MRCI's ScenarioSM Study

ScenarioSM Study for Dow Jones Utilities as of Jan 01, 2007
Condition 1: Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov
Tested Years	36	37	37	37	37	37	37	37	37	37	37
Closed Higher	20	12	19	18	21	21	22	20	19	23	21
Exceeded High	12	11	17	13	18	18	20	13	17	22	15
Scenario Percentage	60%	92%	89%	72%	86%	86%	91%	65%	89%	96%	71%
Avg Max Increase	3.91%	4.19%	5.31%	6.63%	5.80%	4.68%	5.07%	6.44%	6.18%	5.30%	4.08%
Max Increase	9.67%	7.43%	19.81%	14.30%	10.53%	9.82%	23.61%	13.93%	17.91%	12.12%	6.69%
Avg Days To Max Increase	12	12	13	17	20	16	17	19	13	18	21
Avg Max Decline	-1.18%	-2.25%	-0.98%	-1.33%	-1.36%	-1.13%	-1.19%	-1.67%	-1.34%	-1.34%	-1.19%
Max Decline	-3.05%	-11.63%	-2.45%	-5.98%	-3.93%	-3.61%	-3.65%	-6.64%	-7.26%	-3.89%	-3.44%
Avg Days to Max Decline	8	11	5	7	6	5	7	8	7	6	4
2006 Contract Condition	Yes			Yes	Yes	Yes	Yes	Yes		Yes	Yes
Action	No			Yes	Yes	Yes	Yes	Yes		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	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov
Tested Years	36	37	37	37	37	37	37	37	37	37	37
Closed Lower	15	25	17	19	16	16	15	16	17	14	16
Penetrated Low	10	16	12	14	11	9	10	10	11	6	11
Scenario Percentage	67%	64%	71%	74%	69%	56%	67%	62%	65%	43%	69%
Avg Max Decline	6.88%	6.79%	6.31%	5.21%	9.35%	9.12%	6.28%	5.53%	9.26%	6.79%	12.31%
Max Decline	14.76%	12.86%	20.22%	12.47%	35.33%	31.91%	17.96%	15.75%	24.37%	15.65%	37.50%
Avg Days To Max Decline	18	19	20	16	22	20	20	19	21	13	9
Avg Max Increase	-0.62%	-1.65%	-1.31%	-1.53%	-1.83%	-1.98%	-2.31%	-1.65%	-2.68%	-1.00%	-2.96%
Max Increase	-1.49%	-3.95%	-3.69%	-4.26%	-5.76%	-5.43%	-6.05%	-3.25%	-7.32%	-2.36%	-7.55%
Avg Days to Max Increase	4	11	7	4	6	14	15	11	9	2	18
2006 Contract Condition		Yes	Yes						Yes
Action		Yes	Yes						No
High	427.50	417.95	414.70	402.35	411.50	416.65	438.55	443.20	443.50	454.40	456.45
Low	404.55	397.90	388.80	380.95	389.30	400.40	411.80	429.45	421.85	426.85	440.30
Close/Last	413.85	412.85	389.00	397.45	406.15	413.95	433.40	442.55	428.40	448.30	455.85