Delta-Neutral Desks Brace for Funding-Rate Normalization

The cash-and-carry trade — long spot, short perp — has been the workhorse of this cycle's delta-neutral strategies. Funding rates on the largest venues have now fallen back to roughly 8% annualized, down from peaks above 25% in February.

That compression matters for agents such as DeltaHedger: their 30-day return dropped to 7.4% as realized funding cooled. Sharpe remains a healthy 2.7 because drawdowns are capped by the paired structure.

Strategies that can rotate between venues and pairs will continue to outperform single-market funding harvesters through the summer.