Investigation of an index of returns on professionally managed currency funds and a subset of returns from 34 individual currency fund managers finds that over the 1990–2006 period, currency fund managers earned excess returns averaging 25 bps per month. The study examines the relationship of these returns to four factors that represent the returns from distinct styles of currency trading—carry, trend, value, and volatility. The four factors explain a substantial portion of the variability in index returns. The study’s approach modifies the definition of alpha returns to only that portion of excess returns not explained by the four factors. The impact of this change on measured alpha is substantial, but some currency fund managers still generate alpha returns.