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

Correlation

The correlation between LUMN and VTSAX is 0.47, 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.


-0.50.00.51.00.5

Performance

LUMN vs. VTSAX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Lumen Technologies, Inc. (LUMN) and Vanguard Total Stock Market Index Fund Admiral Shares (VTSAX). The values are adjusted to include any dividend payments, if applicable.

0.00%200.00%400.00%600.00%JulyAugustSeptemberOctoberNovemberDecember
-44.04%
631.04%
LUMN
VTSAX

Key characteristics

Sharpe Ratio

LUMN:

1.95

VTSAX:

2.09

Sortino Ratio

LUMN:

3.68

VTSAX:

2.78

Omega Ratio

LUMN:

1.45

VTSAX:

1.39

Calmar Ratio

LUMN:

2.70

VTSAX:

3.13

Martin Ratio

LUMN:

10.41

VTSAX:

13.34

Ulcer Index

LUMN:

24.66%

VTSAX:

2.01%

Daily Std Dev

LUMN:

131.40%

VTSAX:

12.85%

Max Drawdown

LUMN:

-95.26%

VTSAX:

-55.34%

Current Drawdown

LUMN:

-71.36%

VTSAX:

-3.10%

Returns By Period

In the year-to-date period, LUMN achieves a 223.50% return, which is significantly higher than VTSAX's 24.80% return. Over the past 10 years, LUMN has underperformed VTSAX with an annualized return of -11.55%, while VTSAX has yielded a comparatively higher 12.51% annualized return.


LUMN

YTD

223.50%

1M

-21.59%

6M

453.27%

1Y

240.23%

5Y*

-10.77%

10Y*

-11.55%

VTSAX

YTD

24.80%

1M

-0.64%

6M

9.96%

1Y

25.16%

5Y*

14.07%

10Y*

12.51%

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Risk-Adjusted Performance

LUMN vs. VTSAX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Lumen Technologies, Inc. (LUMN) and Vanguard Total Stock Market Index Fund Admiral Shares (VTSAX). 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 1.95, compared to the broader market-4.00-2.000.002.001.952.09
The chart of Sortino ratio for LUMN, currently valued at 3.68, compared to the broader market-4.00-2.000.002.004.003.682.78
The chart of Omega ratio for LUMN, currently valued at 1.45, compared to the broader market0.501.001.502.001.451.39
The chart of Calmar ratio for LUMN, currently valued at 2.70, compared to the broader market0.002.004.006.002.703.13
The chart of Martin ratio for LUMN, currently valued at 10.41, compared to the broader market-5.000.005.0010.0015.0020.0025.0010.4113.34
LUMN
VTSAX

The current LUMN Sharpe Ratio is 1.95, which is comparable to the VTSAX Sharpe Ratio of 2.09. The chart below compares the historical Sharpe Ratios of LUMN and VTSAX, 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-1.000.001.002.003.004.005.006.00JulyAugustSeptemberOctoberNovemberDecember
1.95
2.09
LUMN
VTSAX

Dividends

LUMN vs. VTSAX - Dividend Comparison

LUMN has not paid dividends to shareholders, while VTSAX's dividend yield for the trailing twelve months is around 0.93%.


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%
VTSAX
Vanguard Total Stock Market Index Fund Admiral Shares
0.93%1.43%1.65%1.20%1.41%1.77%2.04%1.71%1.92%1.98%1.76%1.74%

Drawdowns

LUMN vs. VTSAX - Drawdown Comparison

The maximum LUMN drawdown since its inception was -95.26%, which is greater than VTSAX's maximum drawdown of -55.34%. Use the drawdown chart below to compare losses from any high point for LUMN and VTSAX. For additional features, visit the drawdowns tool.


-100.00%-80.00%-60.00%-40.00%-20.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-71.36%
-3.10%
LUMN
VTSAX

Volatility

LUMN vs. VTSAX - Volatility Comparison

Lumen Technologies, Inc. (LUMN) has a higher volatility of 17.18% compared to Vanguard Total Stock Market Index Fund Admiral Shares (VTSAX) at 4.06%. This indicates that LUMN's price experiences larger fluctuations and is considered to be riskier than VTSAX 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%JulyAugustSeptemberOctoberNovemberDecember
17.18%
4.06%
LUMN
VTSAX
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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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