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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for Dow Jones Utilities as of May 31, 2010
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   39 39 39 39 40 40 40 40 40 40 40
Closed Higher   24 22 27 20 13 21 21 24 22 23 22
Exceeded High   23 18 21 12 12 19 16 19 19 21 13
Scenario Percentage   96% 82% 78% 60% 92% 90% 76% 79% 86% 91% 59%
Avg Max Increase   5.38% 6.38% 6.87% 3.91% 4.76% 5.60% 6.34% 6.09% 4.81% 5.00% 4.40%
Max Increase   12.72% 13.75% 20.87% 9.67% 11.03% 19.81% 14.30% 11.22% 9.82% 23.61% 10.60%
Avg Days To Max Increase   18 22 14 12 13 13 19 20 17 17 21
Avg Max Decline   -1.49% -2.16% -1.36% -1.18% -2.25% -0.96% -1.35% -1.33% -1.30% -1.19% -0.85%
Max Decline   -4.75% -6.33% -3.78% -3.05% -11.63% -2.45% -5.98% -3.93% -4.42% -3.65% -2.02%
Avg Days to Max Decline   7 10 5 8 10 6 8 6 5 6 4
2010 Contract Condition     Yes Yes     Yes Yes        
Action     Yes No     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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   39 39 39 39 40 40 40 40 40 40 40
Closed Lower   15 17 12 18 27 18 19 16 18 17 17
Penetrated Low   6 10 9 12 18 12 14 11 11 12 8
Scenario Percentage   40% 59% 75% 67% 67% 67% 74% 69% 61% 71% 47%
Avg Max Decline   6.79% 5.67% 6.87% 8.15% 6.93% 6.31% 5.21% 9.35% 9.24% 6.63% 6.48%
Max Decline   15.65% 14.90% 14.13% 21.92% 12.86% 20.22% 12.47% 35.33% 31.91% 17.96% 15.75%
Avg Days To Max Decline   13 13 20 17 18 20 16 22 18 20 21
Avg Max Increase   -1.00% -2.16% -2.30% -1.22% -1.48% -1.31% -1.53% -1.83% -2.15% -2.50% -1.41%
Max Increase   -2.36% -7.55% -4.92% -4.80% -3.95% -3.69% -4.26% -5.76% -5.43% -6.43% -3.02%
Avg Days to Max Increase   2 11 6 4 10 7 4 6 14 13 3
2010 Contract Condition   Yes     Yes Yes     Yes Yes    
Action   Yes     Yes No     Not Yet      
High 385.90 388.60 382.80 408.55 403.95 384.40 384.65 391.40 393.90 361.10    
Low 365.80 361.85 359.35 379.25 378.10 361.50 367.35 377.70 346.95 352.80    
Close/Last 377.25 363.05 379.20 398.00 378.25 367.40 378.80 387.95 361.20 353.00    

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