Perpetual Funding & Basis Benchmark
Notes on perpetual funding, futures basis, cross-venue dislocations, carry after costs, and regime behavior in digital-asset markets.
This entry is research in progress. No backtest results, Sharpe ratios, or live performance figures are published here.
Research question
When does apparent funding or basis carry survive fees, slippage, collateral requirements, and execution constraints across venues?
Why it matters
Institutional rates desks already think in carry, basis, and relative value. Crypto perpetuals publish an explicit funding mechanism that looks familiar, but venue conventions, leverage, liquidation risk, and stablecoin borrow costs change the economics. The goal is a rates-native benchmark that makes those differences explicit.
Planned research objectives
These are objectives, not completed deliverables:
- Annualized and realized funding
- Spot/perpetual basis and dated futures basis
- Cross-exchange dispersion and funding persistence
- Regime changes and volatility interaction
- Liquidity constraints and execution costs
- Collateral requirements, leverage, and liquidation risk
- Stablecoin borrow costs
- Delta-neutral return paths, drawdowns, and capacity
Current status
| Area | Status |
|---|---|
| Portfolio thesis card | Published as a placeholder |
| Methodology write-up | In progress |
| Cross-venue data pipeline | Not published |
| Backtests / notebooks | Not published |
| Live or paper trading | Not started |
Connection to institutional rates work
Thirteen years in institutional rates sales, trading execution, and portfolio management inform the framing: normalize the series, state assumptions, separate signal from implementation friction, and refuse to call something arb until costs and capacity are honest.
Next experiment
Publish a transparent methodology page and a first historical series with known-answer checks against venue reference prints. Until then, treat this as independent trading notes, not a finished product.