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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 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 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Tested Years   14 25 26 30 30 31 33 33 33 33 33
Closed Higher   8 9 18 19 18 23 17 18 12 19 17
Exceeded High   6 9 15 18 18 17 16 16 10 16 14
Scenario Percentage   75% 100% 83% 95% 100% 74% 94% 89% 83% 84% 82%
Avg Max Increase   5.53% 5.90% 4.79% 4.65% 5.00% 4.20% 4.31% 4.81% 4.21% 4.53% 3.13%
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   17 15 19 20 17 14 12 20 15 16 14
Avg Max Decline   -1.05% -1.21% -0.93% -2.58% -1.13% -1.19% -1.24% -1.67% -1.33% -1.75% -0.62%
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 14 11 6 6 8 9 9 10 4
2010 Contract Condition   Yes   Yes Yes   Yes         Yes
Action   Yes   Yes Yes   No         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   14 25 26 30 30 31 33 33 33 33 33
Closed Lower   5 16 8 11 12 8 16 14 21 14 15
Penetrated Low   4 12 3 6 8 6 12 14 13 10 8
Scenario Percentage   80% 75% 38% 55% 67% 75% 75% 100% 62% 71% 53%
Avg Max Decline   5.16% 3.85% 5.04% 5.62% 5.73% 4.01% 3.84% 5.93% 7.09% 7.08% 3.71%
Max Decline   6.89% 11.95% 7.31% 10.44% 10.88% 5.89% 15.43% 15.48% 14.68% 13.88% 8.52%
Avg Days To Max Decline   19 19 18 20 17 10 16 16 16 15 13
Avg Max Increase   -0.13% -1.56% -0.27% -0.66% -1.67% -2.13% -1.97% -1.25% -1.95% -1.38% -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 14 7 11 7 3
2010 Contract Condition     Yes     Yes   Yes Yes Yes Yes  
Action     No     No   Yes Yes Yes Yes  
High 94.325 98.700 98.750 101.075 102.250 101.750 103.100 102.000 102.000 97.650 97.625 96.025
Low 94.275 94.400 96.400 97.350 97.750 95.500 99.600 98.850 96.075 93.325 91.650 90.175
Close/Last 94.325 98.500 97.500 99.100 100.675 100.450 101.700 99.275 97.500 95.075 92.950 95.850

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