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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, 2013
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   41 45 45 45 45 45 45 45 45 45 45
Closed Higher   26 19 22 25 30 30 31 26 24 26 20
Exceeded High   17 16 20 20 26 29 25 22 19 18 13
Scenario Percentage   65% 84% 91% 80% 87% 97% 81% 85% 79% 69% 65%
Avg Max Increase   4.43% 3.36% 3.81% 3.99% 4.83% 4.79% 6.42% 6.63% 9.37% 7.78% 4.72%
Max Increase   11.99% 8.55% 7.95% 9.43% 16.47% 11.90% 17.54% 18.85% 23.53% 21.24% 9.92%
Avg Days To Max Increase   14 13 19 20 20 17 18 17 19 13 15
Avg Max Decline   -1.26% -1.35% -1.52% -1.22% -1.71% -1.03% -1.37% -1.45% -1.17% -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 12 10 12 11 9 7 6 6 6 4
2012 Contract Condition   Yes Yes Yes Yes Yes   Yes       Yes
Action   Yes Yes Yes Yes Yes   Yes       Not Yet
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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   41 45 45 45 45 45 45 45 45 45 45
Closed Lower   15 25 23 19 15 15 14 18 21 19 25
Penetrated Low   13 17 18 13 12 7 11 12 18 14 16
Scenario Percentage   87% 68% 78% 68% 80% 47% 79% 67% 86% 74% 64%
Avg Max Decline   5.27% 5.32% 4.30% 5.62% 5.81% 5.83% 5.88% 8.65% 7.30% 7.28% 4.76%
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 13 14 19 21 21 18 12 12
Avg Max Increase   -1.07% -0.77% -1.03% -1.38% -0.98% -1.98% -2.40% -0.79% -1.70% -1.24% -0.70%
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 9 5 11 9 5 6 7 2
2012 Contract Condition             Yes   Yes Yes Yes  
Action             No   Yes Yes No  
High 121.925 123.775 124.450 125.675 127.300 127.500 126.400 128.050 128.930 128.300 117.850 120.400
Low 113.800 118.100 120.600 120.450 121.775 123.025 119.930 123.800 125.800 116.100 111.180 112.230
Close/Last 118.500 122.600 122.925 123.500 124.100 125.275 124.585 127.780 127.230 116.150 114.150 117.100

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