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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, 2009
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   38 39 39 39 39 39 39 39 39 39 39
Closed Higher   20 13 20 20 23 21 22 21 20 24 22
Exceeded High   12 12 18 15 18 18 20 14 18 23 15
Scenario Percentage   60% 92% 90% 75% 78% 86% 91% 67% 90% 96% 68%
Avg Max Increase   3.91% 4.76% 5.43% 6.23% 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% -1.27% -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
2008 Contract Condition       Yes Yes Yes           Yes
Action       Yes Yes No           Not Yet
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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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   38 39 39 39 39 39 39 39 39 39 39
Closed Lower   17 26 18 19 16 18 17 17 18 15 17
Penetrated Low   11 17 12 14 11 11 12 11 12 6 7
Scenario Percentage   65% 65% 67% 74% 69% 61% 71% 65% 67% 40% 41%
Avg Max Decline   6.90% 6.70% 6.31% 5.21% 9.35% 9.24% 6.67% 8.52% 11.10% 6.79% 3.39%
Max Decline   14.76% 12.86% 20.22% 12.47% 35.33% 31.91% 17.96% 38.37% 31.31% 15.65% 4.72%
Avg Days To Max Decline   18 19 20 16 22 18 20 18 20 13 9
Avg Max Increase   -0.89% -1.56% -1.31% -1.53% -1.83% -2.15% -2.50% -1.56% -2.52% -1.00% -0.99%
Max Increase   -3.68% -3.95% -3.69% -4.26% -5.76% -5.43% -6.43% -3.25% -7.32% -2.36% -1.89%
Avg Days to Max Increase   4 10 7 4 6 14 13 10 8 2 2
2008 Contract Condition   Yes Yes       Yes Yes Yes Yes Yes  
Action   Yes Yes       Yes Yes Yes Yes No  
High 555.05 555.70 521.20 492.75 520.40 530.55 528.05 527.30 487.60 480.60 431.65 395.10
Low 531.50 477.80 475.05 466.75 479.60 502.85 505.35 475.90 458.35 420.25 294.30 331.75
Close/Last 532.55 502.70 477.50 479.00 510.50 521.65 520.85 484.90 477.50 428.45 378.40 382.25

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