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| MRCI's ScenarioSM Study |
| ScenarioSM Study for Russell 2000 Index as of Aug 31, 2009 |
Condition 1:
Higher Monthly Close.
Action --->
Buy that month's close with objective of exceeding month's
high within 2 months. |
| Tested Month |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
| Tested Years |
29 |
29 |
30 |
30 |
30 |
30 |
30 |
30 |
30 |
30 |
30 |
| Closed Higher |
19 |
22 |
18 |
16 |
20 |
19 |
20 |
19 |
14 |
18 |
15 |
| Exceeded High |
18 |
21 |
15 |
14 |
20 |
16 |
17 |
14 |
13 |
16 |
11 |
| Scenario Percentage |
95% |
95% |
83% |
88% |
100% |
84% |
85% |
74% |
93% |
89% |
73% |
| Avg Max Increase |
7.04% |
8.07% |
6.81% |
7.10% |
5.98% |
7.42% |
5.17% |
6.74% |
6.22% |
5.32% |
4.55% |
| Max Increase |
19.05% |
21.03% |
18.63% |
12.21% |
20.97% |
16.82% |
15.48% |
18.80% |
15.99% |
19.44% |
15.31% |
| Avg Days To Max Increase |
18 |
18 |
18 |
19 |
20 |
17 |
18 |
21 |
19 |
13 |
16 |
| Avg Max Decline |
-1.66% |
-2.36% |
-0.74% |
-0.30% |
-1.50% |
-1.28% |
-1.20% |
-0.88% |
-0.90% |
-1.40% |
-0.90% |
| Max Decline |
-3.68% |
-7.37% |
-3.42% |
-5.02% |
-4.71% |
-4.55% |
-3.23% |
-6.33% |
-5.47% |
-4.22% |
-4.92% |
| Avg Days to Max Decline |
14 |
7 |
6 |
4 |
9 |
5 |
8 |
4 |
4 |
7 |
2 |
| 2008 Contract Condition |
|
|
|
|
Yes |
Yes |
Yes |
|
Yes |
Yes |
|
| Action |
|
|
|
|
Yes |
Yes |
Yes |
|
Yes |
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 |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
| Tested Years |
29 |
29 |
30 |
30 |
30 |
30 |
30 |
30 |
30 |
30 |
30 |
| Closed Lower |
10 |
7 |
12 |
14 |
10 |
11 |
10 |
11 |
16 |
12 |
14 |
| Penetrated Low |
7 |
5 |
7 |
10 |
6 |
7 |
6 |
9 |
11 |
10 |
13 |
| Scenario Percentage |
70% |
71% |
58% |
71% |
60% |
64% |
60% |
82% |
69% |
83% |
93% |
| Avg Max Decline |
5.23% |
8.75% |
6.89% |
7.97% |
6.54% |
4.92% |
9.48% |
9.36% |
11.13% |
10.11% |
22.07% |
| Max Decline |
15.34% |
15.15% |
11.21% |
23.07% |
18.09% |
12.38% |
27.36% |
23.46% |
22.94% |
20.26% |
41.72% |
| Avg Days To Max Decline |
14 |
16 |
16 |
15 |
16 |
19 |
22 |
15 |
18 |
15 |
16 |
| Avg Max Increase |
-1.10% |
-2.14% |
-0.47% |
-1.04% |
-0.76% |
-2.29% |
-1.47% |
-0.71% |
-1.01% |
-2.68% |
-3.14% |
| Max Increase |
-4.14% |
-4.29% |
-3.79% |
-2.83% |
-1.97% |
-4.89% |
-2.95% |
-2.73% |
-3.53% |
-11.54% |
-9.54% |
| Avg Days to Max Increase |
6 |
6 |
6 |
6 |
7 |
10 |
13 |
5 |
6 |
11 |
-102 |
| 2008 Contract Condition |
Yes |
Yes |
Yes |
Yes |
|
|
|
Yes |
|
|
Yes |
| Action |
Yes |
Yes |
Yes |
Yes |
|
|
|
Yes |
|
|
Yes |
| High |
822.90 |
799.55 |
768.45 |
731.25 |
706.00 |
728.45 |
750.70 |
763.25 |
726.25 |
764.40 |
761.80 |
| Low |
734.40 |
735.85 |
650.00 |
683.55 |
643.30 |
684.90 |
714.00 |
689.65 |
647.35 |
700.20 |
657.15 |
| Close/Last |
767.75 |
766.05 |
713.30 |
686.20 |
687.95 |
716.20 |
748.30 |
689.65 |
714.50 |
739.50 |
679.60 |
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