Research Note 04

Carry: A Real Edge I Wouldn't Trade

Perpetual funding carry arrives with strong academic backing: He, Manela, Ross & von Wachter report a Sharpe of 1.80 for a spot-short-perpetual carry trade, and Schmeling, Schrimpf & Todorov document crypto carry averaging roughly 7%/year on a fixed-date basis. All the cited papers also document the effect shrinking, as leverage limits tighten, arbitrage capital grows, and the 2024 spot Bitcoin ETF compresses the basis. The project's own measurement (636 eight-hour Binance funding periods per coin, November 2025–May 2026) finds mean annualized funding of +2.11% for BTC and +1.63% for ETH, both far below the project's pre-registered 14% capital-allocation hurdle and even below the roughly 4.0–4.5% available from FDIC-insured US savings accounts and CDs. The second candidate, fixed-date basis, is closed at the literature stage: its own reported ~7%/year average sits below the hurdle before any adjustment. Verdict: not falsified, but priced out.

This page preserves the approved research abstract in full. The working repository contains the complete note, methodology, code, data, and references.