U.S. Natural Gas ( UNG) soon may have a sibling in the form of the U.S. 12-Month Natural Gas fund. The new fund is designed to reduce the effects of contango by spreading the contract purchases over a 12-month period. Instead of putting all the assets into one contract and rolling the total assets every month, the new fund will roll from the contract facing expiration and purchase the contract 12 months out. The new ETF is a result of the success of UNG, which grew so large that it was distorting the market and exacerbating contango, the phenomenon of far future delivery prices exceeding those of a nearer future delivery. UNG is the 800-pound gorilla in the natural gas futures market, with a clearly defined strategy that traders can exploit. By spreading contracts over 12 months, the new ETF can reduce its footprint in any single month. Size could become an issue again because the contracts further out in time tend to be less liquid. United States Commodity Funds already dealt with this issue when it issued the U.S 12-Month Oil Fund ( USL) to trade alongside its flagship fund, U.S. Oil ( USO). USL's contango-fighting strategy was evident starting last fall, when it became a serious issue. Between its inception in December 2007 and November 2008, USL and USO closely tracked each other but separated as spot prices tumbled. From Nov. 7 to Feb. 18, USO fell 54% compared to a 39% drop in USL. Recently, USO outperformed slightly as contango declined, but over the past month the funds were back to moving in lockstep. Despite USL's contango-fighting structure, investors are uninterested. USO had roughly 14 times the assets of USL and 85 times the volume as of the end of May. The difference between the two ETFs highlights a problem with financial markets and one of the difficulties with ETFs.