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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, 2009
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   37 41 42 43 43 44 44 44 44 44 44
Closed Higher   23 17 20 23 29 29 29 25 24 25 22
Exceeded High   15 14 18 18 24 27 22 21 19 18 14
Scenario Percentage   65% 82% 90% 78% 83% 93% 76% 84% 79% 72% 64%
Avg Max Increase   4.52% 3.18% 3.68% 4.45% 4.95% 4.67% 6.56% 6.75% 10.12% 8.18% 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 13 14
Avg Max Decline   -1.28% -1.33% -1.48% -1.15% -1.50% -1.01% -1.30% -1.39% -1.16% -1.29% -1.21%
Max Decline   -7.20% -3.06% -6.27% -3.45% -6.05% -3.21% -4.47% -4.17% -4.02% -6.83% -3.65%
Avg Days to Max Decline   6 10 11 11 11 9 6 6 6 6 3
2008 Contract Condition   Yes   Yes     Yes   Yes   Yes Yes
Action   Yes   No     Yes   No   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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   37 41 42 43 43 44 44 44 44 44 44
Closed Lower   14 23 22 19 14 15 15 18 20 19 22
Penetrated Low   12 15 17 13 11 7 11 11 18 15 13
Scenario Percentage   86% 65% 77% 68% 79% 47% 73% 61% 90% 79% 59%
Avg Max Decline   4.70% 4.57% 3.86% 4.67% 5.66% 5.83% 5.99% 8.35% 7.43% 6.27% 5.34%
Max Decline   11.00% 18.17% 9.99% 16.03% 17.00% 14.34% 12.92% 14.79% 17.07% 22.77% 11.72%
Avg Days To Max Decline   13 16 15 12 15 19 20 21 18 13 14
Avg Max Increase   -1.08% -0.83% -1.05% -1.27% -1.09% -1.98% -2.15% -0.71% -1.70% -1.21% -0.63%
Max Increase   -4.24% -1.67% -3.34% -5.86% -3.17% -3.41% -4.60% -1.99% -5.92% -3.76% -2.56%
Avg Days to Max Increase   5 7 5 8 6 11 8 6 5 7 2
2008 Contract Condition         Yes Yes   Yes   Yes    
Action         Yes Yes   Yes   No    
High 95.000 96.000 96.000 97.350 96.750 94.700 95.200 95.600 96.350 95.450 93.950 97.100
Low 93.000 94.000 93.250 95.400 93.300 92.600 92.900 92.000 93.000 86.650 87.150 91.025
Close/Last 95.000 96.000 96.000 97.025 93.500 93.025 95.025 93.525 95.325 87.750 93.475 96.525

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