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| MRCI's ScenarioSM Study |
| ScenarioSM Study for May Feeder Cattle(CME) as of Feb 28, 2007 |
Condition 1:
Higher Monthly Close.
Action --->
Buy that month's close with objective of exceeding month's
high within 2 months. |
| Tested Month |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
| Tested Years |
13 |
26 |
29 |
31 |
32 |
32 |
35 |
35 |
35 |
35 |
35 |
| Closed Higher |
5 |
15 |
15 |
18 |
15 |
18 |
18 |
23 |
20 |
17 |
20 |
| Exceeded High |
5 |
10 |
11 |
15 |
11 |
16 |
18 |
19 |
16 |
16 |
13 |
| Scenario Percentage |
100% |
67% |
73% |
83% |
73% |
89% |
100% |
83% |
80% |
94% |
65% |
| Avg Max Increase |
4.07% |
3.88% |
4.80% |
4.42% |
3.35% |
4.75% |
5.16% |
5.88% |
6.58% |
6.71% |
3.65% |
| Max Increase |
6.75% |
8.60% |
10.67% |
8.83% |
6.51% |
10.55% |
17.01% |
16.55% |
21.46% |
20.48% |
11.90% |
| Avg Days To Max Increase |
15 |
20 |
17 |
22 |
17 |
18 |
15 |
17 |
18 |
14 |
15 |
| Avg Max Decline |
-0.99% |
-1.38% |
-1.60% |
-1.71% |
-0.86% |
-1.35% |
-0.94% |
-1.57% |
-2.16% |
-1.91% |
-0.45% |
| Max Decline |
-2.40% |
-4.48% |
-4.98% |
-9.65% |
-3.19% |
-4.84% |
-2.66% |
-5.66% |
-5.23% |
-4.62% |
-1.82% |
| Avg Days to Max Decline |
5 |
14 |
8 |
11 |
5 |
10 |
10 |
11 |
11 |
8 |
2 |
| 2007 Contract Condition |
Yes |
Yes |
Yes |
|
|
|
Yes |
|
Yes |
|
|
| Action |
Yes |
Yes |
Yes |
|
|
|
Yes |
|
Not Yet |
|
|
Condition 2:
Lower Monthly Close.
Action --->
Sell that month's close with objective of penetrating month's
low within 2 months.
|
| Tested Month |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
| Tested Years |
13 |
26 |
29 |
31 |
32 |
32 |
35 |
35 |
35 |
35 |
35 |
| Closed Lower |
8 |
11 |
12 |
13 |
17 |
13 |
17 |
12 |
15 |
18 |
15 |
| Penetrated Low |
7 |
8 |
8 |
11 |
12 |
7 |
9 |
10 |
11 |
15 |
8 |
| Scenario Percentage |
88% |
73% |
67% |
85% |
71% |
54% |
53% |
83% |
73% |
83% |
53% |
| Avg Max Decline |
4.66% |
4.90% |
2.09% |
3.66% |
5.47% |
7.45% |
6.76% |
7.14% |
8.36% |
7.16% |
3.87% |
| Max Decline |
7.50% |
13.63% |
4.73% |
10.14% |
18.56% |
17.50% |
16.54% |
17.19% |
18.27% |
17.99% |
7.25% |
| Avg Days To Max Decline |
13 |
15 |
11 |
18 |
18 |
22 |
22 |
20 |
20 |
13 |
13 |
| Avg Max Increase |
-1.50% |
-1.36% |
-1.23% |
-1.16% |
-1.00% |
-1.13% |
-1.37% |
-1.24% |
-1.04% |
-1.57% |
-1.74% |
| Max Increase |
-4.57% |
-5.64% |
-3.14% |
-2.23% |
-3.22% |
-2.48% |
-3.09% |
-4.46% |
-3.22% |
-7.21% |
-9.70% |
| Avg Days to Max Increase |
10 |
8 |
11 |
13 |
10 |
8 |
8 |
7 |
7 |
7 |
4 |
| 2007 Contract Condition |
|
|
|
Yes |
Yes |
Yes |
|
Yes |
|
|
|
| Action |
|
|
|
Yes |
Yes |
No |
|
Not Yet |
|
|
|
| High |
106.500 |
105.500 |
109.450 |
110.500 |
105.750 |
100.650 |
100.800 |
100.800 |
106.250 |
|
|
| Low |
101.600 |
102.400 |
103.900 |
105.000 |
99.400 |
92.150 |
97.100 |
93.500 |
97.850 |
|
|
| Close/Last |
104.200 |
104.750 |
108.750 |
105.150 |
100.050 |
97.800 |
99.700 |
98.725 |
105.950 |
|
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