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NGG vs. GSK
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Financials

Performance

NGG vs. GSK - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in National Grid plc (NGG) and GlaxoSmithKline plc (GSK). The values are adjusted to include any dividend payments, if applicable.

-20.00%-10.00%0.00%10.00%20.00%30.00%JuneJulyAugustSeptemberOctoberNovember
13.94%
-24.59%
NGG
GSK

Returns By Period

In the year-to-date period, NGG achieves a 3.43% return, which is significantly higher than GSK's -6.46% return. Over the past 10 years, NGG has outperformed GSK with an annualized return of 4.92%, while GSK has yielded a comparatively lower 1.52% annualized return.


NGG

YTD

3.43%

1M

-5.61%

6M

-2.31%

1Y

9.20%

5Y (annualized)

8.73%

10Y (annualized)

4.92%

GSK

YTD

-6.46%

1M

-11.61%

6M

-25.62%

1Y

-2.01%

5Y (annualized)

-1.39%

10Y (annualized)

1.52%

Fundamentals


NGGGSK
Market Cap$62.13B$68.27B
EPS$2.59$1.54
PE Ratio24.5521.73
PEG Ratio2.080.71
Total Revenue (TTM)$11.36B$31.27B
Gross Profit (TTM)$3.56B$22.46B
EBITDA (TTM)$4.26B$7.73B

Key characteristics


NGGGSK
Sharpe Ratio0.41-0.06
Sortino Ratio0.640.07
Omega Ratio1.111.01
Calmar Ratio0.48-0.05
Martin Ratio1.51-0.13
Ulcer Index6.52%9.69%
Daily Std Dev23.79%21.55%
Max Drawdown-54.85%-55.21%
Current Drawdown-10.23%-25.62%

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Correlation

-0.50.00.51.00.4

The correlation between NGG and GSK is 0.39, 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.

Risk-Adjusted Performance

NGG vs. GSK - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for National Grid plc (NGG) and GlaxoSmithKline plc (GSK). 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 NGG, currently valued at 0.41, compared to the broader market-4.00-2.000.002.000.41-0.06
The chart of Sortino ratio for NGG, currently valued at 0.64, compared to the broader market-4.00-2.000.002.004.000.640.07
The chart of Omega ratio for NGG, currently valued at 1.11, compared to the broader market0.501.001.502.001.111.01
The chart of Calmar ratio for NGG, currently valued at 0.48, compared to the broader market0.002.004.006.000.48-0.05
The chart of Martin ratio for NGG, currently valued at 1.51, compared to the broader market-10.000.0010.0020.0030.001.51-0.13
NGG
GSK

The current NGG Sharpe Ratio is 0.41, which is higher than the GSK Sharpe Ratio of -0.06. The chart below compares the historical Sharpe Ratios of NGG and GSK, 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-0.500.000.501.001.502.00JuneJulyAugustSeptemberOctoberNovember
0.41
-0.06
NGG
GSK

Dividends

NGG vs. GSK - Dividend Comparison

NGG's dividend yield for the trailing twelve months is around 11.36%, more than GSK's 4.67% yield.


TTM20232022202120202019201820172016201520142013
NGG
National Grid plc
9.48%5.20%5.13%4.71%5.29%4.90%6.44%24.15%5.07%4.73%7.86%4.82%
GSK
GlaxoSmithKline plc
4.67%3.75%4.78%4.92%5.49%4.28%5.55%5.72%7.06%5.96%6.09%4.43%

Drawdowns

NGG vs. GSK - Drawdown Comparison

The maximum NGG drawdown since its inception was -54.85%, roughly equal to the maximum GSK drawdown of -55.21%. Use the drawdown chart below to compare losses from any high point for NGG and GSK. For additional features, visit the drawdowns tool.


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-10.23%
-25.62%
NGG
GSK

Volatility

NGG vs. GSK - Volatility Comparison

The current volatility for National Grid plc (NGG) is 5.15%, while GlaxoSmithKline plc (GSK) has a volatility of 6.22%. This indicates that NGG experiences smaller price fluctuations and is considered to be less risky than GSK based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


5.00%10.00%15.00%20.00%JuneJulyAugustSeptemberOctoberNovember
5.15%
6.22%
NGG
GSK

Financials

NGG vs. GSK - Financials Comparison

This section allows you to compare key financial metrics between National Grid plc and GlaxoSmithKline plc. You can select fields from income statements, balance sheets, and cash flow statements to easily visualize and compare the financial health of both companies.


Quarterly
Annual

Total Revenue: Total amount of money received from sales and other business activities


Values in USD except per share items