Motivated by the problem of background independence of closed string f
ield theory we study geometry on the infinite vector bundle of local f
ields over the space of conformal field theories (CFTs). With any conn
ection we can associate an excluded domain D for the integral of margi
nal operators, and an operator one-form omega(mu). The pair (D, omega(
mu)) determines the covariant derivative of any correlator of local fi
elds. We obtain interesting classes of connections in which omega(mu)'
s can be written in terms of CFT data. For these connections we comput
e their curvatures in terms of four-point correlators, D, and omega(mu
). Among these connections three are of particular interest. A flat, m
etric compatible connection F, and connections c and cBAR with non-van
ishing curvature, with the latter metric compatible. The flat connecti
on cannot be used to do parallel transport over a finite distance. Par
allel transport with either c or cBAR, however, allows us to construct
a CFT in the state-space of another CFT a finite distance away. The c
onstruction is given in the form of perturbation theory manifestly fre
e of divergences.