JPY 4,650.00
-136.00 (-2.84%)
JPY · as of 2026-08-18 · marketstack
From 677 daily returns, 3y. Click a metric for its method.
| Ann. Volatility | 44.24% | Sharpe | 1.21 |
| Sortino | 1.88 |
| Beta | 0.61 | Correlation | 0.26 |
| Up capture | 161.92% | Down capture | 51.26% |
| Max Drawdown | −39.53% | Ulcer Index | 14.35 |
| MTD | −1.90% | QTD | 18.47% |
| YTD | −11.94% | Window (ann., 3.0y) | 47.83% |
| Skewness | 0.52 | Excess Kurtosis | 6.69 |
| Omega (θ=0) | 1.25 | Tail Ratio | 1.15 |
| Gain/Pain | 0.25 | Hit Rate | 53.91% |
| Win/Loss | 1.06 | Upside Potential | 0.59 |
| Measure | Hist 95% | Hist 99% | Gauss 95% | Gauss 99% |
|---|---|---|---|---|
| VaR | -3.66% | -7.00% | -4.37% | -6.27% |
| CVaR (ES) | -5.90% | -10.21% | -5.54% | -7.22% |
| VaR (Cornish-Fisher) | — | — | -3.57% | -9.29% |
Losses shown as negatives (a 5% loss is −5%).
| Depth | Peak | Trough | Recovery | Peak→Trough | Trough→Recovery |
|---|---|---|---|---|---|
| -39.53% | 2025-11-21 | 2026-02-24 | ongoing | 58 | — |
| -30.52% | 2024-07-04 | 2024-08-05 | 2024-09-27 | 21 | 34 |
| -17.18% | 2025-03-28 | 2025-04-07 | 2025-04-18 | 6 | 9 |
| -15.86% | 2023-09-15 | 2023-11-01 | 2023-12-27 | 31 | 38 |
| -14.23% | 2024-10-01 | 2024-11-22 | 2025-01-31 | 35 | 45 |
| -9.41% | 2025-03-06 | 2025-03-11 | 2025-03-18 | 3 | 5 |
| -8.97% | 2025-10-06 | 2025-10-14 | 2025-10-27 | 5 | 9 |
| -7.51% | 2025-02-19 | 2025-02-28 | 2025-03-06 | 6 | 4 |
| -7.42% | 2024-04-12 | 2024-05-10 | 2024-05-27 | 17 | 11 |
| -7.11% | 2025-08-07 | 2025-09-03 | 2025-09-19 | 15 | 11 |
Worst depth first · lengths in trading days.