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

Correlation

The correlation between MJ and SPY is 0.44, 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.


-0.50.00.51.0
Correlation: 0.4

Performance

MJ vs. SPY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in ETFMG Alternative Harvest ETF (MJ) and SPDR S&P 500 ETF (SPY). The values are adjusted to include any dividend payments, if applicable.

-100.00%-50.00%0.00%50.00%100.00%150.00%200.00%250.00%NovemberDecember2025FebruaryMarchApril
-91.57%
215.12%
MJ
SPY

Key characteristics

Sharpe Ratio

MJ:

-0.96

SPY:

0.51

Sortino Ratio

MJ:

-1.56

SPY:

0.86

Omega Ratio

MJ:

0.81

SPY:

1.13

Calmar Ratio

MJ:

-0.55

SPY:

0.55

Martin Ratio

MJ:

-1.28

SPY:

2.26

Ulcer Index

MJ:

41.23%

SPY:

4.55%

Daily Std Dev

MJ:

55.54%

SPY:

20.08%

Max Drawdown

MJ:

-96.12%

SPY:

-55.19%

Current Drawdown

MJ:

-95.15%

SPY:

-9.89%

Returns By Period

In the year-to-date period, MJ achieves a -24.55% return, which is significantly lower than SPY's -5.76% return.


MJ

YTD

-24.55%

1M

-0.15%

6M

-49.90%

1Y

-52.57%

5Y*

-30.92%

10Y*

N/A

SPY

YTD

-5.76%

1M

-2.90%

6M

-4.30%

1Y

9.72%

5Y*

15.64%

10Y*

12.04%

*Annualized

Compare stocks, funds, or ETFs

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MJ vs. SPY - Expense Ratio Comparison

MJ has a 0.75% expense ratio, which is higher than SPY's 0.09% expense ratio.


Expense ratio chart for MJ: current value is 0.75%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
MJ: 0.75%
Expense ratio chart for SPY: current value is 0.09%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
SPY: 0.09%

Risk-Adjusted Performance

MJ vs. SPY — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

MJ
The Risk-Adjusted Performance Rank of MJ is 11
Overall Rank
The Sharpe Ratio Rank of MJ is 00
Sharpe Ratio Rank
The Sortino Ratio Rank of MJ is 00
Sortino Ratio Rank
The Omega Ratio Rank of MJ is 00
Omega Ratio Rank
The Calmar Ratio Rank of MJ is 11
Calmar Ratio Rank
The Martin Ratio Rank of MJ is 33
Martin Ratio Rank

SPY
The Risk-Adjusted Performance Rank of SPY is 6363
Overall Rank
The Sharpe Ratio Rank of SPY is 5959
Sharpe Ratio Rank
The Sortino Ratio Rank of SPY is 6161
Sortino Ratio Rank
The Omega Ratio Rank of SPY is 6464
Omega Ratio Rank
The Calmar Ratio Rank of SPY is 6666
Calmar Ratio Rank
The Martin Ratio Rank of SPY is 6565
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

MJ vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for ETFMG Alternative Harvest ETF (MJ) and SPDR S&P 500 ETF (SPY). 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.


The chart of Sharpe ratio for MJ, currently valued at -0.95, compared to the broader market-1.000.001.002.003.004.00
MJ: -0.96
SPY: 0.51
The chart of Sortino ratio for MJ, currently valued at -1.56, compared to the broader market-2.000.002.004.006.008.00
MJ: -1.56
SPY: 0.86
The chart of Omega ratio for MJ, currently valued at 0.81, compared to the broader market0.501.001.502.002.50
MJ: 0.81
SPY: 1.13
The chart of Calmar ratio for MJ, currently valued at -0.55, compared to the broader market0.002.004.006.008.0010.0012.00
MJ: -0.55
SPY: 0.55
The chart of Martin ratio for MJ, currently valued at -1.28, compared to the broader market0.0020.0040.0060.00
MJ: -1.28
SPY: 2.26

The current MJ Sharpe Ratio is -0.96, which is lower than the SPY Sharpe Ratio of 0.51. The chart below compares the historical Sharpe Ratios of MJ and SPY, 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-1.000.001.002.003.004.00NovemberDecember2025FebruaryMarchApril
-0.96
0.51
MJ
SPY

Dividends

MJ vs. SPY - Dividend Comparison

MJ's dividend yield for the trailing twelve months is around 15.03%, more than SPY's 1.30% yield.


TTM20242023202220212020201920182017201620152014
MJ
ETFMG Alternative Harvest ETF
15.03%13.84%3.59%4.13%1.93%4.60%5.26%2.23%1.98%1.35%0.00%0.00%
SPY
SPDR S&P 500 ETF
1.30%1.21%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%

Drawdowns

MJ vs. SPY - Drawdown Comparison

The maximum MJ drawdown since its inception was -96.12%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for MJ and SPY. For additional features, visit the drawdowns tool.


-100.00%-80.00%-60.00%-40.00%-20.00%0.00%NovemberDecember2025FebruaryMarchApril
-95.15%
-9.89%
MJ
SPY

Volatility

MJ vs. SPY - Volatility Comparison

ETFMG Alternative Harvest ETF (MJ) has a higher volatility of 19.26% compared to SPDR S&P 500 ETF (SPY) at 15.12%. This indicates that MJ's price experiences larger fluctuations and is considered to be riskier than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%5.00%10.00%15.00%20.00%25.00%NovemberDecember2025FebruaryMarchApril
19.26%
15.12%
MJ
SPY