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