The United States Natural Gas Fund LP (UNG) is an exchange traded security that is designed to track in percentage terms the movements of natural gas prices.
The investment objective of UNG is for the changes in percentage terms of the units' net asset value to reflect the changes in percentage terms of the price of natural gas delivered at the Henry Hub, Louisiana, as measured by the changes in the price of the futures contract on natural gas traded on the New York Mercantile Exchange that is the near month contract to expire, except when the near month contract is within two weeks of expiration, in which case it will be measured by the futures contract that is the next month contract to expire, less UNG's expenses.
UNG is not a mutual fund registered under the Investment Company Act of 1940 and is not subject to regulation under such Act. UNG is a commodity pool organized as a Delaware limited partnership that issues units that may be purchased and sold on the NYSE Arca.
UNG must register a fixed number of shares with the Securities and Exchange Commission. If it wants to increase the number of shares available, it must file papers with the SEC and pay a fee, and then wait for approval before those new shares can be issued. 
The portfolio consists of exchange listed natural gas futures contracts and other natural gas related futures, forwards, and swap contracts. UNG also invests in obligations of the United States government with remaining maturities of two years or less and hold cash and cash equivalents to be used to meet its current or potential margin or collateral requirements with respect to its investments in natural gas futures contracts and other natural gas interests.
The management fee starts at 0.60% and drops to 0.50% for assets above $1 billion.
Since September 2009 UNG underperformed significantly the spot price of the commodity. This is because it follows the percentage change in the price of the commodity’s front month contract. The problem is the market is in contango. In this situation longer-term contracts are priced higher than near-term contracts and the fund will underperform the underlying commodity. Analysts believe that there are two scenarios ahead for UNG. One where UNG will come back in line with the natural gas pricing when and if the contango spread decreases to lower levels. The second where UNG can never catch because the fund is too big and futures roll every month.