Table 11 The performance of Pure-02 to Pure-20 and Enhan-02 to Enhan-20 in the S&P 500

Pure-02

0.00065

0.00822

− 0.06276

− 0.00294

0.00065

0.00436

0.14875

1.94494

48.89621

0.70804

0.20143

Enhan-02

0.00141

0.00982

− 0.07164

− 0.00383

0.00082

0.00549

0.14610

0.91193

25.80638

1.11447

0.21038

Pure-03

0.00079

0.01002

− 0.06803

− 0.00396

0.00075

0.00545

0.15073

0.96461

26.29571

0.74484

0.19733

Enhan-03

0.00099

0.00915

− 0.06741

− 0.00343

0.00078

0.00509

0.06991

− 0.21806

8.44135

0.80842

0.19432

Pure-04

0.00120

0.00915

− 0.06643

− 0.00341

0.00080

0.00525

0.06604

− 0.23041

7.92143

0.89153

0.20029

Enhan-04

0.00157

0.01020

− 0.06963

− 0.00378

0.00084

0.00574

0.12966

0.82719

18.82199

0.97031

0.22179

Pure-05

0.00072

0.00915

− 0.07750

− 0.00374

0.00090

0.00531

0.05338

− 0.49598

8.75788

0.91645

0.22961

Enhan-05

0.00108

0.00893

− 0.06946

− 0.00335

0.00087

0.00509

0.06679

− 0.23050

8.71492

0.77433

0.22811

Pure-06

0.00068

0.00958

− 0.06913

− 0.00376

0.00078

0.00532

0.07285

− 0.20946

8.75767

0.70703

0.21381

Enhan-06

0.00095

0.00905

− 0.06744

− 0.00328

0.00078

0.00508

0.06658

− 0.23617

8.50229

0.82611

0.20942

Pure-07

0.00090

0.00970

− 0.06528

− 0.00368

0.00081

0.00533

0.08442

− 0.02074

8.84971

0.84558

0.20201

Enhan-07

0.00112

0.00888

− 0.06636

− 0.00333

0.00089

0.00502

0.06509

− 0.22214

8.43601

0.88448

0.19332

Pure-08

0.00070

0.00998

− 0.06530

− 0.00371

0.00073

0.00539

0.15600

1.24370

30.69485

0.84949

0.20683

Enhan-08

0.00096

0.00899

− 0.06576

− 0.00341

0.00079

0.00519

0.04950

− 0.36582

7.50026

1.06967

0.18900

Pure-09

0.00093

0.00874

− 0.06590

− 0.00334

0.00080

0.00506

0.04855

− 0.38893

7.52609

0.81809

0.19038

Enhan-09

0.00103

0.00996

− 0.06775

− 0.00382

0.00083

0.00534

0.12956

0.82278

19.47913

0.91026

0.20666

Pure-10

0.00094

0.00874

− 0.06600

− 0.00333

0.00082

0.00504

0.04869

− 0.38762

7.53035

0.82040

0.19076

Enhan-10

0.00106

0.00992

− 0.06779

− 0.00376

0.00087

0.00536

0.13221

0.87577

20.65819

0.93521

0.21022

Pure-11

0.00093

0.00874

− 0.06590

− 0.00334

0.00080

0.00506

0.04855

− 0.38912

7.52605

0.81799

0.19038

Enhan-11

0.00108

0.00994

− 0.06770

− 0.00380

0.00090

0.00535

0.12949

0.82710

19.53265

0.91759

0.20667

Pure-12

0.00093

0.00908

− 0.06667

− 0.00347

0.00082

0.00522

0.07066

− 0.20196

8.68972

0.89803

0.21751

Enhan-12

0.00104

0.00971

− 0.07145

− 0.00383

0.00077

0.00531

0.14379

0.88634

25.53199

1.04319

0.21414

Pure-13

0.00072

0.00979

− 0.08557

− 0.00391

0.00068

0.00540

0.06593

− 0.49401

10.01950

0.79182

0.23344

Enhan-13

0.00092

0.00853

− 0.06502

− 0.00322

0.00073

0.00494

0.04622

− 0.43357

7.57277

0.80047

0.20046

Pure-14

0.00078

0.00931

− 0.07227

− 0.00360

0.00084

0.00524

0.08287

− 0.12111

10.06141

0.82279

0.22017

Enhan-14

0.00096

0.00844

− 0.06419

− 0.00323

0.00074

0.00497

0.04987

− 0.35949

7.99071

0.96043

0.19602

Pure-15

0.00068

0.00928

− 0.07368

− 0.00366

0.00073

0.00523

0.06872

− 0.28238

9.17828

0.84706

0.22266

Enhan-15

0.00097

0.00828

− 0.06280

− 0.00305

0.00081

0.00489

0.04454

− 0.38062

7.76812

0.95942

0.19299

Pure-16

0.00086

0.00842

− 0.06132

− 0.00334

0.00074

0.00501

0.04532

− 0.36673

6.95236

0.85057

0.18187

Enhan-16

0.00117

0.00991

− 0.07078

− 0.00386

0.00078

0.00555

0.13700

0.73753

20.63134

0.86131

0.21171

Pure-17

0.00115

0.00937

− 0.06884

− 0.00356

0.00083

0.00549

0.05036

− 0.34672

7.43454

0.82053

0.21922

Enhan-17

0.00159

0.01026

− 0.07222

− 0.00386

0.00105

0.00593

0.14505

0.72666

21.73044

0.83085

0.24530

Pure-18

0.00109

0.00838

− 0.05741

− 0.00326

0.00078

0.00497

0.04304

− 0.32879

6.56390

0.80609

0.18316

Enhan-18

0.00139

0.00974

− 0.07954

− 0.00390

0.00093

0.00557

0.09149

− 0.08135

10.81406

0.87043

0.21145

Pure-19

0.00101

0.00980

− 0.08135

− 0.00369

0.00083

0.00535

0.11535

0.28924

16.40898

0.96011

0.25839

Enhan-19

0.00117

0.00927

− 0.07072

− 0.00344

0.00070

0.00525

0.06954

− 0.19947

8.86839

0.89946

0.21460

Pure-20

0.00088

0.00835

− 0.05780

− 0.00329

0.00074

0.00486

0.04097

− 0.38017

6.80294

0.79938

0.19112

Enhan-20

0.00101

0.00999

− 0.07691

− 0.00387

0.00078

0.00549

0.13801

0.98341

24.03536

0.85588

0.23047