This paper develops a new method to extract exchange rate expectations from investment positions. I use relative allocations between otherwise identical exchange-traded funds (ETFs) offered with and without a currency hedge to measure investors' pure currency demand and infer a distribution of currency return expectations. These portfolioimplied expectations predict future exchange rates more accurately than survey-based expectations or expectations derived from macroeconomic models or currency pricing factors. Dispersion in portfolio-implied expectations accounts for 27% of exchange rate volatility, consistent with models of heterogeneous beliefs.