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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for August 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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   38 40 41 43 43 43 44 44 44 44 44
Closed Higher   18 19 26 29 25 21 23 25 21 19 24
Exceeded High   16 15 25 28 20 18 20 20 18 17 19
Scenario Percentage   89% 79% 96% 97% 80% 86% 87% 80% 86% 89% 79%
Avg Max Increase   2.80% 3.59% 4.17% 4.43% 4.70% 5.80% 8.28% 6.70% 6.48% 7.40% 3.98%
Max Increase   5.28% 8.67% 19.17% 12.63% 16.50% 15.89% 22.50% 20.21% 16.21% 25.20% 9.32%
Avg Days To Max Increase   18 15 17 15 16 19 22 14 18 13 14
Avg Max Decline   -1.66% -0.81% -1.13% -0.85% -1.16% -1.37% -1.21% -1.55% -2.03% -1.56% -0.99%
Max Decline   -6.31% -3.36% -3.71% -4.32% -3.95% -6.96% -4.08% -5.48% -5.01% -5.02% -3.43%
Avg Days to Max Decline   11 8 8 7 6 6 7 8 13 9 3
2008 Contract Condition   Yes     Yes   Yes   Yes Yes Yes  
Action   No     Yes   Yes   Yes Yes 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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   38 40 41 43 43 43 44 44 44 44 44
Closed Lower   18 20 15 13 18 22 20 18 22 25 19
Penetrated Low   14 13 11 7 13 14 18 14 15 19 8
Scenario Percentage   78% 65% 73% 54% 72% 64% 90% 78% 68% 76% 42%
Avg Max Decline   3.55% 4.17% 5.02% 5.46% 5.86% 6.69% 6.37% 6.59% 7.11% 6.00% 3.42%
Max Decline   10.78% 16.33% 17.02% 14.82% 12.84% 14.09% 23.21% 26.75% 19.32% 16.00% 7.32%
Avg Days To Max Decline   15 13 17 19 21 20 18 19 20 12 10
Avg Max Increase   -0.90% -0.64% -1.10% -1.78% -1.48% -0.71% -1.53% -1.46% -1.54% -1.58% -1.17%
Max Increase   -2.35% -2.07% -3.29% -3.40% -3.54% -2.22% -5.21% -3.01% -3.58% -4.35% -7.13%
Avg Days to Max Increase   4 3 7 12 7 7 10 11 6 7 3
2008 Contract Condition     Yes Yes   Yes   Yes       Yes
Action     Yes No   Yes   No       Not Yet
High 94.700 96.450 95.800 95.425 96.500 97.450 98.650 98.650 99.475 102.175 106.150 104.700
Low 92.300 94.250 93.750 93.350 93.750 94.500 96.000 91.600 92.650 97.025 98.800 96.750
Close/Last 94.650 95.925 94.000 93.775 96.400 96.300 98.575 92.950 98.975 101.850 103.425 98.400

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