Lumentum Holdings vs Ciena (LITE vs CIEN) 2026: Stock Returns, Risk & Volatility

Q: Which is a better investment: LITE or CIEN?

Over the past year, LITE looks like the better investment: it had higher total return (LITE +1311.5% vs CIEN +682.3%) and a higher Sharpe ratio (LITE 3.70 vs CIEN 3.60). On risk, CIEN was less volatile (CIEN 62.2% vs LITE 80.1%), CIEN had a smaller max drawdown (CIEN -16.8% vs LITE -28.7%), and CIEN had less severe losses on the worst 5% of days (Expected Shortfall of CIEN -9.32% vs LITE -10.68%).

Written by Gale Finance Team

Reviewed by Sid Kalla CFA Charterholder

Quick answer

Which is a better investment: LITE or CIEN?

Over the past year, LITE outperformed CIEN. LITE returned +1311.5% compared with CIEN’s +682.3%. LITE had the better risk-adjusted return, with a Sharpe ratio of 3.70 versus CIEN’s 3.60. CIEN was less volatile than LITE, and CIEN had a smaller max drawdown than LITE.

Total Return

LITE +1311.5%

CIEN +682.3%

Sharpe Ratio

LITE 3.70

CIEN 3.60

Annualized Volatility

LITE 80.1%

CIEN 62.2%

Max Drawdown

LITE -28.7%

CIEN -16.8%

Metric winners: Total Return: LITE; Sharpe Ratio: LITE; Annualized Volatility: CIEN (less volatile); Max Drawdown: CIEN (smaller drawdown).

LITE Total Return

↑ +1311.5%

CIEN Total Return

↑ +682.3%

Relative Performance of LITE vs CIEN (Normalized to 100)

LITE CIEN

Normalized to 100 at start date for comparison

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Key Takeaways

Total Return: LITE delivered a +1311.5% total return, while CIEN returned +682.3% over the same period. LITE outperformed on total returns.
Risk-Adjusted Return (Sharpe Ratio): LITE had a higher Sharpe (3.70 vs 3.60), indicating better risk-adjusted performance.
Volatility (Annualized): LITE was more volatile, with 80.1% annualized volatility, versus 62.2% for CIEN.
Maximum Drawdown: CIEN's maximum drawdown was -16.8%, while LITE experienced a deeper drawdown of -28.7%.
Tail Risk (VaR & Expected Shortfall): At the 5% level (daily log returns), LITE's VaR was -7.07% and its Expected Shortfall (CVaR) was -10.68%; CIEN's were -4.80% and -9.32%. VaR is the cutoff; Expected Shortfall is the average move on the worst days.
Skew & Kurtosis: Skew: LITE -0.09 vs CIEN -0.25. Excess kurtosis: LITE 1.69 vs CIEN 4.85. Negative skew leans downside; higher excess kurtosis means fatter tails.
Tail Days & Extremes: 2σ tail days (down/up): LITE 8/4, CIEN 9/6. Worst day: LITE -14.19% (2026-03-06) vs CIEN -13.14% (2026-01-08). Best day: LITE +23.57% (2025-11-05) vs CIEN +23.31% (2025-09-04).
Risk ratios: Sortino - LITE: 6.41 vs. CIEN: 5.95 , Calmar - LITE: 46.51 vs. CIEN: 41.12 , Sterling - LITE: 81.05 vs. CIEN: 47.07 , Treynor - LITE: 1.14 vs. CIEN: 0.93 , Ulcer Index - LITE: 6.55% vs. CIEN: 5.55%

Investment Comparison

If you invested $10,000 in each asset on April 25, 2025:

LITE $141,148.33 +1311.5%

CIEN $78,230.21 +682.3%

Difference: $62,918.12 (LITE ahead)

Lumentum Holdings vs Ciena Performance Over Time

Metric	LITE	CIEN
30 Days	5.6%	20.1%
90 Days	149.7%	125.1%
180 Days	372.3%	188.1%
1 Year	1311.5%	682.3%

Shorter time frames can show different leaders as market conditions change. Consider your investment horizon when comparing performance.

Lumentum Holdings vs Ciena Correlation

Average Correlation

strongly correlated

0.63

Current (30-day) 0.80

30-day rolling range +0.25 to +0.86

Lumentum Holdings and Ciena are strongly correlated over the past year. With a correlation of 0.63, these assets tend to move together, limiting diversification benefits.

For portfolio construction, this strong correlation means holding both LITE and CIEN provides limited risk reduction — they're likely to decline together in downturns.

Metric	Value
Current (30-day)	0.80
Average (full period)	0.63
Minimum (30-day rolling)	0.25
Maximum (30-day rolling)	0.86

Correlation measures how closely two assets move together. Values near +1 indicate strong co-movement, near 0 indicates independence, and negative values indicate inverse movement. Current, minimum, and maximum figures are 30-day rolling correlations on shared daily returns.

Drawdown

Maximum Drawdown

LITE

-28.7%

CIEN

-16.8%

Lumentum Holdings experienced its maximum drawdown of -28.7% from 2026-03-02 to 2026-03-06. It took 18 days to recover.

Ciena experienced its maximum drawdown of -16.8% from 2026-03-02 to 2026-03-06. It took 10 days to recover.

Smaller drawdowns and faster recoveries indicate lower downside risk and greater resilience during market stress.

Lumentum Holdings vs Ciena Volatility (LITE vs CIEN)

LITE Volatility

80.1%

±5.05% 1-day vol

CIEN Volatility

62.2%

±3.92% 1-day vol

1-day volatility (1σ)

LITE

±5.05%

CIEN

±3.92%

Lumentum Holdings's 80.1% annualized volatility translates to about ±5.05% one-standard-deviation daily volatility.

Ciena's 62.2% annualized volatility translates to about ±3.92% one-standard-deviation daily volatility.

LITE had the wider volatility profile over this window. That means its day-to-day return distribution was broader; CIEN was calmer, but lower volatility does not by itself mean better returns.

Treat the ± daily figure as a one-standard-deviation estimate from historical returns, not a forecast or expected absolute daily move. For context, 15-18% annualized volatility is roughly ±1% one-standard-deviation daily volatility.

Risk-adjusted ratios

Sharpe Ratio of LITE and CIEN

Sharpe Ratio: LITE vs. CIEN

Return per total volatility

Sharpe gives us excess return per unit of risk. Upside and downside volatility both count as risk.

Higher is better

excess return / total volatility

Formula

\displaystyle \mathrm{Sharpe} = \frac{\mathbb{E}[R] - R_f}{\sigma_R}

Sharpe ratio measures return per unit of risk (volatility). A higher Sharpe indicates better risk-adjusted performance. LITE had a higher Sharpe (3.70 vs 3.60), indicating better risk-adjusted performance.

A Sharpe above 1.0 is generally considered good, above 2.0 is excellent. Negative Sharpe means the asset underperformed the risk-free rate. Calculated on each asset's full 365-day lookback of available prices and annualized using the asset calendar (365 for crypto, 252 trading days for equities/ETFs/metals).

Sortino Ratio of LITE and CIEN

Sortino Ratio: LITE vs. CIEN

Return per downside volatility

Sortino keeps the return-over-risk idea, but only returns below the target rate count as volatility.

Higher is better

excess return / downside volatility

Formula

\displaystyle \mathrm{Sortino} = \frac{\mathbb{E}[R] - R_f}{\sigma_{\mathrm{down}}}

Sortino ratio measures return per unit of downside risk. Unlike Sharpe, it only counts downside deviation (returns below the target return). LITE had better downside-adjusted returns.

A higher Sortino is better. It's useful when upside volatility is common (crypto is the obvious example). Downside deviation: LITE 46.3% vs CIEN 37.6%. Calculated on each asset's full 365-day lookback of available prices, using the daily risk-free rate as the target return, and annualized using the asset calendar (365 for crypto, 252 trading days for equities/ETFs/metals).

Calmar Ratio of LITE and CIEN

Calmar Ratio: LITE vs. CIEN

CAGR per worst drawdown

Calmar compares CAGR against the single deepest peak-to-trough loss over the period.

Higher is better

CAGR / max drawdown

Formula

\displaystyle \mathrm{Calmar} = \frac{\mathrm{CAGR}}{|\mathrm{MaxDD}|}

Calmar ratio compares CAGR to maximum drawdown. Higher Calmar means more return per unit of worst drawdown. LITE posted the higher Calmar ratio.

Calmar is computed on each asset's full 365-day lookback and uses the max drawdown over that same window.

Sterling Ratio of LITE and CIEN

Sterling Ratio: LITE vs. CIEN

Return per average drawdown

Sterling smooths the drawdown penalty by using average drawdown events instead of only the worst one.

Higher is better

excess annual return / average deep drawdown

Formula

\displaystyle \mathrm{Sterling} = \frac{\mathrm{CAGR} - R_f}{\overline{D}_{>10\%}}

Sterling ratio measures excess return per unit of average drawdown (typically drawdowns worse than 10%). LITE posted the higher Sterling ratio.

Sterling uses average drawdown events deeper than 10% and subtracts the risk-free rate to report excess return.

Treynor Ratio of LITE and CIEN

Treynor Ratio: LITE vs. CIEN

Excess return per market beta

Treynor divides excess annualized return by beta — the sensitivity of the asset to broad-market moves. The slope shown is each asset’s beta vs SPY.

Higher is better

excess return / market beta

Formula

\displaystyle \mathrm{Treynor} = \frac{\mathbb{E}[R] - R_f}{\beta}

Treynor ratio measures excess return per unit of market risk (beta) instead of total volatility. LITE posted the higher Treynor ratio.

Treynor uses beta vs the S&P 500 (SPY) on shared dates and the average 3-month Treasury rate as the risk-free rate.

Ulcer Index of LITE and CIEN

Ulcer Index: LITE vs. CIEN

Drawdown pain

Ulcer Index is a risk index, not a return-over-risk ratio. Lower means smaller and shorter drawdowns.

Lower is better

root-mean-square drawdown

Formula

\displaystyle \mathrm{UI} = \sqrt{\mathbb{E}[D_t^2]}

Ulcer Index captures drawdown depth and duration. Lower Ulcer Index means less drawdown pain. CIEN had the lower Ulcer Index (less drawdown pain).

Ulcer Index is computed from each asset's drawdown series over the full lookback window.

Tail Risk & Distribution Shape (1-Year): Lumentum Holdings vs. Ciena

This section looks at the shape of daily returns, not just the average. Tail stats are computed per asset on its own daily series (crypto includes weekends). We use daily log returns $\ln\left(\frac{P_t}{P_{t-1}}\right)$ so multi-day moves add cleanly.

Definitions: Value at Risk (VaR), Expected Shortfall, skew, kurtosis, and fat tails.

Tail Risk & Distribution Shape: LITE vs. CIEN (1-Year)

Actual daily return tails

The bars are real daily log-return observations from the article window. Darker bars are observations at or beyond each asset’s 5% VaR cutoff.

Observed returns

VaR marks the 5th percentile loss cutoff; Expected Shortfall averages the observations beyond that cutoff.

Formula

\displaystyle \mathrm{VaR}_{5\%}=Q_{0.05}(r_t),\quad \mathrm{ES}_{5\%}=\mathbb{E}[r_t\mid r_t\le \mathrm{VaR}_{5\%}]

Metric (1-Year)	LITE	CIEN
5% VaR (daily log return)	-7.07%	-4.80%
5% Expected Shortfall (CVaR)	-10.68% (worst 13 days)	-9.32% (worst 13 days)
Skew	-0.09	-0.25
Excess kurtosis	1.69	4.85
2σ tail days (down / up)	8 / 4	9 / 6
Worst day	-14.19% (2026-03-06)	-13.14% (2026-01-08)
Best day	+23.57% (2025-11-05)	+23.31% (2025-09-04)

Downside co-moves (2σ) — 1-Year

Computed on shared dates only (n=249). A “2σ downside move” means a shared-close log return more than 2 standard deviations below that asset’s own mean on this shared-date series. Dates below show simple returns (%) for readability.

Downside co-move map: LITE vs. CIEN (2σ)

Shared-close daily returns

Dots mark actual downside days: asset-colored dots are one-sided downside moves, and red dots are joint downside days. Grey dots add sampled shared-return context when available. The shaded lower-left zone shows where both LITE and CIEN crossed their own 2σ downside threshold.

2σ

Show downside tail dates

Dates below are shared-date observations. The “Date” is the period end (close). Tail thresholds are computed on log returns, but the table shows simple returns (%) for readability. Returns are computed from the previous shared close to this one (for example, Friday → Monday includes weekend moves).

Days when both LITE and CIEN had a big down day (2σ)

Date (interval)	LITE	CIEN
2025-11-13	-10.62%	-7.31%
2025-12-12	-12.83%	-9.87%
2026-01-08	-11.36%	-13.14%
2026-03-20	-8.52%	-6.95%
2026-03-26	-11.37%	-11.36%

Days when LITE had a big down day

Date (interval)	LITE	CIEN
2025-11-13	-10.62%	-7.31%
2025-11-20	-13.27%	-6.53%
2025-12-12	-12.83%	-9.87%
2026-01-08	-11.36%	-13.14%
2026-03-03	-11.34%	-5.84%
2026-03-06	-14.19%	-1.71%
2026-03-20	-8.52%	-6.95%
2026-03-26	-11.37%	-11.36%

Days when CIEN had a big down day

Date (interval)	LITE	CIEN
2025-06-05	+1.69%	-12.92%
2025-11-13	-10.62%	-7.31%
2025-12-12	-12.83%	-9.87%
2026-01-08	-11.36%	-13.14%
2026-02-04	+7.00%	-8.32%
2026-03-05	-4.40%	-12.88%
2026-03-20	-8.52%	-6.95%
2026-03-26	-11.37%	-11.36%
2026-03-27 → 2026-03-30	-6.82%	-9.12%

Read this as “how ugly the ugly days get”, not as a precise forecast. One-year samples are small, so tail estimates are inherently noisy.

Full Comparison of Lumentum Holdings vs. Ciena (1-Year)

Metric	LITE	CIEN
Total Return	+1311.5%	+682.3%
Annualized Volatility	80.1%	62.2%
Sharpe Ratio	3.70	3.60
Sortino Ratio	6.41	5.95
Calmar Ratio	46.51	41.12
Sterling Ratio	81.05	47.07
Treynor Ratio	1.14	0.93
Ulcer Index	6.55%	5.55%
Max Drawdown	-28.7%	-16.8%
Avg Correlation to S&P 500	0.45	0.52
5% VaR (daily log return)	-7.07%	-4.80%
5% Expected Shortfall (CVaR)	-10.68%	-9.32%
Skew	-0.09	-0.25
Excess kurtosis	1.69	4.85
2σ tail days (down / up)	8 / 4	9 / 6

Audit this calculation

Formulas, inputs, and conventions used to compute the metrics on this page.

Inputs & conventions

Shared window for pair metrics: 2025-04-25 → 2026-04-23 (last shared close).
Rolling correlation sample (shared closes): 220 rolling 30-day values (from 249 shared daily returns).
Annualization (days/year): LITE: 252 days/year; CIEN: 252 days/year.
Risk-free rate: Uses the 3-month U.S. Treasury yield (FRED: DGS3MO), averaged over each asset’s window:

LITE: 4.17% over 2025-04-25 → 2026-04-23.

CIEN: 4.17% over 2025-04-25 → 2026-04-23.
Volatility drag (rule of thumb): Estimated from annualized volatility (simple returns). For the log-return framing, see Log returns.

LITE: ≈ -32.1%/yr

CIEN: ≈ -19.3%/yr
Data alignment: No forward fill. Correlation and tail co-moves are computed on shared closes only.
For cross-calendar pairs (e.g., crypto vs stocks), weekend/holiday moves roll into the next shared close.
Return conventions: Volatility/Sharpe/Sortino use simple daily returns. Tail-risk uses daily log returns for distribution stats (but tables show simple returns). Log returns.

Formulas

Daily simple return

r_t = \frac{P_t}{P_{t-1}} - 1

Volatility

\sigma_{ann} = \sigma(r_t)\sqrt{A}

Volatility drag (approx.)

\text{drag} \approx \tfrac{1}{2}\sigma_{ann}^2

Sharpe Ratio

S = \frac{A\,\bar{r} - r_f}{\sigma(r_t)\sqrt{A}}

Sortino Ratio

So = \frac{A\,\bar{r} - r_f}{\sqrt{\mathbb{E}[\min(0,\,r_t - r_f/A)^2]}\,\sqrt{A}}

Maximum Drawdown

MDD = \min_t\left(\frac{P_t}{\max_{s \le t} P_s} - 1\right)

Average Correlation

\rho = \frac{\operatorname{cov}(r^A,\,r^B)}{\sigma_A\,\sigma_B}

Log returns

\ell_t = \ln\left(\frac{P_t}{P_{t-1}}\right)

Notation

$P_t$: Price on day t.
$r_t$: Simple daily return.
$\ell_t$: Log daily return.
$\bar{r}$: Average daily return.
$\sigma(r_t)$: Standard deviation of daily returns.
$A$: Annualization factor (days/year).
$r_f$: Annual risk-free rate.

Lumentum Holdings vs Ciena: Frequently Asked Questions

Which has higher volatility: LITE or CIEN?

LITE showed higher volatility at 80.1% annualized, compared to 62.2% for CIEN Over the past year. Higher volatility means larger price swings in both directions.

Does LITE provide diversification when held with CIEN?

LITE and CIEN are strongly correlated over the past year, with an average correlation of 0.63. This strong correlation limits diversification benefits.

How bad are the worst 5% days for LITE vs CIEN?

Over the past year, LITE's 5% VaR was -7.07% and its 5% Expected Shortfall was -10.68% (worst 13 days). CIEN's were -4.80% and -9.32% (worst 13 days).

Do LITE and CIEN crash together on bad days?

On shared dates (n=249), when CIEN has a 2σ down day, LITE also does 55.6% (5/9 days). In the other direction, when LITE has one, CIEN also does 62.5% (5/8 days).

Which has better risk-adjusted returns: LITE or CIEN?

LITE showed better risk-adjusted performance with a Sharpe ratio of 3.70 versus CIEN's 3.60 Over the past year.

Can LITE and CIEN be combined in a portfolio?

Yes, though allocation sizing matters. Their strong correlation provides limited risk reduction since they tend to move together. LITE's higher volatility (80.1%) means even small allocations can materially impact overall portfolio risk.

Explore our financial glossary

Which is a better investment: LITE or CIEN?

Share This Comparison of LITE vs CIEN

Relative Performance of LITE vs CIEN (Normalized to 100)

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Key Takeaways

Investment Comparison

Lumentum Holdings vs Ciena Performance Over Time

Lumentum Holdings vs Ciena Correlation

Drawdown

Lumentum Holdings vs Ciena Volatility (LITE vs CIEN)

Risk-adjusted ratios

Sharpe Ratio of LITE and CIEN

Sharpe Ratio: LITE vs. CIEN

Sortino Ratio of LITE and CIEN

Sortino Ratio: LITE vs. CIEN

Calmar Ratio of LITE and CIEN

Calmar Ratio: LITE vs. CIEN

Sterling Ratio of LITE and CIEN

Sterling Ratio: LITE vs. CIEN

Treynor Ratio of LITE and CIEN

Treynor Ratio: LITE vs. CIEN

Ulcer Index of LITE and CIEN

Ulcer Index: LITE vs. CIEN

Tail Risk & Distribution Shape (1-Year): Lumentum Holdings vs. Ciena

Tail Risk & Distribution Shape: LITE vs. CIEN (1-Year)

Downside co-moves (2σ) — 1-Year

Downside co-move map: LITE vs. CIEN (2σ)

Days when both LITE and CIEN had a big down day (2σ)

Days when LITE had a big down day

Days when CIEN had a big down day

Full Comparison of Lumentum Holdings vs. Ciena (1-Year)

Inputs & conventions

Formulas

Lumentum Holdings vs Ciena: Frequently Asked Questions

Which has higher volatility: LITE or CIEN?

Does LITE provide diversification when held with CIEN?

How bad are the worst 5% days for LITE vs CIEN?

Do LITE and CIEN crash together on bad days?

Which has better risk-adjusted returns: LITE or CIEN?

Can LITE and CIEN be combined in a portfolio?