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