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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for April Feeder Cattle(CME) as of Dec 30, 2011
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar
Tested Years   13 28 34 35 35 37 37 39 39 39 39
Closed Higher   7 16 22 18 17 14 21 23 25 22 20
Exceeded High   7 15 15 14 14 9 19 22 21 17 17
Scenario Percentage   100% 94% 68% 78% 82% 64% 90% 96% 84% 77% 85%
Avg Max Increase   5.49% 4.81% 3.54% 3.96% 4.27% 5.01% 4.99% 5.75% 6.13% 7.71% 4.19%
Max Increase   9.27% 9.99% 8.89% 10.58% 8.15% 10.94% 10.71% 16.45% 18.88% 21.09% 13.09%
Avg Days To Max Increase   19 19 16 14 21 20 19 16 17 11 13
Avg Max Decline   -3.37% -0.87% -1.19% -1.37% -1.15% -1.31% -1.39% -1.25% -1.73% -1.50% -0.84%
Max Decline   -9.58% -2.54% -4.91% -5.68% -4.22% -3.55% -4.91% -6.72% -5.36% -4.58% -4.35%
Avg Days to Max Decline   10 10 9 9 10 7 10 8 10 5 1
2011 Contract Condition     Yes Yes Yes   Yes Yes Yes Yes Yes Yes
Action     Yes Yes No   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 Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar
Tested Years   13 28 34 35 35 37 37 39 39 39 39
Closed Lower   6 12 12 17 18 22 16 16 14 17 19
Penetrated Low   5 8 9 11 16 15 9 10 10 12 10
Scenario Percentage   83% 67% 75% 65% 89% 68% 56% 63% 71% 71% 53%
Avg Max Decline   3.16% 5.52% 4.96% 3.84% 5.05% 6.72% 7.23% 6.93% 7.88% 8.14% 5.30%
Max Decline   8.48% 10.47% 14.00% 14.09% 15.76% 18.71% 17.23% 15.63% 16.52% 13.35% 9.69%
Avg Days To Max Decline   19 11 14 14 19 17 16 21 22 13 12
Avg Max Increase   -0.71% -1.19% -2.05% -1.18% -0.85% -1.26% -0.98% -1.54% -2.16% -0.40% -0.48%
Max Increase   -3.76% -4.71% -6.32% -2.92% -2.23% -3.41% -3.15% -3.59% -6.36% -2.82% -1.71%
Avg Days to Max Increase   6 5 11 10 8 13 6 9 7 4 2
2011 Contract Condition   Yes       Yes            
Action   Yes       Yes            
High 111.000 112.250 110.900 112.100 116.250 115.000 114.850 120.775 125.525 130.500 133.500 138.000
Low 109.850 106.900 106.500 109.875 111.250 109.700 108.000 111.900 118.450 122.625 124.650 127.650
Close/Last 111.000 106.900 110.400 112.100 114.450 112.550 113.150 120.400 124.825 129.075 131.775 137.800

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