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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 Apr 30, 2011
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   39 43 44 45 45 45 45 45 45 45 45
Closed Higher   24 17 20 24 30 31 30 26 24 26 21
Exceeded High   15 14 18 19 25 29 23 21 19 18 13
Scenario Percentage   63% 82% 90% 79% 83% 94% 77% 81% 79% 69% 62%
Avg Max Increase   4.52% 3.18% 3.68% 4.37% 4.90% 4.61% 6.70% 6.65% 9.58% 7.78% 4.72%
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 20 13 15
Avg Max Decline   -1.28% -1.33% -1.48% -1.22% -1.54% -0.98% -1.27% -1.35% -1.20% -1.29% -1.36%
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 13 11 9 6 6 7 6 4
2011 Contract Condition   Yes Yes Yes Yes Yes Yes Yes Yes Yes    
Action   Yes Yes 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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   39 43 44 45 45 45 45 45 45 45 45
Closed Lower   15 25 24 20 15 14 15 18 21 19 24
Penetrated Low   13 17 19 14 12 7 12 11 18 15 15
Scenario Percentage   87% 68% 79% 70% 80% 50% 80% 61% 86% 79% 63%
Avg Max Decline   5.27% 5.32% 4.41% 5.29% 5.81% 5.83% 5.74% 8.35% 7.43% 6.27% 4.90%
Max Decline   12.09% 18.54% 16.12% 16.03% 17.00% 14.34% 12.92% 14.79% 17.07% 22.77% 11.72%
Avg Days To Max Decline   14 15 15 12 14 19 21 21 18 13 13
Avg Max Increase   -1.07% -0.77% -0.97% -1.32% -0.98% -1.98% -2.33% -0.71% -1.70% -1.21% -0.75%
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 4 8 5 11 8 6 5 7 2
2011 Contract Condition                     Yes Yes
Action                     Yes  
High 93.475 96.025 100.050 100.800 104.000 106.650 109.875 115.500 116.700 121.000 121.625 113.975
Low 91.050 92.300 95.450 97.700 97.650 101.875 104.200 107.600 111.550 110.650 112.025 111.575
Close/Last 92.900 96.000 98.500 99.900 102.525 106.250 109.275 114.550 114.650 120.975 113.350 111.950

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