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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for June Lean Hogs(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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years 35 36 38 38 38 38 38 38 38 38 38
Closed Higher 18 16 24 22 28 21 27 19 22 22 22
Exceeded High 14 15 18 17 24 20 22 18 20 17 10
Scenario Percentage 78% 94% 75% 77% 86% 95% 81% 95% 91% 77% 45%
Avg Max Increase 8.08% 6.32% 6.27% 7.32% 7.14% 8.65% 8.81% 8.80% 10.76% 8.00% 5.73%
Max Increase 20.43% 10.89% 11.38% 18.26% 21.48% 29.71% 25.88% 19.19% 23.06% 17.35% 10.69%
Avg Days To Max Increase 14 12 23 17 19 17 19 16 18 13 11
Avg Max Decline -2.85% -1.48% -1.72% -1.76% -2.93% -1.43% -2.66% -1.80% -2.13% -1.39% -0.50%
Max Decline -7.45% -3.70% -7.01% -5.95% -8.69% -4.80% -7.58% -6.47% -8.16% -4.44% -2.21%
Avg Days to Max Decline 8 8 13 9 11 7 12 7 6 3 2
2007 Contract Condition Yes Yes   Yes Yes   Yes Yes      
Action Yes 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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years 35 36 38 38 38 38 38 38 38 38 38
Closed Lower 17 20 14 16 10 16 11 19 16 16 16
Penetrated Low 14 11 12 11 6 10 8 13 13 13 13
Scenario Percentage 82% 55% 86% 69% 60% 62% 73% 68% 81% 81% 81%
Avg Max Decline 5.28% 6.12% 5.59% 5.14% 8.30% 5.98% 8.75% 11.11% 10.67% 8.11% 13.14%
Max Decline 16.03% 18.42% 15.95% 11.76% 15.50% 13.32% 22.26% 25.20% 30.00% 28.53% 28.40%
Avg Days To Max Decline 15 15 19 16 16 16 21 16 17 13 12
Avg Max Increase -1.62% -2.56% -2.70% -3.55% -1.95% -2.32% -1.75% -1.36% -2.40% -2.25% -1.47%
Max Increase -5.41% -8.88% -5.64% -11.19% -6.86% -6.79% -6.59% -7.24% -6.95% -5.20% -4.70%
Avg Days to Max Increase 10 10 7 8 3 16 18 5 9 5 -51
2007 Contract Condition     Yes     Yes     Yes Yes Yes
Action     No     Yes     No Yes Yes
High 67.550 68.600 68.900 73.200 75.250 74.950 77.500 78.750 79.050 78.125 76.000
Low 64.500 66.700 65.725 66.850 71.850 71.750 70.900 75.550 72.550 74.200 73.300
Close/Last 67.550 68.250 67.300 73.100 74.850 73.450 77.350 78.050 75.400 75.100 75.075

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