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