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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May 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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   19 31 34 36 37 37 40 40 40 40 40
Closed Higher   10 20 18 19 16 19 22 26 24 20 22
Exceeded High   9 15 13 15 12 17 22 22 20 19 14
Scenario Percentage   90% 75% 72% 79% 75% 89% 100% 85% 83% 95% 64%
Avg Max Increase   4.09% 3.53% 4.27% 4.42% 3.94% 4.95% 5.35% 6.02% 6.76% 6.00% 3.65%
Max Increase   6.75% 8.60% 10.67% 8.83% 10.43% 10.55% 17.01% 16.55% 21.46% 21.34% 11.90%
Avg Days To Max Increase   16 17 15 22 18 18 16 18 16 13 15
Avg Max Decline   -1.07% -1.27% -1.38% -1.71% -0.85% -1.35% -1.21% -1.63% -2.13% -1.65% -0.50%
Max Decline   -2.45% -4.48% -4.98% -9.65% -3.19% -4.84% -6.22% -5.66% -5.23% -4.62% -1.82%
Avg Days to Max Decline   10 10 8 11 5 9 10 10 10 7 2
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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   19 31 34 36 37 37 40 40 40 40 40
Closed Lower   9 11 14 17 21 17 18 14 16 20 18
Penetrated Low   7 8 10 15 16 10 10 11 12 15 10
Scenario Percentage   78% 73% 71% 88% 76% 59% 56% 79% 75% 75% 56%
Avg Max Decline   4.66% 4.90% 3.51% 5.17% 5.83% 6.68% 6.60% 6.86% 8.54% 7.16% 4.19%
Max Decline   7.50% 13.63% 13.50% 16.11% 18.56% 17.50% 16.54% 17.19% 18.27% 17.99% 7.25%
Avg Days To Max Decline   13 15 12 17 15 18 21 20 21 13 12
Avg Max Increase   -1.50% -1.36% -1.23% -0.95% -1.10% -0.88% -1.19% -1.62% -0.87% -1.57% -0.63%
Max Increase   -4.57% -5.64% -3.14% -2.23% -3.22% -2.48% -3.09% -5.49% -3.22% -7.21% -1.30%
Avg Days to Max Increase   10 8 10 10 10 6 7 7 7 7 3
2011 Contract Condition         Yes             Yes
Action         Yes             Yes
High 108.000 109.850 111.850 116.300 115.000 115.400 120.750 125.450 130.600 134.450 139.650 139.750
Low 107.900 107.500 109.100 110.550 110.500 108.800 112.800 119.100 123.000 125.450 128.400 128.700
Close/Last 107.900 109.500 111.450 114.750 112.700 113.600 120.625 125.225 129.575 132.625 139.375 131.900

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