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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, 2013
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   33 34 34 34 34 34 34 34 34 34 34
Closed Higher   18 19 24 22 21 21 16 20 18 18 22
Exceeded High   15 17 23 18 18 16 15 18 14 15 21
Scenario Percentage   83% 89% 96% 82% 86% 76% 94% 90% 78% 83% 95%
Avg Max Increase   6.86% 7.43% 6.68% 7.17% 5.57% 7.13% 6.56% 5.70% 7.73% 8.91% 3.87%
Max Increase   18.63% 18.68% 21.06% 16.82% 15.48% 18.80% 15.99% 19.44% 24.42% 16.47% 9.94%
Avg Days To Max Increase   17 20 18 16 19 21 20 15 19 20 18
Avg Max Decline   -0.60% -0.85% -1.55% -1.40% -1.44% -1.46% -1.54% -1.47% -2.83% -0.50% -0.73%
Max Decline   -3.42% -5.77% -4.71% -4.55% -5.59% -6.84% -9.57% -4.22% -16.43% -2.68% -3.68%
Avg Days to Max Decline   7 4 9 5 10 6 6 7 7 5 4
2012 Contract Condition   Yes Yes Yes     Yes   Yes Yes   Yes
Action   Yes Yes No     Yes   Yes No   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   33 34 34 34 34 34 34 34 34 34 34
Closed Lower   15 15 10 12 13 13 18 14 15 16 12
Penetrated Low   9 11 6 8 9 11 12 11 11 10 6
Scenario Percentage   60% 73% 60% 67% 69% 85% 67% 79% 73% 63% 50%
Avg Max Decline   8.28% 8.33% 6.55% 5.64% 9.02% 10.05% 11.88% 10.84% 13.91% 7.33% 3.24%
Max Decline   22.77% 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   14 14 16 17 18 13 19 15 17 14 14
Avg Max Increase   -1.32% -0.96% -0.76% -2.21% -1.24% -0.98% -1.05% -2.52% -0.89% -1.01% -0.60%
Max Increase   -6.31% -2.83% -1.97% -4.89% -2.95% -3.98% -3.53% -11.54% -2.52% -2.51% -2.83%
Avg Days to Max Increase   6 5 7 8 11 5 6 10 5 6 3
2012 Contract Condition         Yes Yes   Yes     Yes  
Action         Yes Yes   No     Yes  
High 753.20 800.20 833.00 847.90 841.05 830.10 799.00 820.45 827.15 868.50 853.55 830.55
Low 705.80 736.80 792.80 785.40 783.55 745.70 729.75 765.05 765.20 807.35 807.25 763.55
Close/Last 740.90 792.80 810.95 830.30 816.90 761.80 798.50 786.95 812.10 837.45 818.75 821.90

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