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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 May 31, 2010
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Higher   27 29 32 27 22 29 31 25 25 19 27
Exceeded High   24 26 30 25 18 24 27 20 20 18 20
Scenario Percentage   89% 90% 94% 93% 82% 83% 87% 80% 80% 95% 74%
Avg Max Increase   5.93% 5.79% 4.87% 5.38% 5.45% 6.48% 4.77% 5.13% 5.22% 4.83% 3.35%
Max Increase   13.32% 12.74% 12.32% 13.54% 11.08% 16.58% 12.57% 12.90% 13.07% 9.38% 7.97%
Avg Days To Max Increase   18 18 14 17 18 16 16 19 19 18 17
Avg Max Decline   -1.10% -1.83% -1.66% -1.25% -0.62% -1.48% -1.44% -1.55% -1.78% -1.65% -0.94%
Max Decline   -5.38% -5.32% -6.33% -5.29% -2.07% -5.27% -4.78% -5.42% -7.55% -4.23% -3.57%
Avg Days to Max Decline   7 16 6 7 7 7 7 15 10 9 3
2010 Contract Condition     Yes Yes   Yes Yes Yes        
Action     Yes Yes   Yes Yes Not Yet        
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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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Lower   17 16 13 18 23 16 14 20 20 26 18
Penetrated Low   10 11 8 16 16 10 7 13 15 20 9
Scenario Percentage   59% 69% 62% 89% 70% 63% 50% 65% 75% 77% 50%
Avg Max Decline   6.77% 4.58% 7.69% 6.27% 5.91% 4.42% 6.35% 6.75% 8.14% 8.36% 7.11%
Max Decline   23.51% 14.25% 13.50% 19.26% 16.11% 7.85% 14.97% 27.31% 21.63% 22.00% 16.66%
Avg Days To Max Decline   13 11 20 16 15 17 18 19 19 19 22
Avg Max Increase   -0.91% -0.65% -2.13% -1.43% -1.24% -1.85% -2.10% -1.67% -1.99% -1.72% -1.31%
Max Increase   -4.00% -5.64% -6.28% -5.95% -6.07% -5.08% -4.02% -6.64% -5.37% -7.69% -4.51%
Avg Days to Max Increase   5 7 5 7 7 10 15 8 10 6 5
2010 Contract Condition   Yes     Yes       Yes Yes    
Action   No     Yes       Not Yet      
High 1080.15 1101.35 1113.70 1130.40 1150.45 1112.40 1180.70 1219.80 1205.15 1094.75    
Low 991.95 1019.95 1029.40 1085.90 1071.60 1044.50 1105.35 1170.70 1040.80 1069.90    
Close/Last 1057.10 1036.20 1095.65 1115.10 1073.85 1104.50 1169.45 1186.70 1089.40 1070.70    

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