UNL vs. ITWO

Last updated Jun 24, 2026

UNL (United States 12 Month Natural Gas Fund LP) and ITWO (Proshares Russell 2000 High Income ETF) are both exchange-traded funds - UNL is a Oil & Gas fund tracking the 12 Month Natural Gas, while ITWO is a Derivative Income fund tracking the Cboe Russell 2000 Daily Covered Call Index. Both are passively managed. Over the past year, UNL returned -30.69% vs 41.06% for ITWO. At a correlation of -0.14, they often move in opposite directions. UNL charges 0.90%/yr vs 0.55%/yr for ITWO.

Performance

UNL vs. ITWO - 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 Proshares Russell 2000 High Income ETF (ITWO). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, UNL achieves a -13.41% return, which is significantly lower than ITWO's 21.52% return.

UNL

• 1D: -1.92%
• 1M: 1.75%
• YTD: -13.41%
• 6M: -15.14%
• 1Y: -30.69%
• 3Y*: -17.95%
• 5Y*: -7.73%
• 10Y*: -4.56%

ITWO

• 1D: -0.82%
• 1M: 4.46%
• YTD: 21.52%
• 6M: 18.74%
• 1Y: 41.06%
• 3Y*: —
• 5Y*: —
• 10Y*: —

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

UNL vs. ITWO - Yearly Performance Comparison

	2026 (YTD)	2025	2024
UNL United States 12 Month Natural Gas Fund LP	-13.41%	-9.67%	12.85%
ITWO Proshares Russell 2000 High Income ETF	21.52%	14.25%	3.10%

Correlation

The correlation between UNL and ITWO 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 Sep 5, 2024	-0.14

The correlation between UNL and ITWO shifts across timeframes, from -0.28 (1 year) to -0.14 (all time), reflecting how their relationship changes across market environments.

Return for Risk

UNL vs. ITWO — Risk / Return Rank

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

UNL

UNL Risk / Return Rank: 2
UNL Sharpe Ratio Rank: 2
UNL Sortino Ratio Rank: 3
UNL Omega Ratio Rank: 2
UNL Calmar Ratio Rank: 1
UNL Martin Ratio Rank: 1

ITWO

ITWO Risk / Return Rank: 72
ITWO Sharpe Ratio Rank: 72
ITWO Sortino Ratio Rank: 67
ITWO Omega Ratio Rank: 60
ITWO Calmar Ratio Rank: 83
ITWO Martin Ratio Rank: 78

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.

UNL vs. ITWO - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for United States 12 Month Natural Gas Fund LP (UNL) and Proshares Russell 2000 High Income ETF (ITWO). 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.

	UNL	ITWO	Difference
Sharpe ratio: Return per unit of total volatility	-0.86	2.15	-3.01
Sortino ratio: Return per unit of downside risk	-1.10	2.88	-3.97
Omega ratio: Gain probability vs. loss probability	0.86	1.34	-0.49
Calmar ratio: Return relative to maximum drawdown	-0.95	4.21	-5.16
Martin ratio: Return relative to average drawdown	-1.52	14.13	-15.65

UNL vs. ITWO - Sharpe Ratio Comparison

The current UNL Sharpe Ratio is -0.86, which is lower than the ITWO Sharpe Ratio of 2.15. The chart below compares the historical Sharpe Ratios of UNL and ITWO, 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

UNL vs. ITWO - Drawdown Comparison

The maximum UNL drawdown since its inception was -89.00%, which is greater than ITWO's maximum drawdown of -24.77%. Use the drawdown chart below to compare losses from any high point for UNL and ITWO.

Drawdown Indicators

	UNL	ITWO	Difference
Max Drawdown Largest peak-to-trough decline	-89.00%	-24.77%	-64.23%
Max Drawdown (1Y) Largest decline over 1 year	-32.43%	-9.79%	-22.64%
Max Drawdown (3Y) Largest decline over 3 years	-48.16%	—	—
Max Drawdown (5Y) Largest decline over 5 years	-78.12%	—	—
Max Drawdown (10Y) Largest decline over 10 years	-78.12%	—	—
Current Drawdown Current decline from peak	-88.68%	-0.82%	-87.86%
Average Drawdown Average peak-to-trough decline	-73.39%	-5.03%	-68.36%
Ulcer Index Depth and duration of drawdowns from previous peaks	20.45%	2.91%	+17.54%

Volatility

UNL vs. ITWO - Volatility Comparison

United States 12 Month Natural Gas Fund LP (UNL) has a higher volatility of 7.26% compared to Proshares Russell 2000 High Income ETF (ITWO) at 6.67%. This indicates that UNL's price experiences larger fluctuations and is considered to be riskier than ITWO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	UNL	ITWO	Difference
Volatility (1M) Calculated over the trailing 1-month period	7.26%	6.67%	+0.59%
Volatility (6M) Calculated over the trailing 6-month period	30.37%	14.10%	+16.27%
Volatility (1Y) Calculated over the trailing 1-year period	35.76%	19.21%	+16.55%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	41.76%	20.64%	+21.12%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	33.86%	20.64%	+13.22%

UNL vs. ITWO - Expense Ratio Comparison

UNL has a 0.90% expense ratio, which is higher than ITWO's 0.55% expense ratio.

Dividends

UNL vs. ITWO - Dividend Comparison

UNL has not paid dividends to shareholders, while ITWO's dividend yield for the trailing twelve months is around 7.33%.

Position	TTM	2025	2024
ITWO Proshares Russell 2000 High Income ETF	7.33%	12.12%	4.11%
UNL United States 12 Month Natural Gas Fund LP	0.00%	0.00%	0.00%

Frequently Asked Questions

Can I hold both UNL and ITWO in my portfolio?

UNL and ITWO 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, UNL or ITWO?

UNL has higher volatility (7.26%) compared to ITWO (6.67%). In terms of maximum drawdown, UNL dropped -89.00% vs ITWO's -24.77%.

Which ETF is better, UNL or ITWO?

On 1-year performance, ITWO leads with 41.06% vs -30.69% for UNL. On fees, ITWO is cheaper at 0.55% per year. On volatility, ITWO has been the lower-risk option at 6.67%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, UNL or ITWO?

Over the 1-year period, ITWO has performed better with a 41.06% return vs -30.69%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, UNL or ITWO?

ITWO is cheaper with a 0.55% expense ratio, compared with 0.90% for UNL.

Which ETF pays a higher dividend yield, UNL or ITWO?

ITWO has the higher dividend yield at 7.33%, compared with 0.00% for UNL.

What is the main difference between UNL and ITWO?

UNL is categorized as Oil & Gas, while ITWO is Derivative Income. UNL tracks 12 Month Natural Gas, while ITWO tracks Cboe Russell 2000 Daily Covered Call Index. They also come from different issuers: Concierge Technologies and ProShares. Their fees differ too: 0.90% for UNL and 0.55% for ITWO.

Which has better risk-adjusted returns?

ITWO currently has the higher Sharpe Ratio (2.15 vs -0.86), 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.