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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 30, 2011
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   39 40 42 42 42 42 42 42 42 42 42
Closed Higher   20 16 27 23 32 22 29 20 24 24 23
Exceeded High   15 15 20 18 27 21 24 19 22 18 10
Scenario Percentage   75% 94% 74% 78% 84% 95% 83% 95% 92% 75% 43%
Avg Max Increase   7.89% 6.32% 6.41% 7.17% 7.11% 8.80% 8.36% 8.75% 10.07% 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   15 12 23 17 20 17 18 16 18 13 11
Avg Max Decline   -2.89% -1.48% -1.85% -1.70% -3.01% -1.45% -2.71% -1.94% -2.00% -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 13 8 6 3 2
2011 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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   39 40 42 42 42 42 42 42 42 42 42
Closed Lower   19 24 15 19 10 19 13 22 18 18 19
Penetrated Low   16 12 13 12 6 13 10 16 15 15 12
Scenario Percentage   84% 50% 87% 63% 60% 68% 77% 73% 83% 83% 63%
Avg Max Decline   6.18% 6.88% 6.08% 5.01% 8.30% 6.12% 8.11% 11.00% 10.27% 8.45% 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% -1.52% -2.31% -2.54% -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
2011 Contract Condition     Yes   Yes       Yes   Yes Yes
Action     No   No       Yes   Yes Not Yet
High 82.000 83.200 84.175 87.450 88.300 89.550 93.275 101.000 104.100 104.150 104.350 96.325
Low 76.900 80.025 80.300 81.950 82.275 84.325 87.750 91.400 99.200 94.525 94.675 86.925
Close/Last 82.000 83.125 82.750 84.950 84.825 88.750 93.050 100.950 100.200 103.875 95.225 90.175

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