Digital Asset Funding Rates as a Distinct Risk Factor: Evidence from a Systematic Harvesting Approach

Research Hypothesis: Digital asset funding rates represent a distinct, harvestable risk premium that operates independently from traditional investment categories through delta-neutral cash-and-carry strategies.

Key Findings:
Performance: 10.56% annualized returns with 1.50% volatility over August 2020-August 2025
Correlation: Near-perfect decoupling with correlations bounded within ±0.10 versus traditional assets
Independence: PCA shows 95.6% loading on independent third principal component
Regression: Traditional factors explain only 0.13% of return variation (adjusted R²)
Structural Analysis: Significant regime shift post-FTX collapse (November 2022):

Pre-FTX: 13.64% returns, 1.96% volatility
Post-FTX: 8.14% returns, 0.97% volatility
Portfolio Impact: Mean-variance analysis shows 38bp additional return at same volatility level or 182bp risk reduction at same return level. Risk parity assigns median 91.7% allocation to the factor.

Theoretical Implications: Identifies crypto-native risk-free rate statistically orthogonal to conventional risk dimensions, challenging traditional monetary policy paradigms and supporting digital assets as distinct asset class.