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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for Dow Jones Utilities as of Apr 30, 2011
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   40 40 40 40 40 40 40 41 41 41 41
Closed Higher   23 22 21 24 23 28 20 13 22 22 24
Exceeded High   21 15 19 23 19 21 12 12 20 17 17
Scenario Percentage   91% 68% 90% 96% 83% 75% 60% 92% 91% 77% 71%
Avg Max Increase   5.04% 6.55% 6.05% 5.38% 6.45% 6.87% 3.91% 4.76% 5.52% 6.02% 4.29%
Max Increase   23.61% 13.93% 17.91% 12.72% 13.75% 20.87% 9.67% 11.03% 19.81% 14.30% 10.53%
Avg Days To Max Increase   17 19 14 18 21 14 12 13 13 18 19
Avg Max Decline   -1.19% -1.63% -1.46% -1.49% -2.05% -1.36% -1.18% -2.25% -0.92% -1.27% -1.13%
Max Decline   -3.65% -6.64% -7.26% -4.75% -6.33% -3.78% -3.05% -11.63% -2.45% -5.98% -3.93%
Avg Days to Max Decline   6 10 8 7 9 5 8 10 6 7 4
2011 Contract Condition   Yes Yes Yes Yes   Yes Yes Yes   Yes  
Action   Yes Yes Yes No   Yes Yes 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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   40 40 40 40 40 40 40 41 41 41 41
Closed Lower   17 17 18 16 17 12 19 28 18 19 17
Penetrated Low   12 11 12 7 10 9 13 18 12 14 10
Scenario Percentage   71% 65% 67% 44% 59% 75% 68% 64% 67% 74% 59%
Avg Max Decline   6.67% 8.52% 11.10% 5.96% 5.67% 6.87% 7.87% 6.93% 6.31% 5.19% 5.85%
Max Decline   17.96% 38.37% 31.31% 15.65% 14.90% 14.13% 21.92% 12.86% 20.22% 12.20% 11.27%
Avg Days To Max Decline   20 18 20 11 13 20 17 18 20 16 22
Avg Max Increase   -2.50% -1.56% -2.52% -1.01% -2.16% -2.30% -1.25% -1.48% -1.31% -1.53% -1.44%
Max Increase   -6.43% -3.25% -7.32% -2.36% -7.55% -4.92% -4.80% -3.95% -3.69% -4.26% -4.09%
Avg Days to Max Increase   13 10 8 2 11 6 4 10 7 4 4
2011 Contract Condition           Yes       Yes   Yes
Action           No       Not Yet    
High 386.45 395.60 399.00 402.40 413.75 410.00 407.30 416.45 417.10 422.45 429.40 431.05
Low 352.70 353.55 381.45 389.05 397.05 387.90 391.70 402.75 406.80 394.10 406.00 428.00
Close/Last 357.75 385.55 388.95 398.25 404.85 391.40 405.00 409.35 415.60 413.05 429.05 428.55

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