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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for October Feeder Cattle(CME) as of May 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 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep
Tested Years   9 31 34 37 38 38 38 38 38 38 38
Closed Higher   3 19 23 22 16 24 24 21 24 22 19
Exceeded High   3 19 20 14 14 18 19 20 20 20 13
Scenario Percentage   100% 100% 87% 64% 88% 75% 79% 95% 83% 91% 68%
Avg Max Increase   6.93% 5.04% 4.23% 6.04% 5.81% 6.04% 6.71% 7.28% 4.80% 5.16% 2.99%
Max Increase   10.29% 14.38% 15.47% 13.16% 24.60% 17.00% 17.69% 33.68% 13.80% 17.30% 10.87%
Avg Days To Max Increase   21 14 14 20 17 21 22 16 14 12 12
Avg Max Decline   -0.56% -0.65% -0.98% -1.26% -1.17% -1.20% -1.90% -1.46% -1.76% -1.39% -0.68%
Max Decline   -1.01% -5.45% -3.21% -5.02% -2.84% -3.10% -7.28% -4.59% -6.61% -7.38% -2.04%
Avg Days to Max Decline   9 7 7 7 7 10 11 8 6 3 3
2010 Contract Condition     Yes Yes Yes Yes Yes   Yes      
Action     Yes Yes Yes Yes Not Yet          
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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 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep
Tested Years   9 31 34 37 38 38 38 38 38 38 38
Closed Lower   6 12 11 15 22 14 14 16 14 16 18
Penetrated Low   3 6 7 12 16 8 12 11 11 12 11
Scenario Percentage   50% 50% 64% 80% 73% 57% 86% 69% 79% 75% 61%
Avg Max Decline   6.75% 5.41% 7.71% 5.78% 6.99% 7.61% 6.63% 6.32% 6.97% 6.28% 3.75%
Max Decline   9.34% 8.12% 16.84% 14.96% 30.86% 31.86% 13.63% 12.55% 24.37% 16.33% 8.22%
Avg Days To Max Decline   16 21 23 18 18 10 16 15 13 11 11
Avg Max Increase   0.05% -1.11% -1.57% -0.66% -1.69% -0.82% -1.21% -1.88% -3.00% -1.16% -1.09%
Max Increase   -0.68% -2.26% -5.30% -1.74% -6.89% -2.02% -4.47% -4.73% -7.79% -4.23% -4.09%
Avg Days to Max Increase   4 7 8 4 10 5 5 10 9 3 2
2010 Contract Condition   Yes           Yes        
Action   Yes           Not Yet        
High 99.000 99.100 98.700 102.500 105.500 113.000 116.575 116.500 108.500      
Low 99.000 97.425 97.200 98.750 100.525 104.750 112.200 107.000 107.375      
Close/Last 99.000 97.700 98.700 102.500 104.700 112.950 115.150 108.150 108.400      

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