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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for January Feeder Cattle(CME) as of Jan 01, 2008
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Tested Years 11 22 23 27 27 28 30 30 30 30 30
Closed Higher 5 8 15 17 16 20 16 18 12 19 15
Exceeded High 4 8 12 16 16 15 15 16 10 16 12
Scenario Percentage 80% 100% 80% 94% 100% 75% 94% 89% 83% 84% 80%
Avg Max Increase 6.54% 6.40% 5.00% 4.97% 5.13% 4.48% 4.48% 4.81% 4.21% 4.41% 3.04%
Max Increase 15.76% 23.36% 14.18% 9.86% 10.16% 9.97% 15.07% 12.29% 8.07% 10.33% 7.28%
Avg Days To Max Increase 20 14 17 21 18 15 12 20 15 16 15
Avg Max Decline -0.93% -1.14% -0.66% -2.30% -1.09% -1.21% -1.33% -1.67% -1.33% -1.75% -0.55%
Max Decline -4.25% -7.28% -2.36% -11.41% -3.46% -5.37% -5.73% -7.29% -4.34% -5.38% -2.57%
Avg Days to Max Decline 7 9 13 11 5 6 9 9 9 10 4
2007 Contract Condition       Yes Yes Yes Yes       Yes
Action       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 Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Tested Years 11 22 23 27 27 28 30 30 30 30 30
Closed Lower 5 14 8 10 11 8 14 11 18 11 14
Penetrated Low 4 12 3 5 8 6 10 11 10 7 8
Scenario Percentage 80% 86% 38% 50% 73% 75% 71% 100% 56% 64% 57%
Avg Max Decline 5.16% 3.85% 5.04% 6.11% 5.73% 4.01% 2.46% 4.88% 6.91% 7.17% 12.81%
Max Decline 6.89% 11.95% 7.31% 10.44% 10.88% 5.89% 5.40% 14.66% 14.68% 13.88% 44.07%
Avg Days To Max Decline 19 19 18 21 17 10 16 17 17 17 18
Avg Max Increase -0.13% -1.56% -0.27% -0.91% -1.67% -2.13% -1.94% -1.53% -1.68% -1.66% -1.94%
Max Increase -0.22% -6.97% -0.84% -1.76% -4.42% -6.75% -6.22% -4.88% -3.99% -3.74% -5.38%
Avg Days to Max Increase 3 8 5 12 10 11 16 8 10 10 7
2007 Contract Condition Yes Yes Yes         Yes Yes Yes  
Action Yes Yes No         Yes Yes Yes  
High 108.375 104.600 101.250 103.750 110.500 109.000 114.100 115.500 109.900 102.475 100.650
Low 104.400 101.300 97.250 98.300 102.450 105.600 107.100 108.000 100.675 92.550 95.500
Close/Last 104.450 101.300 98.400 103.400 106.600 109.000 113.425 108.450 101.500 97.875 99.600

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