Stats › Crypto › Crypto carry
Crypto carry paid a Sharpe above six and then turned negative in 2025
Annualised Sharpe ratio of the long-spot short-perpetual carry trade. The source states the figure turned negative in 2025 without giving a number, so 2025 has no bar here rather than an invented one. The authors' conclusion is that funding premia are neither guaranteed nor permanent.
The long-spot short-perpetual trade earned an annualised Sharpe of 6.45 from August 2020. From 2024 it fell to 4.06, and in 2025 it went negative. The perpetual-to-spot deviation that drives it is shrinking about 11% a year.
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