Meaning it's delta one. That is, it moves in near perfect tandem to the spot price.
The retail crowd doesn't realize this and is significantly disadvantaged compared to sophisticated market makers with rate models.
tl;dr ignoring swap rates is very dangerous
In perps we compensate the market through funding, and in futures we do so through term structure (ie the futures price exceeding spot).
Annualized rates can be that high during periods of excess demand for perps but on average they're much lower. Agreed that it's important to take them into account.
If you're looking for cheap delta, longer term futures are almost always the way to go. They are a lot less liquid, though. retail has a strange fascination with swaps. I have two theories for why this is: 1) they are easier to manage (you don't need to roll them). 2) they look cheaper on am absolute basis than long term futures.
But if you want long delta, go with long dated futures. If you want short delta, go with swaps. The extra juicy trades come from buying long dated futures on one exchange and selling high rate swaps on another. However, you need a lot of margin or a sophisticated system to manage the risk.
In addition to the reasons you mention (retail cluelessness, margin requirements, risk systems), these are some other reasons I can think of as to why the arb persists over time:
- Perps are popular on Bitmex/Bybit, and futures are popular on Ok and Huobi (even though the latter has perps, they're relatively illiquid). So there's a cross-exchange dimension which adds more difficulty and risk in performing the arb.
- Counterparty risk of keeping funds on an exchange increases the required compensation for performing the arb, which allows it to persist.