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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, 2009
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   29 30 30 30 30 30 30 30 30 30 30
Closed Higher   17 16 20 19 20 19 14 18 15 16 19
Exceeded High   14 14 20 16 17 14 13 16 13 14 18
Scenario Percentage   82% 88% 100% 84% 85% 74% 93% 89% 87% 88% 95%
Avg Max Increase   6.85% 7.10% 5.98% 7.42% 5.17% 6.74% 6.22% 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 17 18 21 19 15 20 19 17
Avg Max Decline   -0.58% -0.28% -1.50% -1.28% -1.20% -0.88% -0.90% -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 8 4 4 7 7 5 5
2008 Contract Condition       Yes Yes Yes   Yes Yes      
Action       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   29 30 30 30 30 30 30 30 30 30 30
Closed Lower   12 14 10 11 10 11 16 12 14 14 11
Penetrated Low   7 10 6 7 6 9 11 10 10 8 6
Scenario Percentage   58% 71% 60% 64% 60% 82% 69% 83% 71% 57% 55%
Avg Max Decline   6.89% 7.97% 6.55% 4.92% 9.48% 9.36% 11.11% 10.21% 14.64% 8.11% 3.24%
Max Decline   11.21% 23.07% 18.09% 12.38% 27.36% 23.46% 22.94% 20.26% 45.37% 30.93% 4.97%
Avg Days To Max Decline   16 15 16 19 22 15 18 16 19 15 14
Avg Max Increase   -0.47% -1.05% -0.76% -2.29% -1.47% -0.69% -1.01% -2.68% -0.88% -0.91% -0.60%
Max Increase   -3.79% -2.83% -1.97% -4.89% -2.95% -2.73% -3.53% -11.54% -2.52% -2.51% -2.83%
Avg Days to Max Increase   6 6 7 10 13 5 6 11 5 7 3
2008 Contract Condition   Yes Yes       Yes     Yes Yes Yes
Action   Yes Yes       Yes     Yes Yes Not Yet
High 799.55 768.45 731.25 705.95 728.45 750.70 763.25 726.25 764.40 761.80 676.20 551.00
Low 735.85 650.05 683.55 643.30 684.90 714.05 689.65 647.35 700.20 657.15 441.90 371.25
Close/Last 766.05 713.30 686.20 687.95 716.20 748.30 689.65 714.50 739.50 679.60 537.50 473.15

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