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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 Dec 31, 1999
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   18 19 19 19 19 19 19 19 19 19 19
Closed Higher   13 12 15 13 13 13 7 10 10 12 12
Exceeded High   13 11 13 11 12 11 7 7 8 10 11
Scenario Percentage   100% 92% 87% 85% 92% 85% 100% 70% 80% 83% 92%
Avg Max Increase   5.99% 5.87% 5.82% 6.73% 4.98% 4.61% 4.36% 5.00% 7.18% 7.23% 3.51%
Max Increase   13.42% 9.72% 12.88% 13.40% 12.75% 11.46% 6.26% 15.38% 17.53% 13.02% 7.76%
Avg Days To Max Increase   19 22 23 21 20 16 16 18 18 21 17
Avg Max Decline   -0.47% -0.46% -1.57% -1.14% -1.11% -0.80% -1.76% -1.31% -2.42% -1.09% -0.29%
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 11 12 7 10 7 10 7 7 8 6
2009 Contract Condition                        
Action                        
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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   18 19 19 19 19 19 19 19 19 19 19
Closed Lower   5 7 4 6 6 6 12 9 9 7 7
Penetrated Low   3 4 3 4 4 2 9 8 6 1 2
Scenario Percentage   60% 57% 75% 67% 67% 33% 75% 89% 67% 14% 29%
Avg Max Decline   7.07% 4.79% 3.71% 4.29% 4.65% 9.15% 8.98% 5.87% 8.31% 0.97% 3.91%
Max Decline   7.39% 7.93% 5.10% 5.62% 6.86% 10.93% 19.73% 10.76% 30.79% 0.97% 3.95%
Avg Days To Max Decline   20 21 24 24 23 14 17 16 16 8 6
Avg Max Increase   0.30% -2.37% -1.79% -2.07% -1.66% -0.20% -0.91% -4.61% -1.20% -0.39% -0.19%
Max Increase   -0.65% -3.52% -2.43% -4.67% -3.40% -0.85% -5.15% -13.39% -2.96% -0.39% -0.38%
Avg Days to Max Increase   1 12 10 20 11 11 10 16 8 2 1
2009 Contract Condition                        
Action                        
High 514.55                      
Low 457.85                      
Close/Last 480.45                      

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