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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for June Lean Hogs(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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   36 37 39 39 39 39 39 39 39 39 39
Closed Higher   19 16 25 22 29 21 28 19 22 23 23
Exceeded High   14 15 18 17 25 20 23 18 20 18 10
Scenario Percentage   74% 94% 72% 77% 86% 95% 82% 95% 91% 78% 43%
Avg Max Increase   8.08% 6.32% 6.27% 7.32% 6.95% 8.65% 8.59% 8.80% 10.76% 7.48% 4.80%
Max Increase   20.43% 10.89% 11.38% 18.26% 21.48% 29.71% 25.88% 19.19% 23.06% 17.35% 8.26%
Avg Days To Max Increase   14 12 23 17 19 17 18 16 18 13 10
Avg Max Decline   -2.85% -1.48% -1.72% -1.76% -3.10% -1.43% -2.55% -1.80% -2.13% -1.51% -0.50%
Max Decline   -7.45% -3.70% -7.01% -5.95% -8.69% -4.80% -7.58% -6.47% -8.16% -4.44% -2.21%
Avg Days to Max Decline   8 8 13 9 12 7 12 7 6 3 2
2008 Contract Condition   Yes   Yes   Yes   Yes     Yes Yes
Action   No   No   Yes   Yes     Yes Not Yet
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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   36 37 39 39 39 39 39 39 39 39 39
Closed Lower   17 21 14 17 10 17 11 20 17 16 16
Penetrated Low   14 11 12 12 6 11 8 14 14 13 10
Scenario Percentage   82% 52% 86% 71% 60% 65% 73% 70% 82% 81% 63%
Avg Max Decline   5.28% 6.12% 5.59% 5.01% 8.30% 5.70% 8.75% 11.31% 10.11% 8.11% 5.06%
Max Decline   16.03% 18.42% 15.95% 11.76% 15.50% 13.32% 22.26% 25.20% 30.01% 28.52% 12.55%
Avg Days To Max Decline   15 15 19 17 16 15 21 15 16 13 6
Avg Max Increase   -1.62% -2.56% -2.70% -3.54% -1.95% -2.12% -1.74% -1.25% -2.24% -2.25% -0.59%
Max Increase   -5.41% -8.89% -5.64% -11.18% -6.86% -6.79% -6.58% -7.24% -6.94% -5.20% -4.70%
Avg Days to Max Increase   10 10 7 11 3 15 18 5 8 5 1
2008 Contract Condition     Yes   Yes   Yes   Yes Yes    
Action     No   Yes   Yes   Yes Yes    
High 77.200 79.600 78.550 78.750 77.300 77.050 77.700 78.400 81.100 76.500 77.100 78.600
Low 72.950 72.600 73.150 75.600 73.325 74.350 72.450 71.150 74.500 67.375 66.000 70.800
Close/Last 73.200 78.850 76.400 76.875 75.100 76.475 73.250 78.175 76.350 67.950 73.475 77.750

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