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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for S & P 500 Stock Index as of Jan 01, 2009
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Higher   28 23 29 31 25 25 19 26 20 27 29
Exceeded High   26 19 24 27 20 20 18 20 18 24 22
Scenario Percentage   93% 83% 83% 87% 80% 80% 95% 77% 90% 89% 76%
Avg Max Increase   5.29% 5.35% 5.90% 4.52% 4.93% 4.71% 4.38% 5.20% 6.54% 5.88% 3.44%
Max Increase   13.54% 11.08% 13.82% 12.57% 12.90% 11.86% 8.63% 18.33% 20.72% 13.32% 6.99%
Avg Days To Max Increase   17 18 16 17 19 18 19 13 20 17 15
Avg Max Decline   -1.22% -0.57% -1.39% -1.44% -1.38% -1.48% -1.72% -1.30% -1.67% -1.10% -0.46%
Max Decline   -5.29% -2.07% -5.27% -4.78% -3.72% -7.55% -4.23% -3.57% -9.22% -5.38% -2.30%
Avg Days to Max Decline   7 6 7 8 13 9 10 7 7 7 2
2008 Contract Condition         Yes Yes     Yes      
Action         Yes No     No      
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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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Lower   17 22 16 14 20 20 26 19 24 17 16
Penetrated Low   15 15 10 7 13 15 20 14 17 10 10
Scenario Percentage   88% 68% 63% 50% 65% 75% 77% 74% 71% 59% 63%
Avg Max Decline   5.40% 5.68% 4.42% 6.35% 6.75% 8.14% 8.45% 6.93% 8.58% 6.77% 3.17%
Max Decline   11.84% 16.11% 7.85% 14.97% 27.31% 21.63% 22.00% 16.66% 36.38% 23.51% 7.08%
Avg Days To Max Decline   16 16 17 18 19 19 19 16 15 13 9
Avg Max Increase   -1.13% -1.37% -1.85% -2.10% -1.67% -1.99% -1.72% -2.94% -1.65% -0.91% -0.40%
Max Increase   -4.05% -6.07% -5.08% -4.02% -6.64% -5.37% -7.69% -11.34% -4.50% -4.00% -5.64%
Avg Days to Max Increase   7 7 10 15 8 10 6 12 8 5 3
2008 Contract Condition   Yes Yes Yes     Yes Yes   Yes Yes Yes
Action   Yes Yes No     Yes Yes   Yes Yes Not Yet
High 1523.55 1471.75 1396.00 1359.70 1404.55 1440.25 1404.05 1292.15 1313.15 1303.05 1167.05 1007.50
Low 1435.65 1270.05 1316.75 1257.00 1324.35 1373.05 1272.00 1200.45 1247.45 1106.40 839.80 741.00
Close/Last 1468.35 1378.55 1330.65 1322.70 1385.60 1400.40 1280.00 1267.40 1282.85 1164.75 968.75 896.25

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