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