MXNUSD=X vs. JPYUSD=X
MXNUSD=X (MXN/USD) and JPYUSD=X (JPY/USD) are both currencies. Over the past 10 years, MXNUSD=X returned 0.68%/yr vs -4.16%/yr for JPYUSD=X. At a correlation of -0.01, they often move in opposite directions.
Performance
MXNUSD=X vs. JPYUSD=X - Performance Comparison
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Returns By Period
In the year-to-date period, MXNUSD=X achieves a 3.57% return, which is significantly higher than JPYUSD=X's -3.56% return. Over the past 10 years, MXNUSD=X has outperformed JPYUSD=X with an annualized return of 0.68%, while JPYUSD=X has yielded a comparatively lower -4.16% annualized return.
MXNUSD=X
- 1D
- 0.56%
- 1M
- -0.47%
- 6M
- 1.02%
- YTD
- 3.57%
- 1Y
- 7.53%
- 3Y*
- -0.78%
- 5Y*
- 2.98%
- 10Y*
- 0.68%
- ALL TIME*
- -2.39%
JPYUSD=X
- 1D
- -0.08%
- 1M
- -0.70%
- 6M
- -2.66%
- YTD
- -3.56%
- 1Y
- -8.63%
- 3Y*
- -4.43%
- 5Y*
- -7.45%
- 10Y*
- -4.16%
- ALL TIME*
- -1.72%
MXNUSD=X vs. JPYUSD=X - Yearly Performance Comparison
Correlation
The correlation between MXNUSD=X and JPYUSD=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 | 0.19 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.18 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.13 |
Correlation (All Time) Calculated using the full available price history since Aug 27, 2007 | -0.01 |
The correlation between MXNUSD=X and JPYUSD=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
MXNUSD=X vs. JPYUSD=X — Risk / Return Rank
MXNUSD=X
JPYUSD=X
MXNUSD=X vs. JPYUSD=X - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for MXN/USD (MXNUSD=X) and JPY/USD (JPYUSD=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 | JPYUSD=X | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +1.75 | ||
| Sortino ratioReturn per unit of downside risk | +2.58 | ||
| Omega ratioGain probability vs. loss probability | 1.15 | 0.84 | +0.31 |
| Calmar ratioReturn relative to maximum drawdown | 1.09 | -0.71 | +1.80 |
| Martin ratioReturn relative to average drawdown | 3.76 | -1.11 | +4.87 |
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Drawdowns
MXNUSD=X vs. JPYUSD=X - Drawdown Comparison
The maximum MXNUSD=X drawdown since its inception was -61.16%, which is greater than JPYUSD=X's maximum drawdown of -53.20%. Use the drawdown chart below to compare losses from any high point for MXNUSD=X and JPYUSD=X.
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Drawdown Indicators
| MXNUSD=X | JPYUSD=X | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -61.16% | -53.20% | -7.96% |
Max Drawdown (1Y)Largest decline over 1 year | -5.52% | -9.90% | +4.38% |
Max Drawdown (3Y)Largest decline over 3 years | -21.70% | -14.17% | -7.53% |
Max Drawdown (5Y)Largest decline over 5 years | -21.70% | -32.94% | +11.24% |
Max Drawdown (10Y)Largest decline over 10 years | -31.20% | -38.53% | +7.33% |
Current DrawdownCurrent decline from peak | -43.29% | -53.17% | +9.88% |
Average DrawdownAverage peak-to-trough decline | -37.11% | -27.24% | -9.87% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.72% | 6.64% | -4.92% |
Volatility
MXNUSD=X vs. JPYUSD=X - Volatility Comparison
MXN/USD (MXNUSD=X) has a higher volatility of 1.77% compared to JPY/USD (JPYUSD=X) at 1.24%. This indicates that MXNUSD=X's price experiences larger fluctuations and is considered to be riskier than JPYUSD=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 | JPYUSD=X | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.77% | 1.24% | +0.53% |
Volatility (6M)Calculated over the trailing 6-month period | 6.44% | 4.40% | +2.04% |
Volatility (1Y)Calculated over the trailing 1-year period | 7.69% | 7.27% | +0.42% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 10.34% | 9.53% | +0.81% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 12.19% | 8.68% | +3.51% |
Frequently Asked Questions
MXNUSD=X and JPYUSD=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 (1.77%) compared to JPYUSD=X (1.24%). In terms of maximum drawdown, MXNUSD=X dropped -61.16% vs JPYUSD=X's -53.20%.
MXNUSD=X currently has the higher Sharpe Ratio (0.78 vs -0.96), 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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