MJ vs. TLRY

Last updated Jun 4, 2026

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 -35.31%/yr vs -51.38%/yr for TLRY. A 0.78 correlation means they provide meaningful diversification when combined.

Performance

MJ vs. TLRY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in ETFMG Alternative Harvest ETF (MJ) and Tilray, Inc. (TLRY). 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 higher than TLRY's -43.41% return.

MJ

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

TLRY

• 1D: -5.02%
• 1M: -13.39%
• YTD: -43.41%
• 6M: -27.62%
• 1Y: 27.62%
• 3Y*: -33.27%
• 5Y*: -51.38%
• 10Y*: —

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

MJ vs. TLRY - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018
MJ ETFMG Alternative Harvest ETF	-14.07%	13.07%	-23.97%	-24.18%	-61.55%	-22.79%	-16.18%	-31.36%	-9.11%
TLRY Tilray, Inc.	-43.41%	-32.11%	-42.17%	-14.50%	-61.74%	-14.89%	-51.78%	-75.72%	215.05%

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	0.76
Correlation (5Y) Calculated over the trailing 5-year period	0.81
Correlation (All Time) Calculated using the full available price history since Jul 20, 2018	0.78

The correlation between MJ and TLRY has been stable across timeframes, ranging from 0.76 to 0.81 - a consistent structural relationship.

Return for Risk

MJ vs. TLRY — 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

TLRY

TLRY Risk / Return Rank: 54
TLRY Sharpe Ratio Rank: 48
TLRY Sortino Ratio Rank: 66
TLRY Omega Ratio Rank: 61
TLRY Calmar Ratio Rank: 49
TLRY Martin Ratio Rank: 46

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. 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.

	MJ	TLRY	Difference
Sharpe ratio Return per unit of total volatility	0.47	0.21	+0.26
Sortino ratio Return per unit of downside risk	1.51	1.58	-0.07
Omega ratio Gain probability vs. loss probability	1.17	1.17	0.00
Calmar ratio Return relative to maximum drawdown	0.85	0.37	+0.48
Martin ratio Return relative to average drawdown	1.52	0.57	+0.95
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. TLRY - Sharpe Ratio Comparison

The current MJ Sharpe Ratio is 0.47, which is higher than the TLRY Sharpe Ratio of 0.21. The chart below compares the historical Sharpe Ratios of MJ and TLRY, 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	TLRY	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	0.47	0.21	+0.26
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	-0.59	-0.54	-0.05
Sharpe Ratio (All Time) Calculated using the full available price history	-0.48	-0.34	-0.14

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.

Drawdown Indicators

	MJ	TLRY	Difference
Max Drawdown Largest peak-to-trough decline	-96.55%	-99.83%	+3.28%
Max Drawdown (1Y) Largest decline over 1 year	-48.66%	-75.67%	+27.01%
Max Drawdown (3Y) Largest decline over 3 years	-69.73%	-89.12%	+19.39%
Max Drawdown (5Y) Largest decline over 5 years	-93.27%	-98.32%	+5.05%
Current Drawdown Current decline from peak	-94.45%	-99.76%	+5.31%
Average Drawdown Average peak-to-trough decline	-69.20%	-91.40%	+22.20%
Ulcer Index Depth and duration of drawdowns from previous peaks	27.08%	49.01%	-21.93%

Volatility

MJ vs. TLRY - Volatility Comparison

ETFMG Alternative Harvest ETF (MJ) has a higher volatility of 11.92% compared to Tilray, Inc. (TLRY) at 10.87%. This indicates that MJ's price experiences larger fluctuations and is considered to be riskier than TLRY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	MJ	TLRY	Difference
Volatility (1M) Calculated over the trailing 1-month period	11.92%	10.87%	+1.05%
Volatility (6M) Calculated over the trailing 6-month period	59.46%	64.10%	-4.64%
Volatility (1Y) Calculated over the trailing 1-year period	86.70%	131.31%	-44.61%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	59.89%	94.98%	-35.09%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	55.74%	112.04%	-56.30%

Dividends

MJ vs. TLRY - Dividend Comparison

MJ's dividend yield for the trailing twelve months is around 2.31%, while TLRY has not paid dividends to shareholders.

Position	TTM	2025	2024
MJ ETFMG Alternative Harvest ETF	2.31%	1.98%	13.80%
TLRY Tilray, Inc.	0.00%	0.00%	0.00%

Frequently Asked Questions

Can I hold both MJ and TLRY in my portfolio?

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.

Which is riskier, MJ or TLRY?

MJ has higher volatility (11.92%) compared to TLRY (10.87%). In terms of maximum drawdown, MJ dropped -96.55% vs TLRY's -99.83%.

Which has better risk-adjusted returns?

MJ currently has the higher Sharpe Ratio (0.47 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.