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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for February Live Cattle(CME) as of Dec 30, 2011
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan
Tested Years   38 44 45 45 45 45 45 45 45 45 45
Closed Higher   18 23 24 26 28 18 26 24 27 27 27
Exceeded High   16 18 20 24 21 15 24 14 24 25 20
Scenario Percentage   89% 78% 83% 92% 75% 83% 92% 58% 89% 93% 74%
Avg Max Increase   5.16% 5.07% 5.19% 6.18% 4.08% 4.73% 4.64% 5.18% 5.88% 7.71% 4.68%
Max Increase   20.95% 13.59% 24.14% 28.67% 14.74% 14.40% 14.77% 9.77% 14.42% 23.28% 8.94%
Avg Days To Max Increase   15 17 20 19 17 16 21 18 18 16 16
Avg Max Decline   -0.83% -0.96% -1.46% -1.28% -2.02% -1.31% -1.85% -1.35% -1.80% -1.41% -0.74%
Max Decline   -2.14% -3.30% -4.69% -5.28% -8.02% -3.25% -8.32% -3.73% -7.80% -3.89% -4.16%
Avg Days to Max Decline   7 10 12 9 12 9 14 9 7 12 3
2011 Contract Condition   Yes Yes   Yes Yes Yes Yes Yes Yes Yes Yes
Action   Yes Yes   Yes Yes Yes Yes Yes Yes Yes Not Yet
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Condition 2: Lower Monthly Close.
Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
Tested Month Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan
Tested Years   38 44 45 45 45 45 45 45 45 45 45
Closed Lower   19 21 21 19 17 27 19 20 17 18 18
Penetrated Low   13 13 13 15 14 18 16 12 12 10 10
Scenario Percentage   68% 62% 62% 79% 82% 67% 84% 60% 71% 56% 56%
Avg Max Decline   4.34% 4.08% 5.63% 4.37% 5.09% 6.05% 5.21% 4.75% 8.04% 9.93% 3.45%
Max Decline   8.00% 7.25% 13.25% 11.40% 13.21% 19.34% 16.80% 14.48% 16.95% 16.13% 5.22%
Avg Days To Max Decline   16 19 20 20 14 15 17 10 14 16 14
Avg Max Increase   -0.69% -1.08% -1.40% -1.60% -1.28% -1.25% -1.98% -1.18% -1.19% -1.23% -1.26%
Max Increase   -1.90% -2.37% -4.08% -4.18% -3.98% -3.31% -7.75% -3.11% -4.48% -3.54% -4.21%
Avg Days to Max Increase   7 8 8 11 4 8 9 8 5 6 5
2011 Contract Condition       Yes                
Action       Yes                
High 93.900 97.900 99.100 99.350 95.225 98.000 101.800 103.550 104.550 106.700 108.975 112.375
Low 90.600 93.800 96.650 92.500 91.925 94.250 96.950 99.700 98.525 100.975 103.350 105.800
Close/Last 93.750 97.150 98.275 93.800 95.025 97.525 100.600 101.750 102.175 106.375 108.350 108.950

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