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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December Live Cattle(CME) as of Jan 01, 2008
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years 33 42 43 43 43 43 43 43 43 43 43
Closed Higher 22 21 22 22 21 21 25 21 25 24 26
Exceeded High 18 16 19 18 18 20 19 18 22 18 18
Scenario Percentage 82% 76% 86% 82% 86% 95% 76% 86% 88% 75% 69%
Avg Max Increase 3.57% 4.23% 4.79% 5.15% 5.07% 6.76% 4.59% 5.74% 5.40% 6.09% 3.32%
Max Increase 12.47% 13.33% 21.08% 13.31% 23.89% 27.74% 10.78% 17.67% 16.89% 10.63% 8.00%
Avg Days To Max Increase 16 18 15 15 18 19 17 18 20 15 14
Avg Max Decline -1.30% -0.89% -0.93% -1.21% -1.72% -1.35% -1.92% -1.57% -1.50% -0.96% -1.02%
Max Decline -3.93% -3.57% -5.65% -7.18% -4.12% -6.93% -9.56% -7.78% -5.36% -2.91% -6.01%
Avg Days to Max Decline 7 8 5 9 12 6 7 9 9 5 3
2007 Contract Condition   Yes Yes     Yes Yes        
Action   Yes No     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 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years 33 42 43 43 43 43 43 43 43 43 43
Closed Lower 10 21 21 21 21 22 18 22 18 19 17
Penetrated Low 7 10 14 15 13 17 13 14 16 14 13
Scenario Percentage 70% 48% 67% 71% 62% 77% 72% 64% 89% 74% 76%
Avg Max Decline 6.26% 6.77% 6.54% 5.14% 6.17% 5.31% 5.08% 6.60% 5.10% 6.07% 10.02%
Max Decline 11.87% 14.48% 27.03% 22.79% 13.42% 14.82% 13.62% 23.20% 10.41% 15.03% 24.65%
Avg Days To Max Decline 23 20 16 18 20 18 16 12 13 11 20
Avg Max Increase -1.07% -0.61% -0.80% -1.11% -1.74% -2.14% -1.57% -1.14% -1.98% -1.49% -3.74%
Max Increase -3.55% -1.39% -2.08% -3.46% -5.68% -5.92% -4.54% -3.45% -5.33% -7.24% -12.01%
Avg Days to Max Increase 6 10 7 9 8 12 7 5 9 8 12
2007 Contract Condition Yes     Yes Yes     Yes Yes Yes Yes
Action No     Yes Yes     Yes Yes Yes Yes
High 91.725 96.200 98.800 98.000 96.975 96.250 101.000 101.200 101.800 99.975 97.150
Low 90.200 90.825 94.900 94.650 94.650 94.000 95.250 96.500 98.150 94.700 93.750
Close/Last 91.300 95.875 96.575 96.350 95.950 96.175 100.975 100.025 99.800 94.925 93.850

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