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LUMN vs. HJPSX
Performance
Return for Risk
Drawdowns
Volatility
Dividends

LUMN vs. HJPSX

Last updated Jun 13, 2026

LUMN (Lumen Technologies, Inc.) is a stock, while HJPSX (Hennessy Japan Small Cap Fund) is Japan Equities fund managed by Hennessy. Over the past 10 years, LUMN returned -5.46%/yr vs 10.57%/yr for HJPSX. At a 0.26 correlation, their price movements are largely independent.

Performance

LUMN vs. HJPSX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Lumen Technologies, Inc. (LUMN) and Hennessy Japan Small Cap Fund (HJPSX). The values are adjusted to include any dividend payments, if applicable.

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Returns By Period

In the year-to-date period, LUMN achieves a 9.27% return, which is significantly lower than HJPSX's 12.79% return. Over the past 10 years, LUMN has underperformed HJPSX with an annualized return of -5.46%, while HJPSX has yielded a comparatively higher 10.57% annualized return.

LUMN

1D
0.00%
1M
-15.52%
YTD
9.27%
6M
-0.12%
1Y
110.15%
3Y*
58.55%
5Y*
-8.90%
10Y*
-5.46%

HJPSX

1D
1.71%
1M
-1.79%
YTD
12.79%
6M
15.92%
1Y
30.46%
3Y*
18.80%
5Y*
8.15%
10Y*
10.57%
*Multi-year figures are annualized to reflect compound growth (CAGR)

LUMN vs. HJPSX - Yearly Performance Comparison

2026 (YTD)202520242023202220212020201920182017
LUMN
Lumen Technologies, Inc.		9.27%46.33%190.16%-64.94%-55.48%38.82%-19.18%-5.22%2.00%-21.73%
HJPSX
Hennessy Japan Small Cap Fund		12.79%29.02%8.24%16.30%-16.35%-4.64%13.43%19.97%-12.56%49.60%

Correlation

The correlation between LUMN and HJPSX is 0.21, which is low. Their price movements are largely independent, making them effective diversification partners.

Correlation
Correlation (1Y)
Calculated over the trailing 1-year period

0.21

Correlation (3Y)
Calculated over the trailing 3-year period

0.19

Correlation (5Y)
Calculated over the trailing 5-year period

0.23

Correlation (10Y)
Calculated over the trailing 10-year period

0.23

Correlation (All Time)
Calculated using the full available price history since Sep 4, 2007

0.26

Compare stocks, funds, or ETFs

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Lumen Technologies, Inc.

Hennessy Japan Small Cap Fund

Often compared with LUMN:
LUMN vs. NOKLUMN vs. KMILUMN vs. LCIDLUMN vs. SPWRLUMN vs. SPYLUMN vs. TOI.VLUMN vs. CLOV
Often compared with HJPSX:
HJPSX vs. DFJHJPSX vs. OLGAXHJPSX vs. SPYHJPSX vs. VOOHJPSX vs. PRJPXHJPSX vs. FIQLXHJPSX vs. CNJFX

Return for Risk

LUMN vs. HJPSX — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
LUMN
LUMN Risk / Return Rank: 7777
Overall Rank
LUMN Sharpe Ratio Rank: 7979
Sharpe Ratio Rank
LUMN Sortino Ratio Rank: 7878
Sortino Ratio Rank
LUMN Omega Ratio Rank: 7777
Omega Ratio Rank
LUMN Calmar Ratio Rank: 7878
Calmar Ratio Rank
LUMN Martin Ratio Rank: 7373
Martin Ratio Rank
HJPSX
HJPSX Risk / Return Rank: 4444
Overall Rank
HJPSX Sharpe Ratio Rank: 5151
Sharpe Ratio Rank
HJPSX Sortino Ratio Rank: 4949
Sortino Ratio Rank
HJPSX Omega Ratio Rank: 4747
Omega Ratio Rank
HJPSX Calmar Ratio Rank: 3939
Calmar Ratio Rank
HJPSX Martin Ratio Rank: 3232
Martin Ratio Rank
The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

LUMN vs. HJPSX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Lumen Technologies, Inc. (LUMN) and Hennessy Japan Small Cap Fund (HJPSX). 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.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

LUMNHJPSXDifference
Sharpe ratioReturn per unit of total volatility
1.28
1.71

-0.42

Sortino ratioReturn per unit of downside risk
2.05
2.36

-0.32

Omega ratioGain probability vs. loss probability

1.26

1.30

-0.04

Calmar ratioReturn relative to maximum drawdown

2.17

2.02

+0.15

Martin ratioReturn relative to average drawdown

4.11

6.15

-2.04

LUMN vs. HJPSX - Sharpe Ratio Comparison

The current LUMN Sharpe Ratio is 1.28, which is comparable to the HJPSX Sharpe Ratio of 1.71. The chart below compares the historical Sharpe Ratios of LUMN and HJPSX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

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Drawdowns

LUMN vs. HJPSX - Drawdown Comparison

The maximum LUMN drawdown since its inception was -95.26%, which is greater than HJPSX's maximum drawdown of -47.91%. Use the drawdown chart below to compare losses from any high point for LUMN and HJPSX.

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Drawdown Indicators

LUMNHJPSXDifference

Max Drawdown

Largest peak-to-trough decline

-95.26%

-47.91%

-47.35%

Max Drawdown (1Y)

Largest decline over 1 year

-47.34%

-14.77%

-32.57%

Max Drawdown (3Y)

Largest decline over 3 years

-69.66%

-14.77%

-54.89%

Max Drawdown (5Y)

Largest decline over 5 years

-92.54%

-33.24%

-59.30%

Max Drawdown (10Y)

Largest decline over 10 years

-94.44%

-34.80%

-59.64%

Current Drawdown

Current decline from peak

-58.92%

-4.60%

-54.32%

Average Drawdown

Average peak-to-trough decline

-27.66%

-10.05%

-17.61%

Ulcer Index

Depth and duration of drawdowns from previous peaks

24.94%

4.83%

+20.11%

Volatility

LUMN vs. HJPSX - Volatility Comparison

Lumen Technologies, Inc. (LUMN) has a higher volatility of 22.04% compared to Hennessy Japan Small Cap Fund (HJPSX) at 4.08%. This indicates that LUMN's price experiences larger fluctuations and is considered to be riskier than HJPSX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

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Volatility by Period

LUMNHJPSXDifference

Volatility (1M)

Calculated over the trailing 1-month period

22.04%

4.08%

+17.96%

Volatility (6M)

Calculated over the trailing 6-month period

57.12%

13.52%

+43.60%

Volatility (1Y)

Calculated over the trailing 1-year period

80.17%

17.47%

+62.70%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

85.30%

17.27%

+68.03%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

67.61%

17.75%

+49.86%

Dividends

LUMN vs. HJPSX - Dividend Comparison

LUMN has not paid dividends to shareholders, while HJPSX's dividend yield for the trailing twelve months is around 11.74%.

PositionTTM20252024202320222021202020192018201720162015
HJPSX
Hennessy Japan Small Cap Fund		11.74%13.25%3.64%0.85%0.61%0.43%0.23%1.30%3.46%2.09%2.03%3.34%
LUMN
Lumen Technologies, Inc.		0.00%0.00%0.00%0.00%14.37%7.97%10.26%7.57%14.26%12.95%9.08%8.59%

Frequently Asked Questions

LUMN and HJPSX have a correlation of 0.21, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

LUMN has higher volatility (22.04%) compared to HJPSX (4.08%). In terms of maximum drawdown, LUMN dropped -95.26% vs HJPSX's -47.91%.

HJPSX currently has the higher Sharpe Ratio (1.71 vs 1.28), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.

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