CF Bitcoin Compounding Basis Index
Index Description
The CF Bitcoin Compounding Basis Index is a total return benchmark that overlays a systematic basis-harvesting strategy on a constant spot Bitcoin exposure referenced to the Bitcoin Reference Rate (BRR). The Index combines spot Bitcoin performance with a rules-based futures overlay that seeks to capture the cost-of-carry premium embedded in CFTC-regulated CME Bitcoin Futures.
The basis overlay establishes short futures exposure when the market is in contango and long futures exposure when the market is in backwardation, with directionality determined systematically from observed CME transaction data. Futures implied basis is calculated using relevant outright and calendar spread transactions observed during the daily TWAP window, with partition-level volume-weighted medians used to produce a robust daily basis measure.
The Index Basis Portfolio is allocated across the Front Contract and Next Contract and rolls systematically over the designated Roll Days prior to expiry. By compounding the spot return and basis overlay return through time, the Index provides a transparent, rules-based benchmark for Bitcoin basis performance and may support derivative, structured product, and exchange-traded product use cases referencing Bitcoin basis returns.
Performance Chart
Index Facts
| Asset | Bitcoin (BTC) |
|---|---|
| Calculation Frequency | Daily |
| Calculation Method | Spot Bitcoin exposure (BRR) combined with a systematic basis overlay across Front and Next CME Bitcoin Futures contracts, with positioning determined by the prevailing futures term structure |
| Input Data | CME Monthly Bitcoin Futures transaction data (outright and calendar spread) and the Bitcoin Reference Rate (BRR) |
| Publication Days | All CME Trading Days |
| Publication Time | 4:00pm London Time |
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.