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| MRCI's ScenarioSM Study |
| ScenarioSM Study for Dow Jones Utilities 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 |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
| Tested Years |
36 |
36 |
36 |
36 |
36 |
36 |
36 |
36 |
36 |
36 |
37 |
| Closed Higher |
17 |
20 |
20 |
21 |
19 |
19 |
22 |
20 |
25 |
20 |
12 |
| Exceeded High |
12 |
17 |
17 |
19 |
12 |
17 |
21 |
17 |
19 |
12 |
9 |
| Scenario Percentage |
71% |
85% |
85% |
90% |
63% |
89% |
95% |
85% |
76% |
60% |
75% |
| Avg Max Increase |
6.77% |
5.68% |
4.55% |
5.22% |
6.75% |
6.18% |
5.56% |
6.67% |
6.84% |
3.79% |
3.03% |
| Max Increase |
14.27% |
10.49% |
9.82% |
23.59% |
13.93% |
17.92% |
12.72% |
13.77% |
20.87% |
8.41% |
6.14% |
| Avg Days To Max Increase |
19 |
20 |
16 |
18 |
18 |
13 |
19 |
22 |
14 |
10 |
13 |
| Avg Max Decline |
-1.27% |
-1.37% |
-1.17% |
-1.20% |
-1.41% |
-1.34% |
-1.31% |
-2.27% |
-1.26% |
-1.18% |
-0.91% |
| Max Decline |
-5.98% |
-3.95% |
-3.57% |
-3.66% |
-6.64% |
-7.26% |
-3.89% |
-6.30% |
-3.78% |
-3.07% |
-2.73% |
| Avg Days to Max Decline |
6 |
6 |
5 |
6 |
7 |
7 |
6 |
10 |
5 |
8 |
4 |
| 2005 Contract Condition |
|
Yes |
Yes |
Yes |
Yes |
Yes |
Yes |
Yes |
Yes |
Yes |
Yes |
| Action |
|
Yes |
Yes |
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 |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
| Tested Years |
36 |
36 |
36 |
36 |
36 |
36 |
36 |
36 |
36 |
36 |
37 |
| Closed Lower |
19 |
16 |
16 |
15 |
16 |
16 |
14 |
16 |
11 |
15 |
25 |
| Penetrated Low |
14 |
11 |
9 |
10 |
10 |
11 |
6 |
9 |
8 |
10 |
20 |
| Scenario Percentage |
74% |
69% |
56% |
67% |
63% |
69% |
43% |
56% |
73% |
67% |
80% |
| Avg Max Decline |
5.22% |
9.36% |
9.13% |
6.28% |
5.53% |
9.28% |
7.72% |
5.88% |
5.97% |
6.67% |
13.74% |
| Max Decline |
12.50% |
35.33% |
31.91% |
17.93% |
15.74% |
24.45% |
15.66% |
15.49% |
8.73% |
12.57% |
34.09% |
| Avg Days To Max Decline |
16 |
22 |
20 |
20 |
19 |
21 |
14 |
13 |
19 |
18 |
18 |
| Avg Max Increase |
-1.53% |
-1.83% |
-1.98% |
-2.31% |
-1.65% |
-2.66% |
-1.01% |
-2.02% |
-1.98% |
-0.61% |
-1.94% |
| Max Increase |
-4.27% |
-5.75% |
-5.38% |
-6.06% |
-3.26% |
-7.31% |
-2.39% |
-7.56% |
-4.93% |
-1.48% |
-4.27% |
| Avg Days to Max Increase |
4 |
6 |
14 |
15 |
11 |
9 |
2 |
10 |
6 |
4 |
-28 |
| 2005 Contract Condition |
Yes |
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|
|
|
|
|
| Action |
Yes |
|
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|
| High |
283.50 |
277.00 |
281.70 |
285.10 |
290.60 |
296.50 |
314.60 |
335.20 |
337.80 |
343.50 |
358.20 |
| Low |
266.60 |
259.10 |
270.30 |
274.50 |
280.60 |
289.80 |
295.30 |
308.70 |
315.00 |
323.80 |
342.48 |
| Close/Last |
273.60 |
275.80 |
277.90 |
281.30 |
290.50 |
295.30 |
313.30 |
325.80 |
335.00 |
343.50 |
352.90 |
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