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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, 2008
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   28 29 29 29 29 29 29 29 29 29 29
Closed Higher   17 16 20 18 19 19 13 17 15 16 19
Exceeded High   14 14 20 15 16 14 12 16 13 14 18
Scenario Percentage   82% 88% 100% 83% 84% 74% 92% 94% 87% 88% 95%
Avg Max Increase   6.85% 7.10% 5.98% 7.48% 5.37% 6.74% 6.16% 5.40% 7.61% 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   17 19 20 18 19 21 19 15 20 19 17
Avg Max Decline   -0.58% -0.28% -1.50% -1.35% -1.14% -0.88% -0.81% -1.40% -2.93% -0.43% -0.82%
Max Decline   -3.42% -5.02% -4.71% -4.55% -3.23% -6.33% -5.47% -4.22% -16.43% -2.68% -3.68%
Avg Days to Max Decline   5 4 9 4 9 4 4 7 7 5 5
2007 Contract Condition   Yes   Yes Yes Yes     Yes Yes Yes  
Action   Yes   Yes Yes Yes     Yes Yes No  
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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   28 29 29 29 29 29 29 29 29 29 29
Closed Lower   11 13 9 11 10 10 16 12 13 13 10
Penetrated Low   6 9 6 7 6 8 11 10 9 7 6
Scenario Percentage   55% 69% 67% 64% 60% 80% 69% 83% 69% 54% 60%
Avg Max Decline   6.40% 7.87% 6.55% 4.92% 9.48% 9.77% 11.11% 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 15 16 19 22 15 18 16 19 14 14
Avg Max Increase   -0.12% -1.43% -0.76% -2.29% -1.47% -0.70% -1.01% -2.68% -1.04% -0.68% -0.60%
Max Increase   -3.79% -2.83% -1.97% -4.89% -2.95% -2.73% -3.53% -11.54% -2.52% -2.24% -2.83%
Avg Days to Max Increase   7 6 7 10 13 5 6 11 6 7 3
2007 Contract Condition     Yes       Yes Yes       Yes
Action     Yes       Yes Yes       Not Yet
High 801.00 803.50 830.00 811.05 835.15 849.25 856.40 856.50 803.50 822.85 852.05 828.00
Low 773.05 768.70 784.35 760.05 798.15 807.65 819.75 770.65 735.95 759.40 788.65 734.40
Close/Last 787.65 800.35 792.65 800.70 814.55 847.15 833.70 776.10 792.85 805.45 828.00 767.75

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