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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for June S & P 500(CME) as of Jan 01, 2008
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years 22 25 25 25 25 25 25 25 25 25 26
Closed Higher 9 16 11 16 18 19 18 15 17 15 17
Exceeded High 9 11 10 14 18 18 16 12 14 14 13
Scenario Percentage 100% 69% 91% 88% 100% 95% 89% 80% 82% 93% 76%
Avg Max Increase 3.16% 5.47% 6.16% 7.46% 5.23% 5.57% 5.87% 4.99% 6.12% 4.40% 2.17%
Max Increase 5.86% 19.35% 16.77% 13.74% 13.76% 12.67% 13.16% 9.51% 14.04% 11.80% 5.51%
Avg Days To Max Increase 18 14 21 20 16 16 17 13 18 9 6
Avg Max Decline -1.31% -1.25% -2.74% -1.22% -1.86% -2.25% -1.44% -0.81% -1.72% -1.57% -0.33%
Max Decline -3.05% -3.31% -9.21% -5.77% -5.55% -6.34% -5.18% -1.92% -5.91% -4.79% -1.32%
Avg Days to Max Decline 5 8 9 7 15 6 5 4 9 4 1
2007 Contract Condition Yes Yes Yes Yes Yes Yes Yes   Yes Yes Yes
Action Yes Yes Yes Yes Yes Yes Yes   Yes Yes Yes
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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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years 22 25 25 25 25 25 25 25 25 25 26
Closed Lower 13 9 14 8 7 6 7 10 8 10 8
Penetrated Low 9 8 8 3 5 3 6 5 7 4 7
Scenario Percentage 69% 89% 57% 38% 71% 50% 86% 50% 88% 40% 88%
Avg Max Decline 7.84% 7.40% 10.41% 6.33% 3.03% 8.68% 4.82% 6.77% 3.31% 3.30% 19.84%
Max Decline 21.10% 15.32% 42.85% 13.01% 5.17% 9.07% 7.75% 13.27% 4.41% 6.93% 36.93%
Avg Days To Max Decline 17 16 19 16 9 19 23 16 10 10 12
Avg Max Increase -1.90% -3.72% -3.33% -1.83% -1.77% -4.27% -1.86% -2.21% -1.63% -1.86% -2.49%
Max Increase -6.51% -12.09% -6.02% -2.52% -5.01% -6.30% -4.08% -6.13% -5.66% -2.96% -4.70%
Avg Days to Max Increase 8 13 12 14 4 18 10 11 6 7 5
2007 Contract Condition               Yes      
Action               Yes      
High 1323.40 1342.50 1371.20 1419.00 1434.40 1455.80 1459.50 1477.50 1451.00 1504.80 1537.70
Low 1266.70 1299.00 1324.80 1359.40 1390.70 1412.80 1426.00 1402.00 1375.90 1426.00 1482.20
Close/Last 1315.10 1339.40 1367.90 1406.90 1426.80 1441.10 1456.20 1421.50 1431.20 1488.40 1532.90

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