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 -0.52%/yr vs 0.93%/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 -0.45% return, which is significantly lower than MXNUSD=X's 4.58% return. Over the past 10 years, GBPUSD=X has underperformed MXNUSD=X with an annualized return of -0.52%, while MXNUSD=X has yielded a comparatively higher 0.93% annualized return.
GBPUSD=X
- 1D
- -0.16%
- 1M
- -0.95%
- YTD
- -0.45%
- 6M
- 0.22%
- 1Y
- -1.60%
- 3Y*
- 2.03%
- 5Y*
- -1.04%
- 10Y*
- -0.52%
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%
GBPUSD=X vs. MXNUSD=X - Yearly Performance Comparison
Correlation
The correlation between GBPUSD=X and MXNUSD=X is 0.61, 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 | 0.61 |
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 Jul 12, 2007 | 0.35 |
Over the past year, GBPUSD=X and MXNUSD=X have become more correlated (0.61) 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 | -1.22 | ||
| Sortino ratioReturn per unit of downside risk | -1.73 | ||
| Omega ratioGain probability vs. loss probability | 0.97 | 1.19 | -0.22 |
| Calmar ratioReturn relative to maximum drawdown | -0.25 | 1.40 | -1.64 |
| Martin ratioReturn relative to average drawdown | -0.47 | 5.15 | -5.62 |
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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 | -5.26% | -5.52% | +0.26% |
Max Drawdown (3Y)Largest decline over 3 years | -9.34% | -21.70% | +12.36% |
Max Drawdown (5Y)Largest decline over 5 years | -24.23% | -21.70% | -2.53% |
Max Drawdown (10Y)Largest decline over 10 years | -27.99% | -31.20% | +3.21% |
Current DrawdownCurrent decline from peak | -36.44% | -42.73% | +6.29% |
Average DrawdownAverage peak-to-trough decline | -31.18% | -36.86% | +5.68% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.56% | 1.60% | +0.96% |
Volatility
GBPUSD=X vs. MXNUSD=X - Volatility Comparison
The current volatility for GBP/USD (GBPUSD=X) is 1.22%, while MXN/USD (MXNUSD=X) has a volatility of 1.95%. 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 | 1.22% | 1.95% | -0.73% |
Volatility (6M)Calculated over the trailing 6-month period | 4.96% | 6.86% | -1.90% |
Volatility (1Y)Calculated over the trailing 1-year period | 6.25% | 7.60% | -1.35% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 8.24% | 10.45% | -2.21% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 9.09% | 12.39% | -3.30% |
Frequently Asked Questions
GBPUSD=X and MXNUSD=X have a correlation of 0.61, 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 (1.95%) compared to GBPUSD=X (1.22%). In terms of maximum drawdown, GBPUSD=X dropped -49.29% vs MXNUSD=X's -61.16%.
MXNUSD=X currently has the higher Sharpe Ratio (1.01 vs -0.21), 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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