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

Key characteristics


NGGGSK
YTD Return5.05%2.31%
1Y Return17.10%11.19%
3Y Return (Ann)7.58%6.28%
5Y Return (Ann)9.27%5.80%
10Y Return (Ann)5.34%6.20%
Sharpe Ratio0.800.51
Sortino Ratio1.080.82
Omega Ratio1.181.11
Calmar Ratio0.920.57
Martin Ratio3.121.30
Ulcer Index6.13%8.27%
Daily Std Dev23.97%21.11%
Max Drawdown-54.85%-54.70%
Current Drawdown-8.83%-18.67%

Fundamentals


NGGGSK
Market Cap$62.79B$75.24B
EPS$3.55$1.57
PE Ratio18.1023.49
PEG Ratio4.070.77
Total Revenue (TTM)$11.36B$23.26B
Gross Profit (TTM)$3.56B$16.84B
EBITDA (TTM)$4.26B$6.33B

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.

Performance

NGG vs. GSK - Performance Comparison

In the year-to-date period, NGG achieves a 5.05% return, which is significantly higher than GSK's 2.31% return. Over the past 10 years, NGG has underperformed GSK with an annualized return of 5.34%, while GSK has yielded a comparatively higher 6.20% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


200.00%300.00%400.00%500.00%600.00%700.00%JuneJulyAugustSeptemberOctoberNovember
633.26%
227.71%
NGG
GSK

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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.


NGG
Sharpe ratio
The chart of Sharpe ratio for NGG, currently valued at 0.80, compared to the broader market-4.00-2.000.002.004.000.80
Sortino ratio
The chart of Sortino ratio for NGG, currently valued at 1.08, compared to the broader market-4.00-2.000.002.004.001.08
Omega ratio
The chart of Omega ratio for NGG, currently valued at 1.18, compared to the broader market0.501.001.502.001.18
Calmar ratio
The chart of Calmar ratio for NGG, currently valued at 0.92, compared to the broader market0.002.004.006.000.92
Martin ratio
The chart of Martin ratio for NGG, currently valued at 3.12, compared to the broader market0.0010.0020.0030.003.12
GSK
Sharpe ratio
The chart of Sharpe ratio for GSK, currently valued at 0.51, compared to the broader market-4.00-2.000.002.004.000.51
Sortino ratio
The chart of Sortino ratio for GSK, currently valued at 0.82, compared to the broader market-4.00-2.000.002.004.000.82
Omega ratio
The chart of Omega ratio for GSK, currently valued at 1.11, compared to the broader market0.501.001.502.001.11
Calmar ratio
The chart of Calmar ratio for GSK, currently valued at 0.57, compared to the broader market0.002.004.006.000.57
Martin ratio
The chart of Martin ratio for GSK, currently valued at 1.30, compared to the broader market0.0010.0020.0030.001.30

NGG vs. GSK - Sharpe Ratio Comparison

The current NGG Sharpe Ratio is 0.80, which is higher than the GSK Sharpe Ratio of 0.51. 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
0.80
0.51
NGG
GSK

Dividends

NGG vs. GSK - Dividend Comparison

NGG's dividend yield for the trailing twelve months is around 11.19%, more than GSK's 4.13% yield.


TTM20232022202120202019201820172016201520142013
NGG
National Grid plc
11.19%5.20%5.18%4.75%5.32%4.94%6.44%24.15%5.07%4.73%7.86%4.82%
GSK
GlaxoSmithKline plc
4.13%3.75%4.78%6.17%6.86%5.34%6.95%7.13%8.84%7.44%7.71%5.61%

Drawdowns

NGG vs. GSK - Drawdown Comparison

The maximum NGG drawdown since its inception was -54.85%, roughly equal to the maximum GSK drawdown of -54.70%. Use the drawdown chart below to compare losses from any high point for NGG and GSK. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-8.83%
-18.67%
NGG
GSK

Volatility

NGG vs. GSK - Volatility Comparison

The current volatility for National Grid plc (NGG) is 5.10%, while GlaxoSmithKline plc (GSK) has a volatility of 7.91%. 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
5.10%
7.91%
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