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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for June US Dollar Index(ICE) as of Jan 01, 2009
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   21 22 22 22 22 23 23 23 23 23 23
Closed Higher   11 9 8 8 10 9 13 9 11 8 13
Exceeded High   6 4 8 6 8 8 10 8 10 6 11
Scenario Percentage   55% 44% 100% 75% 80% 89% 77% 89% 91% 75% 85%
Avg Max Increase   2.43% 2.83% 3.19% 2.55% 3.09% 3.25% 3.01% 4.10% 3.63% 2.87% 1.61%
Max Increase   6.70% 5.64% 10.46% 5.33% 6.34% 8.79% 6.44% 11.75% 7.13% 5.84% 3.39%
Avg Days To Max Increase   15 18 15 19 18 13 18 19 21 16 10
Avg Max Decline   -0.52% -0.73% -0.69% -0.38% -1.07% -0.67% -1.44% -0.62% -1.28% -0.92% -0.72%
Max Decline   -1.21% -1.38% -2.35% -1.22% -2.70% -3.15% -2.98% -1.04% -3.17% -1.69% -2.01%
Avg Days to Max Decline   3 6 5 10 13 5 8 12 13 6 5
2008 Contract Condition     Yes       Yes       Yes Yes
Action     No       No       Not Yet 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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   21 22 22 22 22 23 23 23 23 23 23
Closed Lower   10 13 14 14 12 14 10 14 12 15 10
Penetrated Low   9 11 13 10 10 11 8 10 12 10 5
Scenario Percentage   90% 85% 93% 71% 83% 79% 80% 71% 100% 67% 50%
Avg Max Decline   2.69% 3.67% 3.67% 4.72% 4.52% 3.04% 4.15% 3.70% 3.44% 2.69% 1.76%
Max Decline   4.87% 7.73% 7.97% 9.26% 8.25% 8.05% 7.19% 6.88% 7.18% 5.32% 2.93%
Avg Days To Max Decline   19 18 23 21 17 13 20 22 13 9 11
Avg Max Increase   -1.11% -0.56% -0.95% -0.16% -0.55% -0.72% -1.01% -1.39% -1.37% -0.44% -0.57%
Max Increase   -3.62% -2.94% -2.98% -1.30% -2.19% -1.55% -2.54% -5.46% -3.24% -1.71% -0.90%
Avg Days to Max Increase   12 6 11 7 4 5 5 14 7 3 2
2008 Contract Condition   Yes   Yes Yes Yes   Yes Yes Yes    
Action   Yes   Yes Yes No   Yes Yes Yes    
High 81.850 81.100 81.320 80.310 78.450 76.630 77.870 77.300 77.450 74.325 74.500 74.065
Low 81.050 79.350 79.520 77.525 76.420 74.860 75.775 75.390 73.970 71.205 71.050 71.915
Close/Last 81.050 80.120 80.315 77.525 76.420 76.200 76.760 75.535 74.050 72.165 72.720 72.950

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