DEO vs. PBJ

Last updated Jul 14, 2026

DEO (Diageo plc) is a stock, while PBJ (Invesco Dynamic Food & Beverage ETF) is Consumer Staples Equities fund tracking the Dynamic Food & Beverage Intellidex Index. Over the past 10 years, DEO returned -0.54%/yr vs 4.93%/yr for PBJ. At a 0.49 correlation, their price movements are largely independent.

Performance

DEO vs. PBJ - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Diageo plc (DEO) and Invesco Dynamic Food & Beverage ETF (PBJ). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, DEO achieves a -3.40% return, which is significantly lower than PBJ's 9.17% return. Over the past 10 years, DEO has underperformed PBJ with an annualized return of -0.54%, while PBJ has yielded a comparatively higher 4.93% annualized return.

DEO

• 1D: 0.57%
• 1M: 0.87%
• 6M: -8.31%
• YTD: -3.40%
• 1Y: -17.42%
• 3Y*: -20.04%
• 5Y*: -13.37%
• 10Y*: -0.54%

PBJ

• 1D: 0.39%
• 1M: 0.41%
• 6M: 7.83%
• YTD: 9.17%
• 1Y: 3.24%
• 3Y*: 4.16%
• 5Y*: 4.96%
• 10Y*: 4.93%

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

DEO vs. PBJ - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
DEO Diageo plc	-3.40%	-29.31%	-10.09%	-16.28%	-17.40%	41.72%	-3.26%	21.39%	-0.43%	44.13%
PBJ Invesco Dynamic Food & Beverage ETF	9.17%	-1.86%	2.49%	2.31%	3.14%	26.88%	5.53%	17.50%	-11.21%	1.87%

Correlation

The correlation between DEO and PBJ is 0.47, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.47
Correlation (3Y) Calculated over the trailing 3-year period	0.42
Correlation (5Y) Calculated over the trailing 5-year period	0.45
Correlation (10Y) Calculated over the trailing 10-year period	0.45
Correlation (All Time) Calculated using the full available price history since Jun 23, 2005	0.49

Return for Risk

DEO vs. PBJ — Risk / Return Rank

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

DEO

DEO Risk / Return Rank: 24
DEO Sharpe Ratio Rank: 21
DEO Sortino Ratio Rank: 22
DEO Omega Ratio Rank: 21
DEO Calmar Ratio Rank: 27
DEO Martin Ratio Rank: 29

PBJ

PBJ Risk / Return Rank: 13
PBJ Sharpe Ratio Rank: 14
PBJ Sortino Ratio Rank: 12
PBJ Omega Ratio Rank: 12
PBJ Calmar Ratio Rank: 13
PBJ Martin Ratio Rank: 13

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.

DEO vs. PBJ - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Diageo plc (DEO) and Invesco Dynamic Food & Beverage ETF (PBJ). 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.

	DEO	PBJ	Difference
Sharpe ratio: Return per unit of total volatility	-0.53	0.25	-0.79
Sortino ratio: Return per unit of downside risk	-0.55	0.44	-0.99
Omega ratio: Gain probability vs. loss probability	0.93	1.05	-0.12
Calmar ratio: Return relative to maximum drawdown	-0.49	0.26	-0.75
Martin ratio: Return relative to average drawdown	-0.82	0.58	-1.40

DEO vs. PBJ - Sharpe Ratio Comparison

The current DEO Sharpe Ratio is -0.53, which is lower than the PBJ Sharpe Ratio of 0.25. The chart below compares the historical Sharpe Ratios of DEO and PBJ, 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

DEO vs. PBJ - Drawdown Comparison

The maximum DEO drawdown since its inception was -63.41%, which is greater than PBJ's maximum drawdown of -39.15%. Use the drawdown chart below to compare losses from any high point for DEO and PBJ.

Drawdown Indicators

	DEO	PBJ	Difference
Max Drawdown Largest peak-to-trough decline	-63.41%	-39.15%	-24.26%
Max Drawdown (1Y) Largest decline over 1 year	-35.52%	-12.48%	-23.04%
Max Drawdown (3Y) Largest decline over 3 years	-56.07%	-12.99%	-43.08%
Max Drawdown (5Y) Largest decline over 5 years	-63.41%	-15.81%	-47.60%
Max Drawdown (10Y) Largest decline over 10 years	-63.41%	-28.49%	-34.92%
Current Drawdown Current decline from peak	-57.92%	-4.04%	-53.88%
Average Drawdown Average peak-to-trough decline	-13.14%	-5.40%	-7.74%
Ulcer Index Depth and duration of drawdowns from previous peaks	21.25%	5.56%	+15.69%

Volatility

DEO vs. PBJ - Volatility Comparison

Diageo plc (DEO) has a higher volatility of 8.93% compared to Invesco Dynamic Food & Beverage ETF (PBJ) at 4.50%. This indicates that DEO's price experiences larger fluctuations and is considered to be riskier than PBJ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	DEO	PBJ	Difference
Volatility (1M) Calculated over the trailing 1-month period	8.93%	4.50%	+4.43%
Volatility (6M) Calculated over the trailing 6-month period	26.95%	9.62%	+17.33%
Volatility (1Y) Calculated over the trailing 1-year period	32.83%	12.80%	+20.03%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	25.00%	13.80%	+11.20%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	23.40%	15.11%	+8.29%

Dividends

DEO vs. PBJ - Dividend Comparison

DEO's dividend yield for the trailing twelve months is around 4.02%, more than PBJ's 1.26% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
DEO Diageo plc	4.02%	4.80%	3.26%	2.77%	2.16%	1.82%	2.29%	2.07%	2.51%	2.18%	3.00%	3.13%
PBJ Invesco Dynamic Food & Beverage ETF	1.26%	1.83%	1.11%	1.81%	1.82%	0.90%	1.12%	1.21%	1.41%	0.70%	1.56%	1.24%

Frequently Asked Questions

Can I hold both DEO and PBJ in my portfolio?

DEO and PBJ have a correlation of 0.47, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, DEO or PBJ?

DEO has higher volatility (8.93%) compared to PBJ (4.50%). In terms of maximum drawdown, DEO dropped -63.41% vs PBJ's -39.15%.

Which has better risk-adjusted returns?

PBJ currently has the higher Sharpe Ratio (0.25 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.