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| MRCI's ScenarioSM Study |
| ScenarioSM Study for April Live Cattle(CME) as of Jul 31, 2006 |
Condition 1:
Higher Monthly Close.
Action --->
Buy that month's close with objective of exceeding month's
high within 2 months. |
| Tested Month |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
| Tested Years |
36 |
38 |
39 |
39 |
39 |
39 |
39 |
39 |
39 |
39 |
39 |
| Closed Higher |
17 |
21 |
23 |
15 |
20 |
23 |
25 |
24 |
29 |
24 |
24 |
| Exceeded High |
14 |
20 |
16 |
12 |
20 |
15 |
22 |
23 |
23 |
21 |
19 |
| Scenario Percentage |
82% |
95% |
70% |
80% |
100% |
65% |
88% |
96% |
79% |
88% |
79% |
| Avg Max Increase |
5.08% |
5.86% |
3.97% |
4.03% |
3.57% |
4.32% |
6.03% |
6.59% |
8.33% |
7.45% |
5.19% |
| Max Increase |
22.82% |
28.72% |
11.79% |
10.35% |
8.50% |
9.13% |
15.90% |
15.44% |
23.63% |
23.61% |
17.27% |
| Avg Days To Max Increase |
18 |
18 |
15 |
16 |
21 |
18 |
17 |
20 |
18 |
13 |
13 |
| Avg Max Decline |
-0.99% |
-0.87% |
-1.57% |
-1.59% |
-1.94% |
-1.26% |
-1.90% |
-1.26% |
-1.50% |
-1.31% |
-0.97% |
| Max Decline |
-3.66% |
-3.41% |
-7.69% |
-3.52% |
-8.67% |
-3.62% |
-6.20% |
-3.48% |
-4.87% |
-4.16% |
-2.90% |
| Avg Days to Max Decline |
9 |
8 |
8 |
15 |
14 |
11 |
9 |
12 |
7 |
8 |
2 |
| 2006 Contract Condition |
Yes |
|
Yes |
Yes |
Yes |
Yes |
Yes |
Yes |
|
|
|
| Action |
No |
|
Yes |
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 |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
| Tested Years |
36 |
38 |
39 |
39 |
39 |
39 |
39 |
39 |
39 |
39 |
39 |
| Closed Lower |
19 |
17 |
16 |
24 |
18 |
16 |
13 |
14 |
10 |
15 |
15 |
| Penetrated Low |
12 |
12 |
13 |
17 |
14 |
8 |
9 |
8 |
8 |
9 |
12 |
| Scenario Percentage |
63% |
71% |
81% |
71% |
78% |
50% |
69% |
57% |
80% |
60% |
80% |
| Avg Max Decline |
5.45% |
4.84% |
4.23% |
4.84% |
4.41% |
3.96% |
6.20% |
8.44% |
7.30% |
8.76% |
9.15% |
| Max Decline |
12.45% |
12.27% |
12.81% |
17.84% |
12.96% |
7.65% |
15.83% |
14.02% |
13.57% |
16.04% |
21.77% |
| Avg Days To Max Decline |
19 |
19 |
11 |
12 |
19 |
14 |
11 |
21 |
18 |
10 |
15 |
| Avg Max Increase |
-1.23% |
-1.13% |
-1.25% |
-0.91% |
-1.68% |
-1.39% |
-1.29% |
-1.91% |
-2.58% |
-1.09% |
-2.96% |
| Max Increase |
-4.45% |
-3.64% |
-4.22% |
-4.40% |
-7.26% |
-3.38% |
-4.52% |
-4.32% |
-5.34% |
-3.48% |
-8.04% |
| Avg Days to Max Increase |
8 |
6 |
4 |
6 |
11 |
8 |
4 |
13 |
9 |
8 |
7 |
| 2006 Contract Condition |
|
Yes |
|
|
|
|
|
|
Yes |
Yes |
Yes |
| Action |
|
Yes |
|
|
|
|
|
|
Yes |
Yes |
Yes |
| High |
87.975 |
87.650 |
85.700 |
86.550 |
89.300 |
91.850 |
93.300 |
95.200 |
95.550 |
91.650 |
87.600 |
| Low |
86.000 |
84.350 |
83.600 |
83.675 |
84.825 |
88.450 |
90.025 |
92.900 |
90.825 |
86.750 |
79.150 |
| Close/Last |
87.825 |
84.975 |
85.000 |
86.225 |
89.025 |
91.075 |
93.250 |
95.050 |
91.575 |
87.225 |
79.500 |
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