Well, I don't have any statistics on this. But as my dad says, "physicists are always good at math, but not all mathematicians are good at physics." I've found this to be a generally accurate guideline. I've never met a physics major who had trouble in his math courses. But some of the brightest math students out there sometimes have trouble in physics. I know one math major who was essentially a child prodigy. Just to give you some perspective, when he and I took differential geometry together, he was only a senior in high school. The kid could basically do math in his sleep. So it really surprised me when he mentioned that he was struggling in physics 2.
From what I've seen, the mathematicians who go into physics usually stay on the periphery, working on theoretical or computational problems. Mathematicians are really good at computer modelling, as well as...well, math. So I suppose that things like string theory, theoretical particle physics, general relativity, etc., come easy to them. But I doubt you'd find many mathematicians designing the electronics for high energy detectors, or working on other such experimental problems.
I could certainly see a physicist going into math. In fact I happen to have a math degree, so I think I could work fairly competently as a professional mathematician. But I've got to ask: why would you want to do this? Professional mathematicians work on boring problems, like proving that some theorem about minimal surfaces can stand even if the fourteenth lemma of corollory X isn't assumed. Maybe it's just me, but compared to physics, math just seems a little dull.