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