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LUMN vs. SPY
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


LUMNSPY
YTD Return308.74%21.01%
1Y Return567.86%32.86%
3Y Return (Ann)-16.79%8.37%
5Y Return (Ann)-6.38%14.97%
10Y Return (Ann)-9.16%12.86%
Sharpe Ratio4.542.83
Sortino Ratio5.063.76
Omega Ratio1.641.53
Calmar Ratio6.364.05
Martin Ratio26.8618.38
Ulcer Index22.55%1.85%
Daily Std Dev133.66%12.02%
Max Drawdown-95.26%-55.19%
Current Drawdown-63.81%-2.53%

Correlation

-0.50.00.51.00.4

The correlation between LUMN and SPY is 0.43, 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.

Performance

LUMN vs. SPY - Performance Comparison

In the year-to-date period, LUMN achieves a 308.74% return, which is significantly higher than SPY's 21.01% return. Over the past 10 years, LUMN has underperformed SPY with an annualized return of -9.16%, while SPY has yielded a comparatively higher 12.86% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%100.00%200.00%300.00%400.00%500.00%JuneJulyAugustSeptemberOctoberNovember
466.62%
11.00%
LUMN
SPY

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Risk-Adjusted Performance

LUMN vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Lumen Technologies, Inc. (LUMN) and SPDR S&P 500 ETF (SPY). 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.


LUMN
Sharpe ratio
The chart of Sharpe ratio for LUMN, currently valued at 4.54, compared to the broader market-4.00-2.000.002.004.54
Sortino ratio
The chart of Sortino ratio for LUMN, currently valued at 5.06, compared to the broader market-4.00-2.000.002.004.005.06
Omega ratio
The chart of Omega ratio for LUMN, currently valued at 1.64, compared to the broader market0.501.001.502.001.64
Calmar ratio
The chart of Calmar ratio for LUMN, currently valued at 6.36, compared to the broader market0.002.004.006.006.36
Martin ratio
The chart of Martin ratio for LUMN, currently valued at 26.86, compared to the broader market-10.000.0010.0020.0030.0026.86
SPY
Sharpe ratio
The chart of Sharpe ratio for SPY, currently valued at 2.83, compared to the broader market-4.00-2.000.002.002.83
Sortino ratio
The chart of Sortino ratio for SPY, currently valued at 3.76, compared to the broader market-4.00-2.000.002.004.003.76
Omega ratio
The chart of Omega ratio for SPY, currently valued at 1.53, compared to the broader market0.501.001.502.001.53
Calmar ratio
The chart of Calmar ratio for SPY, currently valued at 4.05, compared to the broader market0.002.004.006.004.05
Martin ratio
The chart of Martin ratio for SPY, currently valued at 18.38, compared to the broader market-10.000.0010.0020.0030.0018.38

LUMN vs. SPY - Sharpe Ratio Comparison

The current LUMN Sharpe Ratio is 4.54, which is higher than the SPY Sharpe Ratio of 2.83. The chart below compares the historical Sharpe Ratios of LUMN and SPY, 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-1.000.001.002.003.004.005.00JuneJulyAugustSeptemberOctoberNovember
4.54
2.83
LUMN
SPY

Dividends

LUMN vs. SPY - Dividend Comparison

LUMN has not paid dividends to shareholders, while SPY's dividend yield for the trailing twelve months is around 1.23%.


TTM20232022202120202019201820172016201520142013
LUMN
Lumen Technologies, Inc.
0.00%0.00%14.37%7.97%10.26%7.57%14.26%12.95%9.08%8.59%5.46%6.78%
SPY
SPDR S&P 500 ETF
1.23%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

LUMN vs. SPY - Drawdown Comparison

The maximum LUMN drawdown since its inception was -95.26%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for LUMN and SPY. For additional features, visit the drawdowns tool.


-100.00%-80.00%-60.00%-40.00%-20.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-63.81%
-2.53%
LUMN
SPY

Volatility

LUMN vs. SPY - Volatility Comparison

Lumen Technologies, Inc. (LUMN) has a higher volatility of 20.45% compared to SPDR S&P 500 ETF (SPY) at 3.15%. This indicates that LUMN's price experiences larger fluctuations and is considered to be riskier than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%20.00%40.00%60.00%80.00%JuneJulyAugustSeptemberOctoberNovember
20.45%
3.15%
LUMN
SPY