LUMN vs. ^GSPC
Compare and contrast key facts about Lumen Technologies, Inc. (LUMN) and S&P 500 (^GSPC).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: LUMN or ^GSPC.
Key characteristics
| LUMN | ^GSPC | |
|---|---|---|
| YTD Return | 308.74% | 19.77% |
| 1Y Return | 567.86% | 31.07% |
| 3Y Return (Ann) | -16.79% | 6.78% |
| 5Y Return (Ann) | -6.38% | 13.22% |
| 10Y Return (Ann) | -9.16% | 10.92% |
| Sharpe Ratio | 4.54 | 2.67 |
| Sortino Ratio | 5.06 | 3.55 |
| Omega Ratio | 1.64 | 1.50 |
| Calmar Ratio | 6.36 | 3.45 |
| Martin Ratio | 26.86 | 17.04 |
| Ulcer Index | 22.55% | 1.90% |
| Daily Std Dev | 133.66% | 12.10% |
| Max Drawdown | -95.26% | -56.78% |
| Current Drawdown | -63.81% | -2.59% |
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.
Performance
LUMN vs. ^GSPC - Performance Comparison
In the year-to-date period, LUMN achieves a 308.74% return, which is significantly higher than ^GSPC's 19.77% return. Over the past 10 years, LUMN has underperformed ^GSPC with an annualized return of -9.16%, while ^GSPC has yielded a comparatively higher 10.92% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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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.
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.
Volatility
LUMN vs. ^GSPC - Volatility Comparison
Lumen Technologies, Inc. (LUMN) has a higher volatility of 20.45% compared to S&P 500 (^GSPC) at 3.11%. 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.