MXNUSD=X vs. GBPUSD=X
MXNUSD=X (MXN/USD) and GBPUSD=X (GBP/USD) are both currencies. Over the past 10 years, MXNUSD=X returned 0.75%/yr vs -0.75%/yr for GBPUSD=X. At a 0.35 correlation, their price movements are largely independent.
Performance
MXNUSD=X vs. GBPUSD=X - Performance Comparison
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Returns By Period
In the year-to-date period, MXNUSD=X achieves a 4.29% return, which is significantly higher than GBPUSD=X's 0.07% return. Over the past 10 years, MXNUSD=X has outperformed GBPUSD=X with an annualized return of 0.75%, while GBPUSD=X has yielded a comparatively lower -0.75% annualized return.
MXNUSD=X
- 1D
- 0.45%
- 1M
- 0.92%
- YTD
- 4.29%
- 6M
- 5.83%
- 1Y
- 11.20%
- 3Y*
- 0.55%
- 5Y*
- 3.14%
- 10Y*
- 0.75%
GBPUSD=X
- 1D
- 0.08%
- 1M
- -0.92%
- YTD
- 0.07%
- 6M
- 1.94%
- 1Y
- -0.57%
- 3Y*
- 2.66%
- 5Y*
- -0.92%
- 10Y*
- -0.75%
MXNUSD=X vs. GBPUSD=X - Yearly Performance Comparison
Correlation
The correlation between MXNUSD=X and GBPUSD=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 | 0.43 |
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 2, 2007 | 0.35 |
Over the past year, MXNUSD=X and GBPUSD=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
MXNUSD=X vs. GBPUSD=X — Risk / Return Rank
MXNUSD=X
GBPUSD=X
MXNUSD=X vs. GBPUSD=X - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for MXN/USD (MXNUSD=X) and GBP/USD (GBPUSD=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 | GBPUSD=X | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 1.19 | -0.07 | +1.26 |
Sortino ratioReturn per unit of downside risk | 1.72 | -0.06 | +1.78 |
Omega ratioGain probability vs. loss probability | 1.23 | 0.99 | +0.24 |
Calmar ratioReturn relative to maximum drawdown | 1.41 | -0.05 | +1.46 |
Martin ratioReturn relative to average drawdown | 4.93 | -0.10 | +5.02 |
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 | GBPUSD=X | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.19 | -0.07 | +1.26 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.28 | -0.10 | +0.38 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.06 | -0.08 | +0.13 |
Sharpe Ratio (All Time)Calculated using the full available price history | -0.18 | -0.21 | +0.03 |
Drawdowns
MXNUSD=X vs. GBPUSD=X - Drawdown Comparison
The maximum MXNUSD=X drawdown since its inception was -61.16%, which is greater than GBPUSD=X's maximum drawdown of -49.29%. Use the drawdown chart below to compare losses from any high point for MXNUSD=X and GBPUSD=X.
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Drawdown Indicators
| MXNUSD=X | GBPUSD=X | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -61.16% | -49.29% | -11.87% |
Max Drawdown (1Y)Largest decline over 1 year | -5.52% | -5.26% | -0.26% |
Max Drawdown (3Y)Largest decline over 3 years | -21.70% | -9.34% | -12.36% |
Max Drawdown (5Y)Largest decline over 5 years | -21.70% | -24.62% | +2.92% |
Max Drawdown (10Y)Largest decline over 10 years | -31.20% | -27.99% | -3.21% |
Current DrawdownCurrent decline from peak | -42.89% | -36.10% | -6.79% |
Average DrawdownAverage peak-to-trough decline | -36.79% | -31.12% | -5.67% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.58% | 2.49% | -0.91% |
Volatility
MXNUSD=X vs. GBPUSD=X - Volatility Comparison
The current volatility for MXN/USD (MXNUSD=X) is 1.54%, while GBP/USD (GBPUSD=X) has a volatility of 1.73%. This indicates that MXNUSD=X experiences smaller price fluctuations and is considered to be less risky than GBPUSD=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 | GBPUSD=X | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.54% | 1.73% | -0.19% |
Volatility (6M)Calculated over the trailing 6-month period | 6.73% | 4.93% | +1.80% |
Volatility (1Y)Calculated over the trailing 1-year period | 7.56% | 6.24% | +1.32% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 10.47% | 8.25% | +2.22% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 12.43% | 9.10% | +3.33% |
Frequently Asked Questions
MXNUSD=X and GBPUSD=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.
GBPUSD=X has higher volatility (1.73%) compared to MXNUSD=X (1.54%). In terms of maximum drawdown, MXNUSD=X dropped -61.16% vs GBPUSD=X's -49.29%.
MXNUSD=X currently has the higher Sharpe Ratio (1.19 vs -0.07), 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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