GBPUSD=X vs. MXNUSD=X
GBPUSD=X (GBP/USD) and MXNUSD=X (MXN/USD) are both currencies. Over the past 10 years, GBPUSD=X returned 0.24%/yr vs 0.68%/yr for MXNUSD=X. At a 0.35 correlation, their price movements are largely independent.
Performance
GBPUSD=X vs. MXNUSD=X - Performance Comparison
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Returns By Period
In the year-to-date period, GBPUSD=X achieves a -0.18% return, which is significantly lower than MXNUSD=X's 3.57% return. Over the past 10 years, GBPUSD=X has underperformed MXNUSD=X with an annualized return of 0.24%, while MXNUSD=X has yielded a comparatively higher 0.68% annualized return.
GBPUSD=X
- 1D
- -0.22%
- 1M
- 1.54%
- 6M
- 0.06%
- YTD
- -0.18%
- 1Y
- 0.12%
- 3Y*
- 1.48%
- 5Y*
- -0.41%
- 10Y*
- 0.24%
- ALL TIME*
- -2.10%
MXNUSD=X
- 1D
- 0.56%
- 1M
- -0.47%
- 6M
- 1.02%
- YTD
- 3.57%
- 1Y
- 7.53%
- 3Y*
- -0.78%
- 5Y*
- 2.98%
- 10Y*
- 0.68%
- ALL TIME*
- -2.39%
GBPUSD=X vs. MXNUSD=X - Yearly Performance Comparison
Correlation
The correlation between GBPUSD=X and MXNUSD=X is 0.60, 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 | 0.60 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.44 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.42 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.35 |
Correlation (All Time) Calculated using the full available price history since Aug 27, 2007 | 0.35 |
Over the past year, GBPUSD=X and MXNUSD=X have become more correlated (0.60) than their long-term average of 0.35, meaning their price movements have been converging.
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Return for Risk
GBPUSD=X vs. MXNUSD=X — Risk / Return Rank
GBPUSD=X
MXNUSD=X
GBPUSD=X vs. MXNUSD=X - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for GBP/USD (GBPUSD=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.
| GBPUSD=X | MXNUSD=X | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.77 | ||
| Sortino ratioReturn per unit of downside risk | -1.08 | ||
| Omega ratioGain probability vs. loss probability | 1.01 | 1.15 | -0.14 |
| Calmar ratioReturn relative to maximum drawdown | 0.02 | 1.09 | -1.07 |
| Martin ratioReturn relative to average drawdown | 0.04 | 3.76 | -3.72 |
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Drawdowns
GBPUSD=X vs. MXNUSD=X - Drawdown Comparison
The maximum GBPUSD=X drawdown since its inception was -49.29%, smaller than the maximum MXNUSD=X drawdown of -61.16%. Use the drawdown chart below to compare losses from any high point for GBPUSD=X and MXNUSD=X.
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Drawdown Indicators
| GBPUSD=X | MXNUSD=X | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -49.29% | -61.16% | +11.87% |
Max Drawdown (1Y)Largest decline over 1 year | -4.89% | -5.52% | +0.63% |
Max Drawdown (3Y)Largest decline over 3 years | -9.34% | -21.70% | +12.36% |
Max Drawdown (5Y)Largest decline over 5 years | -23.41% | -21.70% | -1.71% |
Max Drawdown (10Y)Largest decline over 10 years | -25.46% | -31.20% | +5.74% |
Current DrawdownCurrent decline from peak | -36.26% | -43.29% | +7.03% |
Average DrawdownAverage peak-to-trough decline | -31.40% | -37.11% | +5.71% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.59% | 1.72% | +0.87% |
Volatility
GBPUSD=X vs. MXNUSD=X - Volatility Comparison
The current volatility for GBP/USD (GBPUSD=X) is 1.58%, while MXN/USD (MXNUSD=X) has a volatility of 1.77%. This indicates that GBPUSD=X experiences smaller price fluctuations and is considered to be less risky 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
| GBPUSD=X | MXNUSD=X | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.58% | 1.77% | -0.19% |
Volatility (6M)Calculated over the trailing 6-month period | 4.75% | 6.44% | -1.69% |
Volatility (1Y)Calculated over the trailing 1-year period | 6.23% | 7.69% | -1.46% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 8.22% | 10.34% | -2.12% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 8.57% | 12.19% | -3.62% |
Frequently Asked Questions
GBPUSD=X and MXNUSD=X have a correlation of 0.60, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
MXNUSD=X has higher volatility (1.77%) compared to GBPUSD=X (1.58%). In terms of maximum drawdown, GBPUSD=X dropped -49.29% vs MXNUSD=X's -61.16%.
MXNUSD=X currently has the higher Sharpe Ratio (0.78 vs 0.02), 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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