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

Correlation

The correlation between ITW and XLU is 0.37, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.


-0.50.00.51.00.4

Performance

ITW vs. XLU - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Illinois Tool Works Inc. (ITW) and Utilities Select Sector SPDR Fund (XLU). The values are adjusted to include any dividend payments, if applicable.

400.00%600.00%800.00%1,000.00%1,200.00%1,400.00%1,600.00%JulyAugustSeptemberOctoberNovemberDecember
1,412.87%
527.40%
ITW
XLU

Key characteristics

Sharpe Ratio

ITW:

0.20

XLU:

1.65

Sortino Ratio

ITW:

0.39

XLU:

2.26

Omega Ratio

ITW:

1.05

XLU:

1.28

Calmar Ratio

ITW:

0.24

XLU:

1.31

Martin Ratio

ITW:

0.49

XLU:

7.52

Ulcer Index

ITW:

6.32%

XLU:

3.40%

Daily Std Dev

ITW:

15.50%

XLU:

15.48%

Max Drawdown

ITW:

-54.90%

XLU:

-52.27%

Current Drawdown

ITW:

-7.07%

XLU:

-7.84%

Returns By Period

In the year-to-date period, ITW achieves a 0.49% return, which is significantly lower than XLU's 23.49% return. Over the past 10 years, ITW has outperformed XLU with an annualized return of 12.90%, while XLU has yielded a comparatively lower 8.18% annualized return.


ITW

YTD

0.49%

1M

-2.84%

6M

8.92%

1Y

1.59%

5Y*

10.05%

10Y*

12.90%

XLU

YTD

23.49%

1M

-6.67%

6M

11.79%

1Y

24.90%

5Y*

6.81%

10Y*

8.18%

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Risk-Adjusted Performance

ITW vs. XLU - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Illinois Tool Works Inc. (ITW) and Utilities Select Sector SPDR Fund (XLU). 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.


Sharpe ratio
The chart of Sharpe ratio for ITW, currently valued at 0.20, compared to the broader market-4.00-2.000.002.000.201.65
The chart of Sortino ratio for ITW, currently valued at 0.39, compared to the broader market-4.00-2.000.002.004.000.392.26
The chart of Omega ratio for ITW, currently valued at 1.05, compared to the broader market0.501.001.502.001.051.28
The chart of Calmar ratio for ITW, currently valued at 0.24, compared to the broader market0.002.004.006.000.241.31
The chart of Martin ratio for ITW, currently valued at 0.49, compared to the broader market-5.000.005.0010.0015.0020.0025.000.497.52
ITW
XLU

The current ITW Sharpe Ratio is 0.20, which is lower than the XLU Sharpe Ratio of 1.65. The chart below compares the historical Sharpe Ratios of ITW and XLU, 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 Ratio0.001.002.003.00JulyAugustSeptemberOctoberNovemberDecember
0.20
1.65
ITW
XLU

Dividends

ITW vs. XLU - Dividend Comparison

ITW's dividend yield for the trailing twelve months is around 2.20%, more than XLU's 2.11% yield.


TTM20232022202120202019201820172016201520142013
ITW
Illinois Tool Works Inc.
2.20%2.07%2.30%1.91%2.17%2.30%2.81%1.71%1.96%2.23%1.91%1.90%
XLU
Utilities Select Sector SPDR Fund
2.11%3.39%2.92%2.79%3.14%2.95%3.33%3.33%3.42%3.67%3.19%3.86%

Drawdowns

ITW vs. XLU - Drawdown Comparison

The maximum ITW drawdown since its inception was -54.90%, which is greater than XLU's maximum drawdown of -52.27%. Use the drawdown chart below to compare losses from any high point for ITW and XLU. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-7.07%
-7.84%
ITW
XLU

Volatility

ITW vs. XLU - Volatility Comparison

The current volatility for Illinois Tool Works Inc. (ITW) is 4.02%, while Utilities Select Sector SPDR Fund (XLU) has a volatility of 4.96%. This indicates that ITW experiences smaller price fluctuations and is considered to be less risky than XLU based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%7.00%JulyAugustSeptemberOctoberNovemberDecember
4.02%
4.96%
ITW
XLU
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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