PARTIAL · capacity-capped
Hypothesis
When the perpetual funding rate is persistently positive, a delta-neutral position (short perp / long spot) harvests funding with no price exposure — a pure carry trade.
Math — carry P&L
Delta-neutral funding accrual over holding horizon (8h intervals):
$$ \text{PnL} \approx \sum_{k} f_k \cdot N - c_{\text{spot}} - c_{\text{perp}} - \text{slip} $$
Annualized carry from a flat funding rate $f$ paid 3×/day:
$$ r_{\text{ann}} = (1+f)^{3\cdot365}-1 $$
Method
Rank symbols by trailing funding, hold delta-neutral while $f>$ threshold, unwind on flip. Real spot+perp fees, borrow, and spot-leg slippage applied.
Results
| Gross funding harvested (top decile) | +20–60%/yr |
| Net after fees + spot borrow | +8–18%/yr |
| Capacity (before funding compresses) | low |
| Tail risk: funding flips + basis gap | present |
A real, well-known carry that nets positive (+8–18%/yr on the top decile) but is capacity-capped — size compresses the very funding you harvest — and carries a fat left tail when funding flips into a basis gap. Runs as a low-weight sleeve, fully hedged. This is the public engine behind our free Funding scanner, not a directional edge.
Carry trades pick up pennies in front of a steamroller. They work until they don’t — size small, hedge fully, and respect the flip risk that arrives all at once.