CF Rolling CME Bitcoin Futures Index

Index Description

The CF Rolling CME Bitcoin Futures Index replicates the returns of holding physical Bitcoins through BTCUSD futures contracts, resulting in perpetual Bitcoin price exposure to USD. The performance replication takes place through a portfolio of CME Bitcoin Futures contracts that is adjusted monthly using an optimised roll strategy that is transparent and replicable. The index methodology is publicly accessible and facilitates the creation of derived works such as financial products by index users, including the creation of Exchange Traded Funds (ETFs) and derivative contracts.

Performance Chart

Rolling Futures Index Performance col-span-1

	CF Rolling CME Bitcoin Futures Index	BRR NY Index
Since Inception	170.61%	240.85%
YTD	2.65%	10.59%
1 Year	48.16%	70.47%
2 Years	216.54%	299.55%

Index Facts

Asset	Bitcoin (BTCUSD)
Index Type	Excess Return
Calculation Frequency	Daily
Publication Time	3:15PM CT
Launch Date	20th June 2022
Inception	9th May 2022
Allocation	75% Prompt (P)
	25% P + 1

Roll Day Calculation Overview

Contributing Sources

Roll Dates	Days [4, 3, 2] before Prompt expiry
Roll Amounts	Equal proportions (over 3 days)
Observation Window	8 hours per Roll Day
	CME Settlement
Roll Price	Roll Days:

Disclaimer: The information contained within is for educational and informational purposes ONLY. It is not intended nor should it be considered an invitation or inducement to buy or sell any of the underlying instruments cited including but not limited to cryptoassets, financial instruments or any instruments that reference any index provided by CF Benchmarks Ltd. This communication is not intended to persuade or incite you to buy or sell security or securities noted within. Any commentary provided is the opinion of the author and should not be considered a personalised recommendation. Please contact your financial adviser or professional before making an investment decision.