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NKE vs. VTI
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between NKE and VTI is 0.58, 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.


-0.50.00.51.0
Correlation: 0.6

Performance

NKE vs. VTI - Performance Comparison

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

500.00%1,000.00%1,500.00%2,000.00%NovemberDecember2025FebruaryMarchApril
1,403.22%
622.23%
NKE
VTI

Key characteristics

Sharpe Ratio

NKE:

-0.95

VTI:

0.47

Sortino Ratio

NKE:

-1.19

VTI:

0.80

Omega Ratio

NKE:

0.81

VTI:

1.12

Calmar Ratio

NKE:

-0.55

VTI:

0.49

Martin Ratio

NKE:

-1.78

VTI:

1.99

Ulcer Index

NKE:

21.14%

VTI:

4.76%

Daily Std Dev

NKE:

39.80%

VTI:

20.05%

Max Drawdown

NKE:

-68.53%

VTI:

-55.45%

Current Drawdown

NKE:

-65.96%

VTI:

-10.40%

Returns By Period

In the year-to-date period, NKE achieves a -23.47% return, which is significantly lower than VTI's -6.29% return. Over the past 10 years, NKE has underperformed VTI with an annualized return of 2.61%, while VTI has yielded a comparatively higher 11.43% annualized return.


NKE

YTD

-23.47%

1M

-12.43%

6M

-26.18%

1Y

-37.63%

5Y*

-7.32%

10Y*

2.61%

VTI

YTD

-6.29%

1M

-2.99%

6M

-4.58%

1Y

8.93%

5Y*

15.18%

10Y*

11.43%

*Annualized

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Risk-Adjusted Performance

NKE vs. VTI — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

NKE
The Risk-Adjusted Performance Rank of NKE is 88
Overall Rank
The Sharpe Ratio Rank of NKE is 66
Sharpe Ratio Rank
The Sortino Ratio Rank of NKE is 1010
Sortino Ratio Rank
The Omega Ratio Rank of NKE is 77
Omega Ratio Rank
The Calmar Ratio Rank of NKE is 1717
Calmar Ratio Rank
The Martin Ratio Rank of NKE is 33
Martin Ratio Rank

VTI
The Risk-Adjusted Performance Rank of VTI is 5959
Overall Rank
The Sharpe Ratio Rank of VTI is 5757
Sharpe Ratio Rank
The Sortino Ratio Rank of VTI is 5858
Sortino Ratio Rank
The Omega Ratio Rank of VTI is 6060
Omega Ratio Rank
The Calmar Ratio Rank of VTI is 6262
Calmar Ratio Rank
The Martin Ratio Rank of VTI is 6060
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

NKE vs. VTI - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for NIKE, Inc. (NKE) 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.


The chart of Sharpe ratio for NKE, currently valued at -0.95, compared to the broader market-2.00-1.000.001.002.003.00
NKE: -0.95
VTI: 0.47
The chart of Sortino ratio for NKE, currently valued at -1.19, compared to the broader market-6.00-4.00-2.000.002.004.00
NKE: -1.19
VTI: 0.80
The chart of Omega ratio for NKE, currently valued at 0.81, compared to the broader market0.501.001.502.00
NKE: 0.81
VTI: 1.12
The chart of Calmar ratio for NKE, currently valued at -0.55, compared to the broader market0.001.002.003.004.005.00
NKE: -0.55
VTI: 0.49
The chart of Martin ratio for NKE, currently valued at -1.78, compared to the broader market-5.000.005.0010.0015.0020.00
NKE: -1.78
VTI: 1.99

The current NKE Sharpe Ratio is -0.95, which is lower than the VTI Sharpe Ratio of 0.47. The chart below compares the historical Sharpe Ratios of NKE 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 Ratio-1.000.001.002.003.00NovemberDecember2025FebruaryMarchApril
-0.95
0.47
NKE
VTI

Dividends

NKE vs. VTI - Dividend Comparison

NKE's dividend yield for the trailing twelve months is around 2.67%, more than VTI's 1.39% yield.


TTM20242023202220212020201920182017201620152014
NKE
NIKE, Inc.
2.67%2.00%1.28%1.07%0.68%0.71%0.89%1.11%1.18%1.30%0.93%1.04%
VTI
Vanguard Total Stock Market ETF
1.39%1.27%1.44%1.67%1.21%1.42%1.78%2.04%1.71%1.92%1.98%1.76%

Drawdowns

NKE vs. VTI - Drawdown Comparison

The maximum NKE drawdown since its inception was -68.53%, which is greater than VTI's maximum drawdown of -55.45%. Use the drawdown chart below to compare losses from any high point for NKE and VTI. For additional features, visit the drawdowns tool.


-70.00%-60.00%-50.00%-40.00%-30.00%-20.00%-10.00%0.00%NovemberDecember2025FebruaryMarchApril
-65.96%
-10.40%
NKE
VTI

Volatility

NKE vs. VTI - Volatility Comparison

NIKE, Inc. (NKE) has a higher volatility of 23.28% compared to Vanguard Total Stock Market ETF (VTI) at 14.83%. This indicates that NKE'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.


5.00%10.00%15.00%20.00%NovemberDecember2025FebruaryMarchApril
23.28%
14.83%
NKE
VTI