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Financial innovation seeks to reduce risk for investors through the creation of new products. Internationally, innovation processes have resulted in better structured financial instruments. These instruments allow people from other countries to invest in shares of companies in developing markets, such as Mexico. This paper analyzes the performance of the returns granted by the iShares MCSI Mexico, an Exchange-Traded Fund (ETF), whose portfolio is made up of forty-four Mexican stocks. It is compared to the performance of the Mexican market through the IPyC and the exchange rate. Using the EGARCH methodology, the ETF was found to be much riskier than the other two instruments over a three-year period, especially during the period when the Mexican economy was shut down due to the pandemic. [ABSTRACT FROM AUTHOR]