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

Correlation

The correlation between MXNUSD=X and VOO is 0.41, 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.


-0.50.00.51.00.4

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.

-10.00%-5.00%0.00%5.00%10.00%SeptemberOctoberNovemberDecember2025February
-7.80%
12.34%
MXNUSD=X
VOO

Key characteristics

Sharpe Ratio

MXNUSD=X:

-1.43

VOO:

1.81

Sortino Ratio

MXNUSD=X:

-1.93

VOO:

2.44

Omega Ratio

MXNUSD=X:

0.77

VOO:

1.33

Calmar Ratio

MXNUSD=X:

-0.45

VOO:

2.73

Martin Ratio

MXNUSD=X:

-1.28

VOO:

11.42

Ulcer Index

MXNUSD=X:

15.01%

VOO:

2.02%

Daily Std Dev

MXNUSD=X:

12.76%

VOO:

12.79%

Max Drawdown

MXNUSD=X:

-52.81%

VOO:

-33.99%

Current Drawdown

MXNUSD=X:

-41.92%

VOO:

-0.81%

Returns By Period

In the year-to-date period, MXNUSD=X achieves a 1.04% return, which is significantly lower than VOO's 3.22% return. Over the past 10 years, MXNUSD=X has underperformed VOO with an annualized return of -3.07%, while VOO has yielded a comparatively higher 13.24% annualized return.


MXNUSD=X

YTD

1.04%

1M

0.41%

6M

-7.44%

1Y

-16.95%

5Y*

-1.90%

10Y*

-3.07%

VOO

YTD

3.22%

1M

4.17%

6M

14.20%

1Y

22.31%

5Y*

14.22%

10Y*

13.24%

*Annualized

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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 44
Overall Rank
The Sharpe Ratio Rank of MXNUSD=X is 00
Sharpe Ratio Rank
The Sortino Ratio Rank of MXNUSD=X is 00
Sortino Ratio Rank
The Omega Ratio Rank of MXNUSD=X is 77
Omega Ratio Rank
The Calmar Ratio Rank of MXNUSD=X is 22
Calmar Ratio Rank
The Martin Ratio Rank of MXNUSD=X is 88
Martin Ratio Rank

VOO
The Risk-Adjusted Performance Rank of VOO is 7676
Overall Rank
The Sharpe Ratio Rank of VOO is 7676
Sharpe Ratio Rank
The Sortino Ratio Rank of VOO is 7373
Sortino Ratio Rank
The Omega Ratio Rank of VOO is 7575
Omega Ratio Rank
The Calmar Ratio Rank of VOO is 7878
Calmar Ratio Rank
The Martin Ratio Rank of VOO is 8181
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.


Sharpe ratio
The chart of Sharpe ratio for MXNUSD=X, currently valued at -1.43, compared to the broader market0.002.004.006.008.0010.00-1.431.44
The chart of Sortino ratio for MXNUSD=X, currently valued at -1.93, compared to the broader market0.0010.0020.0030.0040.00-1.931.96
The chart of Omega ratio for MXNUSD=X, currently valued at 0.77, compared to the broader market2.004.006.008.000.771.28
The chart of Calmar ratio for MXNUSD=X, currently valued at -0.45, compared to the broader market0.0020.0040.0060.0080.00-0.452.07
The chart of Martin ratio for MXNUSD=X, currently valued at -1.28, compared to the broader market0.00100.00200.00300.00400.00500.00600.00-1.288.37
MXNUSD=X
VOO

The current MXNUSD=X Sharpe Ratio is -1.43, which is lower than the VOO Sharpe Ratio of 1.81. 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.


Rolling 12-month Sharpe Ratio-1.000.001.002.003.00SeptemberOctoberNovemberDecember2025February
-1.43
1.44
MXNUSD=X
VOO

Drawdowns

MXNUSD=X vs. VOO - Drawdown Comparison

The maximum MXNUSD=X drawdown since its inception was -52.81%, 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. For additional features, visit the drawdowns tool.


-40.00%-30.00%-20.00%-10.00%0.00%SeptemberOctoberNovemberDecember2025February
-41.92%
-0.81%
MXNUSD=X
VOO

Volatility

MXNUSD=X vs. VOO - Volatility Comparison

MXN/USD (MXNUSD=X) has a higher volatility of 4.06% compared to Vanguard S&P 500 ETF (VOO) at 2.96%. This indicates that MXNUSD=X's price experiences larger fluctuations and is considered to be riskier than VOO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%SeptemberOctoberNovemberDecember2025February
4.06%
2.96%
MXNUSD=X
VOO
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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