MJ vs. TLRY
MJ (ETFMG Alternative Harvest ETF) is Small Cap Blend Equities fund tracking the Prime Alternative Harvest Index, while TLRY (Tilray, Inc.) is a stock. Over the past 5 years, MJ returned -36.20%/yr vs -52.09%/yr for TLRY. A 0.78 correlation means they provide meaningful diversification when combined.
Performance
MJ vs. TLRY - Performance Comparison
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Returns By Period
In the year-to-date period, MJ achieves a -20.17% return, which is significantly higher than TLRY's -48.95% return.
MJ
- 1D
- -2.02%
- 1M
- -4.80%
- YTD
- -20.17%
- 6M
- -24.21%
- 1Y
- 45.98%
- 3Y*
- -9.19%
- 5Y*
- -36.20%
- 10Y*
- —
TLRY
- 1D
- 0.44%
- 1M
- -12.85%
- YTD
- -48.95%
- 6M
- -56.22%
- 1Y
- 27.88%
- 3Y*
- -32.81%
- 5Y*
- -52.09%
- 10Y*
- —
MJ vs. TLRY - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | |
|---|---|---|---|---|---|---|---|---|---|
MJ ETFMG Alternative Harvest ETF | -20.17% | 13.07% | -23.97% | -24.18% | -61.55% | -22.79% | -16.18% | -31.36% | -10.48% |
TLRY Tilray, Inc. | -48.95% | -32.11% | -42.17% | -14.50% | -61.74% | -14.89% | -51.78% | -75.72% | 206.03% |
Correlation
The correlation between MJ and TLRY is 0.79, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.79 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.75 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.81 |
Correlation (All Time) Calculated using the full available price history since Jul 19, 2018 | 0.78 |
The correlation between MJ and TLRY has been stable across timeframes, ranging from 0.75 to 0.81 - a consistent structural relationship.
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Return for Risk
MJ vs. TLRY — Risk / Return Rank
MJ
TLRY
MJ vs. TLRY - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for ETFMG Alternative Harvest ETF (MJ) and Tilray, Inc. (TLRY). 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| MJ | TLRY | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.32 | ||
| Sortino ratioReturn per unit of downside risk | -0.01 | ||
| Omega ratioGain probability vs. loss probability | 1.18 | 1.17 | +0.01 |
| Calmar ratioReturn relative to maximum drawdown | 0.95 | 0.36 | +0.59 |
| Martin ratioReturn relative to average drawdown | 1.63 | 0.54 | +1.09 |
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Drawdowns
MJ vs. TLRY - Drawdown Comparison
The maximum MJ drawdown since its inception was -96.55%, roughly equal to the maximum TLRY drawdown of -99.83%. Use the drawdown chart below to compare losses from any high point for MJ and TLRY.
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Drawdown Indicators
| MJ | TLRY | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -96.55% | -99.83% | +3.28% |
Max Drawdown (1Y)Largest decline over 1 year | -48.66% | -78.14% | +29.48% |
Max Drawdown (3Y)Largest decline over 3 years | -69.73% | -89.12% | +19.39% |
Max Drawdown (5Y)Largest decline over 5 years | -92.93% | -98.07% | +5.14% |
Current DrawdownCurrent decline from peak | -94.85% | -99.78% | +4.93% |
Average DrawdownAverage peak-to-trough decline | -69.34% | -91.41% | +22.07% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 28.30% | 51.97% | -23.67% |
Volatility
MJ vs. TLRY - Volatility Comparison
ETFMG Alternative Harvest ETF (MJ) and Tilray, Inc. (TLRY) have volatilities of 12.22% and 11.71%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| MJ | TLRY | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 12.22% | 11.71% | +0.51% |
Volatility (6M)Calculated over the trailing 6-month period | 40.25% | 41.86% | -1.61% |
Volatility (1Y)Calculated over the trailing 1-year period | 86.93% | 130.78% | -43.85% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 59.96% | 94.88% | -34.92% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 55.65% | 111.70% | -56.05% |
Dividends
MJ vs. TLRY - Dividend Comparison
MJ's dividend yield for the trailing twelve months is around 2.49%, while TLRY has not paid dividends to shareholders.
| Position | TTM | 2025 | 2024 |
|---|---|---|---|
MJ ETFMG Alternative Harvest ETF | 2.49% | 1.98% | 13.80% |
TLRY Tilray, Inc. | 0.00% | 0.00% | 0.00% |
Frequently Asked Questions
MJ and TLRY have a correlation of 0.79, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
MJ has higher volatility (12.22%) compared to TLRY (11.71%). In terms of maximum drawdown, MJ dropped -96.55% vs TLRY's -99.83%.
MJ currently has the higher Sharpe Ratio (0.53 vs 0.21), 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.
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