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