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| MRCI's ScenarioSM Study |
| ScenarioSM Study for Dow Jones Utilities as of Sep 30, 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% |
4.23% |
5.32% |
6.62% |
5.80% |
4.69% |
5.08% |
6.44% |
6.18% |
5.31% |
4.08% |
| Max Increase |
9.66% |
7.43% |
19.81% |
14.27% |
10.49% |
9.82% |
23.59% |
13.93% |
17.92% |
12.13% |
6.69% |
| Avg Days To Max Increase |
12 |
12 |
13 |
17 |
20 |
16 |
17 |
19 |
13 |
19 |
21 |
| Avg Max Decline |
-1.18% |
-2.32% |
-0.98% |
-1.33% |
-1.37% |
-1.13% |
-1.19% |
-1.66% |
-1.34% |
-1.33% |
-1.19% |
| Max Decline |
-3.07% |
-12.42% |
-2.42% |
-5.98% |
-3.95% |
-3.57% |
-3.66% |
-6.64% |
-7.26% |
-3.89% |
-3.44% |
| Avg Days to Max Decline |
8 |
11 |
5 |
7 |
6 |
5 |
7 |
8 |
7 |
6 |
4 |
| 2007 Contract Condition |
|
Yes |
Yes |
Yes |
Yes |
|
|
Yes |
Yes |
Yes |
|
| Action |
|
Yes |
Yes |
Yes |
No |
|
|
Yes |
Not Yet |
|
|
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% |
63% |
65% |
43% |
69% |
| Avg Max Decline |
6.89% |
6.79% |
6.31% |
5.22% |
9.36% |
9.13% |
6.28% |
5.53% |
9.28% |
7.72% |
12.78% |
| Max Decline |
14.76% |
12.86% |
20.21% |
12.50% |
35.33% |
31.91% |
17.93% |
15.74% |
24.45% |
15.66% |
37.50% |
| Avg Days To Max Decline |
18 |
19 |
20 |
16 |
22 |
20 |
20 |
19 |
21 |
14 |
9 |
| Avg Max Increase |
-0.61% |
-1.65% |
-1.31% |
-1.53% |
-1.83% |
-1.98% |
-2.31% |
-1.65% |
-2.66% |
-1.01% |
-2.78% |
| Max Increase |
-1.48% |
-3.94% |
-3.69% |
-4.27% |
-5.75% |
-5.38% |
-6.06% |
-3.26% |
-7.31% |
-2.39% |
-7.56% |
| Avg Days to Max Increase |
4 |
11 |
7 |
4 |
6 |
14 |
15 |
11 |
9 |
2 |
17 |
| 2007 Contract Condition |
Yes |
|
|
|
|
Yes |
Yes |
|
|
|
|
| Action |
No |
|
|
|
|
Yes |
Yes |
|
|
|
|
| High |
461.04 |
501.99 |
505.15 |
532.03 |
537.12 |
524.55 |
521.31 |
510.15 |
514.25 |
509.02 |
|
| Low |
443.78 |
454.19 |
468.64 |
500.24 |
507.75 |
484.51 |
469.66 |
460.72 |
482.45 |
501.79 |
|
| Close/Last |
454.54 |
479.12 |
500.18 |
519.25 |
521.79 |
498.17 |
479.36 |
484.79 |
501.54 |
508.81 |
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