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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 30, 2011
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   29 30 30 30 30 30 30 30 30 30 30
Closed Higher   17 19 23 20 20 18 12 17 16 19 20
Exceeded High   16 18 19 17 18 15 12 12 14 16 19
Scenario Percentage   94% 95% 83% 85% 90% 83% 100% 71% 88% 84% 95%
Avg Max Increase   5.59% 6.59% 7.06% 6.87% 4.96% 6.22% 5.87% 5.45% 6.68% 7.84% 3.87%
Max Increase   13.42% 15.51% 20.63% 13.40% 12.75% 15.77% 13.08% 15.38% 17.53% 14.14% 8.53%
Avg Days To Max Increase   19 21 22 17 18 18 15 18 19 21 18
Avg Max Decline   -0.66% -0.93% -1.47% -1.25% -1.50% -1.14% -1.97% -1.72% -2.54% -1.12% -0.44%
Max Decline   -3.57% -9.28% -5.21% -4.59% -6.33% -6.76% -6.71% -3.68% -12.49% -4.63% -2.57%
Avg Days to Max Decline   6 9 9 5 11 7 10 9 7 7 5
2011 Contract Condition   Yes Yes Yes Yes           Yes  
Action   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   29 30 30 30 30 30 30 30 30 30 30
Closed Lower   12 11 7 10 10 12 18 13 14 11 10
Penetrated Low   7 7 5 6 7 8 13 10 9 4 2
Scenario Percentage   58% 64% 71% 60% 70% 67% 72% 77% 64% 36% 20%
Avg Max Decline   8.13% 7.10% 4.49% 5.74% 8.88% 8.89% 9.71% 7.30% 12.84% 10.00% 3.91%
Max Decline   20.20% 13.04% 5.98% 12.80% 27.18% 21.36% 22.21% 19.49% 44.12% 28.50% 3.95%
Avg Days To Max Decline   13 15 21 23 20 16 18 16 17 15 6
Avg Max Increase   -1.48% -1.91% -1.31% -2.02% -1.69% -0.64% -1.16% -3.95% -1.10% -1.78% -0.19%
Max Increase   -7.14% -3.52% -2.43% -4.67% -3.40% -3.48% -5.15% -13.39% -2.96% -2.65% -0.38%
Avg Days to Max Increase   2 8 6 16 10 5 9 14 6 3 1
2011 Contract Condition           Yes Yes Yes Yes Yes   Yes
Action           Yes Yes Yes Yes Yes   Not Yet
High 916.20 939.55 983.85 989.60 1015.25 1018.65 1000.45 1013.35 954.35 883.80 920.25 907.95
Low 852.55 900.85 924.75 921.65 958.55 964.75 922.55 928.45 770.60 773.95 731.60 812.45
Close/Last 907.25 924.75 966.60 989.05 1015.25 1000.25 978.65 943.40 875.00 781.25 887.95 883.80

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