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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for S & P Midcap 400 Index 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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   26 27 27 27 27 27 27 27 27 27 27
Closed Higher   17 17 21 17 18 17 10 15 14 18 18
Exceeded High   16 16 17 15 16 14 10 11 12 15 17
Scenario Percentage   94% 94% 81% 88% 89% 82% 100% 73% 86% 83% 94%
Avg Max Increase   5.59% 6.16% 6.21% 6.81% 4.84% 5.53% 5.06% 5.07% 6.83% 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 20 22 18 18 17 14 18 19 20 17
Avg Max Decline   -0.66% -0.47% -1.49% -1.15% -1.18% -0.74% -1.68% -1.58% -2.49% -1.15% -0.50%
Max Decline   -3.57% -3.47% -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 10 5 10 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 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   26 27 27 27 27 27 27 27 27 27 27
Closed Lower   9 10 6 10 9 10 17 12 13 9 9
Penetrated Low   5 6 5 6 6 6 12 10 8 2 2
Scenario Percentage   56% 60% 83% 60% 67% 60% 71% 83% 62% 22% 22%
Avg Max Decline   6.74% 6.38% 4.49% 5.74% 8.83% 10.19% 9.39% 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 19 17 16 17 19 6
Avg Max Increase   -0.03% -2.23% -1.31% -2.02% -1.48% -0.78% -1.00% -3.95% -1.24% -1.41% -0.19%
Max Increase   -0.65% -3.52% -2.43% -4.67% -3.40% -3.48% -5.15% -13.39% -2.96% -2.43% -0.38%
Avg Days to Max Increase   1 9 6 16 8 7 9 14 7 4 1
2007 Contract Condition             Yes Yes       Yes
Action             Yes Yes       Not Yet
High 822.05 834.80 870.90 857.25 890.85 918.35 925.90 926.65 878.20 895.15 924.05 907.70
Low 800.30 796.65 831.35 809.00 847.65 867.40 881.20 854.00 818.80 838.80 869.45 820.05
Close/Last 804.35 833.00 838.10 848.45 873.65 916.30 895.50 856.35 863.00 885.05 907.70 860.75

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