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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for April Live 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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar
Tested Years 37 39 40 40 40 40 40 40 40 40 40
Closed Higher 18 22 24 16 20 24 26 25 29 25 25
Exceeded High 15 21 17 13 20 16 23 24 23 22 19
Scenario Percentage 83% 95% 71% 81% 100% 67% 88% 96% 79% 88% 76%
Avg Max Increase 4.97% 5.73% 3.96% 3.82% 3.57% 4.33% 6.00% 6.51% 8.33% 7.51% 5.34%
Max Increase 22.82% 28.72% 11.79% 10.35% 8.50% 9.13% 15.90% 15.44% 23.63% 23.61% 17.27%
Avg Days To Max Increase 19 19 14 15 21 19 17 21 18 14 14
Avg Max Decline -1.07% -0.88% -1.51% -1.49% -1.94% -1.28% -1.84% -1.27% -1.50% -1.30% -0.97%
Max Decline -3.66% -3.41% -7.69% -3.52% -8.67% -3.62% -6.20% -3.48% -4.87% -4.16% -2.90%
Avg Days to Max Decline 9 9 8 14 14 11 8 12 7 7 2
2007 Contract Condition Yes Yes Yes Yes   Yes Yes Yes   Yes Yes
Action Yes Yes Yes Yes   Yes Yes Yes   Yes No
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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
Tested Years 37 39 40 40 40 40 40 40 40 40 40
Closed Lower 19 17 16 24 19 16 13 14 11 15 15
Penetrated Low 12 12 13 17 15 8 9 8 8 9 12
Scenario Percentage 63% 71% 81% 71% 79% 50% 69% 57% 73% 60% 80%
Avg Max Decline 5.45% 4.84% 4.23% 4.84% 4.26% 3.96% 6.20% 8.44% 7.30% 8.76% 9.15%
Max Decline 12.45% 12.27% 12.81% 17.84% 12.96% 7.65% 15.83% 14.02% 13.57% 16.04% 21.77%
Avg Days To Max Decline 19 19 11 12 18 14 11 21 18 10 15
Avg Max Increase -1.23% -1.14% -1.25% -0.91% -1.62% -1.39% -1.29% -1.91% -2.58% -1.09% -2.96%
Max Increase -4.45% -3.64% -4.22% -4.40% -7.26% -3.38% -4.52% -4.32% -5.34% -3.48% -8.04%
Avg Days to Max Increase 8 6 4 6 10 8 4 13 9 8 7
2007 Contract Condition         Yes       Yes    
Action         Yes       No    
High 87.100 89.850 89.800 91.100 92.050 91.550 91.725 94.200 94.975 98.100 102.925
Low 82.325 84.900 87.400 88.150 89.125 87.800 88.650 89.800 92.300 92.625 95.750
Close/Last 86.850 88.350 88.700 90.875 89.850 90.175 90.300 93.775 93.175 97.050 97.600

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