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When I connect my Mac via Ethernet it has 5x more maximum speed than when connecting it with the same Ethernet to the latest Airport Express. Is this normal (and if so, why)?

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It is probably because you are connecting to a gigabit switch when referring to "direct Ethernet" and when you connect to your Airport Express via Ethernet, it is connected at 100Mb or "Fast Ethernet"

From Apple's website for the Airport Express:

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I would check the switch you are using to connect "direct" and confirm that it is a gigabit switch.

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