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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 Jan 01, 2013
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   31 32 32 32 32 32 32 32 32 32 32
Closed Higher   19 21 25 21 20 19 12 18 17 20 21
Exceeded High   18 20 20 18 18 16 12 13 14 16 20
Scenario Percentage   95% 95% 80% 86% 90% 84% 100% 72% 82% 80% 95%
Avg Max Increase   5.79% 6.31% 6.86% 6.51% 4.96% 6.10% 5.87% 5.50% 6.68% 7.84% 3.83%
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   -0.60% -1.23% -1.55% -1.22% -1.50% -1.29% -1.97% -1.64% -2.54% -1.12% -0.46%
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 8 10 9 7 7 5
2012 Contract Condition   Yes Yes Yes     Yes   Yes Yes   Yes
Action   Yes Yes No     Yes   Yes No   Yes
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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   31 32 32 32 32 32 32 32 32 32 32
Closed Lower   12 11 7 11 12 13 20 14 15 12 11
Penetrated Low   7 7 5 7 9 9 14 11 10 5 2
Scenario Percentage   58% 64% 71% 64% 75% 69% 70% 79% 67% 42% 18%
Avg Max Decline   8.13% 7.10% 4.49% 6.49% 8.29% 10.27% 10.33% 8.12% 12.19% 8.81% 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 20 17 16 17 15 16 15 6
Avg Max Increase   -1.48% -1.91% -1.31% -1.95% -1.30% -0.96% -1.16% -3.68% -1.05% -1.94% -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 14 8 5 8 13 6 3 1
2012 Contract Condition         Yes Yes   Yes     Yes  
Action         Yes Yes   No     Yes  
High 901.45 949.60 990.00 1008.70 1004.95 1006.15 942.10 962.00 983.50 1030.00 1004.85 1005.60
Low 838.30 872.75 936.75 952.45 947.70 903.65 882.00 909.45 919.85 965.35 967.40 940.90
Close/Last 879.15 936.50 977.35 994.30 991.30 925.65 941.65 940.50 971.55 989.00 980.45 1000.15

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