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.

研究假设：数字资产资金费率代表一种独特且可捕获的风险溢价，其通过德尔塔中性（delta-neutral）现券套利策略运行，且独立于传统投资品类。

核心研究结果：
业绩表现：2020年8月至2025年8月期间，年化收益率达10.56%，波动率为1.50%
相关性：与传统资产的相关性区间限定在±0.10以内，实现近乎完美的脱钩
独立性：主成分分析（Principal Component Analysis, PCA）结果显示，该因子在独立第三主成分上的载荷占比达95.6%
回归分析：传统因子仅能解释0.13%的收益波动（adjusted R²）
结构分析：FTX破产（2022年11月）后出现显著的市场格局切换：
FTX破产前：年化收益率13.64%，波动率1.96%
FTX破产后：年化收益率8.14%，波动率0.97%
投资组合影响：均值-方差分析显示，在相同波动率水平下可额外获得38个基点（basis point, bp）的收益，或在相同收益水平下实现182个基点的风险降低；风险平价策略对该因子的配置中位数达91.7%

理论启示：本研究识别出与传统风险维度在统计上正交的加密原生无风险利率，这一发现挑战了传统货币政策范式，同时佐证了数字资产作为独立资产品类的属性。