It has now been almost four weeks since the highly-touted Horizons Medical Marijuana Life Sciences ETF (TSX:HMMJ) has been added to the TSX, and investors have had ample time to sit back, relax, and wait for the long-awaited returns to "roll" in.

Thing is, the fund's returns are basically flat (technically up just over 1%, but who's counting). In fact, the fund is trading closer to its low than its high, due to a selloff following an enthusiastic run in the days following the opening of the ETF.

Looking at three Canadian medical marijuana companies in the top 5 holdings of the fund: Aurora Cannabis Inc. (TSXV:ACB), Aphria Inc. (TSX:APH) and Canopy Growth Corp. (TSX:WEED), we can see that the marijuana ETF generally follows the stock chart pattern of its larger holdings: Aurora and Aphria, looking less like Canopy's stock chart over the past month.

This is what an ETF does – it simply diversifies risk and return over a sector, approximating what an investor would receive with an investment in most major names in a given sector, along with a few companies that are in related industries. Over the past four weeks, Aurora and Aphria have approximated the returns of the ETF (may have been slightly higher), however the double-digit drop in Canopy's stock would have been avoided by purchasing this ETF.

Investors are largely looking for safety with respect to marijuana stocks. As more analysis has come out on the industry, with much of it pointing to the fact that many of these names could be overvalued, Horizons Medical Marijuana Life Sciences ETF has become an interesting play.