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| MRCI's ScenarioSM Study |
| ScenarioSM Study for August Feeder Cattle(CME) as of Jul 14, 2005 |
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 |
7 |
26 |
29 |
30 |
30 |
32 |
32 |
33 |
33 |
33 |
33 |
| Closed Higher |
5 |
10 |
19 |
18 |
22 |
18 |
15 |
20 |
18 |
19 |
22 |
| Exceeded High |
5 |
5 |
17 |
17 |
18 |
12 |
12 |
16 |
15 |
18 |
18 |
| Scenario Percentage |
100% |
50% |
89% |
94% |
82% |
67% |
80% |
80% |
83% |
95% |
82% |
| Avg Max Increase |
4.67% |
3.59% |
4.46% |
5.65% |
4.58% |
6.84% |
7.35% |
6.28% |
7.57% |
6.52% |
4.42% |
| Max Increase |
7.53% |
6.02% |
11.09% |
15.56% |
16.73% |
17.28% |
24.60% |
17.35% |
14.63% |
12.08% |
13.56% |
| Avg Days To Max Increase |
21 |
9 |
20 |
15 |
15 |
19 |
19 |
19 |
19 |
15 |
15 |
| Avg Max Decline |
-1.32% |
-1.35% |
-1.10% |
-0.61% |
-1.24% |
-1.46% |
-1.26% |
-1.29% |
-1.53% |
-1.41% |
-0.95% |
| Max Decline |
-2.86% |
-3.21% |
-4.34% |
-2.40% |
-4.41% |
-5.00% |
-2.71% |
-3.56% |
-4.14% |
-4.71% |
-2.83% |
| Avg Days to Max Decline |
17 |
8 |
9 |
11 |
7 |
6 |
12 |
12 |
10 |
6 |
3 |
| 2002 Contract Condition |
|
|
Yes |
Yes |
Yes |
|
|
|
|
Yes |
Yes |
| Action |
|
|
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 |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
| Tested Years |
7 |
26 |
29 |
30 |
30 |
32 |
32 |
33 |
33 |
33 |
33 |
| Closed Lower |
2 |
16 |
10 |
12 |
8 |
14 |
17 |
13 |
15 |
14 |
11 |
| Penetrated Low |
2 |
9 |
5 |
7 |
6 |
12 |
14 |
8 |
8 |
9 |
9 |
| Scenario Percentage |
100% |
56% |
50% |
58% |
75% |
86% |
82% |
62% |
53% |
64% |
82% |
| Avg Max Decline |
4.30% |
5.17% |
8.45% |
5.28% |
7.94% |
6.02% |
6.58% |
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 |
18 |
19 |
18 |
18 |
19 |
14 |
10 |
| Avg Max Increase |
-1.68% |
-0.65% |
-0.41% |
-1.14% |
-1.09% |
-0.67% |
-1.70% |
-1.76% |
-1.51% |
-2.24% |
-2.70% |
| 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 |
6 |
2 |
5 |
7 |
5 |
10 |
10 |
12 |
7 |
8 |
| 2002 Contract Condition |
|
Yes |
|
|
|
Yes |
Yes |
Yes |
Yes |
|
|
| Action |
|
Yes |
|
|
|
Yes |
Yes |
No |
No |
|
|
| High |
89.500 |
87.500 |
84.950 |
85.200 |
85.850 |
86.350 |
85.575 |
83.000 |
79.900 |
78.400 |
78.950 |
| Low |
85.550 |
83.750 |
78.450 |
82.250 |
84.150 |
83.750 |
80.825 |
71.825 |
73.800 |
74.475 |
75.400 |
| Close/Last |
85.700 |
84.400 |
84.550 |
85.100 |
85.825 |
84.075 |
81.750 |
77.875 |
74.475 |
75.500 |
76.975 |
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