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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for June S & P 500(CME) as of Jan 01, 2009
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   23 26 26 26 26 26 26 26 26 26 27
Closed Higher   9 17 12 17 18 19 18 15 17 16 18
Exceeded High   9 12 11 14 18 18 16 12 14 15 13
Scenario Percentage   100% 71% 92% 82% 100% 95% 89% 80% 82% 94% 72%
Avg Max Increase   3.16% 5.55% 5.89% 7.46% 5.23% 5.57% 5.87% 4.99% 6.12% 4.61% 2.46%
Max Increase   5.86% 19.35% 16.77% 13.74% 13.76% 12.67% 13.16% 9.51% 14.04% 11.98% 5.69%
Avg Days To Max Increase   18 14 20 20 16 16 17 13 18 13 9
Avg Max Decline   -1.31% -1.34% -2.43% -1.22% -1.86% -2.25% -1.44% -0.81% -1.72% -1.56% -0.39%
Max Decline   -3.05% -3.31% -9.21% -5.77% -5.55% -6.34% -5.18% -1.92% -5.91% -4.79% -1.53%
Avg Days to Max Decline   5 8 8 7 15 6 5 4 9 7 2
2008 Contract Condition     Yes Yes Yes           Yes Yes
Action     Yes Yes No           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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   23 26 26 26 26 26 26 26 26 26 27
Closed Lower   14 9 14 8 8 7 8 11 9 10 8
Penetrated Low   10 8 8 3 6 4 7 6 7 4 5
Scenario Percentage   71% 89% 57% 38% 75% 57% 88% 55% 78% 40% 63%
Avg Max Decline   7.64% 7.40% 10.41% 6.33% 5.13% 10.18% 5.47% 7.04% 3.31% 3.87% 3.82%
Max Decline   21.10% 15.32% 42.85% 13.01% 15.58% 14.67% 9.36% 13.27% 4.41% 9.21% 8.38%
Avg Days To Max Decline   17 16 19 16 11 20 22 16 10 10 12
Avg Max Increase   -2.03% -3.72% -3.33% -1.83% -1.92% -3.22% -1.79% -1.57% -1.63% -1.86% -1.30%
Max Increase   -6.51% -12.09% -6.02% -2.52% -5.01% -6.30% -4.08% -6.13% -5.66% -2.96% -3.36%
Avg Days to Max Increase   8 13 12 14 5 14 8 10 6 7 3
2008 Contract Condition   Yes       Yes Yes Yes Yes Yes    
Action   Yes       Yes Yes Yes Yes No    
High 1596.40 1605.70 1545.20 1573.40 1608.30 1557.30 1542.10 1487.00 1401.00 1361.00 1407.00 1440.70
Low 1533.20 1493.10 1409.40 1476.70 1514.80 1426.30 1457.80 1268.00 1322.40 1253.10 1315.80 1370.70
Close/Last 1553.30 1497.10 1511.70 1558.90 1575.30 1502.00 1486.00 1382.50 1333.30 1324.00 1386.00 1400.60

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