DEO vs EFA: Correlation
Diageo plc (DEO) and iShares MSCI EAFE ETF (EFA) show a moderate relationship: their 3-year correlation of weekly returns is 0.55.
Data as of 2026-08-27 · refreshed every trading day · weekly returns · methodology
How correlated are DEO and EFA?
Across a 3-year window, the weekly returns of DEO and EFA correlate at 0.55, moderate. Recent behaviour matches the longer record: 0.55 over 1 year against 0.55 over 3. Stretching to 5 years gives 0.58, with an annualized covariance of 218.7 %².
EFA is one of the assets that tracks DEO most closely: it ranks #2 out of the 13 assets we track against DEO. Their recent paths diverged sharply: over the last 12 months EFA outperformed by 36.7 percentage points (-14.8% for DEO against +21.9% for EFA). Risk is not evenly split, since DEO carries 1.8 times the volatility of the other side.
How is this computed?
Pearson correlation on weekly returns: ρ(A,B) = cov(rA, rB) / (σA · σB), over windows of 52, 156 and 260 weeks. Covariance is annualized (×52) and expressed in %². Full definitions on the methodology page.
DEO vs EFA: side by side
| DEO (Diageo plc) | EFA (iShares MSCI EAFE ETF) | |
|---|---|---|
| 1-year return | -14.8% | +21.9% |
| 5-year return | -45.7% | +56.7% |
| Volatility (ann.) | 26.8% | 14.9% |
| Beta vs S&P 500 | 0.68 | 0.77 |
| Max drawdown (3Y) | -54.4% | -14.1% |
| Market cap | $51.2B | – |
| P/E (trailing) | 29.5 | – |
| Dividend yield | 0.53% | 3.19% |
| Expense ratio | – | 0.32% |
| Assets under management | – | $78.0B |
| Sector / category | US Listed | ETF · International |
EFA is a Foreign Large Blend fund from iShares: $78.0B under management, 666 holdings, a 0.32% expense ratio, a 3.19% trailing dividend yield.
Year-by-year returns
| Year | DEO | EFA |
|---|---|---|
| 2022 | -17.4% | -14.4% |
| 2023 | -16.3% | +18.4% |
| 2024 | -10.1% | +3.5% |
| 2025 | -29.3% | +31.5% |
| 2026 | +7.8% | +14.3% |
Calendar-year price returns; the current year is year-to-date as of the data date above.
Are DEO and EFA good diversifiers for each other?
Only partially. A correlation of 0.55 means DEO and EFA share most of their swings. Pairing them dampens volatility somewhat, but it will not protect against a common drawdown.
FAQ
What is the correlation between DEO and EFA?
The DEO/EFA correlation stands at 0.55 on a 3-year window (1 year: 0.55, 5 years: 0.58), computed from weekly returns as of 2026-08-27.
Is EFA a good diversifier for DEO?
Only partially. A correlation of 0.55 means DEO and EFA share most of their swings. Pairing them dampens volatility somewhat, but it will not protect against a common drawdown.
What does a correlation of 0.55 mean?
On the −1 to +1 scale, 0.55 describes how much the two returns move together: +1 is lockstep, 0 is independence, negative values mean opposite directions. It says nothing about which performed better.
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Related comparisons
Hubs: DEO correlations · EFA correlations
