ITW vs. SPY
Compare and contrast key facts about Illinois Tool Works Inc. (ITW) 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: ITW or SPY.
Performance
ITW vs. SPY - Performance Comparison
Returns By Period
In the year-to-date period, ITW achieves a 3.46% return, which is significantly lower than SPY's 25.36% return. Both investments have delivered pretty close results over the past 10 years, with ITW having a 13.39% annualized return and SPY not far behind at 13.07%.
ITW
3.46%
2.08%
8.36%
13.70%
11.68%
13.39%
SPY
25.36%
0.98%
11.79%
31.70%
15.55%
13.07%
Key characteristics
| ITW | SPY | |
|---|---|---|
| Sharpe Ratio | 0.88 | 2.69 |
| Sortino Ratio | 1.32 | 3.59 |
| Omega Ratio | 1.16 | 1.50 |
| Calmar Ratio | 1.06 | 3.89 |
| Martin Ratio | 2.17 | 17.53 |
| Ulcer Index | 6.26% | 1.87% |
| Daily Std Dev | 15.47% | 12.15% |
| Max Drawdown | -54.90% | -55.19% |
| Current Drawdown | -3.27% | -1.41% |
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Correlation
The correlation between ITW and SPY is 0.61, 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.
Risk-Adjusted Performance
ITW vs. SPY - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Illinois Tool Works Inc. (ITW) 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
ITW vs. SPY - Dividend Comparison
ITW's dividend yield for the trailing twelve months is around 2.14%, more than SPY's 1.19% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
ITW Illinois Tool Works Inc. | 2.14% | 2.07% | 2.30% | 1.91% | 2.17% | 2.30% | 2.81% | 1.71% | 1.96% | 2.23% | 1.91% | 1.90% |
SPY SPDR S&P 500 ETF | 1.19% | 1.40% | 1.65% | 1.20% | 1.52% | 1.75% | 2.04% | 1.80% | 2.03% | 2.06% | 1.87% | 1.81% |
Drawdowns
ITW vs. SPY - Drawdown Comparison
The maximum ITW drawdown since its inception was -54.90%, roughly equal to the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for ITW and SPY. For additional features, visit the drawdowns tool.
Volatility
ITW vs. SPY - Volatility Comparison
Illinois Tool Works Inc. (ITW) has a higher volatility of 5.85% compared to SPDR S&P 500 ETF (SPY) at 4.09%. This indicates that ITW'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.