JPY 3,464.00
-12.00 (-0.35%)
JPY · as of 2026-08-18 · marketstack
From 678 daily returns, 3y. Click a metric for its method.
| Ann. Volatility | 38.17% | Sharpe | 0.81 |
| Sortino | 1.18 |
| Beta | 0.36 | Correlation | 0.18 |
| Up capture | 79.03% | Down capture | −3.61% |
| Max Drawdown | −36.70% | Ulcer Index | 12.52 |
| MTD | 4.18% | QTD | 9.27% |
| YTD | −5.86% | Window (ann., 3.0y) | 23.40% |
| Skewness | 0.22 | Excess Kurtosis | 15.27 |
| Omega (θ=0) | 1.17 | Tail Ratio | 0.96 |
| Gain/Pain | 0.17 | Hit Rate | 52.95% |
| Win/Loss | 1.02 | Upside Potential | 0.52 |
| Measure | Hist 95% | Hist 99% | Gauss 95% | Gauss 99% |
|---|---|---|---|---|
| VaR | -3.34% | -6.82% | -3.83% | -5.47% |
| CVaR (ES) | -5.48% | -9.66% | -4.84% | -6.29% |
| VaR (Cornish-Fisher) | — | — | -2.94% | -13.62% |
Losses shown as negatives (a 5% loss is −5%).
| Depth | Peak | Trough | Recovery | Peak→Trough | Trough→Recovery |
|---|---|---|---|---|---|
| -36.70% | 2024-04-11 | 2024-08-05 | 2025-02-06 | 77 | 120 |
| -27.58% | 2025-10-27 | 2026-06-09 | ongoing | 144 | — |
| -22.65% | 2025-02-27 | 2025-04-09 | 2025-07-29 | 28 | 36 |
| -9.11% | 2023-09-14 | 2023-10-26 | 2023-11-09 | 28 | 9 |
| -8.73% | 2025-10-09 | 2025-10-17 | 2025-10-27 | 5 | 6 |
| -8.13% | 2023-11-17 | 2023-12-14 | 2024-01-04 | 18 | 12 |
| -4.42% | 2024-03-22 | 2024-04-01 | 2024-04-09 | 6 | 6 |
| -4.36% | 2025-08-13 | 2025-08-20 | 2025-09-05 | 3 | 11 |
| -4.09% | 2024-02-16 | 2024-03-11 | 2024-03-19 | 15 | 6 |
| -3.29% | 2025-09-08 | 2025-09-16 | 2025-09-22 | 5 | 4 |
Worst depth first · lengths in trading days.