DEO vs. PBJ
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 -0.14%/yr vs 4.90%/yr for PBJ. Their 0.49 correlation means their historical movements had little consistent relationship.
Performance
DEO vs. PBJ - Performance Comparison
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Returns By Period
In the year-to-date period, DEO achieves a 3.11% return, which is significantly lower than PBJ's 7.14% return. Over the past 10 years, DEO has underperformed PBJ with an annualized return of -0.14%, while PBJ has yielded a comparatively higher 4.90% annualized return.
DEO
- 1D
- -1.12%
- 1M
- 7.18%
- 6M
- -4.15%
- YTD
- 3.11%
- 1Y
- -6.34%
- 3Y*
- -17.93%
- 5Y*
- -12.60%
- 10Y*
- -0.14%
- ALL TIME*
- 7.45%
PBJ
- 1D
- -1.60%
- 1M
- -0.70%
- 6M
- 0.28%
- YTD
- 7.14%
- 1Y
- 1.25%
- 3Y*
- 3.00%
- 5Y*
- 4.47%
- 10Y*
- 4.90%
- ALL TIME*
- 7.12%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
DEO Diageo plc | $88.28M | $81.71M | $94.75M |
| $433.06K | $1.59M | $798.42K |
DEO vs. PBJ - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
DEO Diageo plc | 3.11% | -29.31% | -10.09% | -16.28% | -17.40% | 41.72% | -3.26% | 21.39% | -0.43% | 44.13% |
PBJ Invesco Dynamic Food & Beverage ETF | 7.14% | -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 0.49, which is low. Their historical price movements had little consistent relationship.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.49 |
Correlation (3Y) Balances recent behavior with more history. | 0.43 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.46 |
Correlation (10Y) Provides a long-term view across more market conditions. | 0.46 |
Correlation (All Time) Calculated using the full available price history since Jun 23, 2005 | 0.49 |
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Return for Risk
DEO vs. PBJ — Risk / Return Rank
DEO
PBJ
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 ratioReturn per unit of total volatility | -0.30 | ||
| Sortino ratioReturn per unit of downside risk | -0.28 | ||
| Omega ratioGain probability vs. loss probability | 0.99 | 1.02 | -0.03 |
| Calmar ratioReturn relative to maximum drawdown | -0.19 | 0.10 | -0.29 |
| Martin ratioReturn relative to average drawdown | -0.31 | 0.23 | -0.54 |
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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.
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Drawdown Indicators
| DEO | PBJ | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -63.41% | -39.15% | -24.26% |
Max Drawdown (1Y)Largest decline over 1 year | -35.52% | -11.38% | -24.14% |
Max Drawdown (3Y)Largest decline over 3 years | -54.50% | -12.48% | -42.02% |
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 DrawdownCurrent decline from peak | -55.09% | -5.82% | -49.27% |
Average DrawdownAverage peak-to-trough decline | -13.22% | -5.39% | -7.83% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 21.94% | 5.05% | +16.89% |
Volatility
DEO vs. PBJ - Volatility Comparison
Diageo plc (DEO) has a higher volatility of 9.50% compared to Invesco Dynamic Food & Beverage ETF (PBJ) at 4.76%. 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.
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Volatility by Period
| DEO | PBJ | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 9.50% | 4.76% | +4.74% |
Volatility (6M)Calculated over the trailing 6-month period | 27.42% | 10.10% | +17.32% |
Volatility (1Y)Calculated over the trailing 1-year period | 33.30% | 13.08% | +20.22% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 25.19% | 13.88% | +11.31% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 23.48% | 15.16% | +8.32% |
Dividends
DEO vs. PBJ - Dividend Comparison
DEO's dividend yield for the trailing twelve months is around 3.77%, more than PBJ's 1.28% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
DEO Diageo plc | 3.77% | 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 | 1.28% | 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
DEO and PBJ have a correlation of 0.49, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
DEO has higher volatility (9.50%) compared to PBJ (4.76%). In terms of maximum drawdown, DEO dropped -63.41% vs PBJ's -39.15%.
PBJ currently has the higher Sharpe Ratio (0.09 vs -0.21), 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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