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

Correlation

The correlation between RHHBY and GSK is 0.40, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.


-0.50.00.51.00.4

Performance

RHHBY vs. GSK - Performance Comparison

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

0.00%200.00%400.00%600.00%800.00%JulyAugustSeptemberOctoberNovemberDecember
601.22%
72.57%
RHHBY
GSK

Key characteristics

Sharpe Ratio

RHHBY:

0.12

GSK:

-0.16

Sortino Ratio

RHHBY:

0.32

GSK:

-0.07

Omega Ratio

RHHBY:

1.04

GSK:

0.99

Calmar Ratio

RHHBY:

0.07

GSK:

-0.14

Martin Ratio

RHHBY:

0.27

GSK:

-0.29

Ulcer Index

RHHBY:

9.99%

GSK:

11.85%

Daily Std Dev

RHHBY:

22.02%

GSK:

22.00%

Max Drawdown

RHHBY:

-50.12%

GSK:

-55.21%

Current Drawdown

RHHBY:

-30.20%

GSK:

-25.07%

Fundamentals

Market Cap

RHHBY:

$231.55B

GSK:

$69.84B

EPS

RHHBY:

$1.85

GSK:

$1.54

PE Ratio

RHHBY:

19.37

GSK:

22.23

PEG Ratio

RHHBY:

1.09

GSK:

0.76

Returns By Period

In the year-to-date period, RHHBY achieves a -0.73% return, which is significantly higher than GSK's -5.76% return. Over the past 10 years, RHHBY has outperformed GSK with an annualized return of 3.45%, while GSK has yielded a comparatively lower 2.44% annualized return.


RHHBY

YTD

-0.73%

1M

-1.79%

6M

-3.06%

1Y

0.88%

5Y*

0.43%

10Y*

3.45%

GSK

YTD

-5.76%

1M

0.75%

6M

-15.26%

1Y

-5.12%

5Y*

-2.67%

10Y*

2.44%

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Risk-Adjusted Performance

RHHBY vs. GSK - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Roche Holding AG (RHHBY) 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 RHHBY, currently valued at 0.12, compared to the broader market-4.00-2.000.002.000.12-0.16
The chart of Sortino ratio for RHHBY, currently valued at 0.32, compared to the broader market-4.00-2.000.002.004.000.32-0.07
The chart of Omega ratio for RHHBY, currently valued at 1.04, compared to the broader market0.501.001.502.001.040.99
The chart of Calmar ratio for RHHBY, currently valued at 0.07, compared to the broader market0.002.004.006.000.07-0.14
The chart of Martin ratio for RHHBY, currently valued at 0.27, compared to the broader market-5.000.005.0010.0015.0020.0025.000.27-0.29
RHHBY
GSK

The current RHHBY Sharpe Ratio is 0.12, which is higher than the GSK Sharpe Ratio of -0.16. The chart below compares the historical Sharpe Ratios of RHHBY 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-0.500.000.501.001.50JulyAugustSeptemberOctoberNovemberDecember
0.12
-0.16
RHHBY
GSK

Dividends

RHHBY vs. GSK - Dividend Comparison

RHHBY's dividend yield for the trailing twelve months is around 4.04%, less than GSK's 4.63% yield.


TTM20232022202120202019201820172016201520142013
RHHBY
Roche Holding AG
4.04%3.55%3.23%2.47%2.63%2.69%3.58%3.22%3.62%3.14%3.23%2.88%
GSK
GlaxoSmithKline plc
4.63%3.75%4.78%4.92%5.49%4.28%5.55%5.72%7.06%5.96%6.09%4.43%

Drawdowns

RHHBY vs. GSK - Drawdown Comparison

The maximum RHHBY drawdown since its inception was -50.12%, smaller than the maximum GSK drawdown of -55.21%. Use the drawdown chart below to compare losses from any high point for RHHBY and GSK. For additional features, visit the drawdowns tool.


-30.00%-25.00%-20.00%-15.00%-10.00%-5.00%JulyAugustSeptemberOctoberNovemberDecember
-30.20%
-25.07%
RHHBY
GSK

Volatility

RHHBY vs. GSK - Volatility Comparison

The current volatility for Roche Holding AG (RHHBY) is 5.21%, while GlaxoSmithKline plc (GSK) has a volatility of 6.78%. This indicates that RHHBY 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.


4.00%6.00%8.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
5.21%
6.78%
RHHBY
GSK

Financials

RHHBY vs. GSK - Financials Comparison

This section allows you to compare key financial metrics between Roche Holding AG 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
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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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