Executive summary
The mandate
Long spot crypto, short the matching CME USD future: delta-neutral. The client earns the futures basis, rolled before each expiry.
What you edit
The portfolio: which CME assets, their weights, the rebalancing method, and whether to roll front-month or quarterly-only.
What you see
Mean, standard deviation, skewness and excess kurtosis of the carry returns, plus CAGR and a growth-of-100 chart against ETFs over the same window.
Gross basis accrual (annualized basis ÷ 365 per calendar day), built from CME settlements. No fees, funding, margin or slippage. Past performance is not a guide to future results.
Your portfolio
Build the basket
Common: starts on the first date all selected assets have data.
Distribution of daily carry returns
The four moments
Select at least one asset.
Growth of 100
Portfolio vs ETFs, same window
Comparison
Moments side by side
Select at least one asset.
Data & methodology
What is live, what is not
| Asset | CME launch | History (front) | Status |
|---|
- Basis. For the held contract, annt = (Ft/St − 1)·365/dtet. F is the CME daily settlement (TradingView per-contract bars). S is the CF BRR / ETHUSD_RR (16:00 London) or the Coinbase price at 15:00 CT.
- Accrual. rt = annt−1·(calendar days since the previous trade date)/365, so the rate is locked at the prior close and there is no look-ahead. Indext = Indext−1(1 + rt). This is identical to the cme-carry README, and BTC/ETH reproduce its index levels exactly.
- Rolls. Expiry is the last Friday of the month (holiday-adjusted). Roll = Tuesday of expiry week (expiry − 3 days). Front-month holds the nearest monthly contract; quarterly-only holds the nearest Mar/Jun/Sep/Dec contract.
- Moments. Simple period returns of the portfolio index. Mean; sample std (n−1); skewness m₃/m₂1.5; excess kurtosis m₄/m₂² − 3 (population central moments). Gross of fees, funding, margin and slippage.