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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March Cocoa(ICE) 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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Higher   17 18 22 26 26 24 15 19 25 16 21
Exceeded High   13 17 18 19 19 17 13 14 18 13 15
Scenario Percentage   76% 94% 82% 73% 73% 71% 87% 74% 72% 81% 71%
Avg Max Increase   13.23% 13.19% 12.24% 14.23% 12.16% 11.60% 10.29% 11.69% 15.70% 10.86% 7.69%
Max Increase   35.46% 45.34% 27.78% 38.29% 33.68% 27.14% 21.83% 26.12% 58.58% 25.62% 23.13%
Avg Days To Max Increase   18 17 17 15 15 14 15 13 14 11 11
Avg Max Decline   -2.83% -3.94% -2.29% -3.62% -2.30% -3.26% -1.65% -2.96% -3.05% -1.81% -1.48%
Max Decline   -13.61% -10.55% -13.93% -12.19% -9.23% -9.09% -9.66% -9.48% -13.27% -7.77% -4.18%
Avg Days to Max Decline   6 13 8 9 7 8 5 8 9 6 3
2008 Contract Condition     Yes Yes     Yes   Yes Yes Yes Yes
Action     Yes 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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Lower   28 27 23 19 19 21 30 26 20 29 24
Penetrated Low   23 24 15 15 16 18 23 17 17 21 12
Scenario Percentage   82% 89% 65% 79% 84% 86% 77% 65% 85% 72% 50%
Avg Max Decline   8.87% 8.42% 8.28% 7.17% 8.75% 8.35% 7.45% 8.22% 10.35% 8.81% 5.80%
Max Decline   23.71% 25.54% 21.86% 24.75% 17.63% 16.13% 13.12% 19.34% 27.04% 26.24% 9.42%
Avg Days To Max Decline   17 19 15 17 19 20 16 18 15 14 8
Avg Max Increase   -1.80% -2.29% -2.12% -2.09% -4.60% -2.35% -2.92% -3.32% -3.37% -2.01% -0.47%
Max Increase   -5.65% -13.99% -7.06% -7.87% -14.30% -9.27% -14.18% -11.63% -15.13% -9.21% -1.50%
Avg Days to Max Increase   8 8 8 11 15 12 7 13 10 7 1
2008 Contract Condition   Yes     Yes Yes   Yes        
Action   Yes     Yes No   No        
High 2042 2075 2041 2113 2174 2001 1994 2000 1999 2147 2330 2800
Low 1788 1858 1841 1893 1965 1772 1791 1810 1898 1956 2028 2301
Close/Last 2042 1876 1953 2110 2002 1844 1985 1958 1983 2035 2326 2754

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