The strategy is: buy futures contracts with multiple value lines before the close of 65438+February 20, and short the futures contract of the S&P 500 index with the closest time. This strategy should be closed before the close of 65438+ the following year1October 9. (If 12 closes on February 20th, then the strategy requires that the initial transaction be conducted before the closing of the next trading day; If it closes at 65438 on October 9th of the following year/kloc-0, it is required to close the position and end the transaction before the closing of the trading day before that date. )

The results show that in the 23 years since KCBT introduced the value line index, the strategy has been profitable in all years except two years. Of course, at that time, this may mean that the profitability of KCBT strategy began to weaken.

It is worth noting that when KCBT introduced this strategy many years ago, the price of the value line index futures contract was 500 times that of the value line index; Today, the price of the value line index futures contract is 100 times that of the value line index. Therefore, when this strategy is implemented now, for every S&P 500 index futures contract that is shorted, five value-line index futures contracts must be bought at the same time.

It should also be noted that KCBT's strategy does not directly target the big market. Even if the overall stock market falls during the period from February 20th of 12 to October 9th of the following year 10, as long as the large-cap stocks fall more than the small-cap stocks, they can still make profits.

As a tracker of investment communication performance, I am happy with the continued success of this strategy. As early as the end of11970 s and the beginning of11980 s, several investment communication editors realized the January effect phenomenon and used it to make profits, almost earlier than all analysts on Wall Street. Of course, few investors are unaware of this seasonal phenomenon nowadays.

This shows that although the investment communication industry is famous for its crazy self-promotion, they can sometimes find some investment strategies with lasting value.