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| MRCI's ScenarioSM Study |
| ScenarioSM Study for S & P Midcap 400 Index as of Jul 31, 2006 |
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 |
25 |
25 |
25 |
25 |
25 |
25 |
25 |
25 |
25 |
25 |
26 |
| Closed Higher |
15 |
17 |
17 |
10 |
13 |
12 |
16 |
17 |
19 |
16 |
16 |
| Exceeded High |
13 |
15 |
14 |
10 |
9 |
10 |
14 |
16 |
18 |
15 |
14 |
| Scenario Percentage |
87% |
88% |
82% |
100% |
69% |
83% |
88% |
94% |
95% |
94% |
88% |
| Avg Max Increase |
7.24% |
5.09% |
5.53% |
5.06% |
4.72% |
6.97% |
8.42% |
6.18% |
5.95% |
5.63% |
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 |
19 |
17 |
14 |
18 |
20 |
23 |
18 |
16 |
19 |
21 |
| Avg Max Decline |
-1.26% |
-1.01% |
-0.74% |
-1.68% |
-1.35% |
-2.86% |
-1.09% |
-1.22% |
-2.24% |
-0.70% |
-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 |
9 |
7 |
8 |
9 |
9 |
8 |
14 |
6 |
6 |
5 |
| 2005 Contract Condition |
|
Yes |
Yes |
|
|
Yes |
Yes |
Yes |
Yes |
|
Yes |
| Action |
|
Yes |
No |
|
|
Yes |
Yes |
Yes |
Yes |
|
Yes |
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 |
25 |
25 |
25 |
25 |
25 |
25 |
25 |
25 |
25 |
25 |
26 |
| Closed Lower |
10 |
8 |
8 |
15 |
12 |
13 |
9 |
8 |
5 |
9 |
10 |
| Penetrated Low |
6 |
5 |
4 |
11 |
10 |
8 |
2 |
2 |
4 |
5 |
9 |
| Scenario Percentage |
60% |
63% |
50% |
73% |
83% |
62% |
22% |
25% |
80% |
56% |
90% |
| Avg Max Decline |
5.74% |
9.16% |
11.37% |
9.84% |
7.30% |
8.93% |
5.19% |
3.91% |
8.37% |
6.74% |
22.66% |
| 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 |
16 |
17 |
19 |
6 |
18 |
16 |
19 |
| Avg Max Increase |
-2.02% |
-1.31% |
-0.12% |
-0.86% |
-3.95% |
-1.24% |
-1.41% |
-0.19% |
-1.68% |
-0.03% |
-2.44% |
| 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 |
14 |
7 |
4 |
1 |
4 |
1 |
14 |
| 2005 Contract Condition |
Yes |
|
|
Yes |
Yes |
|
|
|
|
Yes |
|
| Action |
Yes |
|
|
Yes |
No |
|
|
|
|
No |
|
| High |
616.95 |
594.80 |
607.70 |
607.70 |
579.80 |
594.80 |
607.65 |
643.15 |
667.00 |
664.80 |
670.80 |
| Low |
582.30 |
557.35 |
586.80 |
563.90 |
548.30 |
576.20 |
580.65 |
600.15 |
632.95 |
629.30 |
645.65 |
| Close/Last |
583.30 |
594.70 |
607.70 |
578.90 |
576.60 |
593.20 |
602.20 |
637.25 |
663.30 |
645.95 |
666.85 |
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