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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March S & P 500(CME) as of Dec 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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   25 27 28 28 28 28 28 28 28 28 28
Closed Higher   16 17 14 11 19 13 17 19 21 18 16
Exceeded High   16 14 9 10 14 13 14 19 21 16 12
Scenario Percentage   100% 82% 64% 91% 74% 100% 82% 100% 100% 89% 75%
Avg Max Increase   4.87% 4.59% 6.96% 4.02% 5.40% 5.59% 7.69% 5.20% 5.16% 4.98% 3.21%
Max Increase   12.41% 12.17% 13.42% 9.71% 19.53% 16.68% 13.57% 13.40% 12.72% 11.01% 6.04%
Avg Days To Max Increase   14 18 18 15 14 19 18 14 14 13 11
Avg Max Decline   -1.52% -1.45% -1.03% -1.68% -1.62% -2.74% -1.54% -1.82% -2.09% -1.47% -0.69%
Max Decline   -4.82% -5.33% -5.52% -3.97% -4.25% -9.43% -5.70% -5.53% -6.31% -5.15% -1.89%
Avg Days to Max Decline   9 11 7 9 10 7 7 14 6 6 3
2010 Contract Condition   Yes Yes Yes Yes Yes Yes   Yes Yes   Yes
Action   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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   25 27 28 28 28 28 28 28 28 28 28
Closed Lower   9 10 14 17 9 15 11 9 7 10 12
Penetrated Low   4 9 9 13 8 9 4 6 4 7 6
Scenario Percentage   44% 90% 64% 76% 89% 60% 36% 67% 57% 70% 50%
Avg Max Decline   4.38% 6.45% 8.71% 8.81% 7.62% 13.74% 10.72% 5.21% 10.23% 7.03% 5.92%
Max Decline   12.05% 28.08% 22.15% 23.47% 17.95% 45.02% 23.73% 15.93% 15.02% 19.06% 9.33%
Avg Days To Max Decline   13 17 17 19 16 19 17 11 20 15 10
Avg Max Increase   -1.50% -1.53% -1.75% -2.53% -3.82% -2.88% -2.31% -2.05% -3.43% -2.37% -0.45%
Max Increase   -2.76% -3.41% -3.52% -8.05% -12.00% -5.50% -3.73% -5.32% -6.55% -6.12% -2.25%
Avg Days to Max Increase   7 5 7 9 14 11 11 7 14 5 3
2010 Contract Condition               Yes     Yes  
Action               No     Yes  
High 820.80 872.20 917.40 942.20 986.50 1029.10 1070.90 1093.70 1106.30 1128.20 1147.90 1112.70
Low 657.80 770.30 853.00 877.00 857.20 967.20 983.80 1010.80 1021.00 1081.00 1066.70 1041.00
Close/Last 785.30 860.00 905.50 907.30 976.10 1010.80 1048.40 1028.00 1089.90 1110.70 1070.40 1103.40

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