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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 Dec 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 Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar
Tested Years   40 42 43 43 43 43 43 43 43 43 43
Closed Higher   21 24 26 17 21 24 27 27 29 28 26
Exceeded High   17 22 19 14 20 16 24 26 23 23 20
Scenario Percentage   81% 92% 73% 82% 95% 67% 89% 96% 79% 82% 77%
Avg Max Increase   5.03% 5.59% 3.63% 3.62% 3.57% 4.33% 5.85% 6.20% 8.33% 7.58% 5.26%
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 20 14 16 21 19 16 20 18 13 14
Avg Max Decline   -1.09% -0.89% -1.57% -1.45% -1.94% -1.28% -1.79% -1.29% -1.50% -1.26% -0.95%
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 9 13 7 7 2
2010 Contract Condition   Yes   Yes         Yes   Yes Yes
Action   No   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   40 42 43 43 43 43 43 43 43 43 43
Closed Lower   19 18 17 26 21 19 15 15 14 15 17
Penetrated Low   12 13 14 19 17 11 11 8 11 9 12
Scenario Percentage   63% 72% 82% 73% 81% 58% 73% 53% 79% 60% 71%
Avg Max Decline   5.45% 4.56% 4.63% 5.45% 4.86% 4.48% 6.13% 8.44% 6.49% 8.76% 4.97%
Max Decline   12.45% 12.27% 12.81% 17.84% 15.87% 13.03% 15.83% 14.02% 13.57% 16.04% 11.54%
Avg Days To Max Decline   19 20 12 13 18 14 10 21 17 10 12
Avg Max Increase   -1.23% -1.13% -1.29% -0.89% -1.45% -1.52% -1.01% -1.91% -2.50% -1.09% -1.23%
Max Increase   -4.45% -3.64% -4.22% -4.40% -7.26% -3.38% -4.52% -4.32% -5.34% -3.48% -3.09%
Avg Days to Max Increase   8 9 4 6 9 9 3 13 8 8 2
2010 Contract Condition     Yes   Yes Yes Yes Yes   Yes    
Action     Yes   Yes Yes Yes Yes   Yes    
High 92.900 95.175 94.450 91.275 91.300 90.400 89.875 89.925 89.950 91.350 93.525 98.700
Low 89.750 90.450 89.800 89.550 89.225 87.150 86.250 87.250 85.050 88.650 88.550 91.550
Close/Last 90.950 94.050 90.350 90.800 89.575 88.675 88.650 88.125 89.800 89.375 91.925 96.550

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