“The recent rapid appreciation of the USD has significantly curtailed USD returns of non-US assets, and has made them somewhat less attractive relative to USD assets,” Bernstein added.

For instance, the Deutsche X-trackers MSCI All World ex US Hedged Equity ETF (NYSEArca: DBAW), which tracks international stocks outside the U.S. and hedges against depreciating foreign currencies, has increased 11.2% over the past year, whereas the iShares MSCI ACWI ex U.S. ETF (NasdaqGM: ACWX), which does not hedge its currency exposure, dipped 2.6% over the past year. [Currency-Hedged ETFs Better Reflect the International Markets]

Global bond ETF investors are also exposed to currency risks. For example, investors who access local-currency EM debt through the iShares Emerging Markets Local Currency Bond ETF (NYSEArca: LEMB) and Market Vectors Emerging Markets Local Currency Bond ETF (NYSEArca: EMLC) have generated negative total returns over the past year due to an appreciating USD. LEMB has declined 8.8% while EMLC decreased 10.0%.

Meanwhile, the iShares J.P. Morgan USD Emerging Markets Bond ETF (NYSEArca: EMB) and PowerShares Emerging Markets Sovereign Debt Portfolio (NYSEArca: PCY), which both track U.S.-dollar-denominated emerging market bonds, gained 5.4% and 6.8%, respectively.

For more information on investing in international markets, visit our global ETFs category.

Max Chen contributed to this article.

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