Crypto research

Perpetual-futures funding carry, basis, venue structure and stablecoin dislocation form the sleeve family with this book's longest live record.

Perpetual futures carry a mechanism that has no equity analogue: a funding payment exchanged between longs and shorts at a fixed interval to hold the contract near spot. It is a real cash flow with a published rate. You are not inferring a premium from returns; you are paid on an observable schedule.

That clarity is also the trap. Funding carry is a liquidity-provision trade wearing a yield's clothing: it pays steadily and loses violently in exactly the cascade that makes it pay. Its return distribution is dominated by rare observations, and a Sharpe ratio computed on a calm sample says almost nothing about the risk being taken. Any honest treatment of this sleeve has to separate what it earned from what it was exposed to, and this book's own decomposition of that separation is published.

This is the sleeve family with the longest live record here, and it is also the one where the most has been killed. Dated basis, low-volatility construction, short-side time-series momentum, the variance risk premium, funding term structure and multi-venue funding differentials were each tested and each published as a null. The one construction that trades is the plain cross-sectional funding carry.

Venue structure is treated as part of the mechanism rather than as an implementation detail, because in this market it is. Funding is a venue-specific quantity, the same instrument has different rates in different places, and a research result computed on one exchange's history may not be reproducible on another's. Multi-venue collection runs daily for that reason, and the boundaries of what has actually been collected are published rather than assumed.

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