MRCI's ScenarioSM Study

ScenarioSM Study for S & P Midcap 400 Index as of Jan 01, 2007
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		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%	-0.50%
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
2006 Contract Condition		Yes		Yes	Yes				Yes	Yes	Yes	Yes
Action		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	Dec	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	2
Scenario Percentage		56%	60%	83%	60%	67%	56%	69%	83%	62%	22%	25%
Avg Max Decline		6.74%	6.38%	4.49%	5.74%	8.83%	10.52%	9.84%	7.30%	8.93%	5.19%	3.91%
Max Decline		8.42%	13.04%	5.98%	12.80%	27.18%	21.36%	22.21%	19.49%	30.79%	9.42%	3.95%
Avg Days To Max Decline		16	17	21	23	23	20	17	16	17	19	6
Avg Max Increase		-0.03%	-2.23%	-1.31%	-2.02%	-1.48%	-0.25%	-0.86%	-3.95%	-1.24%	-1.41%	-0.19%
Max Increase		-0.65%	-3.52%	-2.43%	-4.67%	-3.40%	-0.85%	-5.15%	-13.39%	-2.96%	-2.43%	-0.38%
Avg Days to Max Increase		1	9	6	16	8	5	9	14	7	4	1
2006 Contract Condition			Yes			Yes	Yes	Yes
Action			No			Yes	Yes	No
High	752.00	781.75	784.50	795.50	813.30	818.85	783.00	770.45	756.35	762.45	796.55	812.80
Low	732.00	732.55	755.85	756.05	779.15	740.20	713.10	710.55	721.30	731.45	744.10	769.70
Close/Last	738.05	781.00	773.60	792.10	802.70	765.55	764.85	742.50	749.95	754.25	785.00	809.20