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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March 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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years 9 24 29 32 33 33 35 35 35 35 35
Closed Higher 7 13 16 19 19 19 12 20 19 19 16
Exceeded High 5 11 15 13 14 15 8 18 18 15 8
Scenario Percentage 71% 85% 94% 68% 74% 79% 67% 90% 95% 79% 50%
Avg Max Increase 6.83% 4.95% 4.66% 4.09% 4.64% 5.36% 4.03% 6.01% 5.98% 6.76% 5.07%
Max Increase 13.41% 8.56% 9.73% 9.12% 11.69% 8.82% 5.76% 22.42% 15.82% 16.68% 10.89%
Avg Days To Max Increase 18 20 19 16 16 22 15 16 17 15 14
Avg Max Decline -0.49% -1.98% -0.86% -1.34% -1.80% -2.06% -1.37% -1.53% -1.55% -1.72% -0.51%
Max Decline -1.68% -10.19% -2.48% -5.11% -5.64% -9.63% -4.75% -5.65% -8.06% -8.80% -1.37%
Avg Days to Max Decline 7 12 9 5 10 12 6 9 7 7 2
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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years 9 24 29 32 33 33 35 35 35 35 35
Closed Lower 2 11 13 13 14 14 23 14 16 16 18
Penetrated Low   6 10 10 8 12 15 9 10 12 13
Scenario Percentage 0% 55% 77% 77% 57% 86% 65% 64% 62% 75% 72%
Avg Max Decline   5.51% 5.44% 4.93% 3.41% 4.50% 6.88% 8.83% 7.45% 6.54% 11.20%
Max Decline   9.41% 10.51% 14.35% 9.05% 13.97% 17.94% 16.94% 15.28% 12.39% 33.13%
Avg Days To Max Decline   18 14 14 12 18 18 18 21 17 22
Avg Max Increase   -1.00% -1.23% -1.71% -0.90% -1.10% -1.58% -1.98% -1.79% -1.80% -1.25%
Max Increase   -1.73% -4.09% -5.95% -3.02% -2.93% -3.32% -7.17% -4.74% -5.58% -7.36%
Avg Days to Max Increase   10 9 9 5 8 11 12 9 8 6
2007 Contract Condition           Yes Yes Yes   Yes  
Action           Yes Yes Yes   Not Yet  
High   102.500 109.000 106.400 110.500 111.700 107.000 100.900 99.750 99.800 102.000
Low   98.000 101.500 103.000 103.700 105.600 99.450 91.150 94.350 90.450 94.350
Close/Last   102.500 104.400 105.200 109.600 105.950 99.950 96.900 98.375 95.850 101.600

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