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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 Dec 31, 2010
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   29 31 32 32 32 33 33 33 33 33 33
Closed Higher   12 12 23 17 21 18 18 25 19 18 16
Exceeded High   11 12 16 16 20 16 16 21 18 11 11
Scenario Percentage   92% 100% 70% 94% 95% 89% 89% 84% 95% 61% 69%
Avg Max Increase   6.18% 4.61% 4.15% 4.70% 4.62% 3.89% 4.68% 4.09% 4.03% 3.20% 2.39%
Max Increase   13.80% 8.37% 9.07% 12.78% 16.60% 11.41% 13.16% 11.27% 13.84% 6.68% 4.94%
Avg Days To Max Increase   15 17 18 15 17 17 14 14 18 12 12
Avg Max Decline   -0.66% -0.28% -1.21% -0.56% -1.03% -1.30% -0.96% -1.43% -1.73% -0.80% -0.72%
Max Decline   -2.05% -1.47% -4.77% -3.21% -3.02% -3.78% -3.07% -6.37% -5.31% -2.45% -2.32%
Avg Days to Max Decline   9 2 12 5 7 11 6 7 8 5 5
2010 Contract Condition       Yes Yes Yes Yes   Yes   Yes Yes
Action       Yes Yes Yes Yes   No   Yes 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   29 31 32 32 32 33 33 33 33 33 33
Closed Lower   17 19 9 15 11 15 15 8 14 15 17
Penetrated Low   15 11 6 12 8 8 11 5 10 11 12
Scenario Percentage   88% 58% 67% 80% 73% 53% 73% 63% 71% 73% 71%
Avg Max Decline   4.02% 3.58% 4.59% 4.27% 6.19% 5.07% 2.63% 2.86% 5.86% 4.98% 2.04%
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   13 14 13 18 22 12 15 14 21 14 11
Avg Max Increase   -0.44% -0.74% -0.74% -2.04% -1.63% -1.57% -1.49% -1.76% -0.69% -0.68% -0.62%
Max Increase   -1.90% -2.97% -1.80% -5.09% -4.66% -5.57% -4.14% -3.82% -2.47% -2.91% -1.77%
Avg Days to Max Increase   6 5 5 9 11 8 11 10 7 6 4
2010 Contract Condition   Yes Yes         Yes   Yes    
Action   Yes Yes         Yes   No    
High 126~080 127~140 119~280 116~090 119~000 119~000 121~010 122~270 123~000 122~210 119~070 119~180
Low 120~000 119~110 113~000 110~150 113~000 113~010 117~010 117~060 116~160 114~160 114~220 115~290
Close/Last 126~080 119~110 115~180 116~030 116~250 118~140 120~210 119~160 122~230 115~120 118~260 119~060

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