I'm also curious how this is working with small amounts of exposure. The current lag time in transfers makes me think that this might be a lesson in futility if it takes 24 to 48 hours for a transaction to process with low fees. Or if the fees to process a transaction, makes the 2% return much smaller.
Besides rebalancing the accounts, there is no money transfers involved in the long/short strategy. So the transaction latency is not a concern.
The 2% return is net of exchange fees.