ITT vs. SPY
Compare and contrast key facts about ITT Inc. (ITT) and SPDR S&P 500 ETF (SPY).
SPY is a passively managed fund by State Street that tracks the performance of the S&P 500 Index. It was launched on Jan 22, 1993.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ITT or SPY.
Key characteristics
| ITT | SPY | |
|---|---|---|
| YTD Return | 28.04% | 26.01% |
| 1Y Return | 42.55% | 33.73% |
| 3Y Return (Ann) | 14.86% | 9.91% |
| 5Y Return (Ann) | 18.35% | 15.54% |
| 10Y Return (Ann) | 14.78% | 13.25% |
| Sharpe Ratio | 1.71 | 2.82 |
| Sortino Ratio | 2.29 | 3.76 |
| Omega Ratio | 1.30 | 1.53 |
| Calmar Ratio | 3.49 | 4.05 |
| Martin Ratio | 9.64 | 18.33 |
| Ulcer Index | 4.48% | 1.86% |
| Daily Std Dev | 25.18% | 12.07% |
| Max Drawdown | -54.68% | -55.19% |
| Current Drawdown | -2.38% | -0.90% |
Correlation
The correlation between ITT and SPY is 0.59, 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
ITT vs. SPY - Performance Comparison
In the year-to-date period, ITT achieves a 28.04% return, which is significantly higher than SPY's 26.01% return. Over the past 10 years, ITT has outperformed SPY with an annualized return of 14.78%, while SPY has yielded a comparatively lower 13.25% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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Risk-Adjusted Performance
ITT vs. SPY - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for ITT Inc. (ITT) and SPDR S&P 500 ETF (SPY). 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.
Dividends
ITT vs. SPY - Dividend Comparison
ITT's dividend yield for the trailing twelve months is around 0.82%, less than SPY's 1.18% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
ITT ITT Inc. | 0.82% | 0.97% | 1.30% | 0.86% | 0.88% | 0.80% | 1.11% | 0.96% | 1.29% | 1.30% | 1.09% | 0.92% |
SPY SPDR S&P 500 ETF | 1.18% | 1.40% | 1.65% | 1.20% | 1.52% | 1.75% | 2.04% | 1.80% | 2.03% | 2.06% | 1.87% | 1.81% |
Drawdowns
ITT vs. SPY - Drawdown Comparison
The maximum ITT drawdown since its inception was -54.68%, roughly equal to the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for ITT and SPY. For additional features, visit the drawdowns tool.
Volatility
ITT vs. SPY - Volatility Comparison
ITT Inc. (ITT) has a higher volatility of 7.61% compared to SPDR S&P 500 ETF (SPY) at 3.84%. This indicates that ITT's price experiences larger fluctuations and is considered to be riskier than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.