PortfoliosLab logo
MXNUSD=X vs. VOO
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between MXNUSD=X and VOO is 0.44, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.


Performance

MXNUSD=X vs. VOO - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in MXN/USD (MXNUSD=X) and Vanguard S&P 500 ETF (VOO). The values are adjusted to include any dividend payments, if applicable.

Loading data...

Key characteristics

Sharpe Ratio

MXNUSD=X:

-0.87

VOO:

0.74

Sortino Ratio

MXNUSD=X:

-0.51

VOO:

1.04

Omega Ratio

MXNUSD=X:

0.94

VOO:

1.15

Calmar Ratio

MXNUSD=X:

-0.06

VOO:

0.68

Martin Ratio

MXNUSD=X:

-0.50

VOO:

2.58

Ulcer Index

MXNUSD=X:

11.04%

VOO:

4.93%

Daily Std Dev

MXNUSD=X:

13.99%

VOO:

19.54%

Max Drawdown

MXNUSD=X:

-88.85%

VOO:

-33.99%

Current Drawdown

MXNUSD=X:

-85.46%

VOO:

-3.55%

Returns By Period

In the year-to-date period, MXNUSD=X achieves a 7.08% return, which is significantly higher than VOO's 0.90% return. Over the past 10 years, MXNUSD=X has underperformed VOO with an annualized return of -2.29%, while VOO has yielded a comparatively higher 12.81% annualized return.


MXNUSD=X

YTD

7.08%

1M

0.78%

6M

4.68%

1Y

-12.44%

3Y*

0.33%

5Y*

2.65%

10Y*

-2.29%

VOO

YTD

0.90%

1M

5.53%

6M

-1.46%

1Y

13.29%

3Y*

14.31%

5Y*

15.89%

10Y*

12.81%

*Annualized

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


MXN/USD

Vanguard S&P 500 ETF

Go deeper with the Portfolio Analysis tool — backtest performance, assess risk, compare to benchmarks, and more

Risk-Adjusted Performance

MXNUSD=X vs. VOO — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

MXNUSD=X
The Risk-Adjusted Performance Rank of MXNUSD=X is 2929
Overall Rank
The Sharpe Ratio Rank of MXNUSD=X is 77
Sharpe Ratio Rank
The Sortino Ratio Rank of MXNUSD=X is 3535
Sortino Ratio Rank
The Omega Ratio Rank of MXNUSD=X is 3535
Omega Ratio Rank
The Calmar Ratio Rank of MXNUSD=X is 3434
Calmar Ratio Rank
The Martin Ratio Rank of MXNUSD=X is 3737
Martin Ratio Rank

VOO
The Risk-Adjusted Performance Rank of VOO is 6363
Overall Rank
The Sharpe Ratio Rank of VOO is 6262
Sharpe Ratio Rank
The Sortino Ratio Rank of VOO is 6060
Sortino Ratio Rank
The Omega Ratio Rank of VOO is 6262
Omega Ratio Rank
The Calmar Ratio Rank of VOO is 6666
Calmar Ratio Rank
The Martin Ratio Rank of VOO is 6363
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

MXNUSD=X vs. VOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for MXN/USD (MXNUSD=X) and Vanguard S&P 500 ETF (VOO). 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.


The current MXNUSD=X Sharpe Ratio is -0.87, which is lower than the VOO Sharpe Ratio of 0.74. The chart below compares the historical Sharpe Ratios of MXNUSD=X and VOO, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Loading data...

Go to the full Sharpe Ratio tool to analyze any stock or portfolio. Customize time frames, set your own risk-free rate, and more

Drawdowns

MXNUSD=X vs. VOO - Drawdown Comparison

The maximum MXNUSD=X drawdown since its inception was -88.85%, which is greater than VOO's maximum drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for MXNUSD=X and VOO.


Loading data...

Go to the full Drawdowns tool for more analysis options, including inflation-adjusted drawdowns, and more

Volatility

MXNUSD=X vs. VOO - Volatility Comparison

The current volatility for MXN/USD (MXNUSD=X) is 2.60%, while Vanguard S&P 500 ETF (VOO) has a volatility of 4.84%. This indicates that MXNUSD=X experiences smaller price fluctuations and is considered to be less risky than VOO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


Loading data...