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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for Dow Jones Utilities as of Jan 01, 2007
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 Nov
Tested Years 36 37 37 37 37 37 37 37 37 37 37
Closed Higher 20 12 19 18 21 21 22 20 19 23 21
Exceeded High 12 11 17 13 18 18 20 13 17 22 15
Scenario Percentage 60% 92% 89% 72% 86% 86% 91% 65% 89% 96% 71%
Avg Max Increase 3.91% 4.19% 5.31% 6.63% 5.80% 4.68% 5.07% 6.44% 6.18% 5.30% 4.08%
Max Increase 9.67% 7.43% 19.81% 14.30% 10.53% 9.82% 23.61% 13.93% 17.91% 12.12% 6.69%
Avg Days To Max Increase 12 12 13 17 20 16 17 19 13 18 21
Avg Max Decline -1.18% -2.25% -0.98% -1.33% -1.36% -1.13% -1.19% -1.67% -1.34% -1.34% -1.19%
Max Decline -3.05% -11.63% -2.45% -5.98% -3.93% -3.61% -3.65% -6.64% -7.26% -3.89% -3.44%
Avg Days to Max Decline 8 11 5 7 6 5 7 8 7 6 4
2006 Contract Condition Yes     Yes Yes Yes Yes Yes   Yes Yes
Action No     Yes Yes Yes Yes Yes   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 Nov
Tested Years 36 37 37 37 37 37 37 37 37 37 37
Closed Lower 15 25 17 19 16 16 15 16 17 14 16
Penetrated Low 10 16 12 14 11 9 10 10 11 6 11
Scenario Percentage 67% 64% 71% 74% 69% 56% 67% 62% 65% 43% 69%
Avg Max Decline 6.88% 6.79% 6.31% 5.21% 9.35% 9.12% 6.28% 5.53% 9.26% 6.79% 12.31%
Max Decline 14.76% 12.86% 20.22% 12.47% 35.33% 31.91% 17.96% 15.75% 24.37% 15.65% 37.50%
Avg Days To Max Decline 18 19 20 16 22 20 20 19 21 13 9
Avg Max Increase -0.62% -1.65% -1.31% -1.53% -1.83% -1.98% -2.31% -1.65% -2.68% -1.00% -2.96%
Max Increase -1.49% -3.95% -3.69% -4.26% -5.76% -5.43% -6.05% -3.25% -7.32% -2.36% -7.55%
Avg Days to Max Increase 4 11 7 4 6 14 15 11 9 2 18
2006 Contract Condition   Yes Yes           Yes    
Action   Yes Yes           No    
High 427.50 417.95 414.70 402.35 411.50 416.65 438.55 443.20 443.50 454.40 456.45
Low 404.55 397.90 388.80 380.95 389.30 400.40 411.80 429.45 421.85 426.85 440.30
Close/Last 413.85 412.85 389.00 397.45 406.15 413.95 433.40 442.55 428.40 448.30 455.85

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