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| MRCI's ScenarioSM Study |
| ScenarioSM Study for S & P Midcap 400 Index as of Jul 14, 2005 |
Condition 1:
Higher Monthly Close.
Action --->
Buy that month's close with objective of exceeding month's
high within 2 months. |
| Tested Month |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
| Tested Years |
24 |
24 |
24 |
24 |
24 |
24 |
24 |
24 |
24 |
24 |
25 |
| Closed Higher |
15 |
16 |
16 |
9 |
13 |
11 |
16 |
16 |
18 |
15 |
16 |
| Exceeded High |
13 |
14 |
13 |
9 |
9 |
9 |
14 |
15 |
17 |
14 |
14 |
| Scenario Percentage |
87% |
88% |
81% |
100% |
69% |
82% |
88% |
94% |
94% |
93% |
88% |
| Avg Max Increase |
7.24% |
4.89% |
5.51% |
5.55% |
4.72% |
7.31% |
8.42% |
6.15% |
5.92% |
5.90% |
4.40% |
| Max Increase |
13.40% |
12.75% |
12.88% |
12.40% |
15.38% |
17.53% |
17.44% |
13.67% |
17.05% |
13.42% |
12.73% |
| Avg Days To Max Increase |
20 |
18 |
18 |
15 |
18 |
19 |
23 |
17 |
16 |
18 |
21 |
| Avg Max Decline |
-1.26% |
-1.08% |
-0.80% |
-1.85% |
-1.35% |
-2.38% |
-1.09% |
-1.29% |
-2.33% |
-0.52% |
-0.14% |
| Max Decline |
-4.59% |
-6.31% |
-6.04% |
-4.61% |
-3.68% |
-12.49% |
-4.63% |
-5.65% |
-7.86% |
-3.57% |
-2.85% |
| Avg Days to Max Decline |
6 |
10 |
8 |
9 |
9 |
8 |
8 |
14 |
6 |
6 |
5 |
| 2001 Contract Condition |
|
|
Yes |
Yes |
Yes |
|
|
|
Yes |
Yes |
|
| Action |
|
|
Yes |
Yes |
Yes |
|
|
|
No |
No |
|
Condition 2:
Lower Monthly Close.
Action --->
Sell that month's close with objective of penetrating month's
low within 2 months.
|
| Tested Month |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
| Tested Years |
24 |
24 |
24 |
24 |
24 |
24 |
24 |
24 |
24 |
24 |
25 |
| Closed Lower |
9 |
8 |
8 |
15 |
11 |
13 |
8 |
8 |
5 |
9 |
9 |
| Penetrated Low |
6 |
5 |
4 |
11 |
9 |
8 |
2 |
2 |
4 |
5 |
8 |
| Scenario Percentage |
67% |
63% |
50% |
73% |
82% |
62% |
25% |
25% |
80% |
56% |
89% |
| Avg Max Decline |
5.74% |
9.16% |
11.37% |
9.84% |
7.38% |
8.93% |
5.19% |
3.91% |
8.37% |
6.74% |
22.33% |
| Max Decline |
12.80% |
27.18% |
21.36% |
22.21% |
19.49% |
30.79% |
9.42% |
3.95% |
10.48% |
8.42% |
32.57% |
| Avg Days To Max Decline |
23 |
23 |
20 |
17 |
17 |
17 |
19 |
6 |
18 |
16 |
19 |
| Avg Max Increase |
-2.02% |
-1.31% |
-0.12% |
-0.86% |
-4.23% |
-1.24% |
-1.41% |
-0.19% |
-1.68% |
-0.03% |
-2.39% |
| Max Increase |
-4.67% |
-3.40% |
-0.85% |
-5.15% |
-13.39% |
-2.96% |
-2.43% |
-0.38% |
-4.23% |
-0.65% |
-3.79% |
| Avg Days to Max Increase |
16 |
9 |
6 |
9 |
15 |
7 |
4 |
1 |
4 |
1 |
12 |
| 2001 Contract Condition |
Yes |
Yes |
|
|
|
Yes |
Yes |
Yes |
|
|
Yes |
| Action |
No |
No |
|
|
|
Yes |
Yes |
No |
|
|
Yes |
| High |
499.40 |
490.70 |
506.90 |
518.50 |
543.95 |
549.65 |
540.65 |
532.80 |
535.35 |
533.80 |
530.80 |
| Low |
425.65 |
447.40 |
475.15 |
480.20 |
486.60 |
514.90 |
476.70 |
471.15 |
476.80 |
481.35 |
486.75 |
| Close/Last |
481.85 |
475.20 |
481.90 |
489.00 |
542.90 |
538.80 |
520.15 |
480.40 |
516.75 |
527.90 |
497.25 |
|
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