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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for Dow Jones Utilities 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 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years 37 38 38 38 38 38 38 38 38 38 38
Closed Higher 20 13 20 19 22 21 22 21 20 24 21
Exceeded High 12 12 18 14 18 18 20 14 18 23 15
Scenario Percentage 60% 92% 90% 74% 82% 86% 91% 67% 90% 96% 71%
Avg Max Increase 3.91% 4.76% 5.43% 6.40% 5.80% 4.68% 5.07% 6.73% 6.22% 5.23% 4.08%
Max Increase 9.67% 11.03% 19.81% 14.30% 10.53% 9.82% 23.61% 13.93% 17.91% 12.12% 6.69%
Avg Days To Max Increase 12 13 13 18 20 16 17 20 14 18 21
Avg Max Decline -1.18% -2.25% -0.93% -1.25% -1.36% -1.13% -1.19% -1.58% -1.36% -1.49% -1.19%
Max Decline -3.05% -11.63% -2.45% -5.98% -3.93% -3.61% -3.65% -6.64% -7.26% -4.75% -3.44%
Avg Days to Max Decline 8 10 5 7 6 5 7 8 8 7 4
2007 Contract Condition   Yes Yes Yes Yes     Yes Yes Yes  
Action   Yes Yes Yes No     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 37 38 38 38 38 38 38 38 38 38 38
Closed Lower 16 25 17 19 16 17 16 16 17 14 17
Penetrated Low 10 16 12 14 11 10 11 10 11 6 12
Scenario Percentage 62% 64% 71% 74% 69% 59% 69% 62% 65% 43% 71%
Avg Max Decline 6.88% 6.79% 6.31% 5.21% 9.35% 8.96% 6.07% 5.53% 9.26% 6.79% 13.36%
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 19 20 19 21 13 8
Avg Max Increase -0.62% -1.65% -1.31% -1.53% -1.83% -2.25% -2.68% -1.65% -2.68% -1.00% -3.07%
Max Increase -1.49% -3.95% -3.69% -4.26% -5.76% -5.43% -6.43% -3.25% -7.32% -2.36% -7.55%
Avg Days to Max Increase 4 11 7 4 6 15 14 11 9 2 18
2007 Contract Condition Yes         Yes Yes       Yes
Action No         Yes Yes       Yes
High 461.05 502.00 505.15 532.05 537.10 524.55 521.30 510.15 514.25 535.75 534.60
Low 443.80 454.20 468.65 500.25 507.75 484.40 469.65 460.70 482.40 493.40 509.55
Close/Last 454.55 479.20 500.20 519.25 521.80 498.15 479.35 484.80 501.55 534.95 532.25

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