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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for April Feeder Cattle(CME) 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 Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar
Tested Years   12 27 33 34 34 36 36 38 38 38 38
Closed Higher   7 15 21 17 17 13 20 22 24 21 19
Exceeded High   7 14 14 14 14 8 18 21 20 16 16
Scenario Percentage   100% 93% 67% 82% 82% 62% 90% 95% 83% 76% 84%
Avg Max Increase   5.49% 4.78% 3.53% 3.96% 4.27% 4.26% 4.80% 5.69% 6.09% 7.88% 4.42%
Max Increase   9.27% 9.99% 8.89% 10.58% 8.15% 7.62% 10.71% 16.45% 18.88% 21.09% 13.09%
Avg Days To Max Increase   19 19 15 14 21 19 19 16 16 12 14
Avg Max Decline   -3.37% -0.89% -1.22% -1.37% -1.15% -1.33% -1.38% -1.22% -1.64% -1.39% -0.87%
Max Decline   -9.58% -2.54% -4.91% -5.68% -4.22% -3.55% -4.91% -6.72% -5.36% -4.58% -4.35%
Avg Days to Max Decline   10 11 9 9 10 8 9 8 10 5 1
2010 Contract Condition   Yes   Yes         Yes Yes Yes Yes
Action   Yes   No         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 Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar
Tested Years   12 27 33 34 34 36 36 38 38 38 38
Closed Lower   5 12 12 17 17 22 16 16 14 17 19
Penetrated Low   4 8 9 11 15 15 9 10 10 12 10
Scenario Percentage   80% 67% 75% 65% 88% 68% 56% 63% 71% 71% 53%
Avg Max Decline   3.86% 5.52% 4.96% 3.84% 5.12% 6.72% 7.23% 6.93% 7.88% 8.14% 5.30%
Max Decline   8.48% 10.47% 14.00% 14.09% 15.76% 18.71% 17.23% 15.63% 16.52% 13.35% 9.69%
Avg Days To Max Decline   23 11 14 14 20 17 16 21 22 13 12
Avg Max Increase   -0.84% -1.19% -2.05% -1.18% -0.84% -1.26% -0.98% -1.54% -2.16% -0.40% -0.48%
Max Increase   -3.76% -4.71% -6.32% -2.92% -2.23% -3.41% -3.15% -3.59% -6.36% -2.82% -1.71%
Avg Days to Max Increase   7 5 11 10 8 13 6 9 7 4 2
2010 Contract Condition     Yes   Yes Yes Yes Yes        
Action     No   Yes Yes Yes Yes        
High 98.950 99.700 99.700 102.400 102.400 102.250 99.200 97.600 97.650 101.400 104.300 110.700
Low 98.950 98.100 95.000 99.700 100.000 98.100 95.500 93.700 92.925 96.800 98.800 102.500
Close/Last 98.950 99.700 99.000 101.900 100.500 99.050 96.400 95.200 97.625 100.950 102.500 110.425

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