DEO vs. PBJ
Compare and contrast key facts about Diageo plc (DEO) and Invesco Dynamic Food & Beverage ETF (PBJ).
PBJ is a passively managed fund by Invesco that tracks the performance of the Dynamic Food & Beverage Intellidex Index. It was launched on Jun 23, 2005.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: DEO or PBJ.
Performance
DEO vs. PBJ - Performance Comparison
Returns By Period
In the year-to-date period, DEO achieves a -15.70% return, which is significantly lower than PBJ's 3.70% return. Over the past 10 years, DEO has underperformed PBJ with an annualized return of 2.50%, while PBJ has yielded a comparatively higher 5.92% annualized return.
DEO
-15.70%
-14.50%
-13.05%
-12.94%
-3.42%
2.50%
PBJ
3.70%
-1.31%
0.09%
10.00%
8.54%
5.92%
Key characteristics
| DEO | PBJ | |
|---|---|---|
| Sharpe Ratio | -0.65 | 0.96 |
| Sortino Ratio | -0.83 | 1.45 |
| Omega Ratio | 0.91 | 1.17 |
| Calmar Ratio | -0.30 | 1.20 |
| Martin Ratio | -1.20 | 3.08 |
| Ulcer Index | 10.79% | 3.50% |
| Daily Std Dev | 20.07% | 11.20% |
| Max Drawdown | -53.18% | -39.15% |
| Current Drawdown | -42.22% | -2.68% |
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Correlation
The correlation between DEO and PBJ is 0.50, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.
Risk-Adjusted Performance
DEO vs. PBJ - Risk-Adjusted Performance 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.
Dividends
DEO vs. PBJ - Dividend Comparison
DEO's dividend yield for the trailing twelve months is around 3.47%, more than PBJ's 1.19% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
DEO Diageo plc | 3.47% | 2.77% | 2.16% | 1.82% | 2.29% | 2.07% | 2.51% | 2.21% | 3.10% | 3.19% | 4.92% | 2.21% |
PBJ Invesco Dynamic Food & Beverage ETF | 1.19% | 1.80% | 1.81% | 0.90% | 1.12% | 1.21% | 1.41% | 0.70% | 1.56% | 1.24% | 1.32% | 0.85% |
Drawdowns
DEO vs. PBJ - Drawdown Comparison
The maximum DEO drawdown since its inception was -53.18%, 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. For additional features, visit the drawdowns tool.
Volatility
DEO vs. PBJ - Volatility Comparison
Diageo plc (DEO) has a higher volatility of 5.90% compared to Invesco Dynamic Food & Beverage ETF (PBJ) at 3.15%. 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.