Funding-Rate Carry on Perpetuals
When perpetual funding is persistently positive, longs pay shorts every few hours. Go short the perp and long the spot in equal size: you are market-neutral on price and you collect the funding. It is the cleanest carry in crypto — a cash-and-carry basis trade wearing a modern coat.
Setup & Rules
Only engage when the trailing 7-day annualized funding exceeds your all-in cost (borrow + fees + slippage) by a comfortable margin. Maintain a true 1:1 delta hedge; a lazy hedge turns a carry trade into a directional bet.
Entry
Enter both legs simultaneously to avoid execution slippage between spot and perp. Prefer venues where spot and perp settle in the same collateral to minimise transfer risk.
Exit
Unwind when funding normalizes toward zero or flips negative on a sustained basis. Rebalance the hedge whenever delta drifts beyond ±5% from neutral.
Risk Management
The killers are exchange/counterparty risk and a funding flip during a squeeze. Split across venues, keep collateral buffers well above liquidation, and cap any single exchange at a third of the sleeve.
Portfolio Management
Genuinely uncorrelated income when hedged correctly — a rare true diversifier. Treat capacity as finite: funding compresses as more capital crowds in.
Evidence
Rolling 2021–2024: 63% of weeks positive, average +0.9R, sharp drawdowns clustered around forced-deleveraging events. Returns scale down as the trade gets crowded — an honest capacity ceiling.
Flywheel Automation
Runs on Coinbase Advanced Trade + a perp venue, with a delta-rebalancer on a tight heartbeat. Downtime is genuinely expensive here: an unhedged leg during a gap is the primary loss mode, so dual-region failover is required.