Table 12 The performance of Refined-01 to Pefined-20 in both markets

CSI 300

Refined-01

0.00043

0.01209

− 0.13808

− 0.00376

0.00023

0.00430

0.10412

− 0.15767

19.11770

0.58097

0.34865

Refined-02

0.00030

0.01225

− 0.20345

− 0.00381

0.00023

0.00438

0.06775

− 1.91137

39.55900

0.45806

0.43690

Refined-03

0.00034

0.01280

− 0.23112

− 0.00394

0.00029

0.00488

0.08230

− 2.51640

53.00308

0.46194

0.43542

Refined-04

0.00027

0.01178

− 0.13371

− 0.00396

0.00026

0.00461

0.06859

− 0.65453

16.31264

0.53790

0.41259

Refined-05

0.00028

0.01518

− 0.36526

− 0.00428

0.00027

0.00510

0.11025

− 5.92353

147.26431

0.29302

0.59627

Refined-06

0.00024

0.01540

− 0.38098

− 0.00455

0.00028

0.00523

0.10242

− 5.98321

161.46500

0.35753

0.54839

Refined-07

0.00029

0.01404

− 0.25240

− 0.00426

0.00030

0.00516

0.08402

− 2.42830

51.45161

0.45391

0.48835

Refined-08

0.00023

0.01586

− 0.39749

− 0.00439

0.00025

0.00529

0.11566

− 6.45872

170.19805

0.29923

0.57653

Refined-09

0.00027

0.01430

− 0.27507

− 0.00443

0.00031

0.00514

0.08186

− 2.98920

64.45716

0.41838

0.51011

Refined-10

0.00032

0.01234

− 0.21492

− 0.00367

0.00022

0.00430

0.09186

− 2.20615

47.95994

0.45276

0.45530

Refined-11

0.00034

0.01298

− 0.24336

− 0.00390

0.00026

0.00460

0.09726

− 2.37009

60.10964

0.51303

0.43507

Refined-12

0.00040

0.01259

− 0.23057

− 0.00374

0.00024

0.00455

0.09099

− 2.25038

54.56784

0.61923

0.40366

Refined-13

0.00030

0.01234

− 0.22419

− 0.00380

0.00025

0.00452

0.11710

− 2.36556

56.52437

0.58254

0.43353

Refined-14

0.00044

0.01214

− 0.14980

− 0.00403

0.00025

0.00445

0.08214

− 0.61242

19.31622

0.65979

0.39469

Refined-15

0.00040

0.01136

− 0.21716

− 0.00340

0.00024

0.00407

0.08660

− 2.55120

63.68843

0.63325

0.41064

Refined-16

0.00039

0.01228

− 0.24477

− 0.00368

0.00024

0.00437

0.07994

− 3.05135

73.26713

0.58568

0.43332

Refined-17

0.00033

0.01321

− 0.25506

− 0.00383

0.00025

0.00487

0.09458

− 2.87147

66.50622

0.55404

0.49018

Refined-18

0.00027

0.01379

− 0.33962

− 0.00405

0.00028

0.00465

0.08289

− 6.27706

158.92483

0.30812

0.53904

Refined-19

0.00029

0.01499

− 0.31423

− 0.00452

0.00027

0.00529

0.10389

− 3.74322

88.56693

0.41267

0.49954

Refined-20

0.00032

0.01279

− 0.26111

− 0.00367

0.00025

0.00437

0.09343

− 3.71691

81.73846

0.46131

0.48238

S&P 500

Refined-01

0.00120

0.00927

− 0.06280

− 0.00343

0.00076

0.00527

0.05677

− 0.25384

7.88097

0.93502

0.19632

Refined-02

0.00131

0.00910

− 0.08505

− 0.00320

0.00072

0.00494

0.05608

− 0.44247

10.49970

0.96606

0.21925

Refined-03

0.00127

0.00900

− 0.06692

− 0.00323

0.00074

0.00512

0.05558

− 0.31930

8.20261

0.93400

0.20136

Refined-04

0.00117

0.00937

− 0.06606

− 0.00330

0.00074

0.00526

0.05662

− 0.29329

8.15174

0.84820

0.21106

Refined-05

0.00135

0.00846

− 0.05400

− 0.00307

0.00074

0.00489

0.05147

− 0.22583

7.37853

1.04520

0.18261

Refined-06

0.00125

0.00918

− 0.06375

− 0.00337

0.00078

0.00526

0.05350

− 0.31981

7.32608

0.93895

0.19670

Refined-07

0.00125

0.00941

− 0.06717

− 0.00336

0.00076

0.00522

0.05445

− 0.31532

8.16291

0.94691

0.19897

Refined-08

0.00126

0.00914

− 0.05901

− 0.00326

0.00075

0.00531

0.05471

− 0.28155

7.60900

1.07543

0.19805

Refined-09

0.00117

0.00943

− 0.07142

− 0.00338

0.00079

0.00542

0.05784

− 0.41517

7.87385

0.91230

0.23837

Refined-10

0.00140

0.00880

− 0.07860

− 0.00305

0.00073

0.00501

0.05520

− 0.39093

9.52000

1.02659

0.20285

Refined-11

0.00122

0.00940

− 0.06740

− 0.00318

0.00076

0.00521

0.05717

− 0.21821

8.46796

0.88664

0.21298

Refined-12

0.00120

0.00968

− 0.08762

− 0.00341

0.00081

0.00539

0.05901

− 0.55531

9.55022

0.96708

0.24213

Refined-13

0.00130

0.00882

− 0.05322

− 0.00318

0.00077

0.00504

0.05297

− 0.21640

7.41976

1.06135

0.19842

Refined-14

0.00128

0.00868

− 0.06482

− 0.00312

0.00077

0.00501

0.05642

− 0.25954

7.99324

0.93207

0.18052

Refined-15

0.00127

0.00894

− 0.07473

− 0.00309

0.00074

0.00516

0.05317

− 0.35336

8.45123

1.00452

0.19280

Refined-16

0.00122

0.00958

− 0.06828

− 0.00349

0.00080

0.00540

0.05473

− 0.38037

7.72348

0.90882

0.24047

Refined-17

0.00124

0.00900

− 0.06820

− 0.00320

0.00077

0.00516

0.05031

− 0.35907

8.14505

1.04566

0.22087

Refined-18

0.00138

0.00890

− 0.08204

− 0.00320

0.00075

0.00506

0.05620

− 0.51347

9.56916

1.01977

0.20690

Refined-19

0.00121

0.00917

− 0.05942

− 0.00326

0.00075

0.00517

0.05396

− 0.29153

7.69752

0.94226

0.19388

Refined-20

0.00124

0.00903

− 0.06379

− 0.00318

0.00074

0.00504

0.04752

− 0.38454

7.65719

0.91660

0.20369