Illinois Tool Correlations

ITW Stock

USD 242.53 5.24 2.11%

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

Weak diversification

The correlation between Illinois Tool Works and DJI is 0.32 (i.e., Weak 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 various price indices.

Moving together with Illinois Stock

0.61	PPERF	Bank Mandiri Persero	Pair Corr
0.82	VZ	Verizon Communications	Pair Corr
0.69	BA	Boeing	Pair Corr
0.8	T	ATT Inc	Pair Corr
0.86	HD	Home Depot	Pair Corr

Moving against Illinois Stock

0.85	BKRKF	PT Bank Rakyat	Pair Corr
0.83	PTAIY	Astra International Tbk	Pair Corr
0.82	IBM	International Business	Pair Corr
0.76	INTC	Intel Aggressive Push	Pair Corr
0.72	JNJ	Johnson Johnson	Pair Corr
0.71	AA	Alcoa Corp	Pair Corr
0.67	GE	GE Aerospace	Pair Corr
0.64	AXP	American Express	Pair Corr
0.62	KO	Coca Cola Aggressive Push	Pair Corr
0.57	MRK	Merck Company Aggressive Push	Pair Corr
0.53	MMM	3M Company	Pair Corr
0.48	EC	Ecopetrol SA ADR	Pair Corr
0.47	TLK	Telkom Indonesia Tbk	Pair Corr
0.42	BAC	Bank of America	Pair Corr
0.38	TLKMF	Telkom Indonesia Tbk	Pair Corr
0.34	WMT	Walmart	Pair Corr

Related Correlations Analysis

	MX	BESVF	TSMWF	BESIY	CCTTF	NUVR	NXPI
MX		-0.83	-0.15	-0.02	0.0	0.37	0.7	MX
BESVF	-0.83		0.38	0.13	0.0	-0.56	-0.63	BESVF
TSMWF	-0.15	0.38		0.75	0.0	-0.32	-0.44	TSMWF
BESIY	-0.02	0.13	0.75		0.0	-0.02	-0.25	BESIY
CCTTF	0.0	0.0	0.0	0.0		0.0	0.0	CCTTF
NUVR	0.37	-0.56	-0.32	-0.02	0.0		0.37	NUVR
NXPI	0.7	-0.63	-0.44	-0.25	0.0	0.37		NXPI
	MX	BESVF	TSMWF	BESIY	CCTTF	NUVR	NXPI

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

BESIY	+ 0.75	TSMWF
NXPI	+ 0.7	MX
TSMWF	+ 0.38	BESVF
NUVR	+ 0.37	MX
NXPI	+ 0.37	NUVR
BESIY	+ 0.13	BESVF

High negative correlations

BESVF	- 0.83	MX
NXPI	- 0.63	BESVF
NUVR	- 0.56	BESVF
NXPI	- 0.44	TSMWF
NUVR	- 0.32	TSMWF
NXPI	- 0.25	BESIY

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
MX	2.13	(0.28)	0.00	(0.20)	0.00	0.00	3.68	(5.81)	20.24
BESVF	0.53	0.15	0.00	1.02	0.00	0.00	0.00	0.00	13.10
TSMWF	0.03	0.00	0.00	0.26	0.00	0.00	0.00	0.00	0.94
BESIY	2.03	0.03	0.01	0.04	2.33	(2.66)	4.44	(4.23)	18.84
CCTTF	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
NUVR	0.93	(0.05)	0.00	(0.11)	0.00	0.00	2.86	(3.27)	13.57
NXPI	1.52	(0.32)	0.00	(0.16)	0.00	0.00	2.76	(3.87)	10.01

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