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

Performance

LUMN vs. VOO - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Lumen Technologies, Inc. (LUMN) and Vanguard S&P 500 ETF (VOO). The values are adjusted to include any dividend payments, if applicable.

0.00%200.00%400.00%600.00%JuneJulyAugustSeptemberOctoberNovember
500.11%
12.17%
LUMN
VOO

Returns By Period

In the year-to-date period, LUMN achieves a 322.95% return, which is significantly higher than VOO's 25.48% return. Over the past 10 years, LUMN has underperformed VOO with an annualized return of -9.20%, while VOO has yielded a comparatively higher 13.15% annualized return.


LUMN

YTD

322.95%

1M

14.84%

6M

514.29%

1Y

460.87%

5Y (annualized)

-7.71%

10Y (annualized)

-9.20%

VOO

YTD

25.48%

1M

0.99%

6M

11.84%

1Y

31.84%

5Y (annualized)

15.62%

10Y (annualized)

13.15%

Key characteristics


LUMNVOO
Sharpe Ratio3.552.69
Sortino Ratio4.623.59
Omega Ratio1.571.50
Calmar Ratio4.973.89
Martin Ratio20.8917.64
Ulcer Index22.65%1.86%
Daily Std Dev133.20%12.20%
Max Drawdown-95.26%-33.99%
Current Drawdown-62.55%-1.40%

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Correlation

-0.50.00.51.00.4

The correlation between LUMN and VOO is 0.42, 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.

Risk-Adjusted Performance

LUMN vs. VOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Lumen Technologies, Inc. (LUMN) and Vanguard S&P 500 ETF (VOO). 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 LUMN, currently valued at 3.55, compared to the broader market-4.00-2.000.002.004.003.552.69
The chart of Sortino ratio for LUMN, currently valued at 4.62, compared to the broader market-4.00-2.000.002.004.004.623.59
The chart of Omega ratio for LUMN, currently valued at 1.57, compared to the broader market0.501.001.502.001.571.50
The chart of Calmar ratio for LUMN, currently valued at 4.97, compared to the broader market0.002.004.006.004.973.89
The chart of Martin ratio for LUMN, currently valued at 20.89, compared to the broader market-10.000.0010.0020.0030.0020.8917.64
LUMN
VOO

The current LUMN Sharpe Ratio is 3.55, which is higher than the VOO Sharpe Ratio of 2.69. The chart below compares the historical Sharpe Ratios of LUMN and VOO, 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-1.000.001.002.003.004.005.006.00JuneJulyAugustSeptemberOctoberNovember
3.55
2.69
LUMN
VOO

Dividends

LUMN vs. VOO - Dividend Comparison

LUMN has not paid dividends to shareholders, while VOO's dividend yield for the trailing twelve months is around 1.25%.


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%
VOO
Vanguard S&P 500 ETF
1.25%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%1.84%

Drawdowns

LUMN vs. VOO - Drawdown Comparison

The maximum LUMN drawdown since its inception was -95.26%, which is greater than VOO's maximum drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for LUMN and VOO. For additional features, visit the drawdowns tool.


-100.00%-80.00%-60.00%-40.00%-20.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-62.55%
-1.40%
LUMN
VOO

Volatility

LUMN vs. VOO - Volatility Comparison

Lumen Technologies, Inc. (LUMN) has a higher volatility of 27.22% compared to Vanguard S&P 500 ETF (VOO) at 4.10%. This indicates that LUMN's price experiences larger fluctuations and is considered to be riskier than VOO 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
27.22%
4.10%
LUMN
VOO