Limitations

• This is a Goldman-style replication, not an exact Bloomberg index replication.
• Licensed raw data and the SQLite database are excluded; local regeneration requires compatible licensed data.
• The liquidity return leg is a main-contract close-to-close research proxy, not a locked-contract execution simulation.
• Inverse-volatility weighting, capacity, integer lots, margin, limit moves, and detailed roll execution are intentionally excluded.
• L0-L2 can have a smaller cross section. Aligned dates improve comparison but do not eliminate model-selection risk.
• Historical performance is not investment advice.