Methodology

Goldman-style F0/F6 replication

F0 and F6 are the nearest and seventh contracts in a daily maturity-ranked curve. The retained 252-day signal is product(1 + r(F0)) - product(1 + r(F6)). Friday cross-sectional centered ranks form dollar-neutral weights active from the next trading day. The return leg is F3 same-contract close-to-close return with 5 bp one-way turnover cost.

The separate overlay targets 10% annualized volatility using a 60-day realized-volatility lookback, 40 observations minimum, and a 3.0x leverage cap.

Liquidity extension

Eligible contracts are maturity-ranked after the retained price, liquidity, open-interest, and days-to-delivery screen. L0 is the nearest eligible contract; L1 and L2 are the next eligible deferred contracts. Each retained 120-day signal is sum(log(1 + r(L0)) - log(1 + r(Lj))) for j in {1, 2}.

The 50/50 strategy scales and nets separate L0-L1 and L0-L2 weekly books before the common backtest. Its gross daily return equals the half-and-half component gross returns; costs can differ after netting.