A +7.42% ETH week trailing BTC by 10.75 points while funding charges 0.1247% per eight hours
At the weekly rebalance, should the fund shift part of its ETH perpetual leg into BTC given the 10.75-point shortfall and the funding carry, or keep the ETH weight set by its own trend rule?
The market facts are real; the decision maker is illustrative.
The week and the position
In the week of 15 February 2021, ETH rose 7.42%, from 1,800.03 to 1,933.53, closing in the upper third of its 23.35% range and 4.7% below its 52-week high, on 12.05bn dollar volume, 1.17 times its prior 12-week average. BTC made the larger weekly move, and ETH lost 10.75 percentage points against it; the ETH/BTC ratio fell 9.1%. Perpetual funding averaged 0.1247% per eight hours, peaking at 0.2323%. Three of the prior four weeks were up. An illustrative trend fund rebalances weekly and holds the ETH leg through the perpetual.
Judgment
ETH's own trend is intact: the close sat in the upper third of the range, and the week ranked in the 73rd percentile of 157 weeks of history. The fund's written rebalance rule, not the single ratio week, should set the shift towards BTC. But the long leg pays 0.1247% per eight hours in funding while realised volatility ran at 79.6% annualised and the leg lags BTC. Reduce the ETH weight to its volatility-sized minimum, move the difference into BTC, and accept that ETH may keep lagging inside a rising market.
What would change it
If the ETH/BTC ratio falls for a second consecutive week while funding stays above 0.1% per eight hours, close the ETH leg and hold BTC alone. If ETH closes above the week's high of 2,042.34 and the ratio turns positive, restore the full trend-sized ETH weight.
What sets this case apart
An asset can gain 7.42% and still be the weaker leg; the decision turns on relative trend and carry, not on absolute direction.