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| MRCI's ScenarioSM Study |
| ScenarioSM Study for Dow Jones Utilities as of Oct 31, 2009 |
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 |
38 |
39 |
39 |
39 |
39 |
39 |
39 |
39 |
39 |
39 |
39 |
| Closed Higher |
20 |
13 |
20 |
20 |
23 |
21 |
22 |
21 |
20 |
24 |
22 |
| Exceeded High |
12 |
12 |
18 |
15 |
18 |
18 |
20 |
14 |
18 |
23 |
15 |
| Scenario Percentage |
60% |
92% |
90% |
75% |
78% |
86% |
91% |
67% |
90% |
96% |
68% |
| Avg Max Increase |
3.91% |
4.79% |
5.43% |
6.23% |
5.80% |
4.69% |
5.08% |
6.73% |
6.22% |
5.24% |
4.08% |
| Max Increase |
9.66% |
11.03% |
19.81% |
14.27% |
10.49% |
9.82% |
23.59% |
13.93% |
17.92% |
12.13% |
6.69% |
| Avg Days To Max Increase |
12 |
13 |
13 |
18 |
20 |
16 |
17 |
20 |
14 |
18 |
21 |
| Avg Max Decline |
-1.18% |
-2.31% |
-0.92% |
-1.27% |
-1.37% |
-1.13% |
-1.19% |
-1.58% |
-1.36% |
-1.48% |
-1.19% |
| Max Decline |
-3.07% |
-12.42% |
-2.42% |
-5.98% |
-3.95% |
-3.57% |
-3.66% |
-6.64% |
-7.26% |
-4.75% |
-3.44% |
| Avg Days to Max Decline |
8 |
10 |
5 |
7 |
6 |
5 |
7 |
8 |
8 |
7 |
4 |
| 2009 Contract Condition |
|
|
Yes |
Yes |
Yes |
Yes |
Yes |
Yes |
Yes |
|
|
| Action |
|
|
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 |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
| Tested Years |
38 |
39 |
39 |
39 |
39 |
39 |
39 |
39 |
39 |
39 |
39 |
| Closed Lower |
17 |
26 |
18 |
19 |
16 |
18 |
17 |
17 |
18 |
15 |
17 |
| Penetrated Low |
11 |
17 |
12 |
14 |
11 |
11 |
12 |
11 |
12 |
6 |
12 |
| Scenario Percentage |
65% |
65% |
67% |
74% |
69% |
61% |
71% |
65% |
67% |
40% |
71% |
| Avg Max Decline |
6.91% |
6.70% |
6.31% |
5.22% |
9.36% |
9.24% |
6.67% |
8.52% |
11.11% |
7.72% |
13.79% |
| Max Decline |
14.76% |
12.86% |
20.21% |
12.50% |
35.33% |
31.91% |
17.93% |
38.37% |
31.31% |
15.66% |
37.50% |
| Avg Days To Max Decline |
18 |
19 |
20 |
16 |
22 |
18 |
21 |
18 |
20 |
14 |
9 |
| Avg Max Increase |
-0.89% |
-1.56% |
-1.31% |
-1.53% |
-1.83% |
-2.15% |
-2.51% |
-1.56% |
-2.50% |
-1.01% |
-2.90% |
| Max Increase |
-3.68% |
-3.94% |
-3.69% |
-4.27% |
-5.75% |
-5.38% |
-6.43% |
-3.26% |
-7.31% |
-2.39% |
-7.56% |
| Avg Days to Max Increase |
4 |
10 |
7 |
4 |
6 |
14 |
13 |
10 |
8 |
2 |
17 |
| 2009 Contract Condition |
Yes |
Yes |
|
|
|
|
|
|
|
Yes |
Yes |
| Action |
Yes |
Yes |
|
|
|
|
|
|
|
Yes |
|
| High |
388.86 |
387.44 |
340.82 |
342.61 |
357.91 |
360.58 |
379.23 |
383.11 |
385.91 |
388.62 |
366.81 |
| Low |
349.98 |
318.36 |
288.66 |
324.39 |
325.67 |
338.37 |
342.02 |
364.80 |
365.79 |
361.84 |
359.33 |
| Close/Last |
369.70 |
323.97 |
329.37 |
334.20 |
340.99 |
357.81 |
369.47 |
373.35 |
377.23 |
363.04 |
362.66 |
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