DEO vs. SGOV
DEO (Diageo plc ADR) is a stock, while SGOV (iShares 0-3 Month Treasury Bond ETF) is Ultrashort Bond fund tracking the ICE 0-3 Month US Treasury Securities Index. Over the past 5 years, DEO returned -12.60%/yr vs 3.67%/yr for SGOV. Their -0.02 correlation means they have often moved in opposite directions in the past.
Performance
DEO vs. SGOV - Performance Comparison
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Returns By Period
In the year-to-date period, DEO achieves a 3.54% return, which is significantly higher than SGOV's 2.16% return.
DEO
- 1D
- 0.68%
- 1M
- 8.28%
- 6M
- -8.16%
- YTD
- 3.54%
- 1Y
- -9.87%
- 3Y*
- -16.98%
- 5Y*
- -12.60%
- 10Y*
- -0.07%
- ALL TIME*
- 7.46%
SGOV
- 1D
- 0.02%
- 1M
- 0.32%
- 6M
- 1.82%
- YTD
- 2.16%
- 1Y
- 3.85%
- 3Y*
- 4.63%
- 5Y*
- 3.67%
- 10Y*
- —
- ALL TIME*
- 2.96%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $104.69M | $87.47M | $94.25M | |
| $2.20B | $1.91B | $2.07B |
DEO vs. SGOV - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|---|---|
DEO Diageo plc ADR | 3.54% | -29.31% | -10.09% | -16.28% | -17.40% | 41.72% | 11.99% |
SGOV iShares 0-3 Month Treasury Bond ETF | 2.16% | 4.24% | 5.27% | 5.12% | 1.58% | 0.04% | 0.04% |
Correlation
The correlation between DEO and SGOV is 0.10, which is low. Their historical price movements had little consistent relationship.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.10 |
Correlation (3Y) Balances recent behavior with more history. | 0.06 |
Correlation (5Y) Shows whether the relationship held over a longer period. | -0.01 |
Correlation (All Time) Calculated using the full available price history since May 28, 2020 | -0.02 |
The correlation between DEO and SGOV shifts across timeframes, from -0.02 (all time) to 0.10 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
DEO vs. SGOV — Risk / Return Rank
DEO
SGOV
DEO vs. SGOV - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Diageo plc ADR (DEO) and iShares 0-3 Month Treasury Bond ETF (SGOV). 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 | SGOV | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -21.08 | ||
| Sortino ratioReturn per unit of downside risk | -380.44 | ||
| Omega ratioGain probability vs. loss probability | 0.97 | 380.49 | -379.51 |
| Calmar ratioReturn relative to maximum drawdown | -0.28 | 388.26 | -388.54 |
| Martin ratioReturn relative to average drawdown | -0.45 | 6,151.25 | -6,151.70 |
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Drawdowns
DEO vs. SGOV - Drawdown Comparison
The maximum DEO drawdown since its inception was -63.41%, which is greater than SGOV's maximum drawdown of -0.03%. Use the drawdown chart below to compare losses from any high point for DEO and SGOV.
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Drawdown Indicators
| DEO | SGOV | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -63.41% | -0.03% | -63.38% |
Max Drawdown (1Y)Largest decline over 1 year | -35.52% | -0.01% | -35.51% |
Max Drawdown (3Y)Largest decline over 3 years | -54.50% | -0.01% | -54.49% |
Max Drawdown (5Y)Largest decline over 5 years | -63.41% | -0.03% | -63.38% |
Max Drawdown (10Y)Largest decline over 10 years | -63.41% | — | — |
Current DrawdownCurrent decline from peak | -54.90% | 0.00% | -54.90% |
Average DrawdownAverage peak-to-trough decline | -13.23% | 0.00% | -13.23% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 22.06% | 0.00% | +22.06% |
Volatility
DEO vs. SGOV - Volatility Comparison
Diageo plc ADR (DEO) has a higher volatility of 8.59% compared to iShares 0-3 Month Treasury Bond ETF (SGOV) at 0.04%. This indicates that DEO's price experiences larger fluctuations and is considered to be riskier than SGOV based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| DEO | SGOV | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 8.59% | 0.04% | +8.55% |
Volatility (6M)Calculated over the trailing 6-month period | 27.33% | 0.13% | +27.20% |
Volatility (1Y)Calculated over the trailing 1-year period | 32.97% | 0.19% | +32.78% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 25.20% | 0.24% | +24.96% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 23.48% | 0.23% | +23.25% |
Dividends
DEO vs. SGOV - Dividend Comparison
DEO's dividend yield for the trailing twelve months is around 3.75%, which matches SGOV's 3.75% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
DEO Diageo plc ADR | 3.75% | 4.80% | 3.26% | 2.77% | 2.16% | 1.82% | 2.29% | 2.07% | 2.51% | 2.18% | 3.00% | 3.13% |
SGOV iShares 0-3 Month Treasury Bond ETF | 3.75% | 4.10% | 5.10% | 4.87% | 1.45% | 0.03% | 0.05% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Frequently Asked Questions
DEO and SGOV have a correlation of 0.10, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
DEO has higher volatility (8.59%) compared to SGOV (0.04%). In terms of maximum drawdown, DEO dropped -63.41% vs SGOV's -0.03%.
SGOV currently has the higher Sharpe Ratio (20.78 vs -0.30), 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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