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