One of the reasons UNG has lost much more than natural gas futures was the steep contango in the futures market in the past 2 years. The chart below illustrates the shape of the curve at different points in time. Right now, shown as the white line, the difference between front month contract and 6 months out is 4%. Six months ago, shown as the green line, it was over 15%. A year and half ago, shown as the orange line, the premium of the contract 6 month out over the front month contract was 60%! Therefore, UNG rolling futures no longer penalizes its investors like it used to.
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