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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for Russell 2000 Index as of Sep 30, 2017
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   37 38 38 38 38 38 38 38 38 38 38
Closed Higher   19 23 27 23 25 23 18 22 20 21 25
Exceeded High   16 21 26 19 22 17 17 20 16 18 24
Scenario Percentage   84% 91% 96% 83% 88% 74% 94% 91% 80% 86% 96%
Avg Max Increase   6.79% 7.08% 6.37% 7.07% 5.66% 6.81% 6.21% 5.27% 7.67% 8.20% 3.72%
Max Increase   18.63% 18.68% 21.06% 16.82% 15.48% 18.80% 15.99% 19.44% 24.42% 16.47% 9.94%
Avg Days To Max Increase   17 19 19 15 19 20 20 15 20 19 17
Avg Max Decline   -0.62% -0.94% -1.72% -1.54% -1.74% -1.35% -1.66% -1.48% -3.16% -0.81% -0.87%
Max Decline   -3.42% -5.77% -5.59% -4.55% -5.97% -6.84% -9.57% -4.22% -16.43% -3.32% -3.78%
Avg Days to Max Decline   8 4 10 6 11 5 8 7 9 8 4
2017 Contract Condition   Yes Yes   Yes   Yes Yes   Yes Yes  
Action   Yes Yes   Yes   Yes Yes   Yes    
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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   37 38 38 38 38 38 38 38 38 38 38
Closed Lower   18 15 11 15 13 15 20 16 17 17 13
Penetrated Low   11 11 7 10 9 11 14 13 12 11 7
Scenario Percentage   61% 73% 64% 67% 69% 73% 70% 81% 71% 65% 54%
Avg Max Decline   7.98% 8.33% 6.71% 4.98% 9.02% 10.05% 11.23% 9.73% 13.21% 6.93% 3.25%
Max Decline   22.77% 23.07% 18.09% 12.38% 27.36% 23.46% 22.94% 20.26% 45.37% 30.93% 4.97%
Avg Days To Max Decline   13 14 16 16 18 13 20 15 17 13 15
Avg Max Increase   -1.09% -0.96% -0.91% -2.03% -1.24% -0.98% -1.33% -2.49% -0.87% -0.94% -0.69%
Max Increase   -6.31% -2.83% -1.97% -4.89% -2.95% -3.98% -5.70% -11.54% -2.52% -2.51% -2.83%
Avg Days to Max Increase   5 5 6 7 11 5 8 10 5 5 4
2017 Contract Condition       Yes   Yes     Yes      
Action       No   No     Not Yet      
High 1392.70 1388.60 1410.40 1414.80 1425.70 1411.05 1433.80 1452.10 1430.65 1493.55 1509.50  
Low 1308.85 1341.45 1349.45 1335.05 1345.25 1351.05 1370.35 1398.85 1349.35 1393.90 1491.20  
Close/Last 1357.15 1361.80 1386.70 1385.90 1400.45 1370.20 1415.35 1425.15 1405.30 1490.85 1509.45  

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Being able to see at what average spread different delivery months trade --- and when --- can help producers better hedge their livestock and traders to find spread value.

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