CF Rolling CME Bitcoin Futures

The CF Rolling CME Bitcoin Futures Index (Excess Return) is calculated once a day and published at 15:15 US Central Time. Responding to the need for investors to replicate the performance of Commodities and Futures Trading Commission (CFTC) regulated Bitcoin Futures contracts traded on the CME, the index has been developed to measure the returns that a passive strategy of holding CME Bitcoin Futures contracts would generate. The index is a means of replicating the USD returns of holding physical Bitcoins through Bitcoin-USD futures contracts that allow investors to seek USD price exposure to Bitcoin; both long and short, where price discovery is facilitated by the GLOBEX central limit order book system and transactions are centrally cleared. All this activity is conducted under the regulatory oversight of the US CFTC.

• Tracks the performance of holding CME Bitcoin Futures and rolling every month
• Robust and transparent methodology designed to minimise roll cost
• Readily trackable by investors

The CF Rolling CME Bitcoin Futures Index launched on June 20, 2022. The index has a base value of 1000 as of May 9, 2022. All index values prior to May 9, 2022, are backtested.