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| MRCI's ScenarioSM Study |
| ScenarioSM Study for August Feeder Cattle(CME) as of Sep 17, 2001 |
Condition 1:
Higher Monthly Close.
Action --->
Buy that month's close with objective of exceeding month's
high within 2 months. |
| Tested Month |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
| Tested Years |
6 |
23 |
26 |
27 |
27 |
29 |
29 |
30 |
30 |
30 |
30 |
| Closed Higher |
4 |
8 |
16 |
17 |
20 |
18 |
14 |
18 |
16 |
16 |
19 |
| Exceeded High |
4 |
4 |
14 |
16 |
16 |
12 |
11 |
14 |
13 |
15 |
15 |
| Scenario Percentage |
100% |
50% |
88% |
94% |
80% |
67% |
79% |
78% |
81% |
94% |
79% |
| Avg Max Increase |
3.95% |
3.11% |
5.13% |
5.91% |
5.03% |
6.84% |
7.50% |
5.76% |
7.55% |
6.07% |
4.31% |
| Max Increase |
6.08% |
6.02% |
11.09% |
15.56% |
16.73% |
17.28% |
24.60% |
17.35% |
14.63% |
10.52% |
13.56% |
| Avg Days To Max Increase |
20 |
11 |
22 |
16 |
16 |
19 |
19 |
20 |
18 |
13 |
13 |
| Avg Max Decline |
-1.31% |
-1.62% |
-1.17% |
-0.58% |
-1.26% |
-1.46% |
-1.34% |
-1.26% |
-1.43% |
-1.50% |
-0.83% |
| Max Decline |
-2.86% |
-3.21% |
-4.34% |
-2.40% |
-4.41% |
-5.00% |
-2.71% |
-3.56% |
-4.14% |
-4.71% |
-2.27% |
| Avg Days to Max Decline |
21 |
10 |
10 |
11 |
8 |
6 |
12 |
11 |
10 |
7 |
3 |
| 2001 Contract Condition |
|
|
Yes |
Yes |
|
Yes |
|
Yes |
Yes |
|
|
| Action |
|
|
Yes |
No |
|
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 |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
| Tested Years |
6 |
23 |
26 |
27 |
27 |
29 |
29 |
30 |
30 |
30 |
30 |
| Closed Lower |
2 |
15 |
10 |
10 |
7 |
11 |
15 |
12 |
14 |
14 |
11 |
| Penetrated Low | 2 |
8 |
5 |
6 |
5 |
9 |
13 |
8 |
8 |
9 |
9 |
| Scenario Percentage |
100% |
53% |
50% |
60% |
71% |
82% |
87% |
67% |
57% |
64% |
82% |
| Avg Max Decline |
4.30% |
4.94% |
8.45% |
5.20% |
8.42% |
5.80% |
6.15% |
7.53% |
10.46% |
5.87% |
7.91% |
| Max Decline |
6.29% |
15.87% |
15.49% |
8.18% |
16.93% |
18.30% |
12.76% |
29.63% |
15.85% |
10.89% |
43.47% |
| Avg Days To Max Decline |
22 |
17 |
21 |
15 |
19 |
20 |
17 |
18 |
19 |
14 |
10 |
| Avg Max Increase |
-1.68% |
-0.71% |
-0.41% |
-1.15% |
-1.32% |
-0.48% |
-1.72% |
-1.76% |
-1.51% |
-2.24% |
-2.74% |
| Max Increase |
-1.81% |
-2.35% |
-0.75% |
-2.29% |
-4.22% |
-2.00% |
-7.40% |
-4.29% |
-3.03% |
-6.78% |
-16.02% |
| Avg Days to Max Increase |
16 |
7 |
2 |
6 |
8 |
5 |
10 |
10 |
12 |
7 |
8 |
| 2001 Contract Condition |
|
Yes |
|
|
Yes |
|
Yes |
|
|
Yes |
Yes |
| Action |
|
Yes |
|
|
No |
|
No |
|
|
Yes |
Yes |
| High |
88.475 |
88.350 |
88.350 |
89.900 |
89.850 |
89.350 |
89.500 |
89.100 |
92.100 |
92.750 |
91.600 |
| Low |
86.000 |
87.600 |
87.100 |
87.950 |
86.200 |
87.000 |
87.350 |
87.575 |
87.400 |
90.700 |
88.500 |
| Close/Last |
88.275 |
87.875 |
87.950 |
89.550 |
86.700 |
89.050 |
87.825 |
88.375 |
91.925 |
91.225 |
88.725 |
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