This paper explores the factor structure of systematic variation in exchange rate return among 43 currencies from 2001 to 2017. The exchange rate return variation is divided into world factor, group factor and country-specific factor by constructing a dynamic factor model. We find that the world factor contributes 53 percent and 61 percent of the exchange rate return variation in industrialized and European emerging market economies (EME), respectively. Importantly, the factor structure of systematic variation in exchange rate return has changed over the 2001-2017 period.