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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, 2010
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   31 32 32 32 32 32 32 32 32 32 32
Closed Higher   17 17 22 21 21 20 16 19 17 17 21
Exceeded High   14 15 22 17 18 15 15 17 14 15 20
Scenario Percentage   82% 88% 100% 81% 86% 75% 94% 89% 82% 88% 95%
Avg Max Increase   6.85% 7.87% 6.85% 7.57% 5.57% 7.36% 6.56% 5.63% 7.73% 8.91% 3.88%
Max Increase   18.63% 18.68% 21.06% 16.82% 15.48% 18.80% 15.99% 19.44% 24.42% 16.47% 9.94%
Avg Days To Max Increase   17 19 19 17 19 21 20 16 19 20 18
Avg Max Decline   -0.58% -0.27% -1.47% -1.41% -1.44% -1.27% -1.54% -1.52% -2.83% -0.50% -0.74%
Max Decline   -3.42% -5.02% -4.71% -4.55% -5.59% -6.84% -9.57% -4.22% -16.43% -2.68% -3.68%
Avg Days to Max Decline   5 4 8 5 10 4 6 7 7 5 4
2010 Contract Condition     Yes Yes Yes     Yes   Yes Yes Yes
Action     Yes Yes No     Yes   Yes Yes Yes
Copyright © 1989- Moore Research Center, Inc. All Rights Reserved.
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   31 32 32 32 32 32 32 32 32 32 32
Closed Lower   14 15 10 11 11 12 16 13 14 15 11
Penetrated Low   9 11 6 7 7 10 11 10 10 9 6
Scenario Percentage   64% 73% 60% 64% 64% 83% 69% 77% 71% 60% 55%
Avg Max Decline   8.28% 8.33% 6.55% 4.92% 9.73% 8.79% 11.11% 10.21% 14.64% 7.39% 3.24%
Max Decline   22.77% 23.07% 18.09% 12.38% 27.36% 23.46% 22.94% 20.26% 45.37% 30.93% 4.97%
Avg Days To Max Decline   14 14 16 19 20 14 18 16 19 13 14
Avg Max Increase   -1.32% -0.96% -0.76% -2.29% -1.59% -0.69% -1.01% -2.68% -0.88% -0.96% -0.60%
Max Increase   -6.31% -2.83% -1.97% -4.89% -2.95% -2.73% -3.53% -11.54% -2.52% -2.51% -2.83%
Avg Days to Max Increase   6 5 7 10 14 5 6 11 5 6 3
2010 Contract Condition   Yes       Yes Yes   Yes      
Action   Yes       Yes Yes   No      
High 636.00 649.15 633.55 693.30 745.95 732.85 677.15 672.15 664.45 684.60 714.05 739.00
Low 579.75 600.50 580.50 628.55 677.75 617.65 607.30 587.60 588.60 602.05 666.00 693.70
Close/Last 625.40 602.05 628.55 678.65 716.60 661.60 609.50 650.90 602.05 676.15 703.35 727.00

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