The Mexican peso has become the world's worst-performing currency, with carry traders rushing to exit.

After the Mexican peso underperformed all other major currencies over the past month, analysts are rushing to cut their year-end forecasts. The peso has fallen nearly 6% this month, underperforming every currency tracked by Bloomberg, as the Federal Reserve raised rates and Mexico's central bank subsequently held rates steady. Societe Generale, Morgan Stanley and Banco Base have all lowered their peso forecasts, with one strategist saying the "carry trade party is over" and the peso's "carry story is losing its appeal."