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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for Russell 2000 Index as of Jun 01, 2011
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jan Feb Mar Apr May Jun Jul Aug Sep Oct Feb
Tested Years 32 32 32 32 32 32 32 32 32 32 32
Closed Higher 18 17 22 21 21 20 16 19 17 17 20
Exceeded High 15 15 22 17 18 15 15 17 14 14 19
Scenario Percentage 83% 88% 100% 81% 86% 75% 94% 89% 82% 82% 95%
Avg Max Increase 6.81% 7.87% 6.85% 7.57% 5.57% 7.36% 6.56% 5.63% 7.44% 8.63% 3.60%
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 18 19 19 17 19 21 20 16 19 19 18
Avg Max Decline -0.74% -0.27% -1.47% -1.41% -1.45% -1.27% -1.54% -1.52% -2.83% -0.43% -0.77%
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 6 4 8 5 10 4 6 7 7 5 5
2010 Contract Condition   Yes Yes Yes     Yes   Yes Yes  
Action   Yes Yes No     Yes   Yes    
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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 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Feb
Tested Years 32 32 32 32 32 32 32 32 32 32 32
Closed Lower 14 15 10 11 11 12 16 13 14 15 12
Penetrated Low 9 11 6 7 7 10 11 10 10 9 10
Scenario Percentage 64% 73% 60% 64% 64% 83% 69% 77% 71% 60% 83%
Avg Max Decline 8.29% 8.33% 6.54% 4.92% 9.73% 8.79% 11.13% 10.21% 14.64% 7.39% 16.04%
Max Decline 22.77% 23.07% 18.09% 12.38% 27.36% 23.46% 22.94% 20.26% 45.37% 30.93% 30.33%
Avg Days To Max Decline 14 14 16 19 20 14 18 16 19 13 16
Avg Max Increase -1.32% -0.95% -0.76% -2.29% -1.59% -0.69% -1.01% -2.68% -0.93% -0.96% -3.45%
Max Increase -6.31% -2.83% -1.97% -4.89% -2.95% -2.73% -3.53% -11.54% -2.52% -2.51% -11.19%
Avg Days to Max Increase 6 5 7 10 14 5 6 11 5 6 21
2010 Contract Condition Yes       Yes Yes   Yes      
Action Yes       Yes Yes   Not Yet      
High 649.15 633.55 693.30 745.95 732.85 677.15 672.15 664.45 684.60 711.45  
Low 600.50 580.50 628.55 677.75 617.65 607.30 587.60 588.60 602.05 666.00  
Close/Last 602.05 628.55 678.65 716.60 661.60 609.50 650.90 602.05 676.15 703.15  

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MRCI's seasonal and spread strategies have now been enhanced to provide history of up to 30 years for each strategy.  Starting with the September 2012 strategies, you will find a link in the upper right-hand corner which reads ”30-Year/Max Results”.  For markets which have been trading for more than 15 years, the link opens a new page detailing the strategy's hypothetical results for up to the most recent 30 years. For example, from here:  http://www.mrci.com/client/futures/strat/f4138.php CLICK on 30-Year Max Results in the top Right Hand Box.