Eternal futures: how to earn up to 15% per annum and reduce market risk

The material is purely informative and does not contain individual investment recommendations.

Eternal futures are gradually turning from a niche instrument of the futures market into an independent segment of the Moscow Exchange. In August 2026, their average daily turnover reached a record 131.5 billion, which is 56% higher than this figure for the first half of the year and 96% more than for the whole of 2025.

For most private investors, futures remains a way to bet on the direction of the market. However, perpetual contracts have a feature - daily funding. It allows you to build a fundamentally different strategy: try to remove from the position the risk of growth or fall of the underlying asset and earn on the discrepancy between futures and spot. Statistics of the Moscow Exchange for the first eight months of 2026 show that such an idea is not only of theoretical interest. Let's see what it is.

Perpetual futures are one-day contracts that do not have a fixed expiration date and are automatically rolled over to the next trading day. Daily autoprolongation means that each day the life of the futures is automatically transferred to the day ahead. Thus, the position on eternal futures is maintained from day to day.

In order for the price of perpetual futures to be close to the price of the underlying asset, a funding mechanism is used. This mechanism does not exist in classical futures, which have a specific lifespan and at the end of it are calculated at a strike price equal to the price of the underlying asset.

Funding as the price of holding perpetual futures

Perpetual futures as an instrument of the Moscow Exchange is actually a one-day contract with automatic renewal. Funding mechanism is needed so that its price does not deviate greatly from the value of the underlying asset. If perpetual futures are traded quite expensive relative to the spot, the seller receives a positive funding (short position). With the reverse deviation, the direction of payment changes. This allows the prices of the two instruments to be returned to each other.

Hence, a market-neutral construct emerges: buying an underlying asset + selling an equivalent perpetual futures.

For example, one SBERF contract corresponds to 100 shares of Sberbank. An investor can buy 100 shares of Sberbank and simultaneously sell one perpetual futures – if the stock falls, the loss on the spot position is largely offset by short futures profits and vice versa. Dividend Gap also should not destroy the design by itself: the mechanics of perpetual futures provides for a dividend adjustment that maintains the relationship between the value of the contract and the underlying asset.

The direction of the market ceases to be the key to the result. As long as the funding remains positive, the holder of a short position receives a payment, and the investor is actually betting not on the future price of Sberbank, but on maintaining an imbalance between the demand for perpetual futures and the value of the underlying asset.

Fanding dynamics in 2026

The Moscow Stock Exchange publishes monthly average funding values in percent per annum. Combined for 8 months of 2026, the most consistent positive funding was observed in SBERF, GAZPF and IMOEXF.

Dynamics of average monthly funding values, January-August 2026, % annual

Source: Moscow Exchange data

Values are averaged per month and are given as percentages per annum. The final column is a simple monthly average, not the strategy’s actual annual return.

How much is left after the cost of money

15% funding is not 15% alpha/yield. If an investor buys shares with his own money to hedge a SBERF short position, the capital is tied in a spot position and has an alternative value. If the shares are purchased with borrowed funds, the opportunity cost is converted into a direct cost of financing the construction.

The economic effectiveness of the strategy would be better described as follows:

Net result = received funding - cost of capital - brokerage and exchange commissions - losses on the spread and price slip - other expenses for maintaining the hedge.

Therefore, arbitrage occurs not when the funding is simply positive, but when it consistently exceeds the cost of neutralizing the position and all the associated costs.

Alpha is an indicator that evaluates the effectiveness of investments relative to market returns. If investments in a particular asset or portfolio of an investor as a whole showed a better return compared to the market, then their alpha is positive, if the worst is negative. The benchmark for comparison is usually the main stock index, in Russia it is the index of the Moscow Exchange.

Why SBERF and GAZPF are more interesting than perpetual currency contracts

The 2026 data show that a high average does not necessarily mean a stable source of income. The average dollar/ruble futures fund for eight months is about 13.3% per annum, but its values were volatile: 30% in January, 4% in March, 23% in April and only 2% in August. The euro/ruble EURRUBF contract went from 28% in January to -11% in August, and the Chinese yuan/ruble CNYRUBF contract in March also showed a negative value.

For an arbitrage strategy, this is fundamentally important: when you change the funding sign, the old long spot / short futures design already begins to pay. Therefore, SBERF and GAZPF in January-August data look more interesting not so much by the absolute value as by the stability of values.

Market-neutral does not mean risk-free

After removing the directed rate on the movement of the market, the risk moves to other aspects:

Funding can be sharply reduced or changed sign; spot and futures do not necessarily move in perfect synchrony. A futures position requires collateral and creates cash flows through variational margin. An additional problem with IMOEXF design is that the index cannot be bought directly. For a hedge, you have to use an index fund or reproduce a basket of shares in your portfolio, which adds to the discrepancy between the dynamics of the hedging instrument and the index itself.

Is there a way to earn an alpha?

The statistics of the first eight months of 2026 provide a more meaningful answer than the theoretical model. The source of potential income does exist: for SBERF, GAZPF and IMOEXF, positive funding persisted throughout the period under review, with average annual values of approximately 14-15%.

But it cannot be ruled out that for some investors, this strategy is attractive not only in terms of potential alpha, but also as an opportunity to wait out periods of uncertainty in the market in a neutral position.