|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for August Feeder Cattle(CME) as of Jun 30, 2007 |
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 |
27 |
31 |
32 |
32 |
34 |
34 |
35 |
35 |
35 |
35 |
| Closed Higher |
5 |
11 |
20 |
19 |
23 |
18 |
16 |
21 |
20 |
20 |
22 |
| Exceeded High |
5 |
6 |
18 |
18 |
19 |
12 |
13 |
17 |
17 |
18 |
18 |
| Scenario Percentage |
100% |
55% |
90% |
95% |
83% |
67% |
81% |
81% |
85% |
90% |
82% |
| Avg Max Increase |
4.67% |
3.81% |
4.33% |
5.36% |
4.73% |
6.84% |
7.23% |
6.23% |
7.22% |
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 |
13 |
20 |
15 |
15 |
19 |
19 |
19 |
19 |
15 |
15 |
| Avg Max Decline |
-1.32% |
-1.21% |
-1.07% |
-0.62% |
-1.28% |
-1.46% |
-1.26% |
-1.23% |
-1.51% |
-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 |
7 |
9 |
11 |
8 |
6 |
12 |
11 |
9 |
6 |
3 |
| 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 |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
| Tested Years |
7 |
27 |
31 |
32 |
32 |
34 |
34 |
35 |
35 |
35 |
35 |
| Closed Lower |
2 |
16 |
11 |
13 |
9 |
16 |
18 |
14 |
15 |
15 |
13 |
| Penetrated Low |
2 |
9 |
6 |
7 |
7 |
13 |
15 |
8 |
8 |
10 |
10 |
| Scenario Percentage |
100% |
56% |
55% |
54% |
78% |
81% |
83% |
57% |
53% |
67% |
77% |
| Avg Max Decline |
4.30% |
5.17% |
7.54% |
5.28% |
7.76% |
6.17% |
6.38% |
7.53% |
10.46% |
5.65% |
7.26% |
| 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 |
22 |
15 |
19 |
18 |
17 |
18 |
19 |
14 |
10 |
| Avg Max Increase |
-1.68% |
-0.65% |
-0.51% |
-1.14% |
-0.98% |
-0.67% |
-1.62% |
-1.76% |
-1.51% |
-2.32% |
-2.50% |
| Max Increase |
-1.81% |
-2.35% |
-1.00% |
-2.29% |
-4.22% |
-2.00% |
-7.40% |
-4.29% |
-3.03% |
-6.78% |
-16.02% |
| Avg Days to Max Increase |
16 |
6 |
5 |
5 |
6 |
5 |
9 |
10 |
12 |
7 |
7 |
| 2007 Contract Condition |
|
Yes |
Yes |
|
Yes |
|
|
|
Yes |
|
|
| Action |
|
Yes |
No |
|
No |
|
|
|
Yes |
|
|
| High |
110.950 |
107.675 |
103.450 |
103.875 |
103.550 |
106.500 |
111.200 |
114.000 |
114.400 |
111.900 |
|
| Low |
106.800 |
102.250 |
95.600 |
100.000 |
96.600 |
99.700 |
105.350 |
109.250 |
108.900 |
105.500 |
|
| Close/Last |
107.050 |
102.850 |
100.850 |
102.300 |
100.625 |
106.250 |
111.025 |
112.850 |
111.430 |
111.550 |
|
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