JPY 2,116.00
+40.00 (+1.93%)
JPY · as of 2026-08-18 · marketstack
From 678 daily returns, 3y. Click a metric for its method.
| Ann. Volatility | 36.30% | Sharpe | 0.36 |
| Sortino | 0.55 |
| Beta | 0.58 | Correlation | 0.29 |
| Up capture | 72.13% | Down capture | 149.93% |
| Max Drawdown | −53.56% | Ulcer Index | 25.22 |
| MTD | 16.26% | QTD | 24.54% |
| YTD | 8.76% | Window (ann., 3.0y) | 5.99% |
| Skewness | 0.98 | Excess Kurtosis | 12.64 |
| Omega (θ=0) | 1.07 | Tail Ratio | 1.03 |
| Gain/Pain | 0.07 | Hit Rate | 48.38% |
| Win/Loss | 1.13 | Upside Potential | 0.53 |
| Measure | Hist 95% | Hist 99% | Gauss 95% | Gauss 99% |
|---|---|---|---|---|
| VaR | -2.96% | -5.17% | -3.71% | -5.27% |
| CVaR (ES) | -4.80% | -8.49% | -4.66% | -6.04% |
| VaR (Cornish-Fisher) | — | — | -2.45% | -9.56% |
Losses shown as negatives (a 5% loss is −5%).
| Depth | Peak | Trough | Recovery | Peak→Trough | Trough→Recovery |
|---|---|---|---|---|---|
| -53.56% | 2024-10-24 | 2026-03-13 | ongoing | 287 | — |
| -19.43% | 2024-07-18 | 2024-08-05 | 2024-09-27 | 12 | 34 |
| -9.83% | 2023-11-27 | 2023-12-25 | 2024-01-19 | 20 | 15 |
| -8.96% | 2023-09-19 | 2023-10-03 | 2023-11-09 | 10 | 25 |
| -8.87% | 2024-01-19 | 2024-02-15 | 2024-04-16 | 18 | 41 |
| -6.48% | 2024-06-14 | 2024-06-21 | 2024-07-11 | 5 | 14 |
| -6.41% | 2024-04-16 | 2024-04-19 | 2024-05-02 | 3 | 8 |
| -4.69% | 2023-09-06 | 2023-09-11 | 2023-09-14 | 3 | 3 |
| -4.38% | 2024-05-23 | 2024-05-30 | 2024-06-05 | 5 | 4 |
| -3.84% | 2024-09-27 | 2024-09-30 | 2024-10-11 | 1 | 9 |
Worst depth first · lengths in trading days.