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 -34.03%/yr vs -49.99%/yr for TLRY. A 0.78 correlation means they provide meaningful diversification when combined.
Performance
MJ vs. TLRY - Performance Comparison
Loading charts...
Returns By Period
In the year-to-date period, MJ achieves a -20.11% return, which is significantly higher than TLRY's -51.83% return.
MJ
- 1D
- 0.98%
- 1M
- -5.74%
- 6M
- -21.83%
- YTD
- -20.11%
- 1Y
- 21.05%
- 3Y*
- -10.46%
- 5Y*
- -34.03%
- 10Y*
- —
TLRY
- 1D
- -0.68%
- 1M
- -10.86%
- 6M
- -55.20%
- YTD
- -51.83%
- 1Y
- -27.82%
- 3Y*
- -36.39%
- 5Y*
- -49.99%
- 10Y*
- —
MJ vs. TLRY - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | |
|---|---|---|---|---|---|---|---|---|---|
MJ ETFMG Alternative Harvest ETF | -20.11% | 13.07% | -23.97% | -24.18% | -61.55% | -22.79% | -16.18% | -31.36% | -10.48% |
TLRY Tilray, Inc. | -51.83% | -32.11% | -42.17% | -14.50% | -61.74% | -14.89% | -51.78% | -75.72% | 206.03% |
Correlation
The correlation between MJ and TLRY is 0.78, 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 | 0.78 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.75 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.80 |
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 0.80 - a consistent structural relationship.
Compare stocks, funds, or ETFs
Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.
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 | +0.47 | ||
| Sortino ratioReturn per unit of downside risk | +0.57 | ||
| Omega ratioGain probability vs. loss probability | 1.13 | 1.07 | +0.07 |
| Calmar ratioReturn relative to maximum drawdown | 0.43 | -0.35 | +0.79 |
| Martin ratioReturn relative to average drawdown | 0.70 | -0.50 | +1.20 |
Loading charts...
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.
Loading charts...
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% | -79.48% | +30.82% |
Max Drawdown (3Y)Largest decline over 3 years | -69.73% | -89.12% | +19.39% |
Max Drawdown (5Y)Largest decline over 5 years | -92.00% | -97.75% | +5.75% |
Current DrawdownCurrent decline from peak | -94.84% | -99.80% | +4.96% |
Average DrawdownAverage peak-to-trough decline | -69.53% | -91.48% | +21.95% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 30.08% | 55.60% | -25.52% |
Volatility
MJ vs. TLRY - Volatility Comparison
ETFMG Alternative Harvest ETF (MJ) has a higher volatility of 11.45% compared to Tilray, Inc. (TLRY) at 10.41%. 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.
Loading charts...
Volatility by Period
| MJ | TLRY | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 11.45% | 10.41% | +1.04% |
Volatility (6M)Calculated over the trailing 6-month period | 39.73% | 39.70% | +0.03% |
Volatility (1Y)Calculated over the trailing 1-year period | 86.44% | 125.93% | -39.49% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 60.05% | 94.80% | -34.75% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 55.56% | 111.30% | -55.74% |
Dividends
MJ vs. TLRY - Dividend Comparison
MJ's dividend yield for the trailing twelve months is around 2.48%, while TLRY has not paid dividends to shareholders.
| Position | TTM | 2025 | 2024 |
|---|---|---|---|
MJ ETFMG Alternative Harvest ETF | 2.48% | 1.98% | 13.80% |
TLRY Tilray, Inc. | 0.00% | 0.00% | 0.00% |
Frequently Asked Questions
MJ and TLRY have a correlation of 0.78, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
MJ has higher volatility (11.45%) compared to TLRY (10.41%). In terms of maximum drawdown, MJ dropped -96.55% vs TLRY's -99.83%.
MJ currently has the higher Sharpe Ratio (0.24 vs -0.22), 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.
Find the right allocation for MJ and TLRY
Add both to a portfolio and optimize allocations for your target — whether that's maximizing returns, minimizing drawdowns, or balancing risk across holdings.
Open Portfolio Optimizer