|
 |
| 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 |
|
|
|
|
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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|
