Illinois Tool Correlations

ITW Stock

USD 241.48 4.53 1.84%

The current 90-days correlation between Illinois Tool Works and Parker Hannifin is 0.88 (i.e., Very poor diversification). The correlation of Illinois Tool is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak. If the correlation is 0, the equities are not correlated; they are entirely random.

Illinois Tool Correlation With Market

Almost no diversification

The correlation between Illinois Tool Works and DJI is 0.9 (i.e., Almost no diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Illinois Tool Works and DJI in the same portfolio, assuming nothing else is changed.

Build AI portfolio with Illinois Stock

Check out Risk vs Return Analysis to better understand how to build diversified portfolios, which includes a position in Illinois Tool Works. Also, note that the market value of any company could be closely tied with the direction of predictive economic indicators such as signals in estimate.

Moving together with Illinois Stock

0.69	BW	Babcock Wilcox Enter	Pair Corr
0.61	CR	Crane Company	Pair Corr
0.92	IR	Ingersoll Rand	Pair Corr
0.78	PH	Parker Hannifin	Pair Corr
0.64	ENOV	Enovis Corp	Pair Corr
0.85	EPAC	Enerpac Tool Group	Pair Corr
0.89	AME	Ametek Inc	Pair Corr
0.69	AOS	Smith AO	Pair Corr
0.7	ATS	ATS Corporation	Pair Corr
0.9	CMI	Cummins	Pair Corr
0.85	CXT	Crane NXT	Pair Corr
0.75	CYD	China Yuchai Interna	Pair Corr
0.88	DCI	Donaldson	Pair Corr
0.95	DOV	Dover	Pair Corr
0.73	EMR	Emerson Electric	Pair Corr
0.61	ETN	Eaton PLC	Pair Corr
0.91	FLS	Flowserve	Pair Corr
0.89	GGG	Graco Inc	Pair Corr
0.81	GRC	Gorman Rupp	Pair Corr
0.89	IEX	IDEX	Pair Corr
0.66	ITT	ITT Inc	Pair Corr
0.7	KAI	Kadant Inc	Pair Corr
0.64	NNE	Nano Nuclear Energy	Pair Corr
0.75	NPO	Enpro Industries	Pair Corr
0.65	PNR	Pentair PLC	Pair Corr
0.65	RRX	Regal Beloit	Pair Corr
0.74	SXI	Standex International	Pair Corr

Related Correlations Analysis

	PNR	PH	EMR	AOS	DOV	CMI	ETN	IR	XYL	FELE
PNR		0.95	0.91	0.58	0.8	0.79	0.96	0.83	0.95	-0.2	PNR
PH	0.95		0.96	0.63	0.92	0.92	0.96	0.93	0.97	0.02	PH
EMR	0.91	0.96		0.47	0.86	0.91	0.93	0.92	0.93	0.01	EMR
AOS	0.58	0.63	0.47		0.73	0.61	0.57	0.65	0.67	0.25	AOS
DOV	0.8	0.92	0.86	0.73		0.96	0.8	0.98	0.91	0.39	DOV
CMI	0.79	0.92	0.91	0.61	0.96		0.81	0.98	0.89	0.37	CMI
ETN	0.96	0.96	0.93	0.57	0.8	0.81		0.83	0.92	-0.19	ETN
IR	0.83	0.93	0.92	0.65	0.98	0.98	0.83		0.93	0.33	IR
XYL	0.95	0.97	0.93	0.67	0.91	0.89	0.92	0.93		0.04	XYL
FELE	-0.2	0.02	0.01	0.25	0.39	0.37	-0.19	0.33	0.04		FELE
	PNR	PH	EMR	AOS	DOV	CMI	ETN	IR	XYL	FELE

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Correlation Matchups

Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.

High positive correlations

IR	+ 0.98	DOV
IR	+ 0.98	CMI
XYL	+ 0.97	PH
ETN	+ 0.96	PNR
EMR	+ 0.96	PH
ETN	+ 0.96	PH

High negative correlations

FELE	- 0.2	PNR
FELE	- 0.19	ETN

Risk-Adjusted Indicators

There is a big difference between Illinois Stock performing well and Illinois Tool Company doing well as a business compared to the competition. There are so many exceptions to the norm that investors cannot definitively determine what's good or bad unless they analyze Illinois Tool's multiple risk-adjusted performance indicators across the competitive landscape. These indicators are quantitative in nature and help investors forecast volatility and risk-adjusted expected returns across various positions.

	Mean Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
PNR	1.61	0.15	0.07	0.14	1.96	(1.88)	3.34	(2.76)	14.12
PH	1.71	0.10	0.04	0.10	2.76	(1.78)	3.27	(3.96)	19.46
EMR	1.64	0.16	0.06	0.15	2.50	(1.60)	3.49	(3.16)	15.41
AOS	1.39	(0.10)	0.00	(0.10)	0.00	0.00	3.18	(2.62)	11.23
DOV	1.46	(0.08)	0.00	(0.03)	0.00	0.00	3.27	(2.91)	13.54
CMI	1.63	(0.05)	(0.01)	0.00	2.31	(1.78)	2.85	(3.10)	16.00
ETN	1.79	0.12	0.05	0.12	2.28	(2.12)	3.28	(4.54)	17.30
IR	1.62	(0.07)	0.00	(0.02)	0.00	0.00	3.23	(3.22)	13.09
XYL	1.28	0.01	0.01	0.04	1.82	(1.32)	2.89	(2.11)	9.98
FELE	1.42	(0.29)	0.00	(0.26)	0.00	0.00	3.03	(2.67)	12.34

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