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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 Apr 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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Higher   19 27 20 26 30 32 26 23 30 31 25
Exceeded High   18 21 18 23 27 30 24 19 25 26 19
Scenario Percentage   95% 78% 90% 88% 90% 94% 92% 83% 83% 84% 76%
Avg Max Increase   4.83% 5.33% 6.70% 6.11% 5.76% 4.86% 5.60% 5.72% 6.39% 4.89% 3.41%
Max Increase   9.38% 18.33% 20.72% 13.32% 12.74% 12.32% 13.54% 11.08% 16.58% 12.57% 7.19%
Avg Days To Max Increase   18 13 19 17 18 15 18 18 17 16 17
Avg Max Decline   -1.65% -1.37% -1.86% -1.14% -1.80% -1.63% -1.30% -0.58% -1.42% -1.50% -0.68%
Max Decline   -4.23% -3.57% -9.22% -5.38% -5.32% -6.33% -5.29% -2.07% -5.27% -4.78% -3.68%
Avg Days to Max Decline   9 7 7 7 16 6 7 6 6 7 4
2011 Contract Condition   Yes   Yes Yes   Yes Yes Yes   Yes  
Action   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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Lower   26 18 24 18 15 13 19 22 15 14 20
Penetrated Low   20 14 17 10 10 8 17 16 10 7 12
Scenario Percentage   77% 78% 71% 56% 67% 62% 89% 73% 67% 50% 60%
Avg Max Decline   8.45% 6.93% 8.58% 6.77% 4.90% 7.69% 6.06% 5.91% 4.42% 6.35% 3.69%
Max Decline   22.00% 16.66% 36.38% 23.51% 14.25% 13.50% 19.26% 16.11% 7.85% 14.97% 10.71%
Avg Days To Max Decline   19 16 15 13 11 20 15 15 17 18 18
Avg Max Increase   -1.72% -2.94% -1.65% -0.91% -0.72% -2.13% -1.51% -1.24% -1.85% -2.10% -1.98%
Max Increase   -7.69% -11.34% -4.50% -4.00% -5.64% -6.28% -5.95% -6.07% -5.08% -4.02% -6.64%
Avg Days to Max Increase   6 12 8 5 7 5 6 7 10 15 5
2011 Contract Condition     Yes     Yes       Yes   Yes
Action     No     No       Not Yet    
High 1131.25 1120.95 1129.25 1157.15 1196.15 1227.10 1262.60 1302.65 1344.05 1332.30 1364.55 1370.60
Low 1028.35 1010.90 1039.70 1049.70 1131.85 1173.00 1186.60 1257.60 1289.15 1250.10 1294.70 1358.60
Close/Last 1030.70 1101.60 1049.35 1141.20 1183.25 1180.55 1257.65 1286.10 1327.20 1325.85 1363.60 1361.20

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