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," he said.
"It's an extension of what we are doing with our equities securities."
