MJ vs. HSMV

Last updated Jun 4, 2026

MJ (ETFMG Alternative Harvest ETF) and HSMV (First Trust Horizon Managed Volatility Small/Mid ETF) are both Small Cap Blend Equities funds. MJ is passively managed, while HSMV is actively managed. Over the past 5 years, MJ returned -35.31%/yr vs 3.69%/yr for HSMV. At a 0.42 correlation, their price movements are largely independent. MJ charges 0.75%/yr vs 0.80%/yr for HSMV.

Performance

MJ vs. HSMV - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in ETFMG Alternative Harvest ETF (MJ) and First Trust Horizon Managed Volatility Small/Mid ETF (HSMV). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, MJ achieves a -14.07% return, which is significantly lower than HSMV's 3.11% return.

MJ

• 1D: -3.25%
• 1M: -5.09%
• YTD: -14.07%
• 6M: 1.76%
• 1Y: 40.95%
• 3Y*: -7.86%
• 5Y*: -35.31%
• 10Y*: —

HSMV

• 1D: -0.50%
• 1M: -2.09%
• YTD: 3.11%
• 6M: 3.06%
• 1Y: 4.19%
• 3Y*: 8.36%
• 5Y*: 3.69%
• 10Y*: —

*Multi-year figures are annualized to reflect compound growth (CAGR)

MJ vs. HSMV - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020
MJ ETFMG Alternative Harvest ETF	-14.07%	13.07%	-23.97%	-24.18%	-61.55%	-22.79%	30.45%
HSMV First Trust Horizon Managed Volatility Small/Mid ETF	3.11%	1.57%	13.17%	5.01%	-9.44%	23.72%	34.70%

Correlation

The correlation between MJ and HSMV is 0.15, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.15
Correlation (3Y) Calculated over the trailing 3-year period	0.30
Correlation (5Y) Calculated over the trailing 5-year period	0.41
Correlation (All Time) Calculated using the full available price history since Apr 8, 2020	0.42

Over the past year, the correlation between MJ and HSMV has dropped to 0.15 - well below their long-term average of 0.42, suggesting their price drivers have been diverging.

MJ vs. HSMV - Sectors Allocation Comparison

Sectors	MJ	HSMV
Healthcare	76.5%	4.9%
Consumer Defensive	18.6%	7.9%
Real Estate	3.0%	23.8%
Consumer Cyclical	0.9%	7.8%
Technology	0.6%	1.7%
Financial Services	0.3%	16.6%
Basic Materials	-	5.4%
Communication Services	-	2.3%
Energy	-	2.8%
Industrials	-	15.0%
Utilities	-	11.9%

Return for Risk

MJ vs. HSMV — Risk / Return Rank

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

MJ

MJ Risk / Return Rank: 21
MJ Sharpe Ratio Rank: 16
MJ Sortino Ratio Rank: 27
MJ Omega Ratio Rank: 25
MJ Calmar Ratio Rank: 19
MJ Martin Ratio Rank: 16

HSMV

HSMV Risk / Return Rank: 15
HSMV Sharpe Ratio Rank: 15
HSMV Sortino Ratio Rank: 15
HSMV Omega Ratio Rank: 14
HSMV Calmar Ratio Rank: 16
HSMV Martin Ratio Rank: 17

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

MJ vs. HSMV - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for ETFMG Alternative Harvest ETF (MJ) and First Trust Horizon Managed Volatility Small/Mid ETF (HSMV). 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.

	MJ	HSMV	Difference
Sharpe ratio Return per unit of total volatility	0.47	0.41	+0.07
Sortino ratio Return per unit of downside risk	1.51	0.68	+0.83
Omega ratio Gain probability vs. loss probability	1.17	1.07	+0.10
Calmar ratio Return relative to maximum drawdown	0.85	0.54	+0.31
Martin ratio Return relative to average drawdown	1.52	1.62	-0.11
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

MJ vs. HSMV - Sharpe Ratio Comparison

The current MJ Sharpe Ratio is 0.47, which is comparable to the HSMV Sharpe Ratio of 0.41. The chart below compares the historical Sharpe Ratios of MJ and HSMV, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	MJ	HSMV	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	0.47	0.41	+0.07
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	-0.59	0.25	-0.84
Sharpe Ratio (All Time) Calculated using the full available price history	-0.48	0.67	-1.16

Drawdowns

MJ vs. HSMV - Drawdown Comparison

The maximum MJ drawdown since its inception was -96.55%, which is greater than HSMV's maximum drawdown of -19.16%. Use the drawdown chart below to compare losses from any high point for MJ and HSMV.

Drawdown Indicators

	MJ	HSMV	Difference
Max Drawdown Largest peak-to-trough decline	-96.55%	-19.16%	-77.39%
Max Drawdown (1Y) Largest decline over 1 year	-48.66%	-7.83%	-40.83%
Max Drawdown (3Y) Largest decline over 3 years	-69.73%	-15.45%	-54.28%
Max Drawdown (5Y) Largest decline over 5 years	-93.27%	-19.16%	-74.11%
Current Drawdown Current decline from peak	-94.45%	-4.36%	-90.09%
Average Drawdown Average peak-to-trough decline	-69.20%	-5.62%	-63.58%
Ulcer Index Depth and duration of drawdowns from previous peaks	27.08%	2.59%	+24.49%

Volatility

MJ vs. HSMV - Volatility Comparison

ETFMG Alternative Harvest ETF (MJ) has a higher volatility of 11.92% compared to First Trust Horizon Managed Volatility Small/Mid ETF (HSMV) at 2.85%. This indicates that MJ's price experiences larger fluctuations and is considered to be riskier than HSMV based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	MJ	HSMV	Difference
Volatility (1M) Calculated over the trailing 1-month period	11.92%	2.85%	+9.07%
Volatility (6M) Calculated over the trailing 6-month period	59.46%	7.28%	+52.18%
Volatility (1Y) Calculated over the trailing 1-year period	86.70%	10.37%	+76.33%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	59.89%	15.00%	+44.89%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	55.74%	16.06%	+39.68%

MJ vs. HSMV - Expense Ratio Comparison

MJ has a 0.75% expense ratio, which is lower than HSMV's 0.80% expense ratio.

Dividends

MJ vs. HSMV - Dividend Comparison

MJ's dividend yield for the trailing twelve months is around 2.31%, more than HSMV's 2.00% yield.

Position	TTM	2025	2024	2023	2022	2021	2020
HSMV First Trust Horizon Managed Volatility Small/Mid ETF	2.00%	2.01%	1.43%	1.43%	1.26%	0.76%	0.80%
MJ ETFMG Alternative Harvest ETF	2.31%	1.98%	13.80%	0.00%	0.00%	0.00%	0.00%

Frequently Asked Questions

Can I hold both MJ and HSMV in my portfolio?

MJ and HSMV have a correlation of 0.15, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, MJ or HSMV?

MJ has higher volatility (11.92%) compared to HSMV (2.85%). In terms of maximum drawdown, MJ dropped -96.55% vs HSMV's -19.16%.

Which ETF is better, MJ or HSMV?

On 5-year performance, HSMV leads with 3.69% vs -35.31% for MJ. On fees, MJ is cheaper at 0.75% per year. On volatility, HSMV has been the lower-risk option at 2.85%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, MJ or HSMV?

Over the 5-year period, HSMV has performed better with a 3.69% return vs -35.31%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, MJ or HSMV?

MJ is cheaper with a 0.75% expense ratio, compared with 0.80% for HSMV.

Which ETF pays a higher dividend yield, MJ or HSMV?

MJ has the higher dividend yield at 2.31%, compared with 2.00% for HSMV.

What is the main difference between MJ and HSMV?

They also come from different issuers: ETFMG and First Trust. Their fees differ too: 0.75% for MJ and 0.80% for HSMV.

Which has better risk-adjusted returns?

MJ currently has the higher Sharpe Ratio (0.47 vs 0.41), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.