PG vs. VEA
PG (The Procter & Gamble Company) is a stock, while VEA (Vanguard FTSE Developed Markets ETF) is Foreign Large Cap Equities fund tracking the FTSE Developed All Cap ex US Index. Over the past 10 years, PG returned 8.64%/yr vs 10.14%/yr for VEA. At a 0.42 correlation, their price movements are largely independent.
Performance
PG vs. VEA - Performance Comparison
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Returns By Period
In the year-to-date period, PG achieves a 2.74% return, which is significantly lower than VEA's 12.02% return. Over the past 10 years, PG has underperformed VEA with an annualized return of 8.64%, while VEA has yielded a comparatively higher 10.14% annualized return.
PG
- 1D
- -0.98%
- 1M
- -0.90%
- YTD
- 2.74%
- 6M
- 6.43%
- 1Y
- -8.99%
- 3Y*
- 2.29%
- 5Y*
- 4.10%
- 10Y*
- 8.64%
VEA
- 1D
- 1.00%
- 1M
- -1.37%
- YTD
- 12.02%
- 6M
- 14.95%
- 1Y
- 28.06%
- 3Y*
- 18.65%
- 5Y*
- 9.09%
- 10Y*
- 10.14%
PG vs. VEA - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
PG The Procter & Gamble Company | 2.74% | -12.26% | 17.25% | -0.86% | -5.05% | 20.52% | 14.15% | 39.70% | 3.57% | 12.69% |
VEA Vanguard FTSE Developed Markets ETF | 12.02% | 35.16% | 3.15% | 17.93% | -15.34% | 11.66% | 9.71% | 22.62% | -14.75% | 26.42% |
Correlation
The correlation between PG and VEA is 0.15, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.15 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.17 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.26 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.29 |
Correlation (All Time) Calculated using the full available price history since Jul 26, 2007 | 0.42 |
Over the past year, the correlation between PG and VEA has dropped to 0.15 - well below their long-term average of 0.42, suggesting their price drivers have been diverging.
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Return for Risk
PG vs. VEA — Risk / Return Rank
PG
VEA
PG vs. VEA - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for The Procter & Gamble Company (PG) and Vanguard FTSE Developed Markets ETF (VEA). 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.
| PG | VEA | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -2.23 | ||
| Sortino ratioReturn per unit of downside risk | -2.97 | ||
| Omega ratioGain probability vs. loss probability | 0.94 | 1.32 | -0.38 |
| Calmar ratioReturn relative to maximum drawdown | -0.58 | 2.42 | -3.01 |
| Martin ratioReturn relative to average drawdown | -1.04 | 9.39 | -10.42 |
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
| PG | VEA | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | -0.48 | 1.75 | -2.23 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.23 | 0.55 | -0.32 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.46 | 0.59 | -0.13 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.46 | 0.24 | +0.22 |
Drawdowns
PG vs. VEA - Drawdown Comparison
The maximum PG drawdown since its inception was -54.25%, smaller than the maximum VEA drawdown of -60.68%. Use the drawdown chart below to compare losses from any high point for PG and VEA.
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Drawdown Indicators
| PG | VEA | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -54.25% | -60.68% | +6.43% |
Max Drawdown (1Y)Largest decline over 1 year | -15.52% | -11.63% | -3.89% |
Max Drawdown (3Y)Largest decline over 3 years | -21.15% | -13.45% | -7.70% |
Max Drawdown (5Y)Largest decline over 5 years | -23.77% | -29.71% | +5.94% |
Max Drawdown (10Y)Largest decline over 10 years | -23.77% | -35.73% | +11.96% |
Current DrawdownCurrent decline from peak | -15.91% | -3.40% | -12.51% |
Average DrawdownAverage peak-to-trough decline | -12.16% | -13.29% | +1.13% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 8.93% | 3.00% | +5.93% |
Volatility
PG vs. VEA - Volatility Comparison
The Procter & Gamble Company (PG) has a higher volatility of 7.01% compared to Vanguard FTSE Developed Markets ETF (VEA) at 6.03%. This indicates that PG's price experiences larger fluctuations and is considered to be riskier than VEA based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| PG | VEA | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 7.01% | 6.03% | +0.98% |
Volatility (6M)Calculated over the trailing 6-month period | 15.32% | 13.91% | +1.41% |
Volatility (1Y)Calculated over the trailing 1-year period | 18.65% | 16.15% | +2.50% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 17.79% | 16.63% | +1.16% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 19.05% | 17.40% | +1.65% |
Dividends
PG vs. VEA - Dividend Comparison
PG's dividend yield for the trailing twelve months is around 2.94%, more than VEA's 2.69% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
PG The Procter & Gamble Company | 2.94% | 2.91% | 2.36% | 2.55% | 2.38% | 2.08% | 2.24% | 2.37% | 3.09% | 2.98% | 3.18% | 3.31% |
VEA Vanguard FTSE Developed Markets ETF | 2.69% | 3.22% | 3.35% | 3.15% | 2.91% | 3.16% | 2.04% | 3.04% | 3.35% | 2.77% | 3.05% | 2.92% |
Frequently Asked Questions
PG and VEA have a correlation of 0.15, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
PG has higher volatility (7.01%) compared to VEA (6.03%). In terms of maximum drawdown, PG dropped -54.25% vs VEA's -60.68%.
VEA currently has the higher Sharpe Ratio (1.75 vs -0.48), 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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