JPY 6,847.00
-17.00 (-0.25%)
JPY · as of 2026-08-18 · marketstack
From 674 daily returns, 3y. Click a metric for its method.
| Ann. Volatility | 41.35% | Sharpe | 0.67 |
| Sortino | 0.96 |
| Beta | 0.19 | Correlation | 0.07 |
| Up capture | 51.25% | Down capture | −69.93% |
| Max Drawdown | −35.53% | Ulcer Index | 15.36 |
| MTD | −1.23% | QTD | −9.12% |
| YTD | −16.19% | Window (ann., 3.0y) | 18.54% |
| Skewness | −0.30 | Excess Kurtosis | 9.55 |
| Omega (θ=0) | 1.13 | Tail Ratio | 1.12 |
| Gain/Pain | 0.13 | Hit Rate | 51.19% |
| Win/Loss | 1.06 | Upside Potential | 0.52 |
| Measure | Hist 95% | Hist 99% | Gauss 95% | Gauss 99% |
|---|---|---|---|---|
| VaR | -3.47% | -6.72% | -4.18% | -5.95% |
| CVaR (ES) | -5.93% | -11.22% | -5.26% | -6.83% |
| VaR (Cornish-Fisher) | — | — | -3.89% | -12.25% |
Losses shown as negatives (a 5% loss is −5%).
| Depth | Peak | Trough | Recovery | Peak→Trough | Trough→Recovery |
|---|---|---|---|---|---|
| -35.53% | 2026-02-27 | 2026-08-04 | ongoing | 105 | — |
| -30.27% | 2025-05-02 | 2025-08-26 | 2026-01-05 | 33 | 79 |
| -28.14% | 2024-03-08 | 2024-05-29 | 2024-07-30 | 54 | 42 |
| -20.41% | 2025-02-26 | 2025-04-11 | 2025-04-18 | 31 | 5 |
| -20.18% | 2024-10-28 | 2024-11-22 | 2025-02-25 | 18 | 60 |
| -13.39% | 2024-01-16 | 2024-02-05 | 2024-02-26 | 14 | 13 |
| -12.24% | 2024-08-30 | 2024-09-11 | 2024-10-15 | 6 | 21 |
| -10.12% | 2024-07-31 | 2024-08-05 | 2024-08-16 | 3 | 8 |
| -8.77% | 2023-10-12 | 2023-10-26 | 2023-11-09 | 10 | 9 |
| -7.89% | 2024-10-15 | 2024-10-25 | 2024-10-28 | 7 | 1 |
Worst depth first · lengths in trading days.