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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, 2013
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   42 43 43 43 43 43 43 43 43 43 43
Closed Higher   21 15 23 24 25 23 25 24 23 27 23
Exceeded High   13 14 21 19 20 20 23 17 21 24 16
Scenario Percentage   62% 93% 91% 79% 80% 87% 92% 71% 91% 89% 70%
Avg Max Increase   3.86% 4.63% 5.41% 5.75% 5.85% 4.76% 4.86% 6.49% 5.78% 5.17% 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 15 13 18 20 16 17 20 15 19 21
Avg Max Decline   -1.13% -2.33% -0.98% -1.26% -1.46% -1.30% -1.16% -1.75% -1.36% -1.68% -1.11%
Max Decline   -3.05% -11.63% -2.45% -5.98% -3.93% -4.42% -3.65% -6.64% -7.26% -6.05% -3.44%
Avg Days to Max Decline   9 13 6 8 7 5 7 11 8 7 4
2012 Contract Condition     Yes Yes Yes   Yes Yes   Yes Yes  
Action     Yes Yes Yes   Yes Yes   Yes No  
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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   42 43 43 43 43 43 43 43 43 43 43
Closed Lower   20 28 19 19 18 20 18 18 19 16 20
Penetrated Low   13 18 12 14 11 12 13 12 13 7 7
Scenario Percentage   65% 64% 63% 74% 61% 60% 72% 67% 68% 44% 35%
Avg Max Decline   7.87% 6.93% 6.31% 5.21% 9.35% 9.46% 7.04% 7.84% 10.63% 5.96% 3.39%
Max Decline   21.92% 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   17 18 20 16 22 17 20 17 19 11 9
Avg Max Increase   -1.25% -1.48% -1.31% -1.53% -1.83% -2.14% -2.38% -1.46% -2.38% -1.01% -0.99%
Max Increase   -4.80% -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 12 9 8 2 2
2012 Contract Condition   Yes       Yes     Yes     Yes
Action   No       No     Yes     Not Yet
High 467.65 466.80 454.55 461.80 470.70 474.20 486.40 497.40 499.80 478.50 487.60 479.50
Low 439.85 441.90 446.45 449.00 448.90 462.45 463.70 475.25 466.85 466.35 472.45 435.55
Close/Last 464.70 448.85 451.55 458.95 470.55 468.05 481.35 492.60 468.20 475.75 479.40 454.10

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