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| MRCI's ScenarioSM Study |
| ScenarioSM Study for August Live Cattle(CME) as of Jun 30, 2007 |
Condition 1:
Higher Monthly Close.
Action --->
Buy that month's close with objective of exceeding month's
high within 2 months. |
| Tested Month |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
| Tested Years |
36 |
38 |
39 |
41 |
41 |
41 |
42 |
42 |
42 |
42 |
42 |
| Closed Higher |
17 |
18 |
25 |
27 |
25 |
19 |
23 |
23 |
20 |
18 |
23 |
| Exceeded High |
16 |
14 |
24 |
26 |
20 |
16 |
20 |
19 |
17 |
17 |
19 |
| Scenario Percentage |
94% |
78% |
96% |
96% |
80% |
84% |
87% |
83% |
85% |
94% |
83% |
| Avg Max Increase |
2.80% |
3.51% |
4.22% |
4.46% |
4.70% |
6.21% |
8.28% |
6.67% |
6.61% |
7.43% |
4.04% |
| Max Increase |
5.28% |
8.67% |
19.17% |
12.63% |
16.50% |
15.89% |
22.50% |
20.21% |
16.21% |
25.20% |
9.32% |
| Avg Days To Max Increase |
18 |
14 |
17 |
14 |
16 |
20 |
22 |
14 |
18 |
13 |
14 |
| Avg Max Decline |
-1.66% |
-0.80% |
-1.16% |
-0.78% |
-1.16% |
-1.05% |
-1.19% |
-1.52% |
-1.97% |
-1.56% |
-0.99% |
| Max Decline |
-6.31% |
-3.36% |
-3.71% |
-4.32% |
-3.95% |
-3.09% |
-4.08% |
-5.48% |
-5.01% |
-5.02% |
-3.43% |
| Avg Days to Max Decline |
11 |
8 |
8 |
7 |
6 |
5 |
7 |
9 |
13 |
9 |
3 |
| 2007 Contract Condition |
|
Yes |
Yes |
Yes |
|
Yes |
|
Yes |
|
|
|
| Action |
|
Yes |
Yes |
Yes |
|
Yes |
|
No |
|
|
|
Condition 2:
Lower Monthly Close.
Action --->
Sell that month's close with objective of penetrating month's
low within 2 months.
|
| Tested Month |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
| Tested Years |
36 |
38 |
39 |
41 |
41 |
41 |
42 |
42 |
42 |
42 |
42 |
| Closed Lower |
17 |
19 |
14 |
13 |
16 |
22 |
18 |
18 |
21 |
24 |
18 |
| Penetrated Low |
13 |
12 |
11 |
7 |
12 |
14 |
17 |
14 |
14 |
19 |
13 |
| Scenario Percentage |
76% |
63% |
79% |
54% |
75% |
64% |
94% |
78% |
67% |
79% |
72% |
| Avg Max Decline |
3.72% |
4.46% |
5.02% |
5.46% |
5.94% |
6.69% |
6.61% |
6.59% |
7.35% |
6.00% |
9.72% |
| Max Decline |
10.78% |
16.33% |
17.02% |
14.82% |
12.84% |
14.09% |
23.21% |
26.75% |
19.32% |
16.00% |
36.92% |
| Avg Days To Max Decline |
15 |
14 |
17 |
19 |
21 |
20 |
18 |
19 |
20 |
13 |
16 |
| Avg Max Increase |
-0.90% |
-0.67% |
-1.10% |
-1.78% |
-1.40% |
-0.71% |
-1.46% |
-1.46% |
-1.61% |
-1.58% |
-3.46% |
| Max Increase |
-2.35% |
-2.07% |
-3.29% |
-3.40% |
-3.54% |
-2.22% |
-5.21% |
-3.01% |
-3.58% |
-4.35% |
-11.78% |
| Avg Days to Max Increase |
3 |
3 |
7 |
12 |
5 |
7 |
10 |
11 |
6 |
7 |
10 |
| 2007 Contract Condition |
Yes |
|
|
|
Yes |
|
Yes |
|
Yes |
Yes |
|
| Action |
Yes |
|
|
|
No |
|
Yes |
|
Yes |
Not Yet |
|
| High |
87.300 |
85.775 |
87.250 |
88.900 |
88.750 |
93.250 |
96.075 |
94.800 |
94.100 |
92.000 |
|
| Low |
84.150 |
83.750 |
84.150 |
86.000 |
86.800 |
87.650 |
90.600 |
90.100 |
90.550 |
88.250 |
|
| Close/Last |
84.825 |
84.875 |
86.325 |
88.100 |
88.000 |
92.500 |
92.250 |
92.600 |
91.480 |
90.280 |
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