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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, 2014
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   43 44 44 44 44 44 44 44 44 44 44
Closed Higher   22 16 24 25 25 24 26 24 24 28 23
Exceeded High   14 15 22 19 20 21 23 17 22 25 16
Scenario Percentage   64% 94% 92% 76% 80% 88% 88% 71% 92% 89% 70%
Avg Max Increase   4.11% 5.12% 5.43% 5.75% 5.85% 4.77% 4.86% 6.49% 5.78% 5.05% 4.31%
Max Increase   9.67% 11.96% 19.81% 14.30% 11.22% 9.82% 23.61% 13.93% 17.91% 12.12% 7.74%
Avg Days To Max Increase   13 16 13 18 20 17 17 20 14 18 21
Avg Max Decline   -1.12% -2.22% -0.96% -1.26% -1.46% -1.37% -1.16% -1.75% -1.35% -1.61% -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   8 12 6 8 7 5 7 11 8 7 4
2013 Contract Condition   Yes Yes Yes Yes   Yes Yes   Yes Yes  
Action   Yes Yes Yes No   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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   43 44 44 44 44 44 44 44 44 44 44
Closed Lower   20 28 19 19 19 20 18 19 19 16 21
Penetrated Low   13 18 12 14 12 12 13 13 13 7 8
Scenario Percentage   65% 64% 63% 74% 63% 60% 72% 68% 68% 44% 38%
Avg Max Decline   7.87% 6.93% 6.31% 5.21% 8.91% 9.46% 7.04% 7.40% 10.63% 5.96% 3.25%
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 21 17 20 16 19 11 10
Avg Max Increase   -1.25% -1.48% -1.31% -1.53% -1.84% -2.14% -2.38% -1.41% -2.38% -1.01% -0.97%
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 7 14 12 9 8 2 3
2013 Contract Condition           Yes     Yes     Yes
Action           Yes     Yes     Yes
High 461.70 474.55 482.35 508.80 537.85 537.30 491.45 510.45 509.50 498.00 509.30 510.50
Low 443.70 453.30 469.35 476.80 506.20 480.25 462.65 472.40 474.15 467.95 476.95 485.55
Close/Last 453.10 474.00 480.40 508.40 537.30 482.15 485.90 503.95 477.85 482.30 499.85 487.15

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