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| MRCI's ScenarioSM Study |
| ScenarioSM Study for October 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 |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
| Tested Years |
5 |
26 |
29 |
32 |
33 |
33 |
33 |
33 |
33 |
33 |
33 |
| Closed Higher |
3 |
16 |
21 |
19 |
14 |
20 |
20 |
19 |
20 |
20 |
18 |
| Exceeded High |
3 |
16 |
18 |
12 |
12 |
14 |
17 |
18 |
17 |
18 |
12 |
| Scenario Percentage |
100% |
100% |
86% |
63% |
86% |
70% |
85% |
95% |
85% |
90% |
67% |
| Avg Max Increase |
6.93% |
5.45% |
4.24% |
6.20% |
5.99% |
6.62% |
6.83% |
7.49% |
5.26% |
5.11% |
2.92% |
| Max Increase |
10.29% |
14.38% |
15.47% |
13.16% |
24.60% |
17.00% |
17.69% |
33.68% |
13.80% |
17.30% |
10.87% |
| Avg Days To Max Increase |
21 |
14 |
13 |
19 |
17 |
21 |
22 |
15 |
15 |
12 |
11 |
| Avg Max Decline |
-0.56% |
-0.49% |
-0.95% |
-1.21% |
-1.16% |
-1.08% |
-1.71% |
-1.50% |
-1.74% |
-1.40% |
-0.72% |
| Max Decline |
-1.01% |
-1.90% |
-3.21% |
-5.02% |
-2.84% |
-3.10% |
-7.28% |
-4.59% |
-6.61% |
-7.38% |
-2.04% |
| Avg Days to Max Decline |
9 |
7 |
8 |
8 |
6 |
12 |
11 |
8 |
6 |
3 |
3 |
| 2001 Contract Condition |
Yes |
Yes |
|
Yes |
|
Yes |
Yes |
|
|
Yes |
|
| Action |
Yes |
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 |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
| Tested Years |
5 |
26 |
29 |
32 |
33 |
33 |
33 |
33 |
33 |
33 |
33 |
| Closed Lower |
2 |
10 |
8 |
13 |
19 |
13 |
13 |
13 |
13 |
13 |
14 |
| Penetrated Low |
1 |
5 |
5 |
11 |
15 |
8 |
11 |
9 |
11 |
9 |
8 |
| Scenario Percentage |
50% |
50% |
63% |
85% |
79% |
62% |
85% |
69% |
85% |
69% |
57% |
| Avg Max Decline |
9.34% |
6.04% |
8.96% |
5.64% |
7.26% |
7.61% |
6.81% |
6.76% |
6.97% |
5.55% |
10.57% |
| Max Decline |
9.34% |
8.12% |
16.84% |
14.96% |
30.86% |
31.86% |
13.63% |
12.55% |
24.37% |
16.33% |
48.40% |
| Avg Days To Max Decline |
31 |
23 |
21 |
17 |
18 |
10 |
16 |
14 |
13 |
10 |
15 |
| Avg Max Increase |
-0.68% |
-1.17% |
-1.20% |
-0.65% |
-1.72% |
-0.82% |
-1.32% |
-1.66% |
-3.00% |
-0.90% |
-1.83% |
| Max Increase |
-0.68% |
-2.26% |
-4.16% |
-1.74% |
-6.89% |
-2.02% |
-4.47% |
-4.73% |
-7.79% |
-4.23% |
-4.09% |
| Avg Days to Max Increase |
8 |
6 |
9 |
5 |
9 |
5 |
5 |
7 |
9 |
3 |
5 |
| 2001 Contract Condition |
|
|
Yes |
|
Yes |
|
|
Yes |
Yes |
|
Yes |
| Action |
|
|
No |
|
No |
|
|
Yes |
Yes |
|
Yes |
| High |
88.350 |
89.350 |
89.475 |
88.900 |
88.875 |
88.700 |
91.300 |
92.100 |
91.000 |
90.400 |
91.300 |
| Low |
87.075 |
87.800 |
86.050 |
87.000 |
87.100 |
87.700 |
87.250 |
90.100 |
89.125 |
88.200 |
85.025 |
| Close/Last |
87.800 |
89.325 |
86.750 |
88.800 |
87.400 |
88.350 |
91.275 |
90.750 |
89.300 |
90.150 |
85.200 |
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