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LUMN vs. ^GSPC
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between LUMN and ^GSPC is 0.40, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.


-0.50.00.51.00.4

Performance

LUMN vs. ^GSPC - Performance Comparison

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

0.00%1,000.00%2,000.00%3,000.00%4,000.00%JulyAugustSeptemberOctoberNovemberDecember
1,904.74%
3,418.12%
LUMN
^GSPC

Key characteristics

Sharpe Ratio

LUMN:

1.95

^GSPC:

2.10

Sortino Ratio

LUMN:

3.68

^GSPC:

2.80

Omega Ratio

LUMN:

1.45

^GSPC:

1.39

Calmar Ratio

LUMN:

2.70

^GSPC:

3.09

Martin Ratio

LUMN:

10.41

^GSPC:

13.49

Ulcer Index

LUMN:

24.66%

^GSPC:

1.94%

Daily Std Dev

LUMN:

131.40%

^GSPC:

12.52%

Max Drawdown

LUMN:

-95.26%

^GSPC:

-56.78%

Current Drawdown

LUMN:

-71.36%

^GSPC:

-2.62%

Returns By Period

In the year-to-date period, LUMN achieves a 223.50% return, which is significantly higher than ^GSPC's 24.34% return. Over the past 10 years, LUMN has underperformed ^GSPC with an annualized return of -11.55%, while ^GSPC has yielded a comparatively higher 11.06% annualized return.


LUMN

YTD

223.50%

1M

-21.59%

6M

453.27%

1Y

240.23%

5Y*

-10.77%

10Y*

-11.55%

^GSPC

YTD

24.34%

1M

0.23%

6M

8.53%

1Y

24.95%

5Y*

13.01%

10Y*

11.06%

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Risk-Adjusted Performance

LUMN vs. ^GSPC - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Lumen Technologies, Inc. (LUMN) and S&P 500 (^GSPC). 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-4.00-2.000.002.001.952.10
The chart of Sortino ratio for LUMN, currently valued at 3.68, compared to the broader market-4.00-2.000.002.004.003.682.80
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 market0.002.004.006.002.703.09
The chart of Martin ratio for LUMN, currently valued at 10.41, compared to the broader market-5.000.005.0010.0015.0020.0025.0010.4113.49
LUMN
^GSPC

The current LUMN Sharpe Ratio is 1.95, which is comparable to the ^GSPC Sharpe Ratio of 2.10. The chart below compares the historical Sharpe Ratios of LUMN and ^GSPC, 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
2.10
LUMN
^GSPC

Drawdowns

LUMN vs. ^GSPC - Drawdown Comparison

The maximum LUMN drawdown since its inception was -95.26%, which is greater than ^GSPC's maximum drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for LUMN and ^GSPC. For additional features, visit the drawdowns tool.


-100.00%-80.00%-60.00%-40.00%-20.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-71.36%
-2.62%
LUMN
^GSPC

Volatility

LUMN vs. ^GSPC - Volatility Comparison

Lumen Technologies, Inc. (LUMN) has a higher volatility of 17.18% compared to S&P 500 (^GSPC) at 3.79%. This indicates that LUMN's price experiences larger fluctuations and is considered to be riskier than ^GSPC 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%
3.79%
LUMN
^GSPC
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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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