MXNUSD=X vs. AUDUSD=X
MXNUSD=X (MXN/USD) and AUDUSD=X (AUD/USD) are both currencies. Over the past 10 years, MXNUSD=X returned 0.93%/yr vs -0.44%/yr for AUDUSD=X. A 0.51 correlation means they provide meaningful diversification when combined.
Performance
MXNUSD=X vs. AUDUSD=X - Performance Comparison
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Returns By Period
In the year-to-date period, MXNUSD=X achieves a 4.58% return, which is significantly lower than AUDUSD=X's 5.54% return. Over the past 10 years, MXNUSD=X has outperformed AUDUSD=X with an annualized return of 0.93%, while AUDUSD=X has yielded a comparatively lower -0.44% annualized return.
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
- 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 vs. AUDUSD=X - Yearly Performance Comparison
Correlation
The correlation between MXNUSD=X and AUDUSD=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 MXNUSD=X and AUDUSD=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
MXNUSD=X vs. AUDUSD=X — Risk / Return Rank
MXNUSD=X
AUDUSD=X
MXNUSD=X vs. AUDUSD=X - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for MXN/USD (MXNUSD=X) and AUD/USD (AUDUSD=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.
| MXNUSD=X | AUDUSD=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 | 1.19 | 1.14 | +0.05 |
| Calmar ratioReturn relative to maximum drawdown | 1.40 | 1.49 | -0.09 |
| Martin ratioReturn relative to average drawdown | 5.15 | 3.83 | +1.31 |
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Drawdowns
MXNUSD=X vs. AUDUSD=X - Drawdown Comparison
The maximum MXNUSD=X drawdown since its inception was -61.16%, which is greater than AUDUSD=X's maximum drawdown of -47.87%. Use the drawdown chart below to compare losses from any high point for MXNUSD=X and AUDUSD=X.
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Drawdown Indicators
| MXNUSD=X | AUDUSD=X | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -61.16% | -47.87% | -13.29% |
Max Drawdown (1Y)Largest decline over 1 year | -5.52% | -4.20% | -1.32% |
Max Drawdown (3Y)Largest decline over 3 years | -21.70% | -13.83% | -7.87% |
Max Drawdown (5Y)Largest decline over 5 years | -21.70% | -22.74% | +1.04% |
Max Drawdown (10Y)Largest decline over 10 years | -31.20% | -29.18% | -2.02% |
Current DrawdownCurrent decline from peak | -42.73% | -36.06% | -6.67% |
Average DrawdownAverage peak-to-trough decline | -36.86% | -25.87% | -10.99% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.60% | 1.69% | -0.09% |
Volatility
MXNUSD=X vs. AUDUSD=X - Volatility Comparison
The current volatility for MXN/USD (MXNUSD=X) is 1.95%, while AUD/USD (AUDUSD=X) has a volatility of 2.13%. This indicates that MXNUSD=X experiences smaller price fluctuations and is considered to be less risky than AUDUSD=X based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| MXNUSD=X | AUDUSD=X | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.95% | 2.13% | -0.18% |
Volatility (6M)Calculated over the trailing 6-month period | 6.86% | 6.65% | +0.21% |
Volatility (1Y)Calculated over the trailing 1-year period | 7.60% | 7.64% | -0.04% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 10.45% | 10.08% | +0.37% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 12.39% | 9.66% | +2.73% |
Frequently Asked Questions
MXNUSD=X and AUDUSD=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, MXNUSD=X dropped -61.16% vs AUDUSD=X's -47.87%.
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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