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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December S & P 500(CME) as of Jan 01, 2007
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years 20 24 24 24 25 25 25 25 25 25 25
Closed Higher 13 16 16 14 16 15 10 15 10 16 18
Exceeded High 11 13 13 14 14 11 10 11 10 13 14
Scenario Percentage 85% 81% 81% 100% 88% 73% 100% 73% 100% 81% 78%
Avg Max Increase 6.45% 4.71% 5.89% 4.82% 4.42% 5.29% 3.15% 5.13% 6.10% 6.73% 2.63%
Max Increase 13.15% 9.38% 14.02% 12.49% 12.15% 11.90% 6.06% 19.72% 16.59% 11.44% 4.35%
Avg Days To Max Increase 16 14 17 17 17 16 16 13 23 10 7
Avg Max Decline -1.21% -0.68% -1.74% -1.86% -1.07% -0.87% -1.96% -1.52% -2.90% -1.17% -0.55%
Max Decline -5.09% -2.00% -6.03% -4.65% -4.36% -4.23% -3.69% -3.25% -9.45% -3.88% -1.43%
Avg Days to Max Decline 4 6 8 10 11 6 10 8 8 5 3
2006 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 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years 20 24 24 24 25 25 25 25 25 25 25
Closed Lower 7 8 8 10 9 10 15 9 15 9 7
Penetrated Low 6 4 7 4 8 5 11 8 9 3 7
Scenario Percentage 86% 50% 88% 40% 89% 50% 73% 89% 60% 33% 100%
Avg Max Decline 4.93% 7.73% 3.28% 4.55% 6.27% 11.34% 8.68% 7.58% 10.03% 5.13% 9.17%
Max Decline 7.87% 13.47% 4.26% 12.01% 27.76% 21.90% 23.21% 17.74% 44.45% 9.94% 16.13%
Avg Days To Max Decline 20 17 11 13 16 18 18 16 18 16 19
Avg Max Increase -1.59% -2.62% -1.60% -1.73% -1.50% -1.95% -2.45% -4.12% -2.93% -1.41% -2.22%
Max Increase -3.38% -6.26% -5.53% -2.77% -3.42% -3.62% -8.12% -11.95% -5.46% -2.55% -5.33%
Avg Days to Max Increase 5 11 6 7 6 7 9 14 11 4 6
2006 Contract Condition         Yes Yes          
Action         Yes No          
High 1329.70 1330.40 1341.80 1346.80 1353.80 1314.70 1299.70 1319.80 1350.70 1395.20 1411.00
Low 1282.30 1287.20 1301.70 1311.30 1268.60 1239.90 1243.90 1277.00 1302.70 1336.00 1365.60
Close/Last 1312.90 1313.70 1324.90 1338.20 1293.80 1290.90 1293.00 1316.90 1345.40 1383.20 1402.90

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