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DEO vs. PBJ
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

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.


-0.50.00.51.00.5

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.

-5.00%0.00%5.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
-1.87%
3.53%
DEO
PBJ

Key characteristics

Sharpe Ratio

DEO:

-0.47

PBJ:

0.49

Sortino Ratio

DEO:

-0.56

PBJ:

0.76

Omega Ratio

DEO:

0.94

PBJ:

1.09

Calmar Ratio

DEO:

-0.23

PBJ:

0.68

Martin Ratio

DEO:

-0.80

PBJ:

1.53

Ulcer Index

DEO:

12.05%

PBJ:

3.54%

Daily Std Dev

DEO:

20.74%

PBJ:

11.13%

Max Drawdown

DEO:

-53.18%

PBJ:

-39.15%

Current Drawdown

DEO:

-39.18%

PBJ:

-4.21%

Returns By Period

In the year-to-date period, DEO achieves a -11.27% return, which is significantly lower than PBJ's 3.32% return. Over the past 10 years, DEO has underperformed PBJ with an annualized return of 3.39%, while PBJ has yielded a comparatively higher 5.60% annualized return.


DEO

YTD

-11.27%

1M

5.04%

6M

-1.87%

1Y

-11.02%

5Y*

-3.16%

10Y*

3.39%

PBJ

YTD

3.32%

1M

-0.81%

6M

3.53%

1Y

4.53%

5Y*

7.88%

10Y*

5.60%

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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.


Sharpe ratio
The chart of Sharpe ratio for DEO, currently valued at -0.47, compared to the broader market-4.00-2.000.002.00-0.470.49
The chart of Sortino ratio for DEO, currently valued at -0.56, compared to the broader market-4.00-2.000.002.004.00-0.560.76
The chart of Omega ratio for DEO, currently valued at 0.94, compared to the broader market0.501.001.502.000.941.09
The chart of Calmar ratio for DEO, currently valued at -0.23, compared to the broader market0.002.004.006.00-0.230.68
The chart of Martin ratio for DEO, currently valued at -0.80, compared to the broader market-5.000.005.0010.0015.0020.0025.00-0.801.53
DEO
PBJ

The current DEO Sharpe Ratio is -0.47, which is lower than the PBJ Sharpe Ratio of 0.49. The chart below compares the historical Sharpe Ratios of DEO and PBJ, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio-1.50-1.00-0.500.000.501.001.502.00JulyAugustSeptemberOctoberNovemberDecember
-0.47
0.49
DEO
PBJ

Dividends

DEO vs. PBJ - Dividend Comparison

DEO's dividend yield for the trailing twelve months is around 3.30%, more than PBJ's 0.74% yield.


TTM20232022202120202019201820172016201520142013
DEO
Diageo plc
3.30%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
0.74%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.


-40.00%-30.00%-20.00%-10.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-39.18%
-4.21%
DEO
PBJ

Volatility

DEO vs. PBJ - Volatility Comparison

Diageo plc (DEO) has a higher volatility of 7.34% compared to Invesco Dynamic Food & Beverage ETF (PBJ) at 4.06%. 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.


3.00%4.00%5.00%6.00%7.00%8.00%JulyAugustSeptemberOctoberNovemberDecember
7.34%
4.06%
DEO
PBJ
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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