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| MRCI's ScenarioSM Study |
| ScenarioSM Study for December Eurodollars(CME) as of Sep 30, 2007 |
Condition 1:
Higher Monthly Close.
Action --->
Buy that month's close with objective of exceeding month's
high within 2 months. |
| Tested Month |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
| Tested Years |
24 |
24 |
25 |
25 |
25 |
25 |
25 |
25 |
25 |
25 |
25 |
| Closed Higher |
15 |
13 |
7 |
15 |
13 |
18 |
15 |
18 |
17 |
16 |
12 |
| Exceeded High |
9 |
12 |
6 |
12 |
12 |
14 |
15 |
17 |
15 |
10 |
8 |
| Scenario Percentage |
60% |
92% |
86% |
80% |
92% |
78% |
100% |
94% |
88% |
63% |
67% |
| Avg Max Increase |
0.53% |
0.44% |
0.76% |
0.85% |
0.67% |
0.70% |
0.69% |
0.86% |
0.61% |
0.44% |
0.26% |
| Max Increase |
1.06% |
1.55% |
2.37% |
2.50% |
1.43% |
2.29% |
2.72% |
4.42% |
2.88% |
1.47% |
0.74% |
| Avg Days To Max Increase |
13 |
17 |
19 |
16 |
20 |
14 |
15 |
17 |
14 |
9 |
10 |
| Avg Max Decline |
-0.17% |
-0.35% |
-0.16% |
-0.11% |
-0.12% |
-0.09% |
-0.10% |
-0.14% |
-0.12% |
-0.12% |
-0.02% |
| Max Decline |
-0.39% |
-0.96% |
-0.40% |
-0.47% |
-0.60% |
-0.39% |
-0.34% |
-0.76% |
-0.45% |
-0.60% |
-0.11% |
| Avg Days to Max Decline |
5 |
12 |
6 |
4 |
5 |
7 |
6 |
5 |
7 |
9 |
2 |
| 2007 Contract Condition |
|
Yes |
|
|
|
Yes |
Yes |
Yes |
Yes |
|
|
| Action |
|
Yes |
|
|
|
Yes |
Yes |
Not Yet |
Not Yet |
|
|
Condition 2:
Lower Monthly Close.
Action --->
Sell that month's close with objective of penetrating month's
low within 2 months.
|
| Tested Month |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
| Tested Years |
24 |
24 |
25 |
25 |
25 |
25 |
25 |
25 |
25 |
25 |
25 |
| Closed Lower |
8 |
11 |
18 |
10 |
12 |
7 |
8 |
7 |
8 |
8 |
12 |
| Penetrated Low |
7 |
11 |
11 |
9 |
8 |
4 |
6 |
3 |
5 |
5 |
11 |
| Scenario Percentage |
88% |
100% |
61% |
90% |
67% |
57% |
75% |
43% |
63% |
63% |
92% |
| Avg Max Decline |
0.46% |
0.71% |
0.85% |
0.72% |
0.35% |
0.23% |
0.29% |
0.89% |
0.50% |
0.28% |
1.71% |
| Max Decline |
0.77% |
1.89% |
2.63% |
2.22% |
0.90% |
0.41% |
0.63% |
2.09% |
1.37% |
0.68% |
5.76% |
| Avg Days To Max Decline |
19 |
18 |
17 |
18 |
15 |
8 |
14 |
21 |
21 |
11 |
9 |
| Avg Max Increase |
-0.14% |
-0.12% |
-0.14% |
-0.05% |
-0.21% |
-0.09% |
-0.13% |
-0.19% |
-0.11% |
-0.05% |
-0.13% |
| Max Increase |
-0.41% |
-0.33% |
-0.41% |
-0.14% |
-0.66% |
-0.21% |
-0.41% |
-0.39% |
-0.25% |
-0.17% |
-0.71% |
| Avg Days to Max Increase |
6 |
7 |
6 |
4 |
6 |
9 |
8 |
8 |
13 |
4 |
4 |
| 2007 Contract Condition |
Yes |
|
Yes |
Yes |
Yes |
|
|
|
|
Yes |
|
| Action |
No |
|
Yes |
Yes |
Yes |
|
|
|
|
|
|
| High |
95.220 |
95.205 |
95.280 |
95.130 |
95.015 |
94.765 |
94.935 |
95.400 |
95.360 |
95.145 |
|
| Low |
94.745 |
94.795 |
95.050 |
94.865 |
94.685 |
94.570 |
94.635 |
94.840 |
95.010 |
95.105 |
|
| Close/Last |
94.835 |
95.150 |
95.125 |
94.990 |
94.710 |
94.715 |
94.905 |
95.065 |
95.155 |
95.105 |
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