YOLO vs. MJ

Last updated Jul 14, 2026

YOLO (AdvisorShares Pure Cannabis ETF) and MJ (ETFMG Alternative Harvest ETF) are both exchange-traded funds - YOLO is a Cannabis fund actively managed by AdvisorShares, while MJ is a Small Cap Blend Equities fund tracking the Prime Alternative Harvest Index. YOLO is actively managed, while MJ is passively managed. Over the past 5 years, YOLO returned -31.91%/yr vs -34.42%/yr for MJ. Their correlation of 0.88 suggests significant overlap in exposure. Both charge a 0.75% expense ratio.

Performance

YOLO vs. MJ - Performance Comparison

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

Returns By Period

The year-to-date returns for both investments are quite close, with YOLO having a -18.79% return and MJ slightly higher at -18.76%.

YOLO

• 1D: -1.64%
• 1M: -10.07%
• 6M: -20.71%
• YTD: -18.79%
• 1Y: 24.65%
• 3Y*: -0.23%
• 5Y*: -31.91%
• 10Y*: —

MJ

• 1D: 1.64%
• 1M: -4.54%
• 6M: -22.56%
• YTD: -18.76%
• 1Y: 16.68%
• 3Y*: -10.44%
• 5Y*: -34.42%
• 10Y*: —

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

YOLO vs. MJ - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019
YOLO AdvisorShares Pure Cannabis ETF	-18.79%	36.36%	-17.81%	-15.10%	-72.21%	-20.48%	47.17%	-51.27%
MJ ETFMG Alternative Harvest ETF	-18.76%	13.07%	-23.97%	-24.18%	-61.55%	-22.79%	-16.18%	-49.78%

Correlation

The correlation between YOLO 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	0.87
Correlation (5Y) Calculated over the trailing 5-year period	0.87
Correlation (All Time) Calculated using the full available price history since Apr 18, 2019	0.88

The correlation between YOLO and MJ has been stable across timeframes, ranging from 0.87 to 0.89 - a consistent structural relationship.

YOLO vs. MJ - Sectors Allocation Comparison

Sectors	YOLO	MJ
Healthcare	43.4%	76.4%
Financial Services	25.4%	0.3%
Consumer Defensive	10.5%	18.9%
Consumer Cyclical	0.9%	1.0%
Real Estate	0.7%	2.8%
Basic Materials	-	-
Communication Services	-	-
Energy	-	-
Industrials	-	-
Technology	-	0.6%
Utilities	-	-

Return for Risk

YOLO vs. MJ — Risk / Return Rank

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

YOLO

YOLO Risk / Return Rank: 19
YOLO Sharpe Ratio Rank: 15
YOLO Sortino Ratio Rank: 25
YOLO Omega Ratio Rank: 23
YOLO Calmar Ratio Rank: 18
YOLO Martin Ratio Rank: 15

MJ

MJ Risk / Return Rank: 17
MJ Sharpe Ratio Rank: 13
MJ Sortino Ratio Rank: 23
MJ Omega Ratio Rank: 21
MJ Calmar Ratio Rank: 14
MJ Martin Ratio Rank: 12

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.

YOLO vs. MJ - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for AdvisorShares Pure Cannabis ETF (YOLO) 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.

	YOLO	MJ	Difference
Sharpe ratio: Return per unit of total volatility	0.33	0.19	+0.14
Sortino ratio: Return per unit of downside risk	1.15	1.08	+0.07
Omega ratio: Gain probability vs. loss probability	1.14	1.12	+0.01
Calmar ratio: Return relative to maximum drawdown	0.60	0.34	+0.26
Martin ratio: Return relative to average drawdown	1.02	0.56	+0.46

YOLO vs. MJ - Sharpe Ratio Comparison

The current YOLO Sharpe Ratio is 0.33, which is higher than the MJ Sharpe Ratio of 0.19. The chart below compares the historical Sharpe Ratios of YOLO 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

YOLO vs. MJ - Drawdown Comparison

The maximum YOLO drawdown since its inception was -94.68%, roughly equal to the maximum MJ drawdown of -96.55%. Use the drawdown chart below to compare losses from any high point for YOLO and MJ.

Drawdown Indicators

	YOLO	MJ	Difference
Max Drawdown Largest peak-to-trough decline	-94.68%	-96.55%	+1.87%
Max Drawdown (1Y) Largest decline over 1 year	-41.09%	-48.66%	+7.57%
Max Drawdown (3Y) Largest decline over 3 years	-66.45%	-69.73%	+3.28%
Max Drawdown (5Y) Largest decline over 5 years	-91.69%	-92.00%	+0.31%
Current Drawdown Current decline from peak	-90.50%	-94.76%	+4.26%
Average Drawdown Average peak-to-trough decline	-69.21%	-69.50%	+0.29%
Ulcer Index Depth and duration of drawdowns from previous peaks	24.14%	29.74%	-5.60%

Volatility

YOLO vs. MJ - Volatility Comparison

AdvisorShares Pure Cannabis ETF (YOLO) has a higher volatility of 14.74% compared to ETFMG Alternative Harvest ETF (MJ) at 11.97%. This indicates that YOLO'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

	YOLO	MJ	Difference
Volatility (1M) Calculated over the trailing 1-month period	14.74%	11.97%	+2.77%
Volatility (6M) Calculated over the trailing 6-month period	38.70%	39.92%	-1.22%
Volatility (1Y) Calculated over the trailing 1-year period	75.51%	86.88%	-11.37%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	54.01%	60.09%	-6.08%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	51.31%	55.59%	-4.28%

YOLO vs. MJ - Expense Ratio Comparison

Both YOLO and MJ have an expense ratio of 0.75%.

Dividends

YOLO vs. MJ - Dividend Comparison

YOLO has not paid dividends to shareholders, while MJ's dividend yield for the trailing twelve months is around 2.44%.

Position	TTM	2025	2024	2023	2022	2021	2020	2019
MJ ETFMG Alternative Harvest ETF	2.44%	1.98%	13.80%	0.00%	0.00%	0.00%	0.00%	0.00%
YOLO AdvisorShares Pure Cannabis ETF	0.00%	0.00%	3.57%	1.17%	0.55%	3.93%	2.03%	4.52%

Frequently Asked Questions

Can I hold both YOLO and MJ in my portfolio?

YOLO 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, YOLO or MJ?

YOLO has higher volatility (14.74%) compared to MJ (11.97%). In terms of maximum drawdown, YOLO dropped -94.68% vs MJ's -96.55%.

Which ETF is better, YOLO or MJ?

On 5-year performance, YOLO leads with -31.91% vs -34.42% for MJ. Both ETFs have the same 0.75% expense ratio. On volatility, MJ has been the lower-risk option at 11.97%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, YOLO or MJ?

Over the 5-year period, YOLO has performed better with a -31.91% return vs -34.42%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, YOLO or MJ?

YOLO and MJ have the same expense ratio: 0.75% per year.

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

MJ has the higher dividend yield at 2.44%, compared with 0.00% for YOLO.

What is the main difference between YOLO and MJ?

YOLO is categorized as Cannabis, while MJ is Small Cap Blend Equities. They also come from different issuers: AdvisorShares and ETFMG.

Which has better risk-adjusted returns?

YOLO currently has the higher Sharpe Ratio (0.33 vs 0.19), 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.