If you look at a cumulative return of a very simple portfolio, consisting of long EuroStoxx50 total return index and short EuroStoxx50 futures, you can see that over the last 10 years this portfolio accumulated c.15% of return.
In theory, return of this portfolio should be equal or very close to a risk-free return. But when you look at a cumulative return of 3M Euribor, you see that over time the above-mentioned portfolio strongly outperforms this 'risk-free benchmark'.
Why is it the case?
PS. I accounted for the roll-over Fridays and subsequent Mondays by excluding returns on those dates.