DEO vs. VTI
DEO (Diageo plc) is a stock, while VTI (Vanguard Total Stock Market ETF) is Large Cap Blend Equities fund tracking the CRSP US Total Market Index. Over the past 10 years, DEO returned -0.66%/yr vs 15.05%/yr for VTI. At a 0.46 correlation, their price movements are largely independent.
Performance
DEO vs. VTI - Performance Comparison
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Returns By Period
In the year-to-date period, DEO achieves a -7.89% return, which is significantly lower than VTI's 11.20% return. Over the past 10 years, DEO has underperformed VTI with an annualized return of -0.66%, while VTI has yielded a comparatively higher 15.05% annualized return.
DEO
- 1D
- -0.77%
- 1M
- 0.20%
- YTD
- -7.89%
- 6M
- -13.68%
- 1Y
- -24.21%
- 3Y*
- -20.32%
- 5Y*
- -14.06%
- 10Y*
- -0.66%
VTI
- 1D
- -0.72%
- 1M
- 4.99%
- YTD
- 11.20%
- 6M
- 11.09%
- 1Y
- 28.18%
- 3Y*
- 22.07%
- 5Y*
- 12.69%
- 10Y*
- 15.05%
DEO vs. VTI - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
DEO Diageo plc | -7.89% | -29.31% | -10.09% | -16.28% | -17.40% | 41.72% | -3.26% | 21.39% | -0.43% | 44.13% |
VTI Vanguard Total Stock Market ETF | 11.20% | 17.10% | 23.81% | 26.05% | -19.52% | 25.68% | 21.08% | 30.67% | -5.23% | 21.21% |
Correlation
The correlation between DEO and VTI is 0.19, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.19 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.30 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.40 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.43 |
Correlation (All Time) Calculated using the full available price history since Jun 1, 2001 | 0.46 |
Over the past year, the correlation between DEO and VTI has dropped to 0.19 - well below their long-term average of 0.46, suggesting their price drivers have been diverging.
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Return for Risk
DEO vs. VTI — Risk / Return Rank
DEO
VTI
DEO vs. VTI - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Diageo plc (DEO) and Vanguard Total Stock Market ETF (VTI). 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.
| DEO | VTI | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -3.07 | ||
| Sortino ratioReturn per unit of downside risk | -4.07 | ||
| Omega ratioGain probability vs. loss probability | 0.88 | 1.42 | -0.54 |
| Calmar ratioReturn relative to maximum drawdown | -0.68 | 3.17 | -3.86 |
| Martin ratioReturn relative to average drawdown | -1.24 | 14.62 | -15.86 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| DEO | VTI | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | -0.74 | 2.33 | -3.07 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | -0.57 | 0.73 | -1.30 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | -0.03 | 0.82 | -0.85 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.29 | 0.51 | -0.22 |
Drawdowns
DEO vs. VTI - Drawdown Comparison
The maximum DEO drawdown since its inception was -63.41%, which is greater than VTI's maximum drawdown of -55.45%. Use the drawdown chart below to compare losses from any high point for DEO and VTI.
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Drawdown Indicators
| DEO | VTI | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -63.41% | -55.45% | -7.96% |
Max Drawdown (1Y)Largest decline over 1 year | -35.52% | -8.92% | -26.60% |
Max Drawdown (3Y)Largest decline over 3 years | -56.07% | -19.30% | -36.77% |
Max Drawdown (5Y)Largest decline over 5 years | -63.41% | -25.36% | -38.05% |
Max Drawdown (10Y)Largest decline over 10 years | -63.41% | -35.00% | -28.41% |
Current DrawdownCurrent decline from peak | -59.87% | -0.72% | -59.15% |
Average DrawdownAverage peak-to-trough decline | -12.98% | -8.03% | -4.95% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 19.57% | 1.93% | +17.64% |
Volatility
DEO vs. VTI - Volatility Comparison
Diageo plc (DEO) has a higher volatility of 9.34% compared to Vanguard Total Stock Market ETF (VTI) at 2.96%. This indicates that DEO's price experiences larger fluctuations and is considered to be riskier than VTI based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| DEO | VTI | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 9.34% | 2.96% | +6.38% |
Volatility (6M)Calculated over the trailing 6-month period | 26.71% | 9.13% | +17.58% |
Volatility (1Y)Calculated over the trailing 1-year period | 32.66% | 12.17% | +20.49% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 24.72% | 17.40% | +7.32% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 23.41% | 18.30% | +5.11% |
Dividends
DEO vs. VTI - Dividend Comparison
DEO's dividend yield for the trailing twelve months is around 4.22%, more than VTI's 1.01% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
DEO Diageo plc | 4.22% | 4.80% | 3.26% | 2.77% | 2.16% | 1.82% | 2.29% | 2.07% | 2.51% | 2.18% | 3.00% | 3.13% |
VTI Vanguard Total Stock Market ETF | 1.01% | 1.12% | 1.27% | 1.44% | 1.66% | 1.21% | 1.42% | 1.78% | 2.04% | 1.71% | 1.92% | 1.98% |
Frequently Asked Questions
DEO and VTI have a correlation of 0.19, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
DEO has higher volatility (9.34%) compared to VTI (2.96%). In terms of maximum drawdown, DEO dropped -63.41% vs VTI's -55.45%.
VTI currently has the higher Sharpe Ratio (2.33 vs -0.74), 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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