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