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| MRCI's ScenarioSM Study |
| ScenarioSM Study for February Lean Hogs(CME) as of Sep 30, 2006 |
Condition 1:
Higher Monthly Close.
Action --->
Buy that month's close with objective of exceeding month's
high within 2 months. |
| Tested Month |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
| Tested Years |
33 |
35 |
35 |
36 |
37 |
37 |
37 |
37 |
37 |
37 |
37 |
| Closed Higher |
21 |
23 |
18 |
17 |
21 |
16 |
25 |
19 |
28 |
13 |
20 |
| Exceeded High |
18 |
18 |
14 |
12 |
16 |
12 |
21 |
15 |
23 |
8 |
15 |
| Scenario Percentage |
86% |
78% |
78% |
71% |
76% |
75% |
84% |
79% |
82% |
62% |
75% |
| Avg Max Increase |
6.77% |
6.55% |
9.97% |
12.00% |
8.56% |
10.00% |
8.74% |
9.90% |
7.91% |
10.18% |
5.02% |
| Max Increase |
20.61% |
24.73% |
44.63% |
33.46% |
25.43% |
15.91% |
16.85% |
21.15% |
24.91% |
17.74% |
12.01% |
| Avg Days To Max Increase |
16 |
16 |
20 |
18 |
18 |
17 |
19 |
16 |
17 |
18 |
9 |
| Avg Max Decline |
-1.34% |
-1.75% |
-3.25% |
-1.50% |
-3.66% |
-2.17% |
-2.36% |
-2.07% |
-2.95% |
-2.45% |
-0.56% |
| Max Decline |
-6.86% |
-6.80% |
-13.45% |
-5.74% |
-7.59% |
-5.21% |
-7.32% |
-10.34% |
-7.69% |
-5.97% |
-2.10% |
| Avg Days to Max Decline |
6 |
9 |
12 |
6 |
10 |
8 |
8 |
8 |
8 |
4 |
2 |
| 2007 Contract Condition |
|
Yes |
Yes |
Yes |
Yes |
Yes |
|
Yes |
|
|
|
| Action |
|
Yes |
Yes |
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 |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
| Tested Years |
33 |
35 |
35 |
36 |
37 |
37 |
37 |
37 |
37 |
37 |
37 |
| Closed Lower |
11 |
12 |
16 |
19 |
16 |
21 |
12 |
17 |
9 |
24 |
16 |
| Penetrated Low |
7 |
10 |
14 |
14 |
14 |
11 |
11 |
12 |
8 |
13 |
13 |
| Scenario Percentage |
64% |
83% |
88% |
74% |
88% |
52% |
92% |
71% |
89% |
54% |
81% |
| Avg Max Decline |
12.06% |
7.84% |
11.50% |
9.58% |
6.28% |
8.74% |
7.48% |
5.11% |
9.51% |
7.97% |
11.66% |
| Max Decline |
31.51% |
27.41% |
27.67% |
17.77% |
16.81% |
20.45% |
17.50% |
9.50% |
28.71% |
16.93% |
30.56% |
| Avg Days To Max Decline |
17 |
17 |
21 |
18 |
14 |
16 |
15 |
15 |
20 |
9 |
13 |
| Avg Max Increase |
-1.45% |
-2.37% |
-2.59% |
-1.76% |
-2.37% |
-2.46% |
-3.28% |
-3.73% |
-3.02% |
-2.58% |
-1.57% |
| Max Increase |
-3.74% |
-6.91% |
-6.74% |
-7.73% |
-6.59% |
-7.87% |
-6.78% |
-13.93% |
-9.20% |
-10.11% |
-5.41% |
| Avg Days to Max Increase |
11 |
11 |
8 |
11 |
7 |
8 |
14 |
13 |
8 |
6 |
3 |
| 2007 Contract Condition |
Yes |
|
|
|
|
|
Yes |
|
|
|
|
| Action |
No |
|
|
|
|
|
Not Yet |
|
|
|
|
| High |
57.175 |
57.000 |
58.500 |
60.500 |
61.300 |
63.850 |
65.700 |
62.600 |
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|
| Low |
54.025 |
54.300 |
55.825 |
57.150 |
58.350 |
60.100 |
60.500 |
61.750 |
|
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|
| Close/Last |
54.700 |
56.950 |
57.275 |
59.075 |
60.950 |
63.675 |
61.900 |
62.475 |
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