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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for June 30-Year T-Bonds(CBOT) as of Jan 01, 2008
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years 27 27 30 30 30 30 30 30 30 30 30
Closed Higher 14 16 17 17 22 17 16 15 9 13 13
Exceeded High 13 15 14 16 19 17 10 10 6 12 13
Scenario Percentage 93% 94% 82% 94% 86% 100% 62% 67% 67% 92% 100%
Avg Max Increase 4.33% 4.83% 4.15% 4.34% 3.58% 3.99% 3.56% 4.01% 6.07% 6.12% 3.47%
Max Increase 12.20% 15.55% 10.84% 12.87% 8.29% 13.95% 6.72% 12.22% 11.08% 13.58% 9.77%
Avg Days To Max Increase 13 20 17 14 14 17 12 16 20 10 12
Avg Max Decline -0.26% -1.15% -0.94% -0.86% -1.34% -1.73% -0.52% -1.25% -1.18% -0.94% -0.43%
Max Decline -1.10% -3.05% -3.17% -2.94% -5.97% -5.50% -1.68% -2.37% -3.13% -2.41% -1.47%
Avg Days to Max Decline 5 7 9 6 8 9 4 11 6 9 1
2007 Contract Condition Yes Yes Yes Yes Yes     Yes   Yes  
Action Yes Yes Yes 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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years 27 27 30 30 30 30 30 30 30 30 30
Closed Lower 13 11 13 13 8 12 14 15 21 17 17
Penetrated Low 10 10 7 10 5 10 10 14 14 14 12
Scenario Percentage 77% 91% 54% 77% 62% 83% 71% 93% 67% 82% 71%
Avg Max Decline 4.54% 5.05% 4.88% 2.29% 2.96% 5.86% 5.49% 3.45% 4.29% 3.94% 10.63%
Max Decline 10.76% 12.31% 10.61% 3.85% 5.48% 23.44% 15.50% 7.71% 11.51% 10.02% 38.04%
Avg Days To Max Decline 18 22 13 12 14 22 17 18 19 14 18
Avg Max Increase -2.05% -1.31% -1.16% -1.42% -1.40% -0.66% -0.52% -1.21% -1.29% -0.66% -1.80%
Max Increase -5.02% -4.37% -5.34% -4.51% -3.44% -2.49% -2.58% -6.85% -5.30% -2.80% -4.41%
Avg Days to Max Increase 10 9 9 13 10 7 5 10 13 4 9
2007 Contract Condition           Yes Yes   Yes   Yes
Action           Yes No   Yes   Yes
High 108~090 110~270 113~150 113~070 114~090 114~230 112~230 114~020 113~300 111~290 112~100
Low 105~160 108~010 110~010 110~000 111~170 111~050 109~050 109~280 111~040 110~000 108~220
Close/Last 108~090 110~270 112~090 112~190 114~090 111~120 110~010 112~300 111~080 111~240 109~050

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