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| MRCI's ScenarioSM Study |
| ScenarioSM Study for October 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 |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
| Tested Years |
36 |
39 |
39 |
40 |
41 |
41 |
41 |
41 |
41 |
41 |
41 |
| Closed Higher |
24 |
26 |
28 |
21 |
20 |
24 |
18 |
18 |
25 |
20 |
24 |
| Exceeded High |
22 |
23 |
24 |
16 |
18 |
18 |
16 |
18 |
23 |
16 |
18 |
| Scenario Percentage |
92% |
88% |
86% |
76% |
90% |
75% |
89% |
100% |
92% |
80% |
75% |
| Avg Max Increase |
3.53% |
4.90% |
4.08% |
5.28% |
5.68% |
5.84% |
5.55% |
7.62% |
5.05% |
7.12% |
4.48% |
| Max Increase |
9.11% |
14.10% |
14.44% |
14.08% |
20.35% |
13.11% |
21.44% |
27.14% |
13.64% |
25.05% |
18.26% |
| Avg Days To Max Increase |
19 |
16 |
17 |
19 |
18 |
13 |
16 |
14 |
15 |
14 |
17 |
| Avg Max Decline |
-1.11% |
-0.46% |
-1.25% |
-0.88% |
-1.37% |
-1.21% |
-1.76% |
-1.62% |
-1.87% |
-1.58% |
-0.67% |
| Max Decline |
-3.69% |
-1.68% |
-4.11% |
-2.74% |
-5.37% |
-7.13% |
-4.03% |
-10.28% |
-8.40% |
-6.73% |
-3.21% |
| Avg Days to Max Decline |
12 |
9 |
6 |
5 |
6 |
7 |
10 |
7 |
5 |
9 |
4 |
| 2005 Contract Condition |
|
|
Yes |
|
Yes |
Yes |
Yes |
|
Yes |
|
Yes |
| Action |
|
|
Yes |
|
Yes |
Yes |
No |
|
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 |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
| Tested Years |
36 |
39 |
39 |
40 |
41 |
41 |
41 |
41 |
41 |
41 |
41 |
| Closed Lower |
12 |
13 |
11 |
19 |
20 |
17 |
23 |
23 |
16 |
21 |
17 |
| Penetrated Low |
8 |
4 |
8 |
12 |
15 |
13 |
17 |
17 |
14 |
15 |
15 |
| Scenario Percentage |
67% |
31% |
73% |
63% |
75% |
76% |
74% |
74% |
88% |
71% |
88% |
| Avg Max Decline |
3.72% |
7.33% |
6.25% |
6.69% |
6.54% |
6.05% |
5.49% |
5.88% |
5.00% |
6.57% |
8.59% |
| Max Decline |
12.82% |
13.48% |
12.91% |
14.73% |
25.65% |
22.84% |
14.26% |
15.45% |
13.56% |
23.20% |
25.03% |
| Avg Days To Max Decline |
17 |
16 |
19 |
19 |
17 |
19 |
22 |
19 |
15 |
11 |
15 |
| Avg Max Increase |
-1.01% |
-1.62% |
-1.61% |
-0.52% |
-1.22% |
-1.28% |
-1.85% |
-2.25% |
-2.21% |
-1.60% |
-2.31% |
| Max Increase |
-3.67% |
-2.70% |
-3.39% |
-1.96% |
-3.76% |
-2.33% |
-5.22% |
-6.56% |
-6.02% |
-4.87% |
-6.42% |
| Avg Days to Max Increase |
6 |
13 |
5 |
7 |
9 |
8 |
10 |
12 |
11 |
5 |
6 |
| 2005 Contract Condition |
Yes |
Yes |
|
Yes |
|
|
|
Yes |
|
Yes |
|
| Action |
No |
No |
|
No |
|
|
|
Yes |
|
No |
|
| High |
82.600 |
82.600 |
83.150 |
82.750 |
85.300 |
86.350 |
87.875 |
86.400 |
84.050 |
83.900 |
89.400 |
| Low |
79.300 |
79.550 |
80.000 |
80.550 |
80.600 |
83.700 |
85.275 |
81.700 |
80.500 |
79.550 |
80.750 |
| Close/Last |
81.625 |
80.200 |
82.400 |
81.075 |
84.975 |
85.900 |
86.450 |
82.550 |
83.400 |
82.250 |
89.125 |
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