Earn the perpetual funding spread — fully hedged,
unlevered, independent of price direction.
Long spot, short an equal-notional perpetual. The two legs offset on price, so the
book carries no directional risk; the return is the structural rate spread the perpetual market pays.
Exposure
Neutral
Both legs offset on price
Leverage
None
No naked alt positions
Direction risk
≈ Zero
Falling price ≠ loss
Idle cash
Money market
Earns while undeployed
The net-value curve is indexed to 1.0 and post-cost
(trading costs and funding assumptions included). The vertical axis shows net value as a multiple of the 1.0 start (1×, 2× …); we still don't quote Sharpe or annualised return. Data window from Dec 2023. See disclosures.
01 / What It Is
Two legs, one spread
Inside a Binance portfolio-margin account, buy spot and short an equal-notional
perpetual. Price moves cancel between the legs; what's left is two structural sources of carry.
Long leg
Buy spot
Hold the underlying coin outright. Full upside and downside on price —
to be cancelled by the hedge.
⇄
Short leg · equal notional
Short perp
Short the perpetual at matching size. Its price P&L offsets the spot leg,
and it collects funding from longs.
Net return = funding income (shorts are paid by longs) + premium convergence
(the perpetual's premium decaying back toward spot) − costs.
This is the same idea as a classic cash-and-carry / positive-basis
trade. In digital assets the spread sits structurally richer than in traditional markets, because leveraged long
demand is persistent. The book is never levered, never directional, and never holds naked altcoin exposure.
02 / Performance Character
Low and steady, by construction
The shape tells the story: a slow, steady climb with shallow drawdowns. The vertical axis shows net value as a multiple of the 1.0 start — what matters here is the character of the return, not a single headline number.
Net valueIndexed 1.0 · costs & funding in · axis = ×multiple of 1.0
Because there is no directional exposure, a falling coin price does not directly cause a loss.
The book does carry a low positive correlation to bitcoin — but that comes from opportunity supply,
not direction: when markets are active the spread is fatter and deployment is fuller, so return is higher; when
markets are quiet the strategy contracts into cash rather than losing.
03 / The Convincing Test
Why 2026 matters most
Late 2025 into Q1 2026 was the leanest funding regime in three years — at the February
2026 trough, market-wide median funding turned negative. For a carry strategy, that is the stress test.
Many peers lost money or unwound into it.
Through that window the book stayed positive and effectively drawdown-free. The reason is
adaptive deployment: every trade must clear an explicit expected-spread margin over costs, so when the
edge is thin the strategy sits in cash (idle balances earning exchange money-market interest) rather than
forcing marginal trades. As the funding environment recovered from April 2026, deployment and return rose with it.
The discipline is to do nothing when there is nothing worth doing.
04 / Risk Framework
Five layers
Layer
Mechanism
Effect
1 · Structural hedge
Spot and perp held equal-notional, opposite sign
Price moves create no directional P&L
2 · Entry discipline
Expected spread must exceed cost + margin; strictest of two cost estimates
No marginal trades — cash preferred
3 · Daily risk sweep
Auto-close any name whose holding spread turns negative that day
Cuts tail events (e.g. a single-name delist squeeze)
A liquid core pool with ample capacity, plus an enhancement pool
(spread premia in newly-listed names) whose capacity is depth-limited and converges toward the core as size grows
Best fit
A low-volatility, low-correlation enhancer within a digital-asset allocation —
not for capital seeking price beta
What we don't claim
No guarantee of future results. Costs are point-in-time estimates extrapolated, and the universe reflects the currently-tradable name list; past behaviour may not repeat.
Exchange counterparty & custody risk. Assets sit at a centralized exchange — platform credit and
operational risk apply.
A lean funding regime can persist. If the spread stays compressed, return can fall short of expectation;
the strategy's answer is to deploy less, not to reach.
Correlation to BTC is positive but not directional. It reflects opportunity supply (richer spreads in
active markets), not price exposure — a falling coin price does not directly cause a loss.