Net Annualized Basis (NAB)

A raw basis number means little without its clock. A 2% premium with 30 days to run is a very different trade from 2% with 180 days. The annualized basis puts every expiry on the same footing:

NAB = (F / S − 1) × (365 / days to expiry)

Spot at $64,000 and a future at $65,280 (2% premium) with 91 days left:

NAB = 0.02 × 365 / 91 ≈ 8.0% annualized

The "net" in NAB means after costs: two legs of fees and slippage at entry, and again at exit if the trade isn't held to settlement. On a small basis those costs can shave off a percentage point or more.

How it's used

A carry desk scans every listed quarterly expiry each period, computes NAB per contract, and deploys the cash-and-carry into the richest one. But only when NAB clears a hurdle rate, meaning the yield available risk-free elsewhere plus a margin for the trade's operational risks. Below the hurdle, the correct position is none. NAB is as much a filter as a ranking.

On AlphaProve

NAB annualizes a dated premium over a 365-day year, and AlphaProve applies that same 24/7 convention everywhere it annualizes: Sharpe, Sortino, and total return scale with √365, not the √252 of a stock calendar. The platform does not rank dated-future carry, since its universe is perpetuals, but the year-length assumption behind this metric is the one the tearsheet uses when it annualizes a perp strategy's return — which is what lets a slow, funding-driven strategy be compared against a fast directional one on equal footing.