JPY 4,779.00
+50.00 (+1.06%)
JPY · as of 2026-08-18 · marketstack
From 675 daily returns, 3y. Click a metric for its method.
| Ann. Volatility | 32.03% | Sharpe | −0.52 |
| Sortino | −0.69 |
| Beta | −0.25 | Correlation | −0.11 |
| Up capture | −42.10% | Down capture | 32.29% |
| Max Drawdown | −60.40% | Ulcer Index | 41.32 |
| MTD | −1.01% | QTD | 16.02% |
| YTD | 4.23% | Window (ann., 3.0y) | −17.82% |
| Skewness | −0.75 | Excess Kurtosis | 5.64 |
| Omega (θ=0) | 0.91 | Tail Ratio | 0.90 |
| Gain/Pain | −0.09 | Hit Rate | 50.37% |
| Win/Loss | 0.89 | Upside Potential | 0.44 |
| Measure | Hist 95% | Hist 99% | Gauss 95% | Gauss 99% |
|---|---|---|---|---|
| VaR | -3.23% | -5.38% | -3.39% | -4.76% |
| CVaR (ES) | -5.01% | -8.47% | -4.23% | -5.44% |
| VaR (Cornish-Fisher) | — | — | -3.56% | -8.11% |
Losses shown as negatives (a 5% loss is −5%).
| Depth | Peak | Trough | Recovery | Peak→Trough | Trough→Recovery |
|---|---|---|---|---|---|
| -60.40% | 2023-08-21 | 2025-04-09 | ongoing | 395 | — |
| -0.08% | 2023-08-17 | 2023-08-18 | 2023-08-21 | 1 | 1 |
Worst depth first · lengths in trading days.