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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for Russell 2000 Index as of Dec 31, 1999
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   20 21 21 21 21 21 21 21 21 21 21
Closed Higher   13 13 15 14 14 13 11 13 11 10 13
Exceeded High   11 11 15 12 12 11 10 12 9 9 12
Scenario Percentage   85% 85% 100% 86% 86% 85% 91% 92% 82% 90% 92%
Avg Max Increase   7.61% 7.60% 5.60% 6.93% 5.04% 6.35% 6.33% 5.21% 7.75% 7.88% 3.21%
Max Increase   18.63% 12.21% 15.57% 15.71% 15.48% 18.80% 15.99% 19.44% 24.42% 16.47% 9.94%
Avg Days To Max Increase   16 22 20 21 18 22 21 14 19 20 17
Avg Max Decline   -0.17% -0.24% -1.58% -1.43% -1.02% -0.90% -0.43% -1.01% -2.95% 0.07% -0.54%
Max Decline   -2.89% -2.12% -4.71% -4.55% -3.18% -6.33% -2.01% -3.72% -16.43% -0.89% -2.55%
Avg Days to Max Decline   5 3 11 5 8 5 4 6 7 4 5
2009 Contract Condition                        
Action                        
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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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   20 21 21 21 21 21 21 21 21 21 21
Closed Lower   7 8 6 7 7 8 10 8 9 11 8
Penetrated Low   3 6 4 5 4 6 8 7 7 6 6
Scenario Percentage   43% 75% 67% 71% 57% 75% 80% 88% 78% 55% 75%
Avg Max Decline   7.32% 8.39% 3.46% 3.38% 5.57% 7.16% 10.98% 8.16% 10.75% 3.75% 3.24%
Max Decline   11.21% 23.07% 6.21% 5.76% 8.07% 12.56% 22.94% 15.05% 37.91% 8.27% 4.97%
Avg Days To Max Decline   13 16 13 21 22 13 19 17 18 12 14
Avg Max Increase   1.22% -1.49% -0.59% -2.13% -1.45% -0.50% -0.75% -3.11% -0.98% -0.42% -0.60%
Max Increase   0.49% -2.83% -1.97% -4.89% -2.92% -1.31% -3.22% -11.54% -2.52% -1.36% -2.83%
Avg Days to Max Increase   2 7 6 12 18 5 7 12 7 8 3
2009 Contract Condition                        
Action                        
High 473.10                      
Low 415.85                      
Close/Last 441.80                      

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