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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for February Lean Hogs(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 Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan
Tested Years   37 39 39 40 41 41 41 41 41 41 41
Closed Higher   22 26 21 19 24 17 26 21 31 13 23
Exceeded High   18 20 16 13 18 13 22 17 25 8 16
Scenario Percentage   82% 77% 76% 68% 75% 76% 85% 81% 81% 62% 70%
Avg Max Increase   6.77% 6.57% 9.57% 11.70% 8.07% 9.77% 9.23% 9.21% 7.66% 9.93% 4.57%
Max Increase   20.61% 24.73% 44.63% 33.46% 25.43% 15.91% 19.64% 21.15% 24.91% 17.40% 12.03%
Avg Days To Max Increase   16 16 21 19 16 18 20 16 16 19 7
Avg Max Decline   -1.34% -1.81% -3.07% -1.48% -3.46% -2.39% -2.44% -2.20% -3.06% -2.45% -0.42%
Max Decline   -6.86% -6.80% -13.45% -5.74% -7.58% -5.21% -7.32% -10.34% -7.69% -5.97% -2.10%
Avg Days to Max Decline   6 10 11 8 9 9 8 8 9 4 2
2010 Contract Condition   Yes   Yes       Yes Yes Yes   Yes
Action   No   No       Yes Yes Yes   Not Yet
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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 Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan
Tested Years   37 39 39 40 41 41 41 41 41 41 41
Closed Lower   14 13 17 21 17 24 15 19 10 28 17
Penetrated Low   8 11 15 16 15 13 13 14 9 16 10
Scenario Percentage   57% 85% 88% 76% 88% 54% 87% 74% 90% 57% 59%
Avg Max Decline   11.07% 7.95% 11.00% 9.73% 6.99% 9.88% 8.54% 5.30% 9.49% 7.65% 5.07%
Max Decline   31.51% 27.40% 27.67% 20.29% 16.96% 20.45% 17.50% 9.50% 28.71% 16.93% 10.24%
Avg Days To Max Decline   19 18 19 16 14 17 14 17 18 11 8
Avg Max Increase   -1.74% -2.65% -2.68% -1.79% -2.21% -2.52% -2.78% -4.03% -2.72% -2.51% -0.64%
Max Increase   -3.77% -6.92% -6.74% -7.74% -6.59% -7.87% -6.78% -13.93% -9.20% -10.11% -1.95%
Avg Days to Max Increase   11 11 9 11 7 8 13 16 7 6 2
2010 Contract Condition     Yes   Yes Yes Yes       Yes  
Action     Yes   Yes Yes No       Not Yet  
High 71.000 71.000 69.300 69.700 68.800 64.300 59.100 59.125 63.650 68.075 67.900 71.475
Low 65.000 67.800 63.500 65.750 60.100 57.100 49.100 53.250 54.475 60.950 63.650 65.500
Close/Last 68.450 68.775 66.100 67.275 61.600 59.125 53.350 56.900 63.600 66.875 65.600 66.500

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