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