In pharmacoepidemiology, comparison studies can provide a useful estimate of the level of increased or decreased risk of specific events with a medication (through a measure of effect). A key focus of pharmacoepidemiological studies is the safety and effectiveness of medicines in their real-world use, and adequate comparisons of effect estimates are critical. However, consideration of guidelines, pharmacoeconomic assessments, and policies for reimbursement have made comparisons in pharmacoepidemiological studies far more difficult to conduct in recent years. Where certain subject characteristics influence the probability of being exposed to a treatment, this can introduce issues of selection bias and confounding. Methodologies are available to minimise selection bias (through case-only and randomised study designs) and deal with confounding (such as regression modelling or propensity score matching methods), however these each have their own limitations. Where prescribing guidelines are present, conducting comparisons in pharmacoepidemiology produces many challenges and not all of these can be easily overcome. Patient channelling can be more frequent with adherence to clinical guidelines compared with when prescribing decisions by doctors are based predominantly on their clinical judgement. Use of a contextual cohort could be considered as an option to characterise the adoption of new medications into clinical practice and describe the prevalence of clinical characteristics and risk factors in the two cohorts, rather than compare event rates and produce an estimate of effect.