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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, 2010
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 39 40 40 40 40 40 40 40 40 40 40
Closed Higher 20 13 21 21 24 22 23 22 21 24 23
Exceeded High 12 12 19 16 19 19 21 15 19 23 16
Scenario Percentage 60% 92% 90% 76% 79% 86% 91% 68% 90% 96% 70%
Avg Max Increase 3.91% 4.76% 5.60% 6.34% 6.09% 4.81% 5.04% 6.55% 6.05% 5.23% 4.31%
Max Increase 9.67% 11.03% 19.81% 14.30% 11.22% 9.82% 23.61% 13.93% 17.91% 12.12% 7.74%
Avg Days To Max Increase 12 13 13 19 20 17 17 19 14 18 21
Avg Max Decline -1.18% -2.25% -0.96% -1.35% -1.33% -1.30% -1.19% -1.63% -1.46% -1.49% -1.11%
Max Decline -3.05% -11.63% -2.45% -5.98% -3.93% -4.42% -3.65% -6.64% -7.26% -4.75% -3.44%
Avg Days to Max Decline 8 10 6 8 6 5 6 10 8 7 4
2009 Contract Condition     Yes Yes Yes Yes Yes Yes Yes   Yes
Action     Yes 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 39 40 40 40 40 40 40 40 40 40 40
Closed Lower 18 27 18 19 16 18 17 17 18 16 17
Penetrated Low 12 18 12 14 11 11 12 11 12 7 12
Scenario Percentage 67% 67% 67% 74% 69% 61% 71% 65% 67% 44% 71%
Avg Max Decline 8.15% 6.93% 6.31% 5.21% 9.35% 9.24% 6.67% 8.52% 11.10% 5.96% 13.36%
Max Decline 21.92% 12.86% 20.22% 12.47% 35.33% 31.91% 17.96% 38.37% 31.31% 15.65% 37.50%
Avg Days To Max Decline 17 18 20 16 22 18 20 18 20 11 8
Avg Max Increase -1.22% -1.48% -1.31% -1.53% -1.83% -2.15% -2.50% -1.56% -2.52% -1.01% -3.07%
Max Increase -4.80% -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 10 7 4 6 14 13 10 8 2 18
2009 Contract Condition Yes Yes               Yes  
Action Yes Yes               Yes  
High 388.85 387.45 340.80 342.60 357.90 360.60 379.25 383.10 385.90 388.60 382.80
Low 350.00 318.35 288.65 324.40 325.65 338.35 342.00 364.80 365.80 361.85 359.35
Close/Last 369.70 323.95 329.35 334.20 341.00 357.80 369.45 373.35 377.25 363.05 379.20

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