Perpetual Futures and Carry Trades in the Cross-Section

Abstract: Prior research has documented sizable carry returns in fixed-maturity cryptocurrency futures. These contracts account for only a limited share of overall futures activity today. In contrast, perpetual futures have become the dominant derivative instrument in cryptocurrency markets. This paper provides a comparative analysis of carry in perpetual and fixed-maturity futures. Using a cross-section of contracts across major exchanges and underlyings from 2019 to 2025, we show that perpetual and fixed-maturity bases are closely related once funding rates are taken into account. Yet, differences across contracts and over time remain substantial. They are partly associated with differences in liquidity and price pressure indicating market segmentation. We further document that perpetual carry strategies are no perfect substitutes, since they expose investors to a distinct funding rate risk. This may help explain why perpetuals and standard futures continue to coexist on the same exchange.