Depay, rated at £17 million, is being linked with Tottenham and Manchester United this week.
"It's great to train with him," said Dirk Kuyt. "I cannot believe my eyes when I see how fast he is."
Depay has scored two goals for Holland at the World Cup.
Arjen Robben also remarked: "Whether he's faster than me? Yeah, I think so. He is one of the fastest players, with and without the ball. If you look at how he prepared the goal of mine against Chile. That goal is half his."
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