|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for Russell 2000 Index as of Apr 04, 2008 |
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 |
29 |
29 |
29 |
29 |
29 |
29 |
29 |
29 |
29 |
30 |
30 |
| Closed Higher |
18 |
19 |
19 |
13 |
17 |
15 |
16 |
19 |
22 |
18 |
16 |
| Exceeded High |
15 |
16 |
14 |
12 |
16 |
13 |
14 |
18 |
21 |
15 |
14 |
| Scenario Percentage |
83% |
84% |
74% |
92% |
94% |
87% |
88% |
95% |
95% |
83% |
88% |
| Avg Max Increase |
7.48% |
5.37% |
6.74% |
6.16% |
5.40% |
7.61% |
9.14% |
7.04% |
8.07% |
6.80% |
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 |
18 |
19 |
21 |
19 |
15 |
20 |
21 |
18 |
18 |
17 |
19 |
| Avg Max Decline |
-1.34% |
-1.14% |
-0.88% |
-0.81% |
-1.40% |
-2.93% |
-0.79% |
-1.66% |
-2.36% |
-0.74% |
0.06% |
| Max Decline |
-4.55% |
-3.23% |
-6.33% |
-5.47% |
-4.22% |
-16.43% |
-5.68% |
-3.68% |
-7.37% |
-3.42% |
-2.12% |
| Avg Days to Max Decline |
4 |
9 |
4 |
4 |
7 |
7 |
8 |
14 |
7 |
6 |
2 |
| 2006 Contract Condition |
|
Yes |
Yes |
Yes |
|
Yes |
|
Yes |
|
Yes |
|
| Action |
|
Yes |
Yes |
Yes |
|
Yes |
|
Yes |
|
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 |
29 |
29 |
29 |
29 |
29 |
29 |
29 |
29 |
29 |
30 |
30 |
| Closed Lower |
11 |
10 |
10 |
16 |
12 |
13 |
13 |
10 |
7 |
12 |
14 |
| Penetrated Low |
7 |
6 |
8 |
11 |
10 |
9 |
7 |
7 |
5 |
7 |
12 |
| Scenario Percentage |
64% |
60% |
80% |
69% |
83% |
69% |
54% |
70% |
71% |
58% |
86% |
| Avg Max Decline |
4.92% |
9.48% |
9.77% |
11.13% |
10.21% |
11.22% |
4.85% |
5.23% |
8.75% |
6.89% |
22.50% |
| Max Decline |
12.38% |
27.36% |
23.46% |
22.94% |
20.26% |
37.91% |
11.44% |
15.34% |
15.15% |
11.21% |
39.04% |
| Avg Days To Max Decline |
19 |
22 |
15 |
18 |
16 |
19 |
14 |
14 |
16 |
16 |
19 |
| Avg Max Increase |
-2.29% |
-1.47% |
-0.72% |
-1.01% |
-2.68% |
-1.04% |
-0.68% |
-1.10% |
-2.14% |
-0.47% |
-1.76% |
| Max Increase |
-4.89% |
-2.95% |
-2.73% |
-3.53% |
-11.54% |
-2.52% |
-2.24% |
-4.14% |
-4.29% |
-3.79% |
-5.00% |
| Avg Days to Max Increase |
10 |
13 |
5 |
6 |
11 |
6 |
7 |
6 |
6 |
6 |
10 |
| 2006 Contract Condition |
Yes |
|
|
|
Yes |
|
Yes |
|
Yes |
|
Yes |
| Action |
No |
|
|
|
Yes |
|
No |
|
Yes |
|
No |
| High |
620.90 |
619.40 |
648.15 |
684.80 |
688.50 |
682.45 |
674.15 |
686.20 |
693.65 |
736.25 |
742.75 |
| Low |
570.05 |
578.15 |
616.75 |
638.95 |
645.40 |
644.75 |
614.75 |
640.20 |
669.05 |
666.60 |
708.15 |
| Close/Last |
579.40 |
616.70 |
639.65 |
679.75 |
666.50 |
667.80 |
646.60 |
677.30 |
673.20 |
733.20 |
730.65 |
|
|