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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, 2010
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 27 22 29 31 25 25 19 27 20 26 30
Exceeded High 25 18 24 27 20 20 18 21 18 23 23
Scenario Percentage 93% 82% 83% 87% 80% 80% 95% 78% 90% 88% 77%
Avg Max Increase 5.38% 5.45% 6.48% 4.77% 5.13% 5.22% 4.83% 5.33% 6.70% 6.06% 3.43%
Max Increase 13.54% 11.08% 16.58% 12.57% 12.90% 13.07% 9.38% 18.33% 20.72% 13.32% 6.99%
Avg Days To Max Increase 17 18 16 16 19 19 18 13 19 17 16
Avg Max Decline -1.25% -0.62% -1.48% -1.44% -1.55% -1.78% -1.65% -1.37% -1.86% -1.14% -0.48%
Max Decline -5.29% -2.07% -5.27% -4.78% -5.42% -7.55% -4.23% -3.57% -9.22% -5.38% -2.30%
Avg Days to Max Decline 7 7 7 7 15 10 9 7 7 7 2
2009 Contract Condition     Yes Yes Yes Yes Yes Yes Yes   Yes
Action     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 18 23 16 14 20 20 26 18 24 18 15
Penetrated Low 16 16 10 7 13 15 20 14 17 10 14
Scenario Percentage 89% 70% 62% 50% 65% 75% 77% 78% 71% 56% 93%
Avg Max Decline 6.27% 5.91% 4.42% 6.35% 6.75% 8.14% 8.45% 6.93% 8.58% 6.77% 11.83%
Max Decline 19.26% 16.11% 7.85% 14.97% 27.31% 21.63% 22.00% 16.66% 36.38% 23.51% 36.34%
Avg Days To Max Decline 16 15 17 18 19 19 19 16 15 13 12
Avg Max Increase -1.43% -1.24% -1.85% -2.10% -1.67% -1.99% -1.72% -2.94% -1.65% -0.91% -3.35%
Max Increase -5.95% -6.07% -5.08% -4.02% -6.64% -5.37% -7.69% -11.34% -4.50% -4.00% -10.65%
Avg Days to Max Increase 7 7 10 15 8 10 6 12 8 5 16
2009 Contract Condition Yes Yes               Yes  
Action Yes Yes               No  
High 943.85 875.00 833.00 888.70 930.15 956.25 996.70 1039.45 1080.15 1101.35 1113.70
Low 804.30 734.50 666.80 783.30 866.10 888.85 869.30 978.50 991.95 1019.95 1029.40
Close/Last 825.90 735.10 797.85 872.80 919.15 919.30 987.50 1020.60 1057.10 1036.20 1095.65

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