AUDUSD=X vs. MXNUSD=X
AUDUSD=X (AUD/USD) and MXNUSD=X (MXN/USD) are both currencies. Over the past 10 years, AUDUSD=X returned -0.44%/yr vs 0.93%/yr for MXNUSD=X. A 0.51 correlation means they provide meaningful diversification when combined.
Performance
AUDUSD=X vs. MXNUSD=X - Performance Comparison
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Returns By Period
In the year-to-date period, AUDUSD=X achieves a 5.54% return, which is significantly higher than MXNUSD=X's 4.58% return. Over the past 10 years, AUDUSD=X has underperformed MXNUSD=X with an annualized return of -0.44%, while MXNUSD=X has yielded a comparatively higher 0.93% annualized return.
AUDUSD=X
- 1D
- -0.08%
- 1M
- -2.95%
- YTD
- 5.54%
- 6M
- 5.93%
- 1Y
- 7.81%
- 3Y*
- 1.34%
- 5Y*
- -1.78%
- 10Y*
- -0.44%
MXNUSD=X
- 1D
- 0.10%
- 1M
- -0.28%
- YTD
- 4.58%
- 6M
- 4.56%
- 1Y
- 9.66%
- 3Y*
- 0.02%
- 5Y*
- 2.90%
- 10Y*
- 0.93%
AUDUSD=X vs. MXNUSD=X - Yearly Performance Comparison
Correlation
The correlation between AUDUSD=X and MXNUSD=X is 0.69, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.69 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.49 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.48 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.48 |
Correlation (All Time) Calculated using the full available price history since Jul 12, 2007 | 0.51 |
The correlation between AUDUSD=X and MXNUSD=X shifts across timeframes, from 0.48 (10 years) to 0.69 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
AUDUSD=X vs. MXNUSD=X — Risk / Return Rank
AUDUSD=X
MXNUSD=X
AUDUSD=X vs. MXNUSD=X - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for AUD/USD (AUDUSD=X) and MXN/USD (MXNUSD=X). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| AUDUSD=X | MXNUSD=X | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.20 | ||
| Sortino ratioReturn per unit of downside risk | -0.27 | ||
| Omega ratioGain probability vs. loss probability | 1.14 | 1.19 | -0.05 |
| Calmar ratioReturn relative to maximum drawdown | 1.49 | 1.40 | +0.09 |
| Martin ratioReturn relative to average drawdown | 3.83 | 5.15 | -1.31 |
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Drawdowns
AUDUSD=X vs. MXNUSD=X - Drawdown Comparison
The maximum AUDUSD=X drawdown since its inception was -47.87%, smaller than the maximum MXNUSD=X drawdown of -61.16%. Use the drawdown chart below to compare losses from any high point for AUDUSD=X and MXNUSD=X.
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Drawdown Indicators
| AUDUSD=X | MXNUSD=X | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -47.87% | -61.16% | +13.29% |
Max Drawdown (1Y)Largest decline over 1 year | -4.20% | -5.52% | +1.32% |
Max Drawdown (3Y)Largest decline over 3 years | -13.83% | -21.70% | +7.87% |
Max Drawdown (5Y)Largest decline over 5 years | -22.74% | -21.70% | -1.04% |
Max Drawdown (10Y)Largest decline over 10 years | -29.18% | -31.20% | +2.02% |
Current DrawdownCurrent decline from peak | -36.06% | -42.73% | +6.67% |
Average DrawdownAverage peak-to-trough decline | -25.87% | -36.86% | +10.99% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.69% | 1.60% | +0.09% |
Volatility
AUDUSD=X vs. MXNUSD=X - Volatility Comparison
AUD/USD (AUDUSD=X) has a higher volatility of 2.13% compared to MXN/USD (MXNUSD=X) at 1.95%. This indicates that AUDUSD=X's price experiences larger fluctuations and is considered to be riskier than MXNUSD=X based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| AUDUSD=X | MXNUSD=X | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.13% | 1.95% | +0.18% |
Volatility (6M)Calculated over the trailing 6-month period | 6.65% | 6.86% | -0.21% |
Volatility (1Y)Calculated over the trailing 1-year period | 7.64% | 7.60% | +0.04% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 10.08% | 10.45% | -0.37% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 9.66% | 12.39% | -2.73% |
Frequently Asked Questions
AUDUSD=X and MXNUSD=X have a correlation of 0.69, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
AUDUSD=X has higher volatility (2.13%) compared to MXNUSD=X (1.95%). In terms of maximum drawdown, AUDUSD=X dropped -47.87% vs MXNUSD=X's -61.16%.
MXNUSD=X currently has the higher Sharpe Ratio (1.01 vs 0.82), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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