No pun intended, but natural gas has been cooking with, well, gas this year.

Natural gas is the best performing commodity in the S&P GSCI Commodity Index this year and the iPath Dow Jones-UBS Natural Gas Total Return Sub-Index ETN (NYSEArca: GAZ) and the United States Natural Gas Fund (NYSEArca: UNG) are this year’s top two non-leveraged exchange traded funds. [Obama Lifts Nat Gas ETFs]

Conventional wisdom used to hold that as natural gas prices, coal stocks would eventually go along for the ride because higher natural gas prices would entice electric utilities to go back to coal as a cost-saving measure. Utilities, as measured by the Utilities Select Sector SPDR (NYSEArca: XLU), have not been stung by rising gas prices. XLU is up 2% this year.

It is the Market Vectors Coal ETF (NYSEArca: KOL) that is not taking advantage of higher gas prices. KOL lost 21% last year and the ETF’s struggles had some market observers thinking the fund was well positioned to be a “zero to hero” play in 2014. While some ETFs have done the laggard-to-leader dance this year, KOL has not. [Laggards Rise in 2014]

The fund is down almost 9% this year despite a bevy of attempts by some in the financial press to encourage positive sentiment toward coal equities. Put “coal stocks” into Google News and nearly the entire first page of results is cheeriness that belies KOL’s price action.

There are reasons for the malaise. Although on light volume, KOL lost 0.8% Wednesday after President Obama spoke glowingly of natural gas in Tuesday’s State of the Union address. There is also talk that Norway’s sovereign wealth fund, the world’s largest, will have to scale back coal funding following a looming vote in that country’s parliament.