Pengana Capital is exploring the possibility of establishing a currency volatility fund, which would have a similar strategy to its existing equities-based volatility fund.

The fund manager has been asked to research the potential of this strategy by one of its clients in the superannuation industry.

"Currency is the great unsolved investment paradox of all times," Pengana head of distribution Denis Carroll said.

"Extracting persistent returns out of currency is extremely difficult to do, and plotting the direction of a currency or basket of currencies, particularly in volatile environments, is subject to a number of unknown forces."

Pengana is currently analysing the movements of the Australian dollar.

"The Australian currency is one of the most traded currencies," Carroll said. "It is very much tied to the commodities market and exhibits particular volatile tendencies."

But a potential fund would not be based on the Australian dollar alone, he said.

"We look at how to extract returns out of currencies, rather than looking at currencies themselves," Carroll said. "It's an extension of what we are doing with our equities securities."

He did not want to put a timeframe on the establishment of a currency volatility fund.

"We're just doing a research exercise, but we are finding it a very interesting topic," he said.

Earlier this week, Pengana appointed Simon Poidevin as an executive director. Poidevin comes from Citigroup, where he was joint head of the corporate broking business.

Poidevin will assist with the development of new asset volatility strategies.

The Pengana Global Volatility Fund was established in November 2007 and invests in US equity index futures, options and other volatility-based instruments.

The fund had a positive return over 2008 and has returned 19.3 per cent since its inception in November 2007.