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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December Lean Hogs(CME) as of May 31, 2010
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   38 39 40 40 40 40 40 40 41 41 41
Closed Higher   25 14 24 24 20 16 23 15 25 12 29
Exceeded High   19 11 21 17 16 12 18 13 23 10 15
Scenario Percentage   76% 79% 88% 71% 80% 75% 78% 87% 92% 83% 52%
Avg Max Increase   8.05% 9.66% 7.48% 7.45% 11.14% 12.65% 8.49% 9.01% 8.78% 9.93% 4.83%
Max Increase   29.22% 24.56% 19.08% 25.45% 46.99% 33.60% 33.21% 19.37% 21.17% 15.99% 9.68%
Avg Days To Max Increase   20 20 18 17 17 19 16 13 17 14 8
Avg Max Decline   -2.40% -1.92% -1.59% -1.95% -2.55% -1.97% -3.73% -2.51% -2.63% -2.05% -0.72%
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   15 7 8 8 13 8 13 9 7 6 1
2010 Contract Condition     Yes Yes Yes   Yes          
Action     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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   38 39 40 40 40 40 40 40 41 41 41
Closed Lower   12 25 16 16 20 24 17 24 16 28 12
Penetrated Low   10 17 13 13 18 19 15 14 15 19 7
Scenario Percentage   83% 68% 81% 81% 90% 79% 88% 58% 94% 68% 58%
Avg Max Decline   5.28% 6.89% 9.96% 9.05% 11.54% 10.51% 7.96% 12.94% 10.07% 8.21% 8.80%
Max Decline   12.04% 19.90% 34.58% 31.77% 31.38% 24.36% 19.07% 22.35% 18.63% 44.65% 27.50%
Avg Days To Max Decline   16 16 18 21 18 20 15 20 15 10 8
Avg Max Increase   -0.92% -1.81% -1.66% -3.22% -2.40% -2.36% -3.02% -2.67% -3.03% -1.18% -1.31%
Max Increase   -3.18% -6.21% -3.69% -9.21% -7.09% -11.01% -7.26% -9.82% -13.85% -5.66% -4.64%
Avg Days to Max Increase   8 9 10 17 9 14 7 10 7 4 2
2010 Contract Condition   Yes       Yes            
Action   No       Not Yet            
High 67.700 68.050 68.000 71.050 75.150 74.350 72.900          
Low 64.900 62.500 63.000 65.950 69.950 68.775 71.375          
Close/Last 67.450 64.100 67.825 70.400 74.300 71.925 72.800          

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