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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 May 31, 2010
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   28 28 28 28 29 29 29 29 29 29 29
Closed Higher   18 18 20 17 18 22 19 20 18 11 17
Exceeded High   15 17 19 16 17 18 17 18 15 11 12
Scenario Percentage   83% 94% 95% 94% 94% 82% 89% 90% 83% 100% 71%
Avg Max Increase   8.17% 6.00% 5.88% 5.59% 6.06% 7.01% 6.87% 4.96% 6.22% 5.79% 2.87%
Max Increase   17.44% 13.67% 17.05% 13.42% 12.73% 20.63% 13.40% 12.75% 15.77% 13.08% 8.50%
Avg Days To Max Increase   22 19 15 19 20 22 17 18 18 14 17
Avg Max Decline   -1.15% -1.24% -2.18% -0.66% -0.99% -1.55% -1.25% -1.50% -1.14% -1.54% -1.20%
Max Decline   -4.63% -5.65% -7.86% -3.57% -9.28% -5.21% -4.59% -6.33% -6.76% -4.61% -3.23%
Avg Days to Max Decline   7 16 5 6 9 10 5 11 7 9 6
2010 Contract Condition     Yes Yes   Yes Yes Yes        
Action     Yes Yes   Yes Yes Not Yet        
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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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   28 28 28 28 29 29 29 29 29 29 29
Closed Lower   10 10 7 11 11 7 10 9 11 18 12
Penetrated Low   3 3 6 6 7 5 6 6 7 13 7
Scenario Percentage   30% 30% 86% 55% 64% 71% 60% 67% 64% 72% 58%
Avg Max Decline   12.96% 7.62% 8.21% 8.99% 7.10% 4.49% 5.74% 8.83% 9.78% 9.71% 7.13%
Max Decline   28.50% 15.04% 14.79% 20.20% 13.04% 5.98% 12.80% 27.18% 21.36% 22.21% 19.49%
Avg Days To Max Decline   19 11 17 14 15 21 23 23 19 18 21
Avg Max Increase   -1.82% -1.45% -1.33% -1.21% -1.91% -1.31% -2.02% -1.48% -0.70% -1.16% -1.81%
Max Increase   -2.65% -3.97% -4.23% -7.14% -3.52% -2.43% -4.67% -3.40% -3.48% -5.15% -4.13%
Avg Days to Max Increase   4 4 4 3 8 6 16 8 6 9 6
2010 Contract Condition   Yes     Yes       Yes Yes    
Action   Yes     Yes       Not Yet      
High 710.20 717.75 713.75 743.15 755.90 742.55 800.75 852.90 836.45 764.65    
Low 633.40 657.15 651.80 684.75 702.35 681.90 738.35 789.85 714.70 742.50    
Close/Last 691.00 659.15 684.75 726.65 702.80 738.35 789.90 823.05 762.75 742.60    

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