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