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| MRCI's ScenarioSM Study |
| ScenarioSM Study for December Lean Hogs(CME) as of Sep 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 |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
| Tested Years |
35 |
36 |
37 |
37 |
37 |
37 |
37 |
37 |
38 |
38 |
38 |
| Closed Higher |
23 |
13 |
24 |
22 |
18 |
16 |
21 |
15 |
24 |
11 |
26 |
| Exceeded High |
17 |
10 |
21 |
16 |
15 |
12 |
16 |
13 |
22 |
9 |
14 |
| Scenario Percentage |
74% |
77% |
88% |
73% |
83% |
75% |
76% |
87% |
92% |
82% |
54% |
| Avg Max Increase |
8.31% |
10.38% |
7.48% |
7.52% |
11.46% |
12.65% |
9.31% |
9.01% |
8.22% |
9.59% |
4.50% |
| Max Increase |
29.22% |
24.55% |
19.08% |
25.45% |
46.98% |
33.60% |
33.21% |
19.37% |
16.97% |
15.99% |
9.68% |
| Avg Days To Max Increase |
22 |
22 |
18 |
17 |
17 |
19 |
18 |
13 |
17 |
14 |
8 |
| Avg Max Decline |
-2.67% |
-1.81% |
-1.59% |
-1.95% |
-2.60% |
-1.97% |
-4.00% |
-2.52% |
-2.55% |
-1.80% |
-0.77% |
| Max Decline |
-6.89% |
-6.79% |
-8.67% |
-7.43% |
-8.24% |
-6.28% |
-6.72% |
-8.87% |
-10.12% |
-4.42% |
-2.09% |
| Avg Days to Max Decline |
17 |
7 |
8 |
9 |
14 |
8 |
14 |
9 |
7 |
6 |
1 |
| 2007 Contract Condition |
Yes |
Yes |
|
Yes |
|
|
Yes |
|
|
|
|
| Action |
Yes |
Yes |
|
No |
|
|
Yes |
|
|
|
|
Condition 2:
Lower Monthly Close.
Action --->
Sell that month's close with objective of penetrating month's
low within 2 months.
|
| Tested Month |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
| Tested Years |
35 |
36 |
37 |
37 |
37 |
37 |
37 |
37 |
38 |
38 |
38 |
| Closed Lower |
11 |
23 |
13 |
15 |
19 |
21 |
16 |
21 |
14 |
26 |
12 |
| Penetrated Low |
9 |
15 |
10 |
12 |
17 |
16 |
14 |
12 |
13 |
17 |
8 |
| Scenario Percentage |
82% |
65% |
77% |
80% |
89% |
76% |
88% |
57% |
93% |
65% |
67% |
| Avg Max Decline |
5.13% |
6.68% |
11.59% |
8.70% |
11.87% |
10.71% |
7.16% |
11.45% |
8.96% |
8.73% |
16.25% |
| Max Decline |
12.04% |
19.90% |
34.58% |
31.77% |
31.38% |
24.36% |
16.90% |
22.35% |
18.06% |
44.65% |
47.59% |
| Avg Days To Max Decline |
15 |
16 |
18 |
20 |
19 |
21 |
15 |
19 |
16 |
10 |
10 |
| Avg Max Increase |
-0.82% |
-1.51% |
-1.63% |
-3.03% |
-2.35% |
-1.96% |
-3.21% |
-2.88% |
-3.52% |
-1.21% |
-1.68% |
| Max Increase |
-3.18% |
-6.21% |
-3.50% |
-9.21% |
-7.09% |
-11.01% |
-7.27% |
-9.81% |
-13.85% |
-5.67% |
-4.64% |
| Avg Days to Max Increase |
7 |
9 |
11 |
17 |
8 |
13 |
7 |
11 |
7 |
4 |
2 |
| 2007 Contract Condition |
|
|
Yes |
|
Yes |
Yes |
|
Yes |
Yes |
Yes |
|
| Action |
|
|
Yes |
|
Yes |
Yes |
|
Yes |
Yes |
|
|
| High |
64.600 |
68.950 |
69.950 |
67.400 |
65.700 |
67.000 |
73.000 |
74.700 |
69.700 |
60.585 |
|
| Low |
61.000 |
64.300 |
64.100 |
64.500 |
62.700 |
61.200 |
60.950 |
64.680 |
61.650 |
59.280 |
|
| Close/Last |
64.450 |
68.325 |
65.000 |
65.725 |
64.835 |
61.435 |
72.900 |
68.835 |
62.250 |
59.550 |
|
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