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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May Cocoa(ICE) 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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Higher   23 27 24 22 14 20 26 15 20 22 20
Exceeded High   19 20 17 16 14 15 20 15 15 18 9
Scenario Percentage   83% 74% 71% 73% 100% 75% 77% 100% 75% 82% 45%
Avg Max Increase   12.02% 13.57% 12.36% 11.34% 9.64% 12.05% 14.31% 10.85% 17.41% 10.72% 6.87%
Max Increase   27.80% 37.58% 34.66% 26.15% 20.86% 24.73% 56.27% 26.21% 65.86% 39.74% 22.25%
Avg Days To Max Increase   18 15 15 16 16 14 15 17 20 13 11
Avg Max Decline   -2.24% -3.62% -2.24% -3.87% -1.92% -3.16% -3.40% -3.26% -3.20% -3.84% -2.01%
Max Decline   -13.94% -12.03% -9.43% -8.69% -8.39% -9.06% -13.44% -13.28% -10.58% -7.85% -6.60%
Avg Days to Max Decline   9 8 7 9 7 8 9 9 12 6 3
2010 Contract Condition     Yes   Yes Yes   Yes     Yes Yes
Action     Yes   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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Lower   22 18 21 22 31 25 19 30 25 23 25
Penetrated Low   12 15 17 19 23 17 15 23 21 20 16
Scenario Percentage   55% 83% 81% 86% 74% 68% 79% 77% 84% 87% 64%
Avg Max Decline   8.65% 7.70% 10.08% 9.15% 7.49% 6.96% 9.43% 9.75% 10.96% 11.41% 5.27%
Max Decline   21.79% 24.31% 33.40% 26.03% 13.61% 19.75% 21.46% 19.84% 30.75% 25.76% 13.83%
Avg Days To Max Decline   15 17 20 20 16 16 13 19 20 13 9
Avg Max Increase   -2.27% -2.01% -3.89% -1.93% -2.52% -3.35% -3.42% -2.17% -3.85% -3.01% -1.57%
Max Increase   -6.44% -6.64% -13.43% -8.12% -13.00% -11.04% -13.94% -8.99% -23.79% -10.49% -5.79%
Avg Days to Max Increase   7 11 15 11 7 10 10 8 10 7 2
2010 Contract Condition   Yes   Yes     Yes   Yes Yes    
Action   No   No     No   Yes Yes    
High 2675 2865 2971 3032 3248 3444 3368 3514 3512 3246 2991 3234
Low 2344 2475 2514 2742 2839 3003 3120 3245 3220 2903 2745 2817
Close/Last 2639 2560 2950 2827 3172 3342 3276 3310 3229 2917 2969 3229

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