Recent sharp declines in commodity prices and the simultaneous depreciation of the Canadian dollar (CAD) relative to the U.S. dollar (USD) have rekindled an interest in the relationship between commodity prices and the CAD-USD exchange rate. In this note, we evaluate the individual predictive ability in terms of point forecasts and directional accuracy of energy and non-energy commodity prices, the Canada-U.S. interest rate differential, and the USD multilateral factor – which captures co-movements of major currencies relative to the USD – in explaining movements in the nominal CAD-USD exchange rate at the daily, monthly and quarterly frequencies. We not only confirm that both energy and non-energy commodity prices are each individually helpful in explaining contemporaneous movements in the nominal CAD-USD exchange rate, but also find that the USD multilateral factor has a stronger predictive ability.