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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 20, 2012
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 30 31 31 31 31 31 31 31 31 31 31
Closed Higher   18 20 24 21 20 18 12 17 16 20 20
Exceeded High   17 19 20 18 18 15 12 12 14 16 19
Scenario Percentage   94% 95% 83% 86% 90% 83% 100% 71% 88% 80% 95%
Avg Max Increase   5.67% 6.50% 6.86% 6.51% 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   20 21 21 16 18 18 15 18 19 21 18
Avg Max Decline   -0.64% -1.13% -1.55% -1.22% -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   8 9 10 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 30 31 31 31 31 31 31 31 31 31 31
Closed Lower   12 11 7 10 11 13 19 14 15 11 11
Penetrated Low   7 7 5 6 8 9 14 11 10 4 2
Scenario Percentage   58% 64% 71% 60% 73% 69% 74% 79% 67% 36% 18%
Avg Max Decline   8.13% 7.10% 4.49% 5.74% 8.74% 10.27% 10.33% 8.12% 12.19% 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 19 16 17 15 16 15 6
Avg Max Increase   -1.48% -1.91% -1.31% -2.02% -1.48% -0.96% -1.16% -3.68% -1.05% -1.78% -0.19%
Max Increase   -7.14% -3.52% -2.43% -4.67% -3.40% -3.55% -5.15% -13.39% -2.96% -2.65% -0.38%
Avg Days to Max Increase   2 8 6 16 9 5 8 13 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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