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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for June Live Cattle(CME) as of Dec 31, 2010
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   39 43 44 45 45 45 45 45 45 45 45
Closed Higher   24 17 20 24 30 31 30 26 24 26 21
Exceeded High   15 14 18 19 25 29 23 21 19 18 13
Scenario Percentage   63% 82% 90% 79% 83% 94% 77% 81% 79% 69% 62%
Avg Max Increase   4.52% 3.18% 3.68% 4.37% 4.90% 4.61% 6.70% 6.65% 9.58% 7.78% 4.72%
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 20 19 19 16 17 18 20 13 15
Avg Max Decline   -1.28% -1.33% -1.48% -1.22% -1.54% -0.98% -1.27% -1.35% -1.20% -1.29% -1.36%
Max Decline   -7.20% -3.06% -6.27% -3.45% -6.05% -3.21% -4.47% -4.17% -4.02% -6.83% -3.65%
Avg Days to Max Decline   6 10 11 13 11 9 6 6 7 6 4
2010 Contract Condition   Yes     Yes Yes Yes Yes Yes Yes Yes  
Action   No     Yes Yes Yes Yes Yes Yes Yes  
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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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   39 43 44 45 45 45 45 45 45 45 45
Closed Lower   15 25 24 20 15 14 15 18 21 19 24
Penetrated Low   13 17 19 14 12 7 12 11 18 15 15
Scenario Percentage   87% 68% 79% 70% 80% 50% 80% 61% 86% 79% 63%
Avg Max Decline   5.27% 5.32% 4.41% 5.29% 5.81% 5.83% 5.74% 8.35% 7.43% 6.27% 4.90%
Max Decline   12.09% 18.54% 16.12% 16.03% 17.00% 14.34% 12.92% 14.79% 17.07% 22.77% 11.72%
Avg Days To Max Decline   14 15 15 12 14 19 21 21 18 13 13
Avg Max Increase   -1.07% -0.77% -0.97% -1.32% -0.98% -1.98% -2.33% -0.71% -1.70% -1.21% -0.75%
Max Increase   -4.24% -1.67% -3.34% -5.86% -3.17% -3.41% -4.60% -1.99% -5.92% -3.76% -2.56%
Avg Days to Max Increase   5 7 4 8 5 11 8 6 5 7 2
2010 Contract Condition     Yes Yes               Yes
Action     Yes Yes               Yes
High 91.950 88.900 88.500 86.375 87.050 86.550 87.750 88.500 91.200 96.300 96.200 97.200
Low 87.000 86.675 85.600 84.000 83.075 84.400 83.150 86.800 87.175 90.250 92.750 89.325
Close/Last 87.100 87.950 85.850 84.850 85.275 85.300 87.725 87.825 90.400 93.550 94.225 90.525

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