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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 May 31, 2010
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   39 41 42 44 44 44 45 45 45 45 45
Closed Higher   18 19 26 30 25 22 23 26 21 20 24
Exceeded High   16 15 25 29 20 18 20 20 18 18 19
Scenario Percentage   89% 79% 96% 97% 80% 82% 87% 77% 86% 90% 79%
Avg Max Increase   2.80% 3.59% 4.17% 4.42% 4.70% 5.80% 8.28% 6.70% 6.48% 7.13% 4.04%
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 14 14
Avg Max Decline   -1.66% -0.81% -1.13% -0.79% -1.16% -1.37% -1.21% -1.55% -2.03% -1.62% -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
2010 Contract Condition       Yes Yes   Yes Yes Yes   Yes  
Action       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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   39 41 42 44 44 44 45 45 45 45 45
Closed Lower   19 21 16 13 19 22 21 18 23 25 20
Penetrated Low   15 14 12 7 14 14 18 14 16 19 9
Scenario Percentage   79% 67% 75% 54% 74% 64% 86% 78% 70% 76% 45%
Avg Max Decline   4.47% 4.87% 5.24% 5.46% 5.65% 6.69% 6.37% 6.59% 6.78% 6.00% 3.31%
Max Decline   17.36% 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 12 16 19 21 20 18 19 19 13 10
Avg Max Increase   -0.86% -0.69% -0.95% -1.78% -1.66% -0.71% -1.53% -1.46% -1.47% -1.58% -1.11%
Max Increase   -2.35% -2.07% -3.29% -3.40% -3.97% -2.22% -5.21% -3.01% -3.58% -4.35% -7.13%
Avg Days to Max Increase   3 3 7 12 8 7 10 11 6 7 3
2010 Contract Condition   Yes Yes     Yes       Yes    
Action   Yes Yes     Yes       Not Yet    
High 88.700 86.925 86.800 86.200 87.750 87.950 89.525 93.600 94.950 95.575 90.025  
Low 86.050 84.875 83.925 84.725 83.500 86.700 86.575 88.750 91.250 88.500 89.000  
Close/Last 86.600 85.700 85.125 85.675 87.700 87.325 88.825 91.525 93.525 89.250 89.625  

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