"...reflect the changes, in percentage terms, of the spot price of natural gas delivered at the Henry Hub, Louisiana, as measured by the changes in the average of the prices of 12 futures contracts on natural gas traded on the New York Mercantile Exchange consisting of the near month contact to expire and the contracts for the following 11 months, for a total of 12 consecutive months contracts"Does the approach taken by UNL work? Not quite. Please see below:
The losses have to do not necessarily with the price of natural gas contracts, but with the contango as every month these ETFs sell their contracts and buy next month contracts, thereby losing sometimes more than 20%.
The chart below shows the price of the front month price of natural gas itself:
Note: You may receive buy or sell alerts on these ETFs by clicking on their links: UNG, UNL.