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 0.90%/yr vs 0.29%/yr for GBPUSD=X. Their 0.35 correlation means their historical movements had little consistent relationship.
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 4.08% return, which is significantly higher than GBPUSD=X's 0.22% return. Over the past 10 years, MXNUSD=X has outperformed GBPUSD=X with an annualized return of 0.90%, while GBPUSD=X has yielded a comparatively lower 0.29% annualized return.
MXNUSD=X
- 1D
- 0.15%
- 1M
- 0.93%
- 6M
- 0.99%
- YTD
- 4.08%
- 1Y
- 8.95%
- 3Y*
- 0.06%
- 5Y*
- 2.83%
- 10Y*
- 0.90%
- ALL TIME*
- -2.31%
GBPUSD=X
- 1D
- 0.08%
- 1M
- 1.06%
- 6M
- -1.43%
- YTD
- 0.22%
- 1Y
- 1.61%
- 3Y*
- 2.00%
- 5Y*
- -0.62%
- 10Y*
- 0.29%
- ALL TIME*
- -2.14%
Liquidity Comparison
MXNUSD=X vs. GBPUSD=X - Yearly Performance Comparison
Correlation
The correlation between MXNUSD=X and GBPUSD=X is 0.60, which is moderate. They have sometimes moved together and sometimes differently, sharing some price drivers without tracking each other closely.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.60 |
Correlation (3Y) Balances recent behavior with more history. | 0.45 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.42 |
Correlation (10Y) Provides a long-term view across more market conditions. | 0.35 |
Correlation (All Time) Calculated using the full available price history since Sep 11, 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.
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 | GBPUSD=X | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.73 | ||
| Sortino ratioReturn per unit of downside risk | +1.02 | ||
| Omega ratioGain probability vs. loss probability | 1.18 | 1.04 | +0.14 |
| Calmar ratioReturn relative to maximum drawdown | 1.29 | 0.26 | +1.03 |
| Martin ratioReturn relative to average drawdown | 4.47 | 0.48 | +3.99 |
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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% | -4.89% | -0.63% |
Max Drawdown (3Y)Largest decline over 3 years | -21.70% | -9.34% | -12.36% |
Max Drawdown (5Y)Largest decline over 5 years | -21.70% | -23.27% | +1.57% |
Max Drawdown (10Y)Largest decline over 10 years | -31.20% | -25.46% | -5.74% |
Current DrawdownCurrent decline from peak | -43.01% | -36.01% | -7.00% |
Average DrawdownAverage peak-to-trough decline | -37.20% | -31.48% | -5.72% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.74% | 2.63% | -0.89% |
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 1.88%. 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% | 1.88% | -0.34% |
Volatility (6M)Calculated over the trailing 6-month period | 5.84% | 4.71% | +1.13% |
Volatility (1Y)Calculated over the trailing 1-year period | 7.60% | 6.17% | +1.43% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 10.34% | 8.21% | +2.13% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 12.17% | 8.55% | +3.62% |
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 (1.88%) 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 (0.94 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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