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

Correlation

The correlation between ITW and VOO is 0.69, 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.


-0.50.00.51.0
Correlation: 0.7

Performance

ITW vs. VOO - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Illinois Tool Works Inc. (ITW) and Vanguard S&P 500 ETF (VOO). The values are adjusted to include any dividend payments, if applicable.

500.00%550.00%600.00%650.00%700.00%750.00%NovemberDecember2025FebruaryMarchApril
651.92%
557.08%
ITW
VOO

Key characteristics

Sharpe Ratio

ITW:

-0.10

VOO:

0.54

Sortino Ratio

ITW:

0.01

VOO:

0.88

Omega Ratio

ITW:

1.00

VOO:

1.13

Calmar Ratio

ITW:

-0.10

VOO:

0.55

Martin Ratio

ITW:

-0.35

VOO:

2.27

Ulcer Index

ITW:

6.26%

VOO:

4.55%

Daily Std Dev

ITW:

21.84%

VOO:

19.19%

Max Drawdown

ITW:

-54.90%

VOO:

-33.99%

Current Drawdown

ITW:

-12.96%

VOO:

-9.90%

Returns By Period

In the year-to-date period, ITW achieves a -4.97% return, which is significantly higher than VOO's -5.74% return. Both investments have delivered pretty close results over the past 10 years, with ITW having a 12.29% annualized return and VOO not far behind at 12.07%.


ITW

YTD

-4.97%

1M

-5.83%

6M

-4.60%

1Y

-1.18%

5Y*

11.20%

10Y*

12.29%

VOO

YTD

-5.74%

1M

-3.16%

6M

-4.28%

1Y

10.88%

5Y*

16.04%

10Y*

12.07%

*Annualized

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Risk-Adjusted Performance

ITW vs. VOO — 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 4242
Overall Rank
The Sharpe Ratio Rank of ITW is 4646
Sharpe Ratio Rank
The Sortino Ratio Rank of ITW is 3838
Sortino Ratio Rank
The Omega Ratio Rank of ITW is 3737
Omega Ratio Rank
The Calmar Ratio Rank of ITW is 4545
Calmar Ratio Rank
The Martin Ratio Rank of ITW is 4444
Martin Ratio Rank

VOO
The Risk-Adjusted Performance Rank of VOO is 6161
Overall Rank
The Sharpe Ratio Rank of VOO is 5959
Sharpe Ratio Rank
The Sortino Ratio Rank of VOO is 5959
Sortino Ratio Rank
The Omega Ratio Rank of VOO is 6161
Omega Ratio Rank
The Calmar Ratio Rank of VOO is 6464
Calmar Ratio Rank
The Martin Ratio Rank of VOO is 6363
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. VOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Illinois Tool Works Inc. (ITW) and Vanguard S&P 500 ETF (VOO). 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 chart of Sharpe ratio for ITW, currently valued at -0.10, compared to the broader market-2.00-1.000.001.002.003.00
ITW: -0.10
VOO: 0.54
The chart of Sortino ratio for ITW, currently valued at 0.01, compared to the broader market-6.00-4.00-2.000.002.004.00
ITW: 0.01
VOO: 0.88
The chart of Omega ratio for ITW, currently valued at 1.00, compared to the broader market0.501.001.502.00
ITW: 1.00
VOO: 1.13
The chart of Calmar ratio for ITW, currently valued at -0.10, compared to the broader market0.001.002.003.004.005.00
ITW: -0.10
VOO: 0.55
The chart of Martin ratio for ITW, currently valued at -0.34, compared to the broader market-5.000.005.0010.0015.0020.00
ITW: -0.35
VOO: 2.27

The current ITW Sharpe Ratio is -0.10, which is lower than the VOO Sharpe Ratio of 0.54. The chart below compares the historical Sharpe Ratios of ITW and VOO, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio-1.000.001.002.003.004.00NovemberDecember2025FebruaryMarchApril
-0.10
0.54
ITW
VOO

Dividends

ITW vs. VOO - Dividend Comparison

ITW's dividend yield for the trailing twelve months is around 2.46%, more than VOO's 1.38% yield.


TTM20242023202220212020201920182017201620152014
ITW
Illinois Tool Works Inc.
2.46%2.29%2.07%2.30%1.91%2.17%2.30%2.81%1.71%1.96%2.23%1.91%
VOO
Vanguard S&P 500 ETF
1.38%1.24%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%

Drawdowns

ITW vs. VOO - Drawdown Comparison

The maximum ITW drawdown since its inception was -54.90%, which is greater than VOO's maximum drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for ITW and VOO. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%NovemberDecember2025FebruaryMarchApril
-12.96%
-9.90%
ITW
VOO

Volatility

ITW vs. VOO - Volatility Comparison

Illinois Tool Works Inc. (ITW) and Vanguard S&P 500 ETF (VOO) have volatilities of 13.47% and 13.96%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%12.00%14.00%NovemberDecember2025FebruaryMarchApril
13.47%
13.96%
ITW
VOO