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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, 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   45 45 45 45 45 45 45 45 45 45 45
Closed Higher   26 24 30 30 25 25 19 27 20 26 29
Exceeded High   24 20 25 26 20 20 18 21 18 22 22
Scenario Percentage   92% 83% 83% 87% 80% 80% 95% 78% 90% 85% 76%
Avg Max Increase   5.86% 5.34% 6.24% 4.90% 5.13% 5.17% 4.97% 5.26% 6.95% 6.47% 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   18 17 17 16 19 20 18 13 19 18 16
Avg Max Decline   -1.25% -1.01% -1.34% -1.50% -1.55% -1.93% -1.95% -1.41% -1.90% -1.18% -0.56%
Max Decline   -5.29% -5.81% -5.27% -4.78% -5.42% -7.55% -5.62% -3.57% -9.22% -5.38% -2.30%
Avg Days to Max Decline   7 7 6 7 15 10 9 7 7 7 3
2012 Contract Condition   Yes Yes Yes     Yes Yes Yes Yes   Yes
Action   Yes Yes Yes     Yes 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   45 45 45 45 45 45 45 45 45 45 45
Closed Lower   19 21 15 15 20 20 26 18 24 18 16
Penetrated Low   17 15 9 8 13 16 20 14 17 10 8
Scenario Percentage   89% 71% 60% 53% 65% 80% 77% 78% 71% 56% 50%
Avg Max Decline   6.06% 6.02% 4.22% 6.73% 7.18% 8.04% 8.64% 7.41% 8.62% 6.96% 3.65%
Max Decline   19.26% 16.11% 7.85% 14.97% 27.31% 21.63% 22.00% 16.66% 36.38% 23.51% 7.08%
Avg Days To Max Decline   15 15 17 16 16 17 18 16 15 13 9
Avg Max Increase   -1.51% -1.41% -1.67% -1.99% -1.80% -1.85% -1.75% -2.72% -1.80% -1.19% -0.52%
Max Increase   -5.95% -6.07% -5.08% -4.02% -6.64% -5.37% -7.69% -11.34% -4.50% -4.00% -5.64%
Avg Days to Max Increase   6 7 9 13 7 9 6 11 8 5 3
2012 Contract Condition         Yes Yes         Yes  
Action         Yes Yes         Yes  
High 1269.35 1333.45 1378.05 1419.15 1422.40 1415.30 1363.45 1391.75 1426.70 1474.50 1470.95 1434.25
Low 1202.35 1258.85 1314.70 1340.05 1357.40 1292.00 1266.75 1325.40 1354.65 1396.55 1403.30 1343.35
Close/Last 1257.60 1312.40 1365.70 1408.45 1397.90 1310.35 1362.15 1379.30 1406.60 1440.65 1412.15 1416.20

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