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| MRCI's ScenarioSM Study |
| ScenarioSM Study for June 30-Year T-Bonds(CBOT) as of Jul 31, 2006 |
Condition 1:
Higher Monthly Close.
Action --->
Buy that month's close with objective of exceeding month's
high within 2 months. |
| Tested Month |
Jun |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
| Tested Years |
26 |
26 |
29 |
29 |
29 |
29 |
29 |
29 |
29 |
29 |
29 |
| Closed Higher |
13 |
15 |
16 |
16 |
21 |
17 |
16 |
14 |
9 |
12 |
13 |
| Exceeded High |
12 |
14 |
14 |
15 |
18 |
17 |
10 |
10 |
6 |
11 |
13 |
| Scenario Percentage |
92% |
93% |
88% |
94% |
86% |
100% |
63% |
71% |
67% |
92% |
100% |
| Avg Max Increase |
4.29% |
5.00% |
4.04% |
4.50% |
3.75% |
3.99% |
3.56% |
4.01% |
6.07% |
6.64% |
3.47% |
| Max Increase |
12.20% |
15.55% |
10.84% |
12.87% |
8.29% |
13.95% |
6.72% |
12.22% |
11.08% |
13.58% |
9.77% |
| Avg Days To Max Increase |
12 |
20 |
16 |
15 |
15 |
17 |
12 |
16 |
20 |
10 |
12 |
| Avg Max Decline |
-0.26% |
-1.18% |
-0.86% |
-0.86% |
-1.42% |
-1.73% |
-0.52% |
-1.25% |
-1.18% |
-0.92% |
-0.43% |
| Max Decline |
-1.10% |
-3.05% |
-3.17% |
-2.94% |
-5.97% |
-5.50% |
-1.68% |
-2.37% |
-3.13% |
-2.41% |
-1.47% |
| Avg Days to Max Decline |
4 |
7 |
7 |
6 |
8 |
9 |
3 |
11 |
6 |
9 |
1 |
| 2005 Contract Condition |
Yes |
Yes |
Yes |
Yes |
|
Yes |
Yes |
|
|
Yes |
Yes |
| Action |
Yes |
Yes |
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 |
Jun |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
| Tested Years |
26 |
26 |
29 |
29 |
29 |
29 |
29 |
29 |
29 |
29 |
29 |
| Closed Lower |
13 |
11 |
13 |
13 |
8 |
11 |
13 |
15 |
20 |
17 |
16 |
| Penetrated Low |
10 |
10 |
7 |
9 |
5 |
9 |
10 |
14 |
13 |
14 |
11 |
| Scenario Percentage |
77% |
91% |
54% |
69% |
63% |
82% |
77% |
93% |
65% |
82% |
69% |
| Avg Max Decline |
4.54% |
5.05% |
4.88% |
2.24% |
2.96% |
6.29% |
5.49% |
3.45% |
4.44% |
3.94% |
11.25% |
| Max Decline |
10.76% |
12.31% |
10.61% |
3.85% |
5.48% |
23.44% |
15.50% |
7.71% |
11.51% |
10.02% |
38.04% |
| Avg Days To Max Decline |
18 |
22 |
13 |
13 |
14 |
21 |
17 |
18 |
18 |
14 |
19 |
| Avg Max Increase |
-2.05% |
-1.31% |
-1.16% |
-1.29% |
-1.40% |
-0.60% |
-0.52% |
-1.21% |
-1.32% |
-0.66% |
-1.95% |
| Max Increase |
-5.02% |
-4.37% |
-5.34% |
-4.51% |
-3.44% |
-2.49% |
-2.58% |
-6.85% |
-5.30% |
-2.80% |
-4.41% |
| Avg Days to Max Increase |
10 |
9 |
9 |
13 |
10 |
8 |
5 |
10 |
11 |
4 |
9 |
| 2005 Contract Condition |
|
|
|
|
Yes |
|
|
Yes |
Yes |
|
|
| Action |
|
|
|
|
Yes |
|
|
Yes |
No |
|
|
| High |
106~04 |
109~04 |
111~23 |
112~12 |
111~25 |
113~07 |
114~05 |
116~21 |
113~14 |
115~17 |
117~24 |
| Low |
103~16 |
105~04 |
107~17 |
108~24 |
108~23 |
108~16 |
110~18 |
112~00 |
109~00 |
110~25 |
113~14 |
| Close/Last |
105~00 |
109~04 |
110~04 |
111~25 |
109~08 |
111~21 |
114~03 |
112~11 |
111~12 |
114~27 |
117~15 |
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