The rate of return that is implied by the forward rate. It is calculated using the following formula:

Forward implied return = (forward rate/ spot rate) – 1

For instance, if the forward rate, at the beginning of the period, is equal to 1.6, and the spot rate is currently at 1.65, then:

Forward implied return = (1.6/ 1.65) – 1 = -3.03%

Forward implied rate is a key input in the calculation of a currency surprise (forward surprise):

Forward surprise = [(spot rate at period-end/ spot rate) – 1] – forward implied return