We examine relationships among currency and commodity futures markets based on four commodity exporting countries’ currency futures returns and a range of index based commodity futures returns. These four commodity linked currencies are the Australian dollar, Canadian dollar, New Zealand dollar, and South African rand. We find that commodity/currency relationships exist contemporaneously, but fail to exhibit Granger causality in either direction. We attribute our results to the informational efficiency of futures markets. That is, information is incorporated into the commodity and currency futures prices rapidly and simultaneously on a daily basis.