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ITW vs. SCHD
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between ITW and SCHD is 0.68, 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

ITW vs. SCHD - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Illinois Tool Works Inc. (ITW) and Schwab US Dividend Equity ETF (SCHD). The values are adjusted to include any dividend payments, if applicable.

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Key characteristics

Sharpe Ratio

ITW:

0.10

SCHD:

0.22

Sortino Ratio

ITW:

0.32

SCHD:

0.38

Omega Ratio

ITW:

1.04

SCHD:

1.05

Calmar Ratio

ITW:

0.12

SCHD:

0.19

Martin Ratio

ITW:

0.36

SCHD:

0.60

Ulcer Index

ITW:

6.85%

SCHD:

5.17%

Daily Std Dev

ITW:

22.11%

SCHD:

16.37%

Max Drawdown

ITW:

-54.90%

SCHD:

-33.37%

Current Drawdown

ITW:

-9.17%

SCHD:

-8.68%

Returns By Period

In the year-to-date period, ITW achieves a -0.82% return, which is significantly higher than SCHD's -2.20% return. Over the past 10 years, ITW has outperformed SCHD with an annualized return of 12.54%, while SCHD has yielded a comparatively lower 10.61% annualized return.


ITW

YTD

-0.82%

1M

8.27%

6M

-5.07%

1Y

2.12%

3Y*

9.96%

5Y*

11.31%

10Y*

12.54%

SCHD

YTD

-2.20%

1M

4.17%

6M

-5.84%

1Y

3.53%

3Y*

5.88%

5Y*

13.30%

10Y*

10.61%

*Annualized

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Illinois Tool Works Inc.

Schwab US Dividend Equity ETF

Risk-Adjusted Performance

ITW vs. SCHD — Risk-Adjusted Performance Rank

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

ITW
The Risk-Adjusted Performance Rank of ITW is 5252
Overall Rank
The Sharpe Ratio Rank of ITW is 5555
Sharpe Ratio Rank
The Sortino Ratio Rank of ITW is 4545
Sortino Ratio Rank
The Omega Ratio Rank of ITW is 4545
Omega Ratio Rank
The Calmar Ratio Rank of ITW is 5757
Calmar Ratio Rank
The Martin Ratio Rank of ITW is 5656
Martin Ratio Rank

SCHD
The Risk-Adjusted Performance Rank of SCHD is 2727
Overall Rank
The Sharpe Ratio Rank of SCHD is 2727
Sharpe Ratio Rank
The Sortino Ratio Rank of SCHD is 2525
Sortino Ratio Rank
The Omega Ratio Rank of SCHD is 2525
Omega Ratio Rank
The Calmar Ratio Rank of SCHD is 2929
Calmar Ratio Rank
The Martin Ratio Rank of SCHD is 2727
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.

ITW vs. SCHD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Illinois Tool Works Inc. (ITW) and Schwab US Dividend Equity ETF (SCHD). 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 ITW Sharpe Ratio is 0.10, which is lower than the SCHD Sharpe Ratio of 0.22. The chart below compares the historical Sharpe Ratios of ITW and SCHD, 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

ITW vs. SCHD - Dividend Comparison

ITW's dividend yield for the trailing twelve months is around 2.36%, less than SCHD's 3.93% yield.


TTM20242023202220212020201920182017201620152014
ITW
Illinois Tool Works Inc.
2.36%2.29%2.07%2.30%1.91%2.17%2.30%2.81%1.71%1.96%2.23%1.91%
SCHD
Schwab US Dividend Equity ETF
3.93%3.64%3.49%3.39%2.78%3.16%2.98%3.06%2.63%2.89%2.97%2.63%

Drawdowns

ITW vs. SCHD - Drawdown Comparison

The maximum ITW drawdown since its inception was -54.90%, which is greater than SCHD's maximum drawdown of -33.37%. Use the drawdown chart below to compare losses from any high point for ITW and SCHD. For additional features, visit the drawdowns tool.


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Volatility

ITW vs. SCHD - Volatility Comparison

Illinois Tool Works Inc. (ITW) has a higher volatility of 6.25% compared to Schwab US Dividend Equity ETF (SCHD) at 4.50%. This indicates that ITW's price experiences larger fluctuations and is considered to be riskier than SCHD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


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