DEO vs. SGOV
DEO (Diageo plc) 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 -13.58%/yr vs 3.62%/yr for SGOV. At a correlation of -0.03, they often move in opposite directions.
Performance
DEO vs. SGOV - Performance Comparison
Loading charts...
Returns By Period
In the year-to-date period, DEO achieves a -5.23% return, which is significantly lower than SGOV's 1.92% return.
DEO
- 1D
- -1.89%
- 1M
- -1.04%
- 6M
- -9.09%
- YTD
- -5.23%
- 1Y
- -17.67%
- 3Y*
- -20.54%
- 5Y*
- -13.58%
- 10Y*
- -0.73%
SGOV
- 1D
- 0.00%
- 1M
- 0.30%
- 6M
- 1.79%
- YTD
- 1.92%
- 1Y
- 3.88%
- 3Y*
- 4.66%
- 5Y*
- 3.62%
- 10Y*
- —
DEO vs. SGOV - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|---|---|
DEO Diageo plc | -5.23% | -29.31% | -10.09% | -16.28% | -17.40% | 41.72% | 11.99% |
SGOV iShares 0-3 Month Treasury Bond ETF | 1.92% | 4.24% | 5.27% | 5.12% | 1.58% | 0.04% | 0.04% |
Correlation
The correlation between DEO and SGOV is 0.13, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.13 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.05 |
Correlation (5Y) Calculated over the trailing 5-year period | -0.01 |
Correlation (All Time) Calculated using the full available price history since May 28, 2020 | -0.03 |
The correlation between DEO and SGOV shifts across timeframes, from -0.03 (all time) to 0.13 (1 year), reflecting how their relationship changes across market environments.
Compare stocks, funds, or ETFs
Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.
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 (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 | -21.37 | ||
| Sortino ratioReturn per unit of downside risk | -384.38 | ||
| Omega ratioGain probability vs. loss probability | 0.93 | 384.06 | -383.13 |
| Calmar ratioReturn relative to maximum drawdown | -0.50 | 391.99 | -392.48 |
| Martin ratioReturn relative to average drawdown | -0.83 | 6,210.22 | -6,211.05 |
Loading charts...
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.
Loading charts...
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 | -56.07% | -0.01% | -56.06% |
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 | -58.72% | 0.00% | -58.72% |
Average DrawdownAverage peak-to-trough decline | -13.14% | -0.00% | -13.14% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 21.32% | 0.00% | +21.32% |
Volatility
DEO vs. SGOV - Volatility Comparison
Diageo plc (DEO) has a higher volatility of 9.01% compared to iShares 0-3 Month Treasury Bond ETF (SGOV) at 0.05%. 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.
Loading charts...
Volatility by Period
| DEO | SGOV | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 9.01% | 0.05% | +8.96% |
Volatility (6M)Calculated over the trailing 6-month period | 26.95% | 0.13% | +26.82% |
Volatility (1Y)Calculated over the trailing 1-year period | 32.81% | 0.19% | +32.62% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 25.01% | 0.24% | +24.77% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 23.41% | 0.24% | +23.17% |
Dividends
DEO vs. SGOV - Dividend Comparison
DEO's dividend yield for the trailing twelve months is around 4.10%, more than SGOV's 3.80% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
DEO Diageo plc | 4.10% | 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 | 3.80% | 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 0.13, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
DEO has higher volatility (9.01%) compared to SGOV (0.05%). In terms of maximum drawdown, DEO dropped -63.41% vs SGOV's -0.03%.
SGOV currently has the higher Sharpe Ratio (20.83 vs -0.54), 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.
Find the right allocation for DEO and SGOV
Add both to a portfolio and optimize allocations for your target — whether that's maximizing returns, minimizing drawdowns, or balancing risk across holdings.
Open Portfolio Optimizer