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| MRCI's ScenarioSM Study |
| ScenarioSM Study for S & P 500 Stock Index as of Apr 04, 2008 |
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 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
| Closed Higher |
31 |
25 |
25 |
19 |
26 |
20 |
28 |
29 |
32 |
28 |
23 |
| Exceeded High |
27 |
20 |
20 |
18 |
21 |
18 |
25 |
26 |
30 |
26 |
19 |
| Scenario Percentage |
87% |
80% |
80% |
95% |
81% |
90% |
89% |
90% |
94% |
93% |
83% |
| Avg Max Increase |
4.43% |
4.93% |
4.71% |
4.38% |
5.08% |
6.54% |
5.75% |
5.79% |
4.84% |
5.26% |
3.83% |
| Max Increase |
12.57% |
12.90% |
11.86% |
8.63% |
18.33% |
20.72% |
13.32% |
12.74% |
12.32% |
13.54% |
6.51% |
| Avg Days To Max Increase |
17 |
19 |
18 |
19 |
14 |
20 |
18 |
18 |
15 |
16 |
16 |
| Avg Max Decline |
-1.46% |
-1.38% |
-1.48% |
-1.72% |
-1.29% |
-1.67% |
-1.29% |
-1.83% |
-1.62% |
-1.22% |
-0.37% |
| Max Decline |
-4.78% |
-3.72% |
-7.55% |
-4.23% |
-3.57% |
-9.22% |
-5.95% |
-5.32% |
-6.33% |
-5.29% |
-2.07% |
| Avg Days to Max Decline |
8 |
13 |
9 |
10 |
8 |
7 |
8 |
16 |
6 |
7 |
3 |
| 2006 Contract Condition |
|
Yes |
|
Yes |
|
Yes |
|
Yes |
|
Yes |
Yes |
| Action |
|
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 |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
| Tested Years |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
| Closed Lower |
14 |
20 |
20 |
26 |
19 |
24 |
16 |
16 |
13 |
17 |
22 |
| Penetrated Low |
7 |
13 |
15 |
19 |
14 |
17 |
9 |
11 |
8 |
15 |
19 |
| Scenario Percentage |
50% |
65% |
75% |
73% |
74% |
71% |
56% |
69% |
62% |
88% |
86% |
| Avg Max Decline |
6.35% |
6.75% |
7.87% |
8.22% |
6.93% |
6.62% |
4.91% |
4.58% |
7.69% |
5.39% |
15.16% |
| Max Decline |
14.97% |
27.31% |
21.63% |
22.00% |
16.66% |
32.75% |
14.91% |
14.25% |
13.50% |
11.84% |
38.94% |
| Avg Days To Max Decline |
18 |
19 |
20 |
19 |
16 |
15 |
12 |
11 |
20 |
16 |
12 |
| Avg Max Increase |
-2.10% |
-1.67% |
-2.01% |
-1.62% |
-2.94% |
-1.87% |
-0.56% |
-0.65% |
-2.13% |
-1.13% |
-2.38% |
| Max Increase |
-4.02% |
-6.64% |
-5.37% |
-7.69% |
-11.34% |
-4.50% |
-2.75% |
-5.64% |
-6.28% |
-4.05% |
-15.19% |
| Avg Days to Max Increase |
15 |
8 |
10 |
6 |
12 |
9 |
5 |
7 |
5 |
7 |
11 |
| 2006 Contract Condition |
Yes |
|
Yes |
|
Yes |
|
Yes |
|
Yes |
|
|
| Action |
No |
|
Yes |
|
Yes |
|
No |
|
Yes |
|
|
| High |
1191.90 |
1199.55 |
1219.60 |
1245.15 |
1245.85 |
1243.15 |
1233.35 |
1270.65 |
1275.80 |
1294.90 |
1297.55 |
| Low |
1136.20 |
1146.20 |
1188.30 |
1183.55 |
1201.05 |
1205.35 |
1168.20 |
1201.05 |
1246.60 |
1245.75 |
1253.60 |
| Close/Last |
1156.85 |
1191.50 |
1191.35 |
1234.20 |
1220.35 |
1228.80 |
1207.00 |
1249.50 |
1248.30 |
1280.10 |
1280.65 |
|
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