PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
ADP vs. VTI
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between ADP and VTI is 0.66, 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.


-0.50.00.51.00.7

Performance

ADP vs. VTI - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Automatic Data Processing, Inc. (ADP) and Vanguard Total Stock Market ETF (VTI). The values are adjusted to include any dividend payments, if applicable.

-10.00%0.00%10.00%20.00%30.00%JulyAugustSeptemberOctoberNovemberDecember
19.61%
8.78%
ADP
VTI

Key characteristics

Sharpe Ratio

ADP:

1.80

VTI:

1.92

Sortino Ratio

ADP:

2.51

VTI:

2.56

Omega Ratio

ADP:

1.33

VTI:

1.35

Calmar Ratio

ADP:

2.14

VTI:

2.88

Martin Ratio

ADP:

10.07

VTI:

12.48

Ulcer Index

ADP:

2.72%

VTI:

1.98%

Daily Std Dev

ADP:

15.25%

VTI:

12.86%

Max Drawdown

ADP:

-59.50%

VTI:

-55.45%

Current Drawdown

ADP:

-4.91%

VTI:

-3.99%

Returns By Period

In the year-to-date period, ADP achieves a 27.80% return, which is significantly higher than VTI's 23.66% return. Over the past 10 years, ADP has outperformed VTI with an annualized return of 15.53%, while VTI has yielded a comparatively lower 12.48% annualized return.


ADP

YTD

27.80%

1M

-1.58%

6M

19.61%

1Y

28.20%

5Y*

13.65%

10Y*

15.53%

VTI

YTD

23.66%

1M

-0.38%

6M

8.51%

1Y

23.75%

5Y*

13.89%

10Y*

12.48%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


Risk-Adjusted Performance

ADP vs. VTI - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Automatic Data Processing, Inc. (ADP) 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.


Sharpe ratio
The chart of Sharpe ratio for ADP, currently valued at 1.80, compared to the broader market-4.00-2.000.002.001.801.85
The chart of Sortino ratio for ADP, currently valued at 2.51, compared to the broader market-4.00-2.000.002.004.002.512.48
The chart of Omega ratio for ADP, currently valued at 1.33, compared to the broader market0.501.001.502.001.331.34
The chart of Calmar ratio for ADP, currently valued at 2.14, compared to the broader market0.002.004.006.002.142.77
The chart of Martin ratio for ADP, currently valued at 10.07, compared to the broader market0.0010.0020.0010.0711.94
ADP
VTI

The current ADP Sharpe Ratio is 1.80, which is comparable to the VTI Sharpe Ratio of 1.92. The chart below compares the historical Sharpe Ratios of ADP and VTI, 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 Ratio0.000.501.001.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
1.80
1.85
ADP
VTI

Dividends

ADP vs. VTI - Dividend Comparison

ADP's dividend yield for the trailing twelve months is around 1.97%, more than VTI's 1.29% yield.


TTM20232022202120202019201820172016201520142013
ADP
Automatic Data Processing, Inc.
1.97%2.21%1.83%1.55%2.08%1.92%2.14%2.00%2.10%2.36%2.10%2.21%
VTI
Vanguard Total Stock Market ETF
1.29%1.44%1.67%1.21%1.42%1.78%2.04%1.71%1.92%1.98%1.76%1.74%

Drawdowns

ADP vs. VTI - Drawdown Comparison

The maximum ADP drawdown since its inception was -59.50%, which is greater than VTI's maximum drawdown of -55.45%. Use the drawdown chart below to compare losses from any high point for ADP and VTI. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-4.91%
-3.99%
ADP
VTI

Volatility

ADP vs. VTI - Volatility Comparison

Automatic Data Processing, Inc. (ADP) has a higher volatility of 4.88% compared to Vanguard Total Stock Market ETF (VTI) at 3.82%. This indicates that ADP'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.


2.00%3.00%4.00%5.00%6.00%JulyAugustSeptemberOctoberNovemberDecember
4.88%
3.82%
ADP
VTI
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


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.

Copyright © 2024 PortfoliosLab