MRCI's ScenarioSM Study

ScenarioSM Study for June US Dollar Index(ICE) as of Dec 30, 2011
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		24	25	25	25	25	26	26	26	26	26	26
Closed Higher		12	11	9	9	12	10	15	11	12	9	15
Exceeded High		7	5	9	7	8	9	12	10	11	7	12
Scenario Percentage		58%	45%	100%	78%	67%	90%	80%	91%	92%	78%	80%
Avg Max Increase		3.40%	4.91%	4.22%	2.63%	3.09%	3.33%	3.07%	3.72%	4.01%	3.46%	1.36%
Max Increase		9.23%	13.23%	12.46%	5.33%	6.34%	8.79%	6.44%	11.75%	7.79%	8.31%	2.62%
Avg Days To Max Increase		15	20	16	19	18	14	17	18	21	12	8
Avg Max Decline		-0.40%	-1.04%	-0.60%	-0.42%	-1.07%	-0.79%	-1.44%	-0.58%	-1.29%	-0.81%	-0.66%
Max Decline		-1.21%	-2.26%	-2.35%	-1.22%	-2.70%	-3.15%	-2.98%	-1.27%	-3.17%	-1.69%	-2.01%
Avg Days to Max Decline		2	10	5	9	13	6	8	11	13	6	4
2011 Contract Condition			Yes			Yes						Yes
Action			No			No						Not Yet

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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		24	25	25	25	25	26	26	26	26	26	26
Closed Lower		12	14	16	16	13	16	11	15	14	17	11
Penetrated Low		11	12	15	12	10	12	9	11	14	12	6
Scenario Percentage		92%	86%	94%	75%	77%	75%	82%	73%	100%	71%	55%
Avg Max Decline		2.79%	3.67%	3.62%	4.32%	4.52%	3.06%	4.08%	3.86%	3.80%	2.85%	1.59%
Max Decline		4.87%	7.73%	7.97%	9.26%	8.25%	8.05%	7.19%	6.88%	7.73%	7.55%	2.93%
Avg Days To Max Decline		20	19	21	20	17	14	20	23	13	6	7
Avg Max Increase		-1.20%	-0.57%	-0.85%	-0.14%	-0.55%	-0.90%	-1.05%	-1.32%	-1.36%	-0.43%	-0.50%
Max Increase		-3.62%	-2.94%	-2.98%	-1.30%	-2.19%	-2.86%	-2.54%	-5.46%	-3.24%	-1.71%	-0.90%
Avg Days to Max Increase		14	6	10	6	4	5	6	14	7	3	2
2011 Contract Condition		Yes		Yes	Yes		Yes	Yes	Yes	Yes	Yes
Action		Yes		Yes	Yes		Yes	Yes	Yes	Yes	Yes
High	87.460	86.105	84.465	83.895	79.433	82.155	82.000	81.985	79.295	77.675	76.870	76.540
Low	86.480	82.755	81.593	79.645	77.665	76.835	79.525	78.050	77.100	75.505	73.015	72.860
Close/Last	87.400	82.755	84.380	79.688	78.313	82.155	79.703	78.225	77.235	76.073	73.108	74.695