US Dollar / Mexican Peso (USD/MXN) and US Dollar / Australian Dollar (USD/AUD) compared side by side. Over the past 90 days, USD/AUD is ahead by 1.8 percentage points (USD/MXN -0.4% against USD/AUD +1.4%). Their daily returns move closely together (correlation 0.76 across 283 shared trading days). Both have run at a similar volatility, around 10% annualised.
| Period | USD/MXN | USD/AUD | Ahead |
|---|---|---|---|
| 7 days | +1.50% | +1.47% | USD/MXN |
| 30 days | -0.24% | -1.15% | USD/MXN |
| 90 days | -0.39% | +1.39% | USD/AUD |
| Metric | USD/MXN | USD/AUD |
|---|---|---|
| Max drawdown (400d) | -10.3% | -11.4% |
| Risk-adjusted return (90d) | -0.05 | 0.17 |
Relative strength over 90 days: USD/AUD outperformed USD/MXN by 1.8% — measured on the USD/MXN/USD/AUD ratio, so it holds regardless of market direction.
Measured on daily returns rather than on prices. Two assets that both simply trend upward score near 1.0 on raw prices whether or not they move together, so returns are what answer the question people mean by correlation.