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MJ vs. ICLN
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between MJ and ICLN is 0.45, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.


-0.50.00.51.00.5

Performance

MJ vs. ICLN - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in ETFMG Alternative Harvest ETF (MJ) and iShares Global Clean Energy ETF (ICLN). The values are adjusted to include any dividend payments, if applicable.

-30.00%-20.00%-10.00%0.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
-33.57%
-16.63%
MJ
ICLN

Key characteristics

Sharpe Ratio

MJ:

-0.29

ICLN:

-0.99

Sortino Ratio

MJ:

-0.05

ICLN:

-1.33

Omega Ratio

MJ:

0.99

ICLN:

0.85

Calmar Ratio

MJ:

-0.18

ICLN:

-0.33

Martin Ratio

MJ:

-0.68

ICLN:

-1.77

Ulcer Index

MJ:

25.20%

ICLN:

13.15%

Daily Std Dev

MJ:

58.26%

ICLN:

23.53%

Max Drawdown

MJ:

-93.14%

ICLN:

-87.15%

Current Drawdown

MJ:

-93.11%

ICLN:

-68.99%

Returns By Period

The year-to-date returns for both investments are quite close, with MJ having a -24.46% return and ICLN slightly higher at -24.28%.


MJ

YTD

-24.46%

1M

-10.71%

6M

-33.58%

1Y

-21.24%

5Y*

-30.19%

10Y*

N/A

ICLN

YTD

-24.28%

1M

-3.36%

6M

-16.63%

1Y

-23.39%

5Y*

0.90%

10Y*

3.63%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


MJ vs. ICLN - Expense Ratio Comparison

MJ has a 0.75% expense ratio, which is higher than ICLN's 0.46% expense ratio.


MJ
ETFMG Alternative Harvest ETF
Expense ratio chart for MJ: current value at 0.75% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.75%
Expense ratio chart for ICLN: current value at 0.46% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.46%

Risk-Adjusted Performance

MJ vs. ICLN - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for ETFMG Alternative Harvest ETF (MJ) and iShares Global Clean Energy ETF (ICLN). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.


Sharpe ratio
The chart of Sharpe ratio for MJ, currently valued at -0.29, compared to the broader market0.002.004.00-0.29-0.99
The chart of Sortino ratio for MJ, currently valued at -0.05, compared to the broader market-2.000.002.004.006.008.0010.00-0.05-1.33
The chart of Omega ratio for MJ, currently valued at 0.99, compared to the broader market0.501.001.502.002.503.000.990.85
The chart of Calmar ratio for MJ, currently valued at -0.18, compared to the broader market0.005.0010.0015.00-0.18-0.36
The chart of Martin ratio for MJ, currently valued at -0.68, compared to the broader market0.0020.0040.0060.0080.00100.00-0.68-1.77
MJ
ICLN

The current MJ Sharpe Ratio is -0.29, which is higher than the ICLN Sharpe Ratio of -0.99. The chart below compares the historical Sharpe Ratios of MJ and ICLN, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio-1.00-0.500.000.50JulyAugustSeptemberOctoberNovemberDecember
-0.29
-0.99
MJ
ICLN

Dividends

MJ vs. ICLN - Dividend Comparison

MJ's dividend yield for the trailing twelve months is around 15.20%, more than ICLN's 1.81% yield.


TTM20232022202120202019201820172016201520142013
MJ
ETFMG Alternative Harvest ETF
15.20%3.59%4.13%1.93%4.60%5.26%2.23%2.64%16.22%0.00%0.00%0.00%
ICLN
iShares Global Clean Energy ETF
1.81%1.59%0.89%1.18%0.34%1.36%2.77%2.49%3.88%2.36%2.83%2.11%

Drawdowns

MJ vs. ICLN - Drawdown Comparison

The maximum MJ drawdown since its inception was -93.14%, which is greater than ICLN's maximum drawdown of -87.15%. Use the drawdown chart below to compare losses from any high point for MJ and ICLN. For additional features, visit the drawdowns tool.


-90.00%-80.00%-70.00%-60.00%-50.00%JulyAugustSeptemberOctoberNovemberDecember
-93.11%
-63.47%
MJ
ICLN

Volatility

MJ vs. ICLN - Volatility Comparison

ETFMG Alternative Harvest ETF (MJ) has a higher volatility of 9.03% compared to iShares Global Clean Energy ETF (ICLN) at 5.80%. This indicates that MJ's price experiences larger fluctuations and is considered to be riskier than ICLN based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


5.00%10.00%15.00%20.00%25.00%JulyAugustSeptemberOctoberNovemberDecember
9.03%
5.80%
MJ
ICLN
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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