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| MRCI's ScenarioSM Study |
| ScenarioSM Study for January Feeder Cattle(CME) as of Jan 07, 2009 |
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 |
10 |
22 |
24 |
28 |
28 |
29 |
31 |
31 |
31 |
31 |
31 |
| Closed Higher |
6 |
9 |
16 |
17 |
17 |
21 |
17 |
18 |
12 |
19 |
15 |
| Exceeded High |
5 |
9 |
13 |
16 |
17 |
16 |
16 |
16 |
10 |
16 |
12 |
| Scenario Percentage |
83% |
100% |
81% |
94% |
100% |
76% |
94% |
89% |
83% |
84% |
80% |
| Avg Max Increase |
6.12% |
5.90% |
4.72% |
4.97% |
5.16% |
4.34% |
4.31% |
4.81% |
4.21% |
4.58% |
3.12% |
| 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 |
22 |
15 |
18 |
21 |
18 |
15 |
12 |
20 |
15 |
16 |
15 |
| Avg Max Decline |
-0.83% |
-1.19% |
-0.88% |
-2.28% |
-1.05% |
-1.27% |
-1.24% |
-1.67% |
-1.33% |
-1.75% |
-0.55% |
| Max Decline |
-4.25% |
-7.28% |
-3.95% |
-11.41% |
-3.46% |
-5.37% |
-5.73% |
-7.29% |
-4.34% |
-5.38% |
-2.57% |
| Avg Days to Max Decline |
6 |
12 |
16 |
11 |
5 |
6 |
8 |
9 |
9 |
10 |
4 |
| 2008 Contract Condition |
Yes |
Yes |
Yes |
|
Yes |
Yes |
Yes |
|
|
|
|
| Action |
Yes |
Yes |
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 |
10 |
22 |
24 |
28 |
28 |
29 |
31 |
31 |
31 |
31 |
31 |
| Closed Lower |
4 |
13 |
8 |
11 |
11 |
8 |
14 |
12 |
19 |
12 |
15 |
| Penetrated Low |
3 |
11 |
3 |
6 |
8 |
6 |
10 |
12 |
11 |
8 |
8 |
| Scenario Percentage |
75% |
85% |
38% |
55% |
73% |
75% |
71% |
100% |
58% |
67% |
53% |
| Avg Max Decline |
6.12% |
4.11% |
5.04% |
5.62% |
5.73% |
4.01% |
2.46% |
5.08% |
6.74% |
7.62% |
11.44% |
| Max Decline |
6.89% |
11.95% |
7.31% |
10.44% |
10.88% |
5.89% |
5.40% |
14.66% |
14.68% |
13.88% |
44.07% |
| Avg Days To Max Decline |
22 |
20 |
18 |
20 |
17 |
10 |
16 |
16 |
18 |
17 |
17 |
| Avg Max Increase |
-0.10% |
-1.76% |
-0.27% |
-0.66% |
-1.67% |
-2.13% |
-1.94% |
-1.39% |
-1.77% |
-1.57% |
-1.24% |
| 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 |
3 |
9 |
5 |
10 |
10 |
11 |
16 |
8 |
12 |
9 |
5 |
| 2008 Contract Condition |
|
|
|
Yes |
|
|
|
Yes |
Yes |
Yes |
Yes |
| Action |
|
|
|
Yes |
|
|
|
Yes |
Yes |
Yes |
Yes |
| High |
104.200 |
107.500 |
108.800 |
109.550 |
110.250 |
115.200 |
116.500 |
117.500 |
115.150 |
111.300 |
108.675 |
| Low |
97.975 |
103.750 |
106.250 |
105.600 |
104.500 |
109.600 |
112.400 |
113.450 |
107.750 |
107.000 |
102.850 |
| Close/Last |
104.200 |
107.500 |
108.800 |
107.900 |
110.250 |
114.900 |
115.430 |
115.335 |
108.400 |
107.700 |
105.100 |
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