Executive Summary
Delta-Neutral Spot+Perp Funding Arbitrage on Hyperliquid
8.079
Sharpe
5c carry, 2.7yr
10.065
Sortino
38.0%
CAGR
140.7%
Total Return
-4.0%
Max Drawdown
9.39
Calmar
100.0%
MC P(>1)
10k bootstrap
0.04
Corr BTC
near zero
83.4%
Win Rate
daily
1.278
BTC Sharpe
Buy&Hold ref
CarryArb delivers a Sharpe of 8.079 over 2.7 years — pure funding income from delta-neutral spot+perp positions. MaxDD of only -4.0% vs BTC buy-and-hold (-32.0%).
Performance
Production config: 5 coins, carry selection, monthly rebalance
Consistent growth from $10,000 to $24,070. Near-zero drawdown (-4.0%) — delta-neutral eliminates price risk.
Near-zero correlation with BTC (0.04) — pure alpha from funding, not crypto beta.
| Metric | Value |
|---|---|
| Sharpe | 8.079 |
| Sortino | 10.065 |
| CAGR | 38.0% |
| Total Return | 140.7% |
| Max Drawdown | -4.0% |
| Max DD Duration | 96d |
| Calmar | 9.39 |
| Win Rate | 83.4% |
| Profit Factor | 7.43 |
| Max Consec. Losses | 17d |
| Corr BTC | 0.04 |
| Beta BTC | 0.0 |
Portfolio Size Comparison
More coins = higher Sharpe, lower return. Fewer = concentrated, higher return.