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