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

Correlation

The correlation between WPP and VTI is 0.60, 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.


Performance

WPP vs. VTI - Performance Comparison

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

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Key characteristics

Sharpe Ratio

WPP:

-0.62

VTI:

0.65

Sortino Ratio

WPP:

-0.62

VTI:

1.08

Omega Ratio

WPP:

0.91

VTI:

1.16

Calmar Ratio

WPP:

-0.30

VTI:

0.71

Martin Ratio

WPP:

-1.06

VTI:

2.68

Ulcer Index

WPP:

17.20%

VTI:

5.10%

Daily Std Dev

WPP:

31.15%

VTI:

20.25%

Max Drawdown

WPP:

-95.77%

VTI:

-55.45%

Current Drawdown

WPP:

-49.59%

VTI:

-4.19%

Returns By Period

In the year-to-date period, WPP achieves a -21.19% return, which is significantly lower than VTI's 0.21% return. Over the past 10 years, WPP has underperformed VTI with an annualized return of -6.37%, while VTI has yielded a comparatively higher 12.09% annualized return.


WPP

YTD

-21.19%

1M

14.79%

6M

-23.20%

1Y

-19.19%

5Y*

8.47%

10Y*

-6.37%

VTI

YTD

0.21%

1M

9.56%

6M

-1.64%

1Y

13.05%

5Y*

16.81%

10Y*

12.09%

*Annualized

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Risk-Adjusted Performance

WPP vs. VTI — Risk-Adjusted Performance Rank

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

WPP
The Risk-Adjusted Performance Rank of WPP is 2222
Overall Rank
The Sharpe Ratio Rank of WPP is 1717
Sharpe Ratio Rank
The Sortino Ratio Rank of WPP is 1919
Sortino Ratio Rank
The Omega Ratio Rank of WPP is 1818
Omega Ratio Rank
The Calmar Ratio Rank of WPP is 3030
Calmar Ratio Rank
The Martin Ratio Rank of WPP is 2323
Martin Ratio Rank

VTI
The Risk-Adjusted Performance Rank of VTI is 6565
Overall Rank
The Sharpe Ratio Rank of VTI is 6161
Sharpe Ratio Rank
The Sortino Ratio Rank of VTI is 6464
Sortino Ratio Rank
The Omega Ratio Rank of VTI is 6868
Omega Ratio Rank
The Calmar Ratio Rank of VTI is 6868
Calmar Ratio Rank
The Martin Ratio Rank of VTI is 6767
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.

WPP vs. VTI - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for WPP plc (WPP) 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 current WPP Sharpe Ratio is -0.62, which is lower than the VTI Sharpe Ratio of 0.65. The chart below compares the historical Sharpe Ratios of WPP 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.


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Dividends

WPP vs. VTI - Dividend Comparison

WPP's dividend yield for the trailing twelve months is around 6.76%, more than VTI's 1.30% yield.


TTM20242023202220212020201920182017201620152014
WPP
WPP plc
6.76%5.33%5.20%4.06%2.43%5.66%5.34%7.25%4.32%2.99%2.86%2.80%
VTI
Vanguard Total Stock Market ETF
1.30%1.27%1.44%1.67%1.21%1.42%1.78%2.04%1.71%1.92%1.98%1.76%

Drawdowns

WPP vs. VTI - Drawdown Comparison

The maximum WPP drawdown since its inception was -95.77%, which is greater than VTI's maximum drawdown of -55.45%. Use the drawdown chart below to compare losses from any high point for WPP and VTI. For additional features, visit the drawdowns tool.


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Volatility

WPP vs. VTI - Volatility Comparison

WPP plc (WPP) has a higher volatility of 6.85% compared to Vanguard Total Stock Market ETF (VTI) at 6.18%. This indicates that WPP'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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