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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for June US Dollar Index(ICE) as of Dec 31, 2010
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   23 24 24 24 24 25 25 25 25 25 25
Closed Higher   12 10 9 9 11 10 15 11 12 9 14
Exceeded High   7 5 9 7 8 9 12 10 11 7 12
Scenario Percentage   58% 50% 100% 78% 73% 90% 80% 91% 92% 78% 86%
Avg Max Increase   3.40% 4.91% 4.22% 2.63% 3.09% 3.33% 3.07% 3.72% 4.01% 3.55% 1.54%
Max Increase   9.23% 13.23% 12.46% 5.33% 6.34% 8.79% 6.44% 11.75% 7.79% 8.31% 3.26%
Avg Days To Max Increase   15 20 16 19 18 14 17 18 21 13 9
Avg Max Decline   -0.40% -1.04% -0.60% -0.42% -1.07% -0.79% -1.44% -0.58% -1.29% -0.81% -0.66%
Max Decline   -1.21% -2.26% -2.35% -1.22% -2.70% -3.15% -2.98% -1.27% -3.17% -1.69% -2.01%
Avg Days to Max Decline   2 10 5 9 13 6 8 11 13 6 4
2010 Contract Condition             Yes Yes Yes Yes Yes Yes
Action             Yes Yes Yes Yes Yes Yes
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Condition 2: Lower Monthly Close.
Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
Tested Month Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   23 24 24 24 24 25 25 25 25 25 25
Closed Lower   11 14 15 15 13 15 10 14 13 16 11
Penetrated Low   10 12 14 11 10 11 8 10 13 11 6
Scenario Percentage   91% 86% 93% 73% 77% 73% 80% 71% 100% 69% 55%
Avg Max Decline   2.70% 3.67% 3.63% 4.54% 4.52% 3.04% 4.15% 3.70% 3.77% 3.09% 1.61%
Max Decline   4.87% 7.73% 7.97% 9.26% 8.25% 8.05% 7.19% 6.88% 7.73% 7.55% 2.93%
Avg Days To Max Decline   19 19 23 22 17 13 20 22 14 7 8
Avg Max Increase   -1.12% -0.57% -0.93% -0.16% -0.55% -0.72% -1.01% -1.39% -1.38% -0.43% -0.50%
Max Increase   -3.62% -2.94% -2.98% -1.30% -2.19% -1.55% -2.54% -5.46% -3.24% -1.71% -0.90%
Avg Days to Max Increase   13 6 10 6 4 5 5 14 8 3 2
2010 Contract Condition   Yes Yes Yes Yes Yes            
Action   Yes Yes Yes Yes No            
High 81.710 81.625 79.960 79.250 77.985 77.290 79.150 79.970 81.700 82.520 82.870 87.625
Low 80.680 79.045 78.185 76.865 75.720 75.045 75.105 77.170 79.250 79.730 80.140 81.870
Close/Last 81.025 79.045 78.670 77.420 77.170 75.670 78.565 79.960 80.755 81.290 81.990 86.582

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