JPYUSD=X vs. MXNUSD=X
JPYUSD=X (JPY/USD) and MXNUSD=X (MXN/USD) are both currencies. Over the past 10 years, JPYUSD=X returned -4.05%/yr vs 0.93%/yr for MXNUSD=X. At a correlation of -0.01, they often move in opposite directions.
Performance
JPYUSD=X vs. MXNUSD=X - Performance Comparison
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Returns By Period
In the year-to-date period, JPYUSD=X achieves a -2.23% return, which is significantly lower than MXNUSD=X's 4.58% return. Over the past 10 years, JPYUSD=X has underperformed MXNUSD=X with an annualized return of -4.05%, while MXNUSD=X has yielded a comparatively higher 0.93% annualized return.
JPYUSD=X
- 1D
- -0.18%
- 1M
- -1.52%
- YTD
- -2.23%
- 6M
- -2.74%
- 1Y
- -10.40%
- 3Y*
- -4.35%
- 5Y*
- -7.30%
- 10Y*
- -4.05%
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%
JPYUSD=X vs. MXNUSD=X - Yearly Performance Comparison
Correlation
The correlation between JPYUSD=X and MXNUSD=X is 0.40, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.40 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.18 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.18 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.12 |
Correlation (All Time) Calculated using the full available price history since Jul 12, 2007 | -0.01 |
The correlation between JPYUSD=X and MXNUSD=X shifts across timeframes, from -0.01 (all time) to 0.40 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
JPYUSD=X vs. MXNUSD=X — Risk / Return Rank
JPYUSD=X
MXNUSD=X
JPYUSD=X vs. MXNUSD=X - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for JPY/USD (JPYUSD=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.
| JPYUSD=X | MXNUSD=X | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -2.14 | ||
| Sortino ratioReturn per unit of downside risk | -3.14 | ||
| Omega ratioGain probability vs. loss probability | 0.82 | 1.19 | -0.38 |
| Calmar ratioReturn relative to maximum drawdown | -0.79 | 1.40 | -2.19 |
| Martin ratioReturn relative to average drawdown | -1.16 | 5.15 | -6.31 |
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Drawdowns
JPYUSD=X vs. MXNUSD=X - Drawdown Comparison
The maximum JPYUSD=X drawdown since its inception was -52.96%, smaller than the maximum MXNUSD=X drawdown of -61.16%. Use the drawdown chart below to compare losses from any high point for JPYUSD=X and MXNUSD=X.
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Drawdown Indicators
| JPYUSD=X | MXNUSD=X | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -52.96% | -61.16% | +8.20% |
Max Drawdown (1Y)Largest decline over 1 year | -10.68% | -5.52% | -5.16% |
Max Drawdown (3Y)Largest decline over 3 years | -14.63% | -21.70% | +7.07% |
Max Drawdown (5Y)Largest decline over 5 years | -32.59% | -21.70% | -10.89% |
Max Drawdown (10Y)Largest decline over 10 years | -38.21% | -31.20% | -7.01% |
Current DrawdownCurrent decline from peak | -52.52% | -42.73% | -9.79% |
Average DrawdownAverage peak-to-trough decline | -26.91% | -36.86% | +9.95% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 6.15% | 1.60% | +4.55% |
Volatility
JPYUSD=X vs. MXNUSD=X - Volatility Comparison
The current volatility for JPY/USD (JPYUSD=X) is 0.69%, while MXN/USD (MXNUSD=X) has a volatility of 1.95%. This indicates that JPYUSD=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
| JPYUSD=X | MXNUSD=X | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 0.69% | 1.95% | -1.26% |
Volatility (6M)Calculated over the trailing 6-month period | 5.49% | 6.86% | -1.37% |
Volatility (1Y)Calculated over the trailing 1-year period | 7.51% | 7.60% | -0.09% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 9.56% | 10.45% | -0.89% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 8.89% | 12.39% | -3.50% |
Frequently Asked Questions
JPYUSD=X and MXNUSD=X have a correlation of 0.40, 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 JPYUSD=X (0.69%). In terms of maximum drawdown, JPYUSD=X dropped -52.96% vs MXNUSD=X's -61.16%.
MXNUSD=X currently has the higher Sharpe Ratio (1.01 vs -1.13), 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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