DEO vs. IEO
DEO (Diageo plc) is a stock, while IEO (iShares U.S. Oil & Gas Exploration & Production ETF) is Energy Equities fund tracking the Dow Jones U.S. Select Oil Exploration & Production Index. Over the past 10 years, DEO returned -0.66%/yr vs 10.42%/yr for IEO. At a 0.30 correlation, their price movements are largely independent.
Performance
DEO vs. IEO - Performance Comparison
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Returns By Period
In the year-to-date period, DEO achieves a -7.89% return, which is significantly lower than IEO's 34.59% return. Over the past 10 years, DEO has underperformed IEO with an annualized return of -0.66%, while IEO has yielded a comparatively higher 10.42% annualized return.
DEO
- 1D
- -0.77%
- 1M
- 0.20%
- YTD
- -7.89%
- 6M
- -13.68%
- 1Y
- -24.21%
- 3Y*
- -20.32%
- 5Y*
- -14.06%
- 10Y*
- -0.66%
IEO
- 1D
- 1.66%
- 1M
- -3.23%
- YTD
- 34.59%
- 6M
- 26.42%
- 1Y
- 40.11%
- 3Y*
- 16.01%
- 5Y*
- 18.96%
- 10Y*
- 10.42%
DEO vs. IEO - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
DEO Diageo plc | -7.89% | -29.31% | -10.09% | -16.28% | -17.40% | 41.72% | -3.26% | 21.39% | -0.43% | 44.13% |
IEO iShares U.S. Oil & Gas Exploration & Production ETF | 34.59% | 2.15% | -1.45% | 3.57% | 57.82% | 75.57% | -32.77% | 9.63% | -19.44% | 0.33% |
Correlation
The correlation between DEO and IEO is 0.03, meaning there is essentially no relationship between their price movements. Each responds to its own set of market drivers, making them strong candidates for combining in a diversified portfolio.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.03 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.10 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.15 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.19 |
Correlation (All Time) Calculated using the full available price history since May 8, 2006 | 0.30 |
Over the past year, the correlation between DEO and IEO has dropped to 0.03 - well below their long-term average of 0.30, suggesting their price drivers have been diverging.
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Return for Risk
DEO vs. IEO — Risk / Return Rank
DEO
IEO
DEO vs. IEO - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Diageo plc (DEO) and iShares U.S. Oil & Gas Exploration & Production ETF (IEO). 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.
| DEO | IEO | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -2.35 | ||
| Sortino ratioReturn per unit of downside risk | -3.01 | ||
| Omega ratioGain probability vs. loss probability | 0.88 | 1.26 | -0.38 |
| Calmar ratioReturn relative to maximum drawdown | -0.68 | 2.82 | -3.50 |
| Martin ratioReturn relative to average drawdown | -1.24 | 7.63 | -8.87 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| DEO | IEO | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | -0.74 | 1.61 | -2.35 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | -0.57 | 0.62 | -1.20 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | -0.03 | 0.30 | -0.33 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.29 | 0.17 | +0.12 |
Drawdowns
DEO vs. IEO - Drawdown Comparison
The maximum DEO drawdown since its inception was -63.41%, smaller than the maximum IEO drawdown of -79.17%. Use the drawdown chart below to compare losses from any high point for DEO and IEO.
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Drawdown Indicators
| DEO | IEO | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -63.41% | -79.17% | +15.76% |
Max Drawdown (1Y)Largest decline over 1 year | -35.52% | -14.30% | -21.22% |
Max Drawdown (3Y)Largest decline over 3 years | -56.07% | -31.46% | -24.61% |
Max Drawdown (5Y)Largest decline over 5 years | -63.41% | -31.46% | -31.95% |
Max Drawdown (10Y)Largest decline over 10 years | -63.41% | -75.00% | +11.59% |
Current DrawdownCurrent decline from peak | -59.87% | -7.30% | -52.57% |
Average DrawdownAverage peak-to-trough decline | -12.98% | -26.27% | +13.29% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 19.57% | 5.28% | +14.29% |
Volatility
DEO vs. IEO - Volatility Comparison
Diageo plc (DEO) and iShares U.S. Oil & Gas Exploration & Production ETF (IEO) have volatilities of 9.34% and 9.32%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| DEO | IEO | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 9.34% | 9.32% | +0.02% |
Volatility (6M)Calculated over the trailing 6-month period | 26.71% | 19.86% | +6.85% |
Volatility (1Y)Calculated over the trailing 1-year period | 32.66% | 25.15% | +7.51% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 24.72% | 30.54% | -5.82% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 23.41% | 35.00% | -11.59% |
Dividends
DEO vs. IEO - Dividend Comparison
DEO's dividend yield for the trailing twelve months is around 4.22%, more than IEO's 1.97% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
DEO Diageo plc | 4.22% | 4.80% | 3.26% | 2.77% | 2.16% | 1.82% | 2.29% | 2.07% | 2.51% | 2.18% | 3.00% | 3.13% |
IEO iShares U.S. Oil & Gas Exploration & Production ETF | 1.97% | 2.61% | 2.63% | 3.00% | 3.77% | 2.62% | 3.17% | 1.85% | 1.67% | 0.94% | 0.98% | 2.03% |
Frequently Asked Questions
DEO and IEO have a correlation of 0.03, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
DEO has higher volatility (9.34%) compared to IEO (9.32%). In terms of maximum drawdown, DEO dropped -63.41% vs IEO's -79.17%.
IEO currently has the higher Sharpe Ratio (1.61 vs -0.74), 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.
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