H-011: BTC funding-rate carry (spot long + perp short) pays enough for the risk

Fail Family: carry · Status: rejected

Does Bitcoin funding-rate arbitrage pay for its risk? The idea did not beat simply buying the coin and holding it. It is rejected.

Result

Yield on capital (no leverage, half per leg): 2020 +8.6%, 2021 +15.3%, 2022 +2.1%, 2023 +3.9%, 2024 +6.0%, 2025 +2.6%, 2026 (9 mo) +1.1%; last 365 days ~ +1.5%. Not worth full capital on one exchange.

Sharpe: return per unit of risk (higher is better). CAGR: average yearly growth. Max drawdown: worst fall from a peak. p-value: chance the result is luck (lower is better). “Hold” columns are buy-and-hold for the same asset and days. Glossary

No engine results yet: this study is kept for the record and is not re-run.

Why it might work

Delta-neutral carry earns funding without market direction; the risk is exchange counterparty and basis.

Verdict history

2026-09-30: Fail (F1MEBOT (2026))