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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for June 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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years 36 40 41 42 42 43 43 43 43 43 43
Closed Higher 22 17 19 23 29 28 29 24 24 24 21
Exceeded High 14 14 18 18 24 26 22 21 19 17 13
Scenario Percentage 64% 82% 95% 78% 83% 93% 76% 88% 79% 71% 62%
Avg Max Increase 4.74% 3.18% 3.68% 4.45% 4.95% 4.80% 6.56% 6.75% 10.12% 8.19% 4.63%
Max Increase 11.99% 8.55% 7.95% 13.06% 16.47% 11.90% 17.54% 18.85% 23.53% 21.24% 9.92%
Avg Days To Max Increase 13 12 20 19 19 16 17 18 21 12 13
Avg Max Decline -1.17% -1.33% -1.48% -1.15% -1.50% -0.93% -1.30% -1.39% -1.16% -1.22% -1.03%
Max Decline -7.20% -3.06% -6.27% -3.45% -6.05% -3.21% -4.47% -4.17% -4.02% -6.83% -2.99%
Avg Days to Max Decline 5 10 11 11 11 8 6 6 6 6 3
2007 Contract Condition Yes Yes   Yes Yes Yes Yes Yes      
Action Yes 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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years 36 40 41 42 42 43 43 43 43 43 43
Closed Lower 14 23 22 18 13 15 14 18 19 19 22
Penetrated Low 12 15 17 12 10 7 10 11 18 15 13
Scenario Percentage 86% 65% 77% 67% 77% 47% 71% 61% 95% 79% 59%
Avg Max Decline 4.70% 4.57% 3.86% 4.98% 6.11% 5.83% 5.85% 8.35% 7.43% 6.27% 11.44%
Max Decline 11.00% 18.17% 9.99% 16.03% 17.00% 14.34% 12.92% 14.79% 17.07% 22.77% 42.48%
Avg Days To Max Decline 13 16 15 13 14 19 19 21 18 13 15
Avg Max Increase -1.08% -0.83% -1.05% -1.35% -0.93% -1.98% -2.06% -0.71% -1.70% -1.21% -1.79%
Max Increase -4.24% -1.67% -3.34% -5.86% -3.17% -3.41% -4.60% -1.99% -5.92% -3.76% -7.18%
Avg Days to Max Increase 5 7 5 9 3 11 6 6 5 7 7
2007 Contract Condition     Yes           Yes Yes Yes
Action     Yes           Yes Yes Yes
High 84.800 86.950 88.000 87.400 88.475 89.975 90.100 96.150 99.825 97.250 94.500
Low 82.600 83.550 85.100 84.250 85.400 86.650 88.250 89.350 92.775 91.950 90.275
Close/Last 84.150 86.650 85.575 86.125 87.250 89.300 89.850 95.500 94.875 94.125 91.150

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