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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 Dec 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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   36 44 45 45 45 45 45 45 45 45 45
Closed Higher   23 23 22 24 22 23 26 21 25 23 26
Exceeded High   19 17 19 19 18 21 20 18 22 17 18
Scenario Percentage   83% 74% 86% 79% 82% 91% 77% 86% 88% 74% 69%
Avg Max Increase   3.53% 4.13% 4.38% 5.18% 5.34% 6.85% 4.69% 5.83% 5.40% 6.05% 3.25%
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   15 18 15 17 19 19 17 18 20 15 14
Avg Max Decline   -1.29% -1.05% -0.97% -1.24% -1.73% -1.31% -1.87% -1.64% -1.50% -1.01% -1.11%
Max Decline   -3.93% -4.07% -5.65% -7.18% -4.12% -6.93% -9.56% -7.78% -5.36% -2.91% -6.01%
Avg Days to Max Decline   7 9 7 9 12 5 7 9 9 5 4
2010 Contract Condition     Yes Yes Yes   Yes Yes Yes     Yes
Action     Yes Yes No   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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   36 44 45 45 45 45 45 45 45 45 45
Closed Lower   11 21 23 21 22 22 19 24 20 22 19
Penetrated Low   8 10 14 15 14 17 15 16 19 16 12
Scenario Percentage   73% 48% 61% 71% 64% 77% 79% 67% 95% 73% 63%
Avg Max Decline   5.91% 6.77% 6.54% 5.14% 5.85% 5.27% 5.38% 7.17% 5.59% 6.63% 4.65%
Max Decline   11.87% 14.48% 27.03% 22.79% 13.42% 14.82% 13.62% 23.20% 17.43% 15.03% 8.88%
Avg Days To Max Decline   23 20 16 18 19 18 17 12 13 10 13
Avg Max Increase   -1.31% -0.61% -0.80% -1.11% -1.73% -2.14% -1.51% -1.13% -1.83% -1.53% -0.53%
Max Increase   -3.55% -1.39% -2.08% -3.46% -5.68% -5.92% -4.54% -3.45% -5.33% -7.24% -1.55%
Avg Days to Max Increase   6 10 7 9 8 13 6 5 9 8 3
2010 Contract Condition           Yes       Yes Yes  
Action           Yes       Yes No  
High 90.500 90.850 93.400 97.000 98.350 98.175 93.775 96.975 101.250 102.650 102.300 103.400
Low 87.475 89.525 89.850 92.800 95.625 90.975 90.750 92.650 95.375 97.800 96.600 97.100
Close/Last 90.500 90.500 93.150 96.300 97.425 92.300 93.150 96.225 100.050 99.600 98.825 103.075

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