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| MRCI's ScenarioSM Study |
| ScenarioSM Study for S & P Midcap 400 Index as of Sep 30, 2007 |
Condition 1:
Higher Monthly Close.
Action --->
Buy that month's close with objective of exceeding month's
high within 2 months. |
| Tested Month |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
| Tested Years |
25 |
26 |
26 |
26 |
26 |
26 |
26 |
26 |
26 |
26 |
26 |
| Closed Higher |
16 |
16 |
20 |
16 |
17 |
17 |
10 |
14 |
13 |
17 |
18 |
| Exceeded High |
15 |
15 |
16 |
14 |
15 |
14 |
10 |
10 |
11 |
15 |
17 |
| Scenario Percentage |
94% |
94% |
80% |
88% |
88% |
82% |
100% |
71% |
85% |
88% |
94% |
| Avg Max Increase |
5.66% |
6.15% |
6.08% |
6.87% |
5.09% |
5.53% |
5.06% |
4.87% |
7.05% |
7.66% |
3.38% |
| Max Increase |
13.42% |
12.73% |
15.90% |
13.40% |
12.75% |
12.88% |
12.40% |
15.38% |
17.53% |
14.14% |
7.76% |
| Avg Days To Max Increase |
19 |
19 |
22 |
19 |
19 |
17 |
14 |
19 |
20 |
20 |
17 |
| Avg Max Decline |
-0.70% |
-0.27% |
-1.58% |
-1.19% |
-1.01% |
-0.74% |
-1.68% |
-1.46% |
-2.72% |
-1.15% |
-0.49% |
| Max Decline |
-3.57% |
-2.85% |
-5.21% |
-4.59% |
-6.31% |
-6.04% |
-4.61% |
-3.68% |
-12.49% |
-4.63% |
-2.57% |
| Avg Days to Max Decline |
6 |
9 |
11 |
6 |
9 |
7 |
8 |
10 |
8 |
7 |
6 |
| 2007 Contract Condition |
Yes |
Yes |
Yes |
Yes |
Yes |
|
|
Yes |
Yes |
Yes |
|
| Action |
Yes |
Yes |
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 |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
| Tested Years |
25 |
26 |
26 |
26 |
26 |
26 |
26 |
26 |
26 |
26 |
26 |
| Closed Lower |
9 |
10 |
6 |
10 |
9 |
9 |
16 |
12 |
13 |
9 |
8 |
| Penetrated Low |
5 |
6 |
5 |
6 |
6 |
5 |
11 |
10 |
8 |
2 |
8 |
| Scenario Percentage |
56% |
60% |
83% |
60% |
67% |
56% |
69% |
83% |
62% |
22% |
100% |
| Avg Max Decline |
6.74% |
6.38% |
4.49% |
5.74% |
8.83% |
10.52% |
9.84% |
7.30% |
8.93% |
5.19% |
17.74% |
| Max Decline |
8.42% |
13.04% |
5.98% |
12.80% |
27.18% |
21.36% |
22.21% |
19.49% |
30.79% |
9.42% |
35.20% |
| Avg Days To Max Decline |
16 |
17 |
21 |
23 |
23 |
20 |
17 |
16 |
17 |
19 |
13 |
| Avg Max Increase |
-0.03% |
-2.23% |
-1.31% |
-2.02% |
-1.47% |
-0.25% |
-0.86% |
-3.95% |
-1.24% |
-1.41% |
-5.59% |
| Max Increase |
-0.65% |
-3.52% |
-2.43% |
-4.67% |
-3.40% |
-0.85% |
-5.15% |
-13.39% |
-2.96% |
-2.43% |
-11.44% |
| Avg Days to Max Increase |
1 |
9 |
6 |
16 |
8 |
5 |
9 |
14 |
7 |
4 |
23 |
| 2007 Contract Condition |
|
|
|
|
|
Yes |
Yes |
|
|
|
|
| Action |
|
|
|
|
|
Yes |
Yes |
|
|
|
|
| High |
834.80 |
870.90 |
857.25 |
890.85 |
918.35 |
925.90 |
926.65 |
878.15 |
895.15 |
898.00 |
|
| Low |
796.65 |
831.35 |
809.05 |
847.65 |
867.40 |
881.30 |
854.00 |
797.25 |
838.80 |
885.30 |
|
| Close/Last |
833.00 |
838.10 |
848.45 |
873.65 |
916.30 |
895.50 |
856.35 |
863.00 |
885.05 |
897.20 |
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