https://assets.bbhub.io/professional/sites/10/Bloomberg-GSAM-Bond-Futures-Carry-Index-Fact-Sheet.pdf
On page two, they say
SELECTION & REBALANCE On a monthly basis, the carry measure for each of the eligible constituents (underlying government bond futures) is calculated and the constituents are ranked in descending order in terms of their carry measure. The index takes long positions in the top 1/3rd constituents with the highest carry and short positions in the 1/3rd constituents with the lowest.
SIGNAL DESCRIPTION The carry measure reflects the expected return of the bond futures, assuming yield curves do not change over the following month. For all bond futures, except for the Australia bond futures, the carry measure is defined to be the yield of the relevant Cheapest-to-Deliver (CTD) bond minus the relevant funding rate plus the CTD bond's roll down return (estimated to be the product of its modified duration and a linearly interpolated measure of the localized slope of an appropriate section of the yield curve), divided by 12. For Australia specifically, the yield and modified duration of the CTD bond is replaced by the average yield and average modified duration of all deliverable bonds.
I understand that somebody who buys a bond and funds it with a repo, earns the bond's carry, minus the funding rate. However, they are talking about bond futures... surely the bond futures holder doesn't earn any of this? You just get the bond at maturity for the futures price F - you certainly don't get any of the coupons and you're not paying the funding rate either? So what do they mean by this carry strategy?
