JPY 2,831.00
+28.00 (+1.00%)
JPY · as of 2026-08-18 · marketstack
From 678 daily returns, 3y. Click a metric for its method.
| Ann. Volatility | 26.90% | Sharpe | 0.64 |
| Sortino | 0.86 |
| Beta | −0.43 | Correlation | −0.28 |
| Up capture | 14.52% | Down capture | −93.73% |
| Max Drawdown | −25.89% | Ulcer Index | 12.12 |
| MTD | −2.66% | QTD | 1.51% |
| YTD | 0.74% | Window (ann., 3.0y) | 12.97% |
| Skewness | −1.26 | Excess Kurtosis | 7.85 |
| Omega (θ=0) | 1.12 | Tail Ratio | 0.96 |
| Gain/Pain | 0.12 | Hit Rate | 52.65% |
| Win/Loss | 0.99 | Upside Potential | 0.49 |
| Measure | Hist 95% | Hist 99% | Gauss 95% | Gauss 99% |
|---|---|---|---|---|
| VaR | -2.58% | -4.88% | -2.72% | -3.87% |
| CVaR (ES) | -4.30% | -7.79% | -3.43% | -4.45% |
| VaR (Cornish-Fisher) | — | — | -3.01% | -7.54% |
Losses shown as negatives (a 5% loss is −5%).
| Depth | Peak | Trough | Recovery | Peak→Trough | Trough→Recovery |
|---|---|---|---|---|---|
| -25.89% | 2024-03-07 | 2024-08-05 | 2025-08-05 | 101 | 201 |
| -25.05% | 2026-04-01 | 2026-06-25 | ongoing | 57 | — |
| -11.62% | 2025-08-13 | 2025-10-17 | 2025-11-13 | 38 | 17 |
| -11.14% | 2026-02-27 | 2026-03-23 | 2026-04-01 | 14 | 7 |
| -6.57% | 2023-12-12 | 2023-12-21 | 2024-01-11 | 7 | 11 |
| -6.10% | 2024-01-22 | 2024-02-02 | 2024-02-29 | 9 | 17 |
| -5.25% | 2025-12-09 | 2025-12-11 | 2025-12-25 | 2 | 10 |
| -5.02% | 2025-11-26 | 2025-12-01 | 2025-12-09 | 3 | 5 |
| -4.68% | 2023-09-28 | 2023-10-04 | 2023-10-12 | 4 | 5 |
| -3.94% | 2023-11-01 | 2023-11-29 | 2023-12-12 | 18 | 9 |
Worst depth first · lengths in trading days.