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| MRCI's ScenarioSM Study |
| ScenarioSM Study for Russell 2000 Index as of Jul 31, 2006 |
Condition 1:
Higher Monthly Close.
Action --->
Buy that month's close with objective of exceeding month's
high within 2 months. |
| Tested Month |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
| Tested Years |
27 |
27 |
27 |
27 |
27 |
27 |
27 |
27 |
27 |
28 |
28 |
| Closed Higher |
17 |
18 |
18 |
13 |
15 |
13 |
14 |
18 |
21 |
17 |
16 |
| Exceeded High |
14 |
15 |
14 |
12 |
14 |
11 |
13 |
17 |
20 |
14 |
14 |
| Scenario Percentage |
82% |
83% |
78% |
92% |
93% |
85% |
93% |
94% |
95% |
82% |
88% |
| Avg Max Increase |
7.65% |
5.65% |
6.74% |
6.16% |
5.09% |
7.60% |
9.50% |
7.33% |
8.21% |
7.02% |
4.47% |
| Max Increase |
16.82% |
15.48% |
18.80% |
15.99% |
19.44% |
24.42% |
17.75% |
19.05% |
21.03% |
18.63% |
10.12% |
| Avg Days To Max Increase |
20 |
19 |
21 |
19 |
15 |
20 |
22 |
17 |
18 |
17 |
19 |
| Avg Max Decline |
-1.38% |
-1.00% |
-0.88% |
-0.81% |
-1.10% |
-3.30% |
-0.65% |
-1.63% |
-2.36% |
-0.81% |
0.06% |
| Max Decline |
-4.55% |
-3.18% |
-6.33% |
-5.47% |
-3.72% |
-16.43% |
-5.68% |
-3.68% |
-7.37% |
-3.42% |
-2.12% |
| Avg Days to Max Decline |
5 |
9 |
4 |
4 |
7 |
8 |
8 |
12 |
7 |
7 |
2 |
| 2005 Contract Condition |
|
Yes |
Yes |
|
|
Yes |
Yes |
Yes |
Yes |
|
Yes |
| Action |
|
Yes |
No |
|
|
Yes |
Yes |
Yes |
No |
|
Yes |
Condition 2:
Lower Monthly Close.
Action --->
Sell that month's close with objective of penetrating month's
low within 2 months.
|
| Tested Month |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
| Tested Years |
27 |
27 |
27 |
27 |
27 |
27 |
27 |
27 |
27 |
28 |
28 |
| Closed Lower |
10 |
9 |
9 |
14 |
12 |
13 |
13 |
9 |
6 |
11 |
12 |
| Penetrated Low |
6 |
5 |
7 |
10 |
10 |
9 |
7 |
6 |
4 |
6 |
10 |
| Scenario Percentage |
60% |
56% |
78% |
71% |
83% |
69% |
54% |
67% |
67% |
55% |
83% |
| Avg Max Decline |
3.68% |
9.93% |
9.49% |
11.72% |
10.21% |
11.22% |
4.85% |
3.54% |
7.15% |
6.40% |
23.72% |
| Max Decline |
5.76% |
27.36% |
23.46% |
22.94% |
20.26% |
37.91% |
11.44% |
5.83% |
9.80% |
11.21% |
39.04% |
| Avg Days To Max Decline |
20 |
23 |
15 |
19 |
16 |
19 |
14 |
13 |
15 |
17 |
19 |
| Avg Max Increase |
-2.24% |
-1.17% |
-0.43% |
-0.76% |
-2.68% |
-1.04% |
-0.68% |
-0.60% |
-2.60% |
-0.12% |
-2.12% |
| Max Increase |
-4.89% |
-2.92% |
-1.31% |
-3.22% |
-11.54% |
-2.52% |
-2.24% |
-2.83% |
-4.29% |
-3.79% |
-5.00% |
| Avg Days to Max Increase |
10 |
15 |
4 |
6 |
11 |
6 |
7 |
3 |
8 |
7 |
10 |
| 2005 Contract Condition |
Yes |
|
|
Yes |
Yes |
|
|
|
|
Yes |
|
| Action |
Yes |
|
|
Yes |
No |
|
|
|
|
Yes |
|
| High |
606.40 |
575.40 |
591.55 |
591.50 |
551.95 |
577.15 |
592.65 |
636.00 |
656.10 |
654.30 |
640.60 |
| Low |
558.55 |
530.70 |
557.65 |
531.40 |
515.90 |
547.70 |
562.80 |
581.10 |
621.75 |
604.15 |
616.90 |
| Close/Last |
559.80 |
568.30 |
591.50 |
551.30 |
547.95 |
572.95 |
583.80 |
633.75 |
651.55 |
624.00 |
634.05 |
|
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