For four decades economists have been finding that the forward discount is a very biased forecast of future changes in the exchange rate. The carry trade makes money, on average. For just as long, they have been debating the appropriate interpretation of the bias. Is it evidence of an exchange risk premium? Under that interpretation, a currency that sells at a forward discount does so not because it is expected to depreciate in the future but because it is perceived as risky. Using data on survey-based expectations over 32 years across 17 currencies, we reject that interpretation of the forward bias. We find that when investors sell a currency at a forward discount, it is indeed because they expect it to depreciate. But we also find concrete evidence of a risk premium, in that expected return differentials are correlated with the VIX measure of risk -- even though the risk premium can’t explain forward bias.