"As soon as he (Trump) started to fade in early August, the peso started to come back," said Dirk Willer, head of emerging markets fixed income at Citigroup.
The peso's performance can also be driven by factors independent of the U.S.-Mexico story.
On Tuesday, the Mexican currency weakened when Standard & Poor's, the U.S. credit rating agency, downgraded the country's sovereign credit outlook to negative from stable, citing several concerns including low GDP growth. The peso slipped almost 1.5 percent at 18.5675 per U.S. dollar. Mexico's blue chip IPC stock fell 1.3 percent, marking its biggest daily slide in two months.
Amit Agrawal, an emerging markets strategist at Societe Generale, points out that about 75 percent to 80 percent of all Mexican exports go to the U.S. He said the peso moves are a reflection of Mexico's "high economic reliance on the U.S."
In the first half of 2016, Mexico ranked as the third-largest trading partner for the U.S. after Canada and China.
Trump has called NAFTA the "worst trade deal in history."
"The increased uncertainty can have an adverse effect on things like the peso and also on business deals between American firms and Mexican companies," said Robert Kleinhenz, an economist and executive director of research at Beacon Economics.
Yet, a way for investors in the emerging markets currencies to reduce U.S. election risks is to "short MXN as a hedge against a Trump victory," according a Citigroup note.
"In our view overall short MXN is the cleanest expression of a Trump trade," Citigroup said. "Even with the polls having turned against Trump recently, we think that the market is unwilling to fully give up on the Trump risk given that the Brexit experience is still all too fresh. As such Trump hedges may stay in demand going into November."