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