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| MRCI's ScenarioSM Study |
| ScenarioSM Study for March Feeder Cattle(CME) as of Nov 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 |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
| Tested Years |
7 |
24 |
28 |
31 |
32 |
32 |
34 |
34 |
34 |
34 |
34 |
| Closed Higher |
5 |
13 |
15 |
18 |
18 |
19 |
12 |
20 |
18 |
19 |
15 |
| Exceeded High |
3 |
11 |
14 |
12 |
13 |
15 |
8 |
18 |
17 |
15 |
7 |
| Scenario Percentage |
60% |
85% |
93% |
67% |
72% |
79% |
67% |
90% |
94% |
79% |
47% |
| Avg Max Increase |
7.82% |
4.93% |
4.58% |
3.92% |
4.85% |
5.36% |
4.03% |
6.01% |
6.12% |
6.75% |
5.11% |
| Max Increase |
13.41% |
8.56% |
9.73% |
9.12% |
11.69% |
8.82% |
5.76% |
22.42% |
15.82% |
16.68% |
10.89% |
| Avg Days To Max Increase |
21 |
20 |
19 |
17 |
17 |
22 |
15 |
16 |
16 |
14 |
14 |
| Avg Max Decline |
-0.25% |
-1.94% |
-0.82% |
-1.33% |
-1.92% |
-2.06% |
-1.37% |
-1.53% |
-1.17% |
-1.72% |
-0.56% |
| Max Decline |
-0.67% |
-10.19% |
-2.48% |
-5.11% |
-5.64% |
-9.63% |
-4.75% |
-5.65% |
-3.58% |
-8.80% |
-1.37% |
| Avg Days to Max Decline |
3 |
12 |
8 |
6 |
11 |
12 |
6 |
9 |
6 |
7 |
2 |
| 2007 Contract Condition |
|
|
Yes |
Yes |
Yes |
|
|
|
|
|
|
| Action |
|
|
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 |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
| Tested Years |
7 |
24 |
28 |
31 |
32 |
32 |
34 |
34 |
34 |
34 |
34 |
| Closed Lower |
2 |
11 |
13 |
13 |
14 |
13 |
22 |
13 |
16 |
15 |
18 |
| Penetrated Low |
|
6 |
10 |
10 |
8 |
11 |
14 |
8 |
10 |
12 |
12 |
| Scenario Percentage |
0% |
55% |
77% |
77% |
57% |
85% |
64% |
62% |
63% |
80% |
67% |
| Avg Max Decline |
|
5.51% |
5.44% |
4.93% |
3.41% |
3.64% |
6.74% |
9.10% |
7.45% |
6.54% |
9.53% |
| Max Decline |
|
9.41% |
10.51% |
14.35% |
9.05% |
10.04% |
17.94% |
16.94% |
15.28% |
12.39% |
33.13% |
| Avg Days To Max Decline |
|
18 |
14 |
14 |
12 |
19 |
19 |
18 |
21 |
17 |
20 |
| Avg Max Increase |
|
-1.00% |
-1.22% |
-1.71% |
-0.90% |
-1.11% |
-1.63% |
-1.85% |
-1.79% |
-1.80% |
-0.74% |
| Max Increase |
|
-1.73% |
-4.09% |
-5.95% |
-3.02% |
-2.93% |
-3.32% |
-7.17% |
-4.74% |
-5.58% |
-2.47% |
| Avg Days to Max Increase |
|
10 |
9 |
9 |
5 |
8 |
12 |
9 |
9 |
8 |
4 |
| 2007 Contract Condition |
|
|
|
|
|
Yes |
Yes |
Yes |
|
|
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| Action |
|
|
|
|
|
Yes |
Yes |
Not Yet |
|
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| High |
|
102.500 |
109.000 |
106.300 |
110.500 |
111.700 |
107.000 |
100.900 |
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|
| Low |
|
98.000 |
101.500 |
103.000 |
103.700 |
105.600 |
99.450 |
91.150 |
|
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| Close/Last |
|
102.500 |
104.400 |
105.200 |
109.600 |
105.950 |
99.950 |
96.900 |
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