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| MRCI's ScenarioSM Study |
| ScenarioSM Study for November Feeder Cattle(CME) as of Aug 31, 2007 |
Condition 1:
Higher Monthly Close.
Action --->
Buy that month's close with objective of exceeding month's
high within 2 months. |
| Tested Month |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
| Tested Years |
12 |
27 |
32 |
33 |
34 |
35 |
35 |
35 |
35 |
35 |
35 |
| Closed Higher |
9 |
19 |
16 |
14 |
20 |
21 |
21 |
21 |
21 |
21 |
15 |
| Exceeded High |
9 |
15 |
10 |
13 |
14 |
17 |
20 |
19 |
19 |
17 |
5 |
| Scenario Percentage |
100% |
79% |
63% |
93% |
70% |
81% |
95% |
90% |
90% |
81% |
33% |
| Avg Max Increase |
5.66% |
3.86% |
6.03% |
6.08% |
6.59% |
6.88% |
6.91% |
5.28% |
5.17% |
3.65% |
1.51% |
| Max Increase |
14.30% |
16.22% |
13.46% |
23.93% |
16.07% |
18.16% |
33.08% |
12.84% |
16.13% |
10.84% |
2.72% |
| Avg Days To Max Increase |
14 |
15 |
18 |
16 |
19 |
20 |
16 |
15 |
10 |
11 |
9 |
| Avg Max Decline |
-0.21% |
-0.89% |
-1.14% |
-0.84% |
-1.02% |
-1.18% |
-1.35% |
-1.55% |
-1.27% |
-1.43% |
-0.91% |
| Max Decline |
-0.59% |
-3.23% |
-5.05% |
-1.95% |
-2.81% |
-4.10% |
-3.99% |
-5.19% |
-7.19% |
-8.14% |
-1.65% |
| Avg Days to Max Decline |
6 |
7 |
8 |
6 |
11 |
10 |
9 |
6 |
6 |
5 |
3 |
| 2007 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 |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
| Tested Years |
12 |
27 |
32 |
33 |
34 |
35 |
35 |
35 |
35 |
35 |
35 |
| Closed Lower |
3 |
8 |
16 |
18 |
13 |
14 |
14 |
14 |
14 |
14 |
18 |
| Penetrated Low |
1 |
5 |
12 |
14 |
7 |
11 |
10 |
11 |
9 |
11 |
12 |
| Scenario Percentage |
33% |
63% |
75% |
78% |
54% |
79% |
71% |
79% |
64% |
79% |
67% |
| Avg Max Decline |
5.69% |
6.22% |
7.07% |
5.48% |
3.91% |
6.72% |
5.98% |
7.27% |
6.08% |
4.27% |
8.14% |
| Max Decline |
5.69% |
16.98% |
22.26% |
11.39% |
8.27% |
12.57% |
12.22% |
25.87% |
16.68% |
12.76% |
44.65% |
| Avg Days To Max Decline |
1 |
17 |
16 |
18 |
16 |
17 |
14 |
12 |
10 |
13 |
10 |
| Avg Max Increase |
-0.57% |
-0.77% |
-0.65% |
-1.30% |
-0.67% |
-1.17% |
-1.67% |
-2.20% |
-0.76% |
-2.06% |
-0.83% |
| Max Increase |
-0.57% |
-3.69% |
-1.94% |
-6.67% |
-1.69% |
-4.01% |
-4.87% |
-8.96% |
-3.73% |
-7.18% |
-3.73% |
| Avg Days to Max Increase |
9 |
3 |
5 |
8 |
4 |
4 |
8 |
9 |
4 |
9 |
3 |
| 2007 Contract Condition |
|
|
|
|
|
Yes |
|
|
Yes |
|
|
| Action |
|
|
|
|
|
Yes |
|
|
Not Yet |
|
|
| High |
|
101.000 |
104.900 |
108.500 |
110.850 |
111.950 |
112.200 |
118.000 |
119.300 |
|
|
| Low |
|
95.500 |
99.100 |
104.900 |
107.800 |
108.000 |
106.200 |
111.350 |
114.700 |
|
|
| Close/Last |
|
99.100 |
104.900 |
108.500 |
110.800 |
110.250 |
112.150 |
117.950 |
117.835 |
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