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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 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.


-0.50.00.51.0
Correlation: 0.4

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.

1,000.00%1,500.00%2,000.00%2,500.00%3,000.00%3,500.00%NovemberDecember2025FebruaryMarchApril
1,034.44%
3,177.50%
LUMN
^GSPC

Key characteristics

Sharpe Ratio

LUMN:

1.10

^GSPC:

0.46

Sortino Ratio

LUMN:

2.84

^GSPC:

0.77

Omega Ratio

LUMN:

1.35

^GSPC:

1.11

Calmar Ratio

LUMN:

1.54

^GSPC:

0.47

Martin Ratio

LUMN:

4.29

^GSPC:

1.94

Ulcer Index

LUMN:

34.12%

^GSPC:

4.61%

Daily Std Dev

LUMN:

133.00%

^GSPC:

19.44%

Max Drawdown

LUMN:

-95.26%

^GSPC:

-56.78%

Current Drawdown

LUMN:

-83.79%

^GSPC:

-10.07%

Returns By Period

In the year-to-date period, LUMN achieves a -36.91% return, which is significantly lower than ^GSPC's -6.06% return. Over the past 10 years, LUMN has underperformed ^GSPC with an annualized return of -15.73%, while ^GSPC has yielded a comparatively higher 10.15% annualized return.


LUMN

YTD

-36.91%

1M

-18.29%

6M

-47.98%

1Y

176.86%

5Y*

-16.74%

10Y*

-15.73%

^GSPC

YTD

-6.06%

1M

-2.95%

6M

-4.87%

1Y

8.34%

5Y*

13.98%

10Y*

10.15%

*Annualized

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Risk-Adjusted Performance

LUMN vs. ^GSPC — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

LUMN
The Risk-Adjusted Performance Rank of LUMN is 8989
Overall Rank
The Sharpe Ratio Rank of LUMN is 8686
Sharpe Ratio Rank
The Sortino Ratio Rank of LUMN is 9494
Sortino Ratio Rank
The Omega Ratio Rank of LUMN is 9191
Omega Ratio Rank
The Calmar Ratio Rank of LUMN is 9191
Calmar Ratio Rank
The Martin Ratio Rank of LUMN is 8585
Martin Ratio Rank

^GSPC
The Risk-Adjusted Performance Rank of ^GSPC is 6969
Overall Rank
The Sharpe Ratio Rank of ^GSPC is 6868
Sharpe Ratio Rank
The Sortino Ratio Rank of ^GSPC is 6363
Sortino Ratio Rank
The Omega Ratio Rank of ^GSPC is 6767
Omega Ratio Rank
The Calmar Ratio Rank of ^GSPC is 7171
Calmar Ratio Rank
The Martin Ratio Rank of ^GSPC is 7474
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

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.


The chart of Sharpe ratio for LUMN, currently valued at 1.10, compared to the broader market-2.00-1.000.001.002.003.00
LUMN: 1.10
^GSPC: 0.46
The chart of Sortino ratio for LUMN, currently valued at 2.84, compared to the broader market-6.00-4.00-2.000.002.004.00
LUMN: 2.84
^GSPC: 0.77
The chart of Omega ratio for LUMN, currently valued at 1.35, compared to the broader market0.501.001.502.00
LUMN: 1.35
^GSPC: 1.11
The chart of Calmar ratio for LUMN, currently valued at 1.54, compared to the broader market0.001.002.003.004.005.00
LUMN: 1.54
^GSPC: 0.47
The chart of Martin ratio for LUMN, currently valued at 4.29, compared to the broader market-5.000.005.0010.0015.0020.00
LUMN: 4.29
^GSPC: 1.94

The current LUMN Sharpe Ratio is 1.10, which is higher than the ^GSPC Sharpe Ratio of 0.46. 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 Ratio0.001.002.003.004.005.006.00NovemberDecember2025FebruaryMarchApril
1.10
0.46
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.


-80.00%-60.00%-40.00%-20.00%0.00%NovemberDecember2025FebruaryMarchApril
-83.79%
-10.07%
LUMN
^GSPC

Volatility

LUMN vs. ^GSPC - Volatility Comparison

Lumen Technologies, Inc. (LUMN) has a higher volatility of 26.52% compared to S&P 500 (^GSPC) at 14.23%. 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%5.00%10.00%15.00%20.00%25.00%30.00%NovemberDecember2025FebruaryMarchApril
26.52%
14.23%
LUMN
^GSPC