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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March Cocoa(ICE) as of Dec 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 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 19 22 27 25 23 15 20 26 17 21
Exceeded High   13 18 18 20 17 17 14 15 19 14 15
Scenario Percentage   76% 95% 82% 74% 68% 74% 93% 75% 73% 82% 71%
Avg Max Increase   14.33% 14.03% 12.33% 14.01% 12.62% 11.35% 9.94% 12.49% 15.37% 10.47% 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   20 17 17 15 14 14 15 14 13 11 11
Avg Max Decline   -3.25% -3.96% -2.43% -3.81% -2.42% -3.54% -2.02% -3.31% -3.53% -1.94% -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 6 8 5 8 9 6 3
2010 Contract Condition     Yes   Yes   Yes Yes   Yes    
Action     Yes   Yes   Yes Yes   No    
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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 26 23 18 20 22 30 25 19 28 24
Penetrated Low   24 23 14 15 16 19 22 15 16 20 13
Scenario Percentage   86% 88% 61% 83% 80% 86% 73% 60% 84% 71% 54%
Avg Max Decline   8.64% 8.09% 8.40% 7.93% 8.75% 9.32% 7.53% 7.76% 9.31% 8.24% 6.05%
Max Decline   23.71% 25.54% 21.86% 24.75% 17.63% 26.89% 13.12% 19.34% 19.84% 15.89% 11.00%
Avg Days To Max Decline   17 19 14 17 19 21 16 17 14 14 8
Avg Max Increase   -1.96% -2.41% -2.15% -2.35% -4.60% -2.28% -3.07% -3.51% -3.58% -2.32% -0.34%
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 7 11 15 11 8 11 10 7 1
2010 Contract Condition   Yes   Yes   Yes     Yes   Yes Yes
Action   Yes   No   No     No   Yes Yes
High 2600 2732 2670 2880 2976 3039 3236 3439 3360 3510 3485 3203
Low 2169 2382 2336 2466 2488 2725 2824 2990 3102 3223 3172 2896
Close/Last 2591 2420 2633 2554 2942 2815 3161 3333 3259 3289 3184 2917

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