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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December Live Cattle(CME) as of Jan 01, 2009
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   34 43 44 44 44 44 44 44 44 44 44
Closed Higher   23 22 22 23 22 22 25 21 25 24 26
Exceeded High   19 17 19 19 19 20 19 18 22 18 18
Scenario Percentage   83% 77% 86% 83% 86% 91% 76% 86% 88% 75% 69%
Avg Max Increase   3.53% 4.01% 4.79% 5.43% 5.12% 6.76% 4.59% 5.74% 5.40% 6.09% 3.32%
Max Increase   12.47% 13.33% 21.08% 13.31% 23.89% 27.74% 10.78% 17.67% 16.89% 10.63% 8.00%
Avg Days To Max Increase   15 18 15 16 18 19 17 18 20 15 14
Avg Max Decline   -1.29% -1.08% -0.93% -1.19% -1.69% -1.35% -1.92% -1.57% -1.50% -0.96% -1.02%
Max Decline   -3.93% -4.07% -5.65% -7.18% -4.12% -6.93% -9.56% -7.78% -5.36% -2.91% -6.01%
Avg Days to Max Decline   7 10 5 9 11 6 7 9 9 5 3
2008 Contract Condition   Yes Yes   Yes Yes Yes          
Action   Yes Yes   Yes Yes No          
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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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   34 43 44 44 44 44 44 44 44 44 44
Closed Lower   10 21 22 21 21 22 19 23 19 20 18
Penetrated Low   7 10 14 15 13 17 14 15 17 15 11
Scenario Percentage   70% 48% 64% 71% 62% 77% 74% 65% 89% 75% 61%
Avg Max Decline   6.26% 6.77% 6.54% 5.14% 6.17% 5.31% 5.34% 7.39% 5.83% 6.53% 4.58%
Max Decline   11.87% 14.48% 27.03% 22.79% 13.42% 14.82% 13.62% 23.20% 17.43% 15.03% 8.88%
Avg Days To Max Decline   23 20 16 18 20 18 17 13 14 10 14
Avg Max Increase   -1.07% -0.61% -0.80% -1.11% -1.74% -2.14% -1.55% -1.14% -1.90% -1.54% -0.56%
Max Increase   -3.55% -1.39% -2.08% -3.46% -5.68% -5.92% -4.54% -3.45% -5.33% -7.24% -1.55%
Avg Days to Max Increase   6 10 7 9 8 12 7 5 8 8 3
2008 Contract Condition       Yes       Yes Yes Yes Yes Yes
Action       No       Yes Yes Yes Yes Yes
High 100.350 102.950 104.750 104.950 104.950 109.350 115.325 114.900 110.475 107.750 100.925 94.800
Low 97.925 99.800 101.000 100.250 100.950 103.325 107.475 106.300 105.100 99.400 86.875 82.875
Close/Last 100.150 102.075 104.600 101.400 104.300 108.825 112.950 109.025 106.400 100.375 92.700 87.375

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