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How does a portfolio of long stocks and short futures generate profits
I know some derivative markets work like this, so maybe similar with futures.  A futures contract commits two parties to a buy/sell of the underlying securities, but with a futures contract you also create leverage because generally the margin you post on your futures contract is not sufficient to pay for the collateral in the underlying contract. The person buying the future is essentially "borrowing" money while the person selling the future is essentially "lending" money. The future you enter into is generally a short term contract, so a perfectly hedged lender of funds should expect to receive something that approaches the fed funds rate in the US. Today that would be essentially nothing.