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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 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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   38 39 41 41 41 41 41 41 41 41 41
Closed Higher   19 16 26 23 31 21 28 20 23 24 23
Exceeded High   14 15 19 18 26 20 23 19 21 18 10
Scenario Percentage   74% 94% 73% 78% 84% 95% 82% 95% 91% 75% 43%
Avg Max Increase   8.08% 6.32% 6.47% 7.17% 6.86% 8.65% 8.59% 8.75% 10.53% 7.95% 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 18 16 19 13 11
Avg Max Decline   -2.85% -1.48% -1.78% -1.70% -3.08% -1.43% -2.55% -1.94% -2.03% -1.51% -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 12 7 12 8 6 3 2
2010 Contract Condition       Yes Yes Yes     Yes Yes Yes  
Action       Yes Yes 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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   38 39 41 41 41 41 41 41 41 41 41
Closed Lower   19 23 15 18 10 19 13 21 18 17 18
Penetrated Low   16 12 13 12 6 13 10 15 15 14 12
Scenario Percentage   84% 52% 87% 67% 60% 68% 77% 71% 83% 82% 67%
Avg Max Decline   6.18% 6.88% 6.08% 5.01% 8.30% 6.12% 8.11% 11.35% 10.27% 8.43% 5.68%
Max Decline   16.03% 18.42% 15.95% 11.76% 15.50% 13.32% 22.26% 25.20% 30.01% 28.52% 12.55%
Avg Days To Max Decline   14 15 19 17 16 14 19 16 16 13 6
Avg Max Increase   -1.44% -2.41% -2.49% -3.54% -1.95% -2.47% -1.58% -1.48% -2.31% -2.64% -0.55%
Max Increase   -5.41% -8.89% -5.64% -11.18% -6.86% -6.79% -6.58% -7.24% -6.94% -7.67% -4.70%
Avg Days to Max Increase   9 10 6 11 3 14 15 6 8 6 1
2010 Contract Condition   Yes Yes       Yes Yes       Yes
Action   Yes No       Yes Yes       Yes
High 79.300 75.800 71.800 72.850 75.100 78.250 78.450 81.500 81.500 84.250 87.800 87.200
Low 72.750 68.900 63.150 67.700 69.150 74.375 75.900 76.200 74.250 77.800 82.900 79.400
Close/Last 73.550 71.700 68.100 71.150 74.950 78.075 77.275 76.725 81.400 82.900 86.325 81.850

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