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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for S & P 500 Stock Index as of Jan 01, 2007
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years 45 45 45 45 45 45 45 45 45 45 45
Closed Higher 28 24 29 30 24 25 20 26 19 28 30
Exceeded High 26 20 24 26 19 20 19 20 17 26 23
Scenario Percentage 93% 83% 83% 87% 79% 80% 95% 77% 89% 93% 77%
Avg Max Increase 5.25% 5.16% 5.83% 4.45% 5.11% 4.71% 4.29% 4.99% 6.74% 5.91% 3.35%
Max Increase 13.54% 11.08% 13.82% 12.57% 12.90% 11.86% 8.63% 18.33% 20.72% 13.32% 6.99%
Avg Days To Max Increase 17 18 16 18 19 18 19 14 20 17 15
Avg Max Decline -1.32% -0.56% -1.36% -1.50% -1.30% -1.48% -1.71% -1.24% -1.77% -1.20% -0.46%
Max Decline -5.29% -2.07% -5.27% -4.78% -3.72% -7.55% -4.23% -3.57% -9.22% -5.95% -2.30%
Avg Days to Max Decline 8 6 6 9 12 9 10 8 7 7 2
2006 Contract Condition Yes Yes Yes Yes   Yes Yes Yes Yes Yes Yes
Action Yes Yes Yes Yes   Yes Yes Yes Yes Yes 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 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years 45 45 45 45 45 45 45 45 45 45 45
Closed Lower 17 21 16 15 21 20 25 19 25 16 15
Penetrated Low 14 14 11 8 14 14 18 14 18 9 14
Scenario Percentage 82% 67% 69% 53% 67% 70% 72% 74% 72% 56% 93%
Avg Max Decline 5.16% 5.32% 5.86% 8.04% 7.15% 7.80% 8.36% 6.93% 6.52% 4.91% 13.93%
Max Decline 11.84% 16.11% 20.20% 19.85% 27.31% 21.63% 22.00% 16.66% 32.75% 14.91% 36.34%
Avg Days To Max Decline 16 15 18 19 20 20 19 16 16 12 10
Avg Max Increase -1.12% -1.55% -1.66% -2.08% -1.52% -1.91% -1.53% -2.94% -1.86% -0.56% -3.21%
Max Increase -4.05% -6.07% -5.08% -4.02% -6.64% -5.37% -7.69% -11.34% -4.50% -2.75% -10.65%
Avg Days to Max Increase 7 7 10 14 8 10 6 12 9 5 19
2006 Contract Condition         Yes            
Action         Yes            
High 1294.90 1297.55 1310.90 1318.15 1326.70 1290.70 1280.40 1306.75 1340.30 1389.45 1407.90
Low 1245.75 1253.60 1268.40 1280.75 1245.35 1219.30 1224.55 1261.30 1290.95 1327.10 1361.00
Close/Last 1280.10 1280.65 1294.85 1310.60 1270.10 1270.20 1276.65 1303.80 1335.85 1377.95 1400.65

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