3.66%

1M

-2.24%

6M

-9.41%

1Y

-0.77%

5Y (annualized)

8.65%

10Y (annualized)

-0.96%

Key characteristics


UNLBNO
Sharpe Ratio-1.08-0.05
Sortino Ratio-1.600.11
Omega Ratio0.831.01
Calmar Ratio-0.39-0.03
Martin Ratio-1.38-0.18
Ulcer Index24.63%7.96%
Daily Std Dev31.43%26.29%
Max Drawdown-88.01%-87.06%
Current Drawdown-87.52%-39.05%

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UNL vs. BNO - Expense Ratio Comparison

Both UNL and BNO have an expense ratio of 0.90%.


UNL
United States 12 Month Natural Gas Fund LP
Expense ratio chart for UNL: current value at 0.90% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.90%
Expense ratio chart for BNO: current value at 0.90% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.90%

Correlation

-0.50.00.51.00.1

The correlation between UNL and BNO is 0.11, 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.

Risk-Adjusted Performance

UNL vs. BNO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for United States 12 Month Natural Gas Fund LP (UNL) and United States Brent Oil Fund LP (BNO). 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.


Sharpe ratio
The chart of Sharpe ratio for UNL, currently valued at -1.08, compared to the broader market0.002.004.006.00-1.08-0.05
The chart of Sortino ratio for UNL, currently valued at -1.60, compared to the broader market-2.000.002.004.006.008.0010.0012.00-1.600.11
The chart of Omega ratio for UNL, currently valued at 0.83, compared to the broader market0.501.001.502.002.503.000.831.01
The chart of Calmar ratio for UNL, currently valued at -0.40, compared to the broader market0.005.0010.0015.00-0.40-0.03
The chart of Martin ratio for UNL, currently valued at -1.38, compared to the broader market0.0020.0040.0060.0080.00100.00120.00-1.38-0.18
UNL
BNO

The current UNL Sharpe Ratio is -1.08, which is lower than the BNO Sharpe Ratio of -0.05. The chart below compares the historical Sharpe Ratios of UNL and BNO, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

Rolling 12-month Sharpe Ratio-1.00-0.500.000.501.00JuneJulyAugustSeptemberOctoberNovember
-1.08
-0.05
UNL
BNO

Dividends

UNL vs. BNO - Dividend Comparison

Neither UNL nor BNO has paid dividends to shareholders.


Tickers have no history of dividend payments

Drawdowns

UNL vs. BNO - Drawdown Comparison

The maximum UNL drawdown since its inception was -88.01%, roughly equal to the maximum BNO drawdown of -87.06%. Use the drawdown chart below to compare losses from any high point for UNL and BNO. For additional features, visit the drawdowns tool.


-90.00%-80.00%-70.00%-60.00%-50.00%-40.00%-30.00%JuneJulyAugustSeptemberOctoberNovember
-84.48%
-39.05%
UNL
BNO

Volatility

UNL vs. BNO - Volatility Comparison

United States 12 Month Natural Gas Fund LP (UNL) has a higher volatility of 10.77% compared to United States Brent Oil Fund LP (BNO) at 9.13%. This indicates that UNL's price experiences larger fluctuations and is considered to be riskier than BNO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


4.00%6.00%8.00%10.00%12.00%JuneJulyAugustSeptemberOctoberNovember
10.77%
9.13%
UNL
BNO