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