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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March 30-Year T-Bonds(CBOT) 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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   27 29 30 30 30 31 31 31 31 31 31
Closed Higher   12 12 21 16 19 17 18 23 18 17 15
Exceeded High   11 12 14 15 18 15 16 20 18 10 10
Scenario Percentage   92% 100% 67% 94% 95% 88% 89% 87% 100% 59% 67%
Avg Max Increase   6.18% 4.61% 4.34% 4.77% 4.62% 4.02% 4.68% 3.73% 4.03% 3.41% 2.55%
Max Increase   13.80% 8.37% 9.07% 12.78% 16.60% 11.41% 13.16% 8.34% 13.84% 6.68% 4.94%
Avg Days To Max Increase   15 17 16 14 18 17 14 14 18 11 11
Avg Max Decline   -0.66% -0.28% -1.07% -0.39% -1.07% -1.15% -0.96% -1.50% -1.73% -0.64% -0.64%
Max Decline   -2.05% -1.47% -4.77% -1.19% -3.02% -3.78% -3.07% -6.37% -5.31% -1.60% -2.32%
Avg Days to Max Decline   9 2 10 5 7 8 6 8 8 4 4
2008 Contract Condition   Yes     Yes Yes   Yes Yes   Yes Yes
Action   Yes     Yes Yes   Yes Yes   Not Yet 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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   27 29 30 30 30 31 31 31 31 31 31
Closed Lower   15 17 9 14 11 14 13 8 13 14 16
Penetrated Low   13 9 6 12 8 7 10 5 10 10 12
Scenario Percentage   87% 53% 67% 86% 73% 50% 77% 63% 77% 71% 75%
Avg Max Decline   3.82% 3.72% 4.59% 4.27% 6.19% 5.14% 2.47% 2.86% 5.86% 5.29% 2.01%
Max Decline   9.46% 6.94% 11.82% 11.02% 12.39% 11.21% 4.92% 5.46% 23.56% 15.67% 3.45%
Avg Days To Max Decline   14 15 13 18 22 11 14 14 21 13 11
Avg Max Increase   -0.43% -0.76% -0.74% -2.04% -1.63% -1.20% -1.35% -1.76% -0.69% -0.46% -0.62%
Max Increase   -1.90% -2.97% -1.80% -5.09% -4.66% -5.57% -4.14% -3.82% -2.47% -2.54% -1.77%
Avg Days to Max Increase   4 5 5 9 11 8 10 10 7 5 4
2008 Contract Condition     Yes Yes     Yes     Yes    
Action     Yes No     No     No    
High 113~150 111~260 111~310 108~300 110~060 111~290 114~110 114~050 119~140 118~220 122~280 120~200
Low 111~060 110~080 109~040 105~030 105~280 108~200 109~240 110~010 112~090 113~130 116~000 115~030
Close/Last 111~100 111~260 109~050 107~170 109~300 111~170 111~070 112~200 117~060 116~120 119~100 119~220

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