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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, 2010
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 38 42 43 44 44 45 45 45 45 45 45
Closed Higher 23 17 20 23 29 30 29 26 24 26 22
Exceeded High 15 14 18 18 24 28 22 21 19 18 14
Scenario Percentage 65% 82% 90% 78% 83% 93% 76% 81% 79% 69% 64%
Avg Max Increase 4.52% 3.18% 3.68% 4.45% 4.95% 4.63% 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% -0.98% -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
2009 Contract Condition           Yes   Yes   Yes  
Action           Yes   No   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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years 38 42 43 44 44 45 45 45 45 45 45
Closed Lower 15 24 23 20 15 15 16 18 21 19 23
Penetrated Low 13 16 18 14 12 7 12 11 18 15 14
Scenario Percentage 87% 67% 78% 70% 80% 47% 75% 61% 86% 79% 61%
Avg Max Decline 5.27% 5.45% 4.54% 5.29% 5.81% 5.83% 5.74% 8.35% 7.43% 6.27% 10.82%
Max Decline 12.09% 18.54% 16.12% 16.03% 17.00% 14.34% 12.92% 14.79% 17.07% 22.77% 42.48%
Avg Days To Max Decline 14 16 15 12 14 19 21 21 18 13 15
Avg Max Increase -1.07% -0.78% -1.01% -1.32% -0.98% -1.98% -2.33% -0.71% -1.70% -1.21% -1.70%
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 8 5 11 8 6 5 7 7
2009 Contract Condition Yes Yes Yes Yes Yes   Yes   Yes   Yes
Action Yes Yes Yes Yes Yes   Yes   No   Yes
High 114.800 110.350 104.425 97.700 92.550 87.275 89.300 86.000 83.825 85.675 83.900
Low 106.400 103.800 96.000 85.000 81.700 78.600 81.200 80.450 79.975 81.000 80.850
Close/Last 109.200 104.350 97.400 90.775 84.950 86.200 82.450 83.900 81.700 82.500 81.325

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