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| MRCI's ScenarioSM Study |
| ScenarioSM Study for June Live 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 |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
| Tested Years |
34 |
38 |
39 |
40 |
40 |
41 |
41 |
41 |
41 |
41 |
41 |
| Closed Higher |
21 |
15 |
18 |
21 |
27 |
26 |
28 |
23 |
24 |
24 |
20 |
| Exceeded High |
13 |
12 |
17 |
16 |
22 |
24 |
21 |
20 |
19 |
17 |
12 |
| Scenario Percentage |
62% |
80% |
94% |
76% |
81% |
92% |
75% |
87% |
79% |
71% |
60% |
| Avg Max Increase |
4.76% |
3.09% |
3.71% |
4.56% |
5.19% |
4.85% |
6.35% |
6.86% |
10.12% |
8.19% |
4.29% |
| Max Increase |
11.99% |
8.55% |
7.95% |
13.06% |
16.47% |
11.90% |
17.54% |
18.85% |
23.53% |
21.24% |
9.92% |
| Avg Days To Max Increase |
13 |
12 |
19 |
19 |
19 |
16 |
17 |
19 |
21 |
12 |
12 |
| Avg Max Decline |
-1.20% |
-1.45% |
-1.54% |
-1.16% |
-1.57% |
-0.93% |
-1.33% |
-1.40% |
-1.16% |
-1.22% |
-0.88% |
| Max Decline |
-7.20% |
-3.06% |
-6.27% |
-3.45% |
-6.05% |
-3.21% |
-4.47% |
-4.17% |
-4.02% |
-6.83% |
-2.99% |
| Avg Days to Max Decline |
5 |
11 |
10 |
11 |
10 |
9 |
6 |
6 |
6 |
6 |
2 |
| 2002 Contract Condition |
Yes |
Yes |
|
|
Yes |
Yes |
Yes |
|
|
|
|
| Action |
No |
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 |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
| Tested Years |
34 |
38 |
39 |
40 |
40 |
41 |
41 |
41 |
41 |
41 |
41 |
| Closed Lower |
13 |
23 |
21 |
18 |
13 |
15 |
13 |
17 |
17 |
17 |
21 |
| Penetrated Low |
11 |
15 |
16 |
12 |
10 |
7 |
9 |
10 |
16 |
14 |
12 |
| Scenario Percentage |
85% |
65% |
76% |
67% |
77% |
47% |
69% |
59% |
94% |
82% |
57% |
| Avg Max Decline |
5.01% |
4.57% |
4.00% |
4.98% |
6.11% |
5.83% |
5.07% |
7.99% |
7.92% |
6.01% |
11.42% |
| Max Decline |
11.00% |
18.17% |
9.99% |
16.03% |
17.00% |
14.34% |
11.94% |
14.79% |
17.07% |
22.77% |
42.48% |
| Avg Days To Max Decline |
13 |
16 |
15 |
13 |
14 |
19 |
18 |
22 |
18 |
12 |
15 |
| Avg Max Increase |
-1.10% |
-0.83% |
-1.05% |
-1.35% |
-0.93% |
-1.98% |
-2.28% |
-0.75% |
-1.70% |
-1.27% |
-1.88% |
| Max Increase |
-4.24% |
-1.67% |
-3.34% |
-5.86% |
-3.17% |
-3.41% |
-4.60% |
-1.99% |
-5.92% |
-3.76% |
-7.18% |
| Avg Days to Max Increase |
5 |
7 |
5 |
9 |
3 |
11 |
7 |
6 |
6 |
7 |
8 |
| 2002 Contract Condition |
|
|
Yes |
Yes |
|
|
|
Yes |
Yes |
Yes |
Yes |
| Action |
|
|
Yes |
Yes |
|
|
|
Yes |
Yes |
No |
No |
| High |
74.850 |
74.450 |
74.300 |
71.250 |
69.750 |
70.625 |
71.050 |
71.300 |
70.750 |
67.150 |
65.200 |
| Low |
73.200 |
73.300 |
68.650 |
67.650 |
64.125 |
67.000 |
69.550 |
69.400 |
65.200 |
59.325 |
59.350 |
| Close/Last |
73.575 |
74.325 |
68.950 |
68.650 |
68.975 |
70.275 |
70.725 |
69.625 |
65.800 |
63.625 |
60.475 |
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