MXNUSD=X vs. EURUSD=X
MXNUSD=X (MXN/USD) and EURUSD=X (EUR/USD) are both currencies. Over the past 10 years, MXNUSD=X returned 0.50%/yr vs 0.15%/yr for EURUSD=X. At a 0.35 correlation, their price movements are largely independent.
Performance
MXNUSD=X vs. EURUSD=X - Performance Comparison
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Returns By Period
In the year-to-date period, MXNUSD=X achieves a 3.06% return, which is significantly higher than EURUSD=X's -1.90% return. Over the past 10 years, MXNUSD=X has outperformed EURUSD=X with an annualized return of 0.50%, while EURUSD=X has yielded a comparatively lower 0.15% annualized return.
MXNUSD=X
- 1D
- -1.09%
- 1M
- -1.28%
- YTD
- 3.06%
- 6M
- 3.98%
- 1Y
- 9.65%
- 3Y*
- -0.16%
- 5Y*
- 2.70%
- 10Y*
- 0.50%
EURUSD=X
- 1D
- -0.76%
- 1M
- -1.92%
- YTD
- -1.90%
- 6M
- -1.04%
- 1Y
- 0.68%
- 3Y*
- 2.52%
- 5Y*
- -1.08%
- 10Y*
- 0.15%
MXNUSD=X vs. EURUSD=X - Yearly Performance Comparison
Correlation
The correlation between MXNUSD=X and EURUSD=X is 0.59, 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 | 0.59 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.42 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.40 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.34 |
Correlation (All Time) Calculated using the full available price history since Jul 5, 2007 | 0.35 |
Over the past year, MXNUSD=X and EURUSD=X have become more correlated (0.59) than their long-term average of 0.35, meaning their price movements have been converging.
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Return for Risk
MXNUSD=X vs. EURUSD=X — Risk / Return Rank
MXNUSD=X
EURUSD=X
MXNUSD=X vs. EURUSD=X - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for MXN/USD (MXNUSD=X) and EUR/USD (EURUSD=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.
| MXNUSD=X | EURUSD=X | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.92 | ||
| Sortino ratioReturn per unit of downside risk | +1.29 | ||
| Omega ratioGain probability vs. loss probability | 1.19 | 1.02 | +0.17 |
| Calmar ratioReturn relative to maximum drawdown | 1.39 | 0.11 | +1.29 |
| Martin ratioReturn relative to average drawdown | 5.18 | 0.25 | +4.93 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| MXNUSD=X | EURUSD=X | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.02 | 0.09 | +0.92 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.24 | -0.13 | +0.37 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.04 | 0.02 | +0.02 |
Sharpe Ratio (All Time)Calculated using the full available price history | -0.19 | -0.09 | -0.10 |
Drawdowns
MXNUSD=X vs. EURUSD=X - Drawdown Comparison
The maximum MXNUSD=X drawdown since its inception was -61.16%, which is greater than EURUSD=X's maximum drawdown of -40.01%. Use the drawdown chart below to compare losses from any high point for MXNUSD=X and EURUSD=X.
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Drawdown Indicators
| MXNUSD=X | EURUSD=X | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -61.16% | -40.01% | -21.15% |
Max Drawdown (1Y)Largest decline over 1 year | -5.52% | -5.19% | -0.33% |
Max Drawdown (3Y)Largest decline over 3 years | -21.70% | -8.83% | -12.87% |
Max Drawdown (5Y)Largest decline over 5 years | -21.70% | -21.30% | -0.40% |
Max Drawdown (10Y)Largest decline over 10 years | -31.20% | -23.31% | -7.89% |
Current DrawdownCurrent decline from peak | -43.56% | -27.94% | -15.62% |
Average DrawdownAverage peak-to-trough decline | -36.81% | -23.42% | -13.39% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.58% | 2.41% | -0.83% |
Volatility
MXNUSD=X vs. EURUSD=X - Volatility Comparison
MXN/USD (MXNUSD=X) has a higher volatility of 1.88% compared to EUR/USD (EURUSD=X) at 1.19%. This indicates that MXNUSD=X's price experiences larger fluctuations and is considered to be riskier than EURUSD=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 | EURUSD=X | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.88% | 1.19% | +0.69% |
Volatility (6M)Calculated over the trailing 6-month period | 6.83% | 4.50% | +2.33% |
Volatility (1Y)Calculated over the trailing 1-year period | 7.57% | 5.92% | +1.65% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 10.46% | 7.42% | +3.04% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 12.43% | 7.16% | +5.27% |
Frequently Asked Questions
MXNUSD=X and EURUSD=X have a correlation of 0.59, 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 (1.88%) compared to EURUSD=X (1.19%). In terms of maximum drawdown, MXNUSD=X dropped -61.16% vs EURUSD=X's -40.01%.
MXNUSD=X currently has the higher Sharpe Ratio (1.02 vs 0.09), 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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