I was half-remembering some story I heard a while ago about the work needed to arbitrage between some US ETF and some securities on a Brazilian exchange, or something to that effect. I don't remember the details, and I'm not even sure that specific example was real, but it stuck out as a great illustration of the complexities involved in executing a strategy vs just coming up with a model.

Nothing foreign-exchange-specific there although, now that you mention it, dealing with different currencies is another problem you can run into with strategies.