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| MRCI's ScenarioSM Study |
| ScenarioSM Study for January Feeder Cattle(CME) as of Sep 30, 2006 |
Condition 1:
Higher Monthly Close.
Action --->
Buy that month's close with objective of exceeding month's
high within 2 months. |
| Tested Month |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
| Tested Years |
8 |
20 |
22 |
26 |
26 |
27 |
29 |
29 |
29 |
29 |
29 |
| Closed Higher |
5 |
8 |
15 |
16 |
15 |
19 |
15 |
18 |
12 |
19 |
14 |
| Exceeded High |
4 |
8 |
12 |
15 |
15 |
14 |
14 |
16 |
10 |
16 |
11 |
| Scenario Percentage |
80% |
100% |
80% |
94% |
100% |
74% |
93% |
89% |
83% |
84% |
79% |
| Avg Max Increase |
6.54% |
6.40% |
5.00% |
4.84% |
5.00% |
4.38% |
4.67% |
4.81% |
4.21% |
4.41% |
3.21% |
| Max Increase |
15.76% |
23.36% |
14.18% |
9.86% |
10.16% |
9.97% |
15.07% |
12.29% |
8.07% |
10.33% |
7.28% |
| Avg Days To Max Increase |
20 |
14 |
17 |
21 |
17 |
16 |
12 |
20 |
15 |
16 |
16 |
| Avg Max Decline |
-0.93% |
-1.12% |
-0.63% |
-2.37% |
-1.09% |
-1.17% |
-1.41% |
-1.67% |
-1.33% |
-1.75% |
-0.61% |
| Max Decline |
-4.25% |
-7.28% |
-2.36% |
-11.41% |
-3.46% |
-5.37% |
-5.73% |
-7.29% |
-4.34% |
-5.38% |
-2.57% |
| Avg Days to Max Decline |
7 |
9 |
13 |
11 |
4 |
6 |
9 |
9 |
9 |
10 |
4 |
| 2007 Contract Condition |
|
|
|
Yes |
Yes |
Yes |
Yes |
|
Yes |
|
|
| Action |
|
|
|
Yes |
Yes |
Yes |
Yes |
|
|
|
|
Condition 2:
Lower Monthly Close.
Action --->
Sell that month's close with objective of penetrating month's
low within 2 months.
|
| Tested Month |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
| Tested Years |
8 |
20 |
22 |
26 |
26 |
27 |
29 |
29 |
29 |
29 |
29 |
| Closed Lower |
3 |
12 |
7 |
10 |
11 |
8 |
14 |
10 |
17 |
10 |
14 |
| Penetrated Low |
2 |
10 |
3 |
5 |
8 |
6 |
10 |
10 |
9 |
6 |
7 |
| Scenario Percentage |
67% |
83% |
43% |
50% |
73% |
75% |
71% |
100% |
53% |
60% |
50% |
| Avg Max Decline |
5.73% |
4.13% |
5.04% |
6.11% |
5.73% |
4.01% |
2.46% |
3.91% |
6.69% |
7.38% |
11.79% |
| Max Decline |
5.96% |
11.95% |
7.31% |
10.44% |
10.88% |
5.89% |
5.40% |
10.80% |
14.68% |
13.88% |
44.07% |
| Avg Days To Max Decline |
21 |
20 |
18 |
21 |
17 |
10 |
16 |
18 |
18 |
17 |
17 |
| Avg Max Increase |
-0.07% |
-1.94% |
-0.27% |
-0.91% |
-1.67% |
-2.13% |
-1.94% |
-1.55% |
-1.76% |
-1.45% |
-1.45% |
| Max Increase |
-0.14% |
-6.97% |
-0.84% |
-1.76% |
-4.42% |
-6.75% |
-6.22% |
-4.88% |
-3.99% |
-3.74% |
-4.18% |
| Avg Days to Max Increase |
4 |
9 |
5 |
12 |
10 |
11 |
16 |
9 |
11 |
6 |
6 |
| 2007 Contract Condition |
Yes |
Yes |
Yes |
|
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|
|
Yes |
|
|
|
| Action |
Yes |
Yes |
No |
|
|
|
|
Not Yet |
|
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|
| High |
108.375 |
104.600 |
101.250 |
103.750 |
110.500 |
109.000 |
114.100 |
115.500 |
109.600 |
|
|
| Low |
104.400 |
101.300 |
97.250 |
98.400 |
102.450 |
105.600 |
107.100 |
108.000 |
108.250 |
|
|
| Close/Last |
104.450 |
101.300 |
98.400 |
103.400 |
106.600 |
109.000 |
113.425 |
108.450 |
109.200 |
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