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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for Russell 2000 Index 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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   27 28 28 28 28 28 28 28 28 28 28
Closed Higher   16 16 19 17 18 19 13 16 14 15 19
Exceeded High   13 14 19 14 15 14 12 15 12 14 18
Scenario Percentage   81% 88% 100% 82% 83% 74% 92% 94% 86% 93% 95%
Avg Max Increase   7.09% 7.10% 5.98% 7.65% 5.65% 6.74% 6.16% 5.26% 7.76% 8.63% 3.26%
Max Increase   18.63% 12.21% 20.97% 16.82% 15.48% 18.80% 15.99% 19.44% 24.42% 16.47% 9.94%
Avg Days To Max Increase   16 19 19 20 19 21 19 15 20 19 17
Avg Max Decline   -0.62% -0.28% -1.56% -1.38% -1.00% -0.88% -0.81% -1.22% -3.18% -0.43% -0.82%
Max Decline   -3.42% -5.02% -4.71% -4.55% -3.18% -6.33% -5.47% -3.72% -16.43% -2.68% -3.68%
Avg Days to Max Decline   5 4 10 5 9 4 4 7 8 5 5
2006 Contract Condition   Yes   Yes     Yes   Yes Yes Yes Yes
Action   Yes   Yes     No   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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   27 28 28 28 28 28 28 28 28 28 28
Closed Lower   11 12 9 11 10 9 15 12 13 13 9
Penetrated Low   6 8 6 7 6 7 10 10 9 7 6
Scenario Percentage   55% 67% 67% 64% 60% 78% 67% 83% 69% 54% 67%
Avg Max Decline   6.40% 8.34% 6.55% 4.92% 9.48% 9.49% 11.71% 10.21% 11.22% 4.85% 3.24%
Max Decline   11.21% 23.07% 18.09% 12.38% 27.36% 23.46% 22.94% 20.26% 37.91% 11.44% 4.97%
Avg Days To Max Decline   17 16 16 19 22 15 19 16 19 14 14
Avg Max Increase   -0.12% -1.56% -0.76% -2.29% -1.47% -0.41% -0.76% -2.68% -1.04% -0.68% -0.60%
Max Increase   -3.79% -2.83% -1.97% -4.89% -2.95% -1.31% -3.22% -11.54% -2.52% -2.24% -2.83%
Avg Days to Max Increase   7 7 7 10 13 4 6 11 6 7 3
2006 Contract Condition     Yes   Yes Yes   Yes        
Action     No   Yes Yes   No        
High 693.65 736.25 742.80 767.15 778.55 784.60 742.25 730.80 725.05 738.15 776.00 795.15
Low 669.05 666.60 708.15 713.60 740.20 696.05 669.90 668.60 674.75 700.45 712.15 746.30
Close/Last 673.20 733.20 730.65 765.15 764.55 721.00 724.60 700.55 720.55 725.60 766.85 786.10

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