MSOS vs. MJ

Last updated Jun 24, 2026

MSOS (AdvisorShares Pure US Cannabis ETF) and MJ (ETFMG Alternative Harvest ETF) are both Small Cap Blend Equities funds. MSOS is actively managed, while MJ is passively managed. Over the past 5 years, MSOS returned -35.42%/yr vs -36.20%/yr for MJ. A 0.78 correlation means they provide meaningful diversification when combined. MSOS charges 0.74%/yr vs 0.75%/yr for MJ.

Performance

MSOS vs. MJ - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in AdvisorShares Pure US Cannabis ETF (MSOS) and ETFMG Alternative Harvest ETF (MJ). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, MSOS achieves a -4.66% return, which is significantly higher than MJ's -20.17% return.

MSOS

• 1D: -3.85%
• 1M: 1.58%
• YTD: -4.66%
• 6M: -4.66%
• 1Y: 118.45%
• 3Y*: -6.53%
• 5Y*: -35.42%
• 10Y*: —

MJ

• 1D: -2.02%
• 1M: -4.80%
• YTD: -20.17%
• 6M: -24.21%
• 1Y: 45.98%
• 3Y*: -9.19%
• 5Y*: -36.20%
• 10Y*: —

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

MSOS vs. MJ - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020
MSOS AdvisorShares Pure US Cannabis ETF	-4.66%	23.88%	-45.65%	0.29%	-72.68%	-29.69%	44.84%
MJ ETFMG Alternative Harvest ETF	-20.17%	13.07%	-23.97%	-24.18%	-61.55%	-22.79%	15.82%

Correlation

The correlation between MSOS and MJ is 0.89, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.89
Correlation (3Y) Calculated over the trailing 3-year period	0.86
Correlation (5Y) Calculated over the trailing 5-year period	0.80
Correlation (All Time) Calculated using the full available price history since Sep 2, 2020	0.78

The correlation between MSOS and MJ shifts across timeframes, from 0.78 (all time) to 0.89 (1 year), reflecting how their relationship changes across market environments.

MSOS vs. MJ - Sectors Allocation Comparison

Sectors	MSOS	MJ
Real Estate	50.2%	2.8%
Industrials	29.6%	-
Consumer Cyclical	17.8%	1.0%
Healthcare	2.5%	76.4%
Basic Materials	-	-
Communication Services	-	-
Consumer Defensive	-	18.9%
Energy	-	-
Financial Services	-	0.3%
Technology	-	0.6%
Utilities	-	-

Return for Risk

MSOS vs. MJ — Risk / Return Rank

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

MSOS

MSOS Risk / Return Rank: 39
MSOS Sharpe Ratio Rank: 31
MSOS Sortino Ratio Rank: 45
MSOS Omega Ratio Rank: 40
MSOS Calmar Ratio Rank: 47
MSOS Martin Ratio Rank: 30

MJ

MJ Risk / Return Rank: 23
MJ Sharpe Ratio Rank: 17
MJ Sortino Ratio Rank: 30
MJ Omega Ratio Rank: 27
MJ Calmar Ratio Rank: 22
MJ Martin Ratio Rank: 16

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.

MSOS vs. MJ - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for AdvisorShares Pure US Cannabis ETF (MSOS) and ETFMG Alternative Harvest ETF (MJ). 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.

	MSOS	MJ	Difference
Sharpe ratio: Return per unit of total volatility	1.06	0.53	+0.52
Sortino ratio: Return per unit of downside risk	2.19	1.58	+0.60
Omega ratio: Gain probability vs. loss probability	1.26	1.18	+0.08
Calmar ratio: Return relative to maximum drawdown	2.25	0.95	+1.30
Martin ratio: Return relative to average drawdown	4.21	1.63	+2.58

MSOS vs. MJ - Sharpe Ratio Comparison

The current MSOS Sharpe Ratio is 1.06, which is higher than the MJ Sharpe Ratio of 0.53. The chart below compares the historical Sharpe Ratios of MSOS and MJ, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

MSOS vs. MJ - Drawdown Comparison

The maximum MSOS drawdown since its inception was -96.25%, roughly equal to the maximum MJ drawdown of -96.55%. Use the drawdown chart below to compare losses from any high point for MSOS and MJ.

Drawdown Indicators

	MSOS	MJ	Difference
Max Drawdown Largest peak-to-trough decline	-96.25%	-96.55%	+0.30%
Max Drawdown (1Y) Largest decline over 1 year	-52.91%	-48.66%	-4.25%
Max Drawdown (3Y) Largest decline over 3 years	-81.71%	-69.73%	-11.98%
Max Drawdown (5Y) Largest decline over 5 years	-94.95%	-92.93%	-2.02%
Current Drawdown Current decline from peak	-91.80%	-94.85%	+3.05%
Average Drawdown Average peak-to-trough decline	-71.87%	-69.34%	-2.53%
Ulcer Index Depth and duration of drawdowns from previous peaks	28.27%	28.30%	-0.03%

Volatility

MSOS vs. MJ - Volatility Comparison

AdvisorShares Pure US Cannabis ETF (MSOS) has a higher volatility of 22.12% compared to ETFMG Alternative Harvest ETF (MJ) at 12.22%. This indicates that MSOS's price experiences larger fluctuations and is considered to be riskier than MJ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	MSOS	MJ	Difference
Volatility (1M) Calculated over the trailing 1-month period	22.12%	12.22%	+9.90%
Volatility (6M) Calculated over the trailing 6-month period	57.66%	40.25%	+17.41%
Volatility (1Y) Calculated over the trailing 1-year period	112.86%	86.93%	+25.93%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	78.15%	59.96%	+18.19%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	74.00%	55.65%	+18.35%

MSOS vs. MJ - Expense Ratio Comparison

MSOS has a 0.74% expense ratio, which is lower than MJ's 0.75% expense ratio.

Dividends

MSOS vs. MJ - Dividend Comparison

MSOS has not paid dividends to shareholders, while MJ's dividend yield for the trailing twelve months is around 2.49%.

Position	TTM	2025	2024	2023	2022	2021
MJ ETFMG Alternative Harvest ETF	2.49%	1.98%	13.80%	0.00%	0.00%	0.00%
MSOS AdvisorShares Pure US Cannabis ETF	0.00%	0.00%	0.00%	0.00%	0.00%	0.27%

Frequently Asked Questions

Can I hold both MSOS and MJ in my portfolio?

MSOS and MJ have a correlation of 0.89, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, MSOS or MJ?

MSOS has higher volatility (22.12%) compared to MJ (12.22%). In terms of maximum drawdown, MSOS dropped -96.25% vs MJ's -96.55%.

Which ETF is better, MSOS or MJ?

On 5-year performance, MSOS leads with -35.42% vs -36.20% for MJ. On fees, MSOS is cheaper at 0.74% per year. On volatility, MJ has been the lower-risk option at 12.22%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, MSOS or MJ?

Over the 5-year period, MSOS has performed better with a -35.42% return vs -36.20%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, MSOS or MJ?

MSOS is cheaper with a 0.74% expense ratio, compared with 0.75% for MJ.

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

MJ has the higher dividend yield at 2.49%, compared with 0.00% for MSOS.

What is the main difference between MSOS and MJ?

They also come from different issuers: AdvisorShares and ETFMG. Their fees differ too: 0.74% for MSOS and 0.75% for MJ.

Which has better risk-adjusted returns?

MSOS currently has the higher Sharpe Ratio (1.06 vs 0.53), 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.