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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, 2009
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Tested Years   12 23 24 28 28 29 31 31 31 31 31
Closed Higher   6 9 16 17 17 21 17 18 12 19 15
Exceeded High   5 9 13 16 17 16 16 16 10 16 12
Scenario Percentage   83% 100% 81% 94% 100% 76% 94% 89% 83% 84% 80%
Avg Max Increase   6.12% 5.90% 4.72% 4.97% 5.16% 4.34% 4.31% 4.81% 4.21% 4.58% 3.12%
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   18 15 18 21 18 15 12 20 15 16 15
Avg Max Decline   -0.83% -1.21% -0.91% -2.30% -1.06% -1.27% -1.24% -1.67% -1.33% -1.75% -0.55%
Max Decline   -4.25% -7.28% -3.95% -11.41% -3.46% -5.37% -5.73% -7.29% -4.34% -5.38% -2.57%
Avg Days to Max Decline   6 12 16 11 5 6 8 9 9 10 4
2008 Contract Condition   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 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Tested Years   12 23 24 28 28 29 31 31 31 31 31
Closed Lower   5 14 8 11 11 8 14 12 19 12 15
Penetrated Low   4 12 3 6 8 6 10 12 11 8 8
Scenario Percentage   80% 86% 38% 55% 73% 75% 71% 100% 58% 67% 53%
Avg Max Decline   5.16% 3.85% 5.04% 5.62% 5.73% 4.01% 2.46% 5.13% 6.74% 7.62% 3.75%
Max Decline   6.89% 11.95% 7.31% 10.44% 10.88% 5.89% 5.40% 14.66% 14.68% 13.88% 8.52%
Avg Days To Max Decline   19 19 18 20 17 10 16 16 18 17 13
Avg Max Increase   -0.13% -1.56% -0.27% -0.66% -1.67% -2.13% -1.94% -1.39% -1.79% -1.58% -0.73%
Max Increase   -0.22% -6.97% -0.84% -1.76% -4.42% -6.75% -6.22% -4.88% -3.99% -3.74% -3.36%
Avg Days to Max Increase   3 8 5 10 10 11 16 8 12 9 3
2008 Contract Condition         Yes       Yes Yes Yes Yes
Action         Yes       Yes Yes Yes Yes
High 98.000 104.200 107.700 108.800 109.550 110.250 115.200 116.500 117.500 115.150 111.500 108.750
Low 97.000 97.975 103.750 106.200 105.600 104.500 109.600 112.400 113.450 107.250 106.250 102.850
Close/Last 98.000 104.200 107.500 108.800 107.900 110.250 114.900 115.425 115.325 108.400 107.700 105.100

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