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MXNUSD=X vs. UNG
Performance
Return for Risk
Drawdowns
Volatility

MXNUSD=X vs. UNG

Last updated Jun 24, 2026

MXNUSD=X (MXN/USD) is a currency, while UNG (United States Natural Gas Fund LP) is Oil & Gas fund tracking the Front Month Natural Gas Futures. Over the past 10 years, MXNUSD=X returned 0.76%/yr vs -21.37%/yr for UNG. At a 0.07 correlation, their price movements are largely independent.

Performance

MXNUSD=X vs. UNG - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in MXN/USD (MXNUSD=X) and United States Natural Gas Fund LP (UNG). The values are adjusted to include any dividend payments, if applicable.

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Returns By Period

In the year-to-date period, MXNUSD=X achieves a 2.70% return, which is significantly higher than UNG's -6.20% return. Over the past 10 years, MXNUSD=X has outperformed UNG with an annualized return of 0.76%, while UNG has yielded a comparatively lower -21.37% annualized return.

MXNUSD=X

1D
-0.99%
1M
-1.65%
YTD
2.70%
6M
2.04%
1Y
9.12%
3Y*
-0.68%
5Y*
2.50%
10Y*
0.76%

UNG

1D
-2.29%
1M
5.12%
YTD
-6.20%
6M
-10.85%
1Y
-31.71%
3Y*
-27.52%
5Y*
-24.87%
10Y*
-21.37%
*Multi-year figures are annualized to reflect compound growth (CAGR)

MXNUSD=X vs. UNG - Yearly Performance Comparison

2026 (YTD)202520242023202220212020201920182017
MXNUSD=X
MXN/USD		2.70%15.65%-18.53%14.83%5.29%-3.10%-4.83%3.73%0.35%5.25%
UNG
United States Natural Gas Fund LP		-6.20%-27.07%-17.11%-64.04%12.89%35.76%-45.43%-31.77%5.96%-37.58%

Correlation

The correlation between MXNUSD=X and UNG is -0.13, meaning they tend to move in opposite directions. This is especially valuable for risk management - when one declines, the other has historically tended to hold steady or rise.

Correlation
Correlation (1Y)
Calculated over the trailing 1-year period

-0.13

Correlation (3Y)
Calculated over the trailing 3-year period

0.02

Correlation (5Y)
Calculated over the trailing 5-year period

0.05

Correlation (10Y)
Calculated over the trailing 10-year period

0.05

Correlation (All Time)
Calculated using the full available price history since Jul 25, 2007

0.07

The correlation between MXNUSD=X and UNG shifts across timeframes, from -0.13 (1 year) to 0.07 (all time), reflecting how their relationship changes across market environments.

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MXN/USD

United States Natural Gas Fund LP

Often compared with MXNUSD=X:
MXNUSD=X vs. VOOMXNUSD=X vs. EURUSD=XMXNUSD=X vs. FXBMXNUSD=X vs. DAXMXNUSD=X vs. ^NDXMXNUSD=X vs. CORNMXNUSD=X vs. GBPUSD=X
Often compared with UNG:
UNG vs. BOILUNG vs. FCGUNG vs. UNLUNG vs. LNGUNG vs. BNOUNG vs. WEATUNG vs. KOLD

Return for Risk

MXNUSD=X vs. UNG — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
MXNUSD=X
MXNUSD=X Risk / Return Rank: 8585
Overall Rank
MXNUSD=X Sharpe Ratio Rank: 8585
Sharpe Ratio Rank
MXNUSD=X Sortino Ratio Rank: 8585
Sortino Ratio Rank
MXNUSD=X Omega Ratio Rank: 8585
Omega Ratio Rank
MXNUSD=X Calmar Ratio Rank: 8484
Calmar Ratio Rank
MXNUSD=X Martin Ratio Rank: 8888
Martin Ratio Rank
UNG
UNG Risk / Return Rank: 44
Overall Rank
UNG Sharpe Ratio Rank: 55
Sharpe Ratio Rank
UNG Sortino Ratio Rank: 55
Sortino Ratio Rank
UNG Omega Ratio Rank: 55
Omega Ratio Rank
UNG Calmar Ratio Rank: 22
Calmar Ratio Rank
UNG Martin Ratio Rank: 33
Martin Ratio Rank
The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

MXNUSD=X vs. UNG - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for MXN/USD (MXNUSD=X) and United States Natural Gas Fund LP (UNG). 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=XUNGDifference
Sharpe ratioReturn per unit of total volatility
0.95
-0.53

+1.48

Sortino ratioReturn per unit of downside risk
1.39
-0.45

+1.83

Omega ratioGain probability vs. loss probability

1.18

0.94

+0.24

Calmar ratioReturn relative to maximum drawdown

1.32

-0.80

+2.11

Martin ratioReturn relative to average drawdown

4.84

-1.25

+6.09

MXNUSD=X vs. UNG - Sharpe Ratio Comparison

The current MXNUSD=X Sharpe Ratio is 0.95, which is higher than the UNG Sharpe Ratio of -0.53. The chart below compares the historical Sharpe Ratios of MXNUSD=X and UNG, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

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Drawdowns

MXNUSD=X vs. UNG - Drawdown Comparison

The maximum MXNUSD=X drawdown since its inception was -61.16%, smaller than the maximum UNG drawdown of -99.88%. Use the drawdown chart below to compare losses from any high point for MXNUSD=X and UNG.

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Drawdown Indicators

MXNUSD=XUNGDifference

Max Drawdown

Largest peak-to-trough decline

-61.16%

-99.88%

+38.72%

Max Drawdown (1Y)

Largest decline over 1 year

-5.52%

-39.94%

+34.42%

Max Drawdown (3Y)

Largest decline over 3 years

-21.70%

-68.16%

+46.46%

Max Drawdown (5Y)

Largest decline over 5 years

-21.70%

-92.49%

+70.79%

Max Drawdown (10Y)

Largest decline over 10 years

-31.20%

-93.55%

+62.35%

Current Drawdown

Current decline from peak

-43.76%

-99.86%

+56.10%

Average Drawdown

Average peak-to-trough decline

-36.92%

-89.97%

+53.05%

Ulcer Index

Depth and duration of drawdowns from previous peaks

1.61%

26.12%

-24.51%

Volatility

MXNUSD=X vs. UNG - Volatility Comparison

The current volatility for MXN/USD (MXNUSD=X) is 2.23%, while United States Natural Gas Fund LP (UNG) has a volatility of 12.10%. This indicates that MXNUSD=X experiences smaller price fluctuations and is considered to be less risky than UNG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

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Volatility by Period

MXNUSD=XUNGDifference

Volatility (1M)

Calculated over the trailing 1-month period

2.23%

12.10%

-9.87%

Volatility (6M)

Calculated over the trailing 6-month period

6.79%

50.87%

-44.08%

Volatility (1Y)

Calculated over the trailing 1-year period

7.64%

60.39%

-52.75%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

10.40%

64.14%

-53.74%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

12.29%

54.80%

-42.51%

Frequently Asked Questions

MXNUSD=X and UNG have a correlation of -0.13, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

UNG has higher volatility (12.10%) compared to MXNUSD=X (2.23%). In terms of maximum drawdown, MXNUSD=X dropped -61.16% vs UNG's -99.88%.

MXNUSD=X currently has the higher Sharpe Ratio (0.95 vs -0.53), 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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