Marijuana stock performance is "mostly correlated," which means individual company stocks often rise and fall in lockstep with the broader industry, Nicholls said.
Even with the strong correlation, investors are better off buying a basket of marijuana stocks rather than taking a flier on one company, Nicholls said. "It's really hard to say right now how much these companies will be worth," he said, because the cannabis market is very competitive, faces a lot of regulatory challenges and could dramatically change if larger companies were to enter it.
Usually, if investors want exposure to a risky industry without picking stocks, they would buy an exchange-traded fund, which tracks stocks in a particular sector. Unfortunately for cannabis investors, there is no marijuana ETF.
That doesn't mean pot investors have to choose among GW Pharmaceuticals, penny stocks or nothing at all.
Some analysts recommend investors hold stocks of companies that supply the booming marijuana industry. For example, lawn-care products maker Scotts Miracle-Gro has been acquiring hydroponics businesses over the past year.
"The hydroponics market taps into marijuana demand and the company now has a growth option that we think an investor is able to capture for about the price of the traditional business," wrote JPMorgan analyst Jeffrey Zekauskas about Scotts Miracle-Gro in an Aug. 4 note to clients. The stock is up 32.7 percent so far this year.
Whatever route you take to investing in cannabis stocks, prepare for a long, strange trip.