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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for July 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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   39 40 40 40 41 41 41 41 41 41 41
Closed Higher   14 22 23 30 20 29 19 23 29 19 18
Exceeded High   12 17 19 26 19 24 17 22 22 13 11
Scenario Percentage   86% 77% 83% 87% 95% 83% 89% 96% 76% 68% 61%
Avg Max Increase   6.33% 6.47% 6.66% 6.48% 8.32% 8.13% 9.24% 9.30% 8.90% 9.22% 5.80%
Max Increase   10.45% 13.34% 17.73% 21.48% 28.70% 25.16% 19.41% 20.92% 30.50% 30.02% 10.75%
Avg Days To Max Increase   14 24 18 17 14 18 18 18 19 8 9
Avg Max Decline   -1.58% -1.68% -1.78% -2.83% -1.20% -2.19% -1.80% -1.64% -2.30% -1.42% -0.86%
Max Decline   -3.23% -3.96% -5.04% -8.98% -5.15% -7.88% -5.44% -7.20% -7.12% -5.06% -4.18%
Avg Days to Max Decline   8 15 8 12 7 10 7 7 13 4 3
2010 Contract Condition     Yes Yes Yes     Yes Yes Yes    
Action     Yes Yes Yes     Yes Yes No    
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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 Jun
Tested Years   39 40 40 40 41 41 41 41 41 41 41
Closed Lower   24 18 17 10 20 12 22 18 12 22 23
Penetrated Low   13 16 12 6 15 8 15 15 12 17 13
Scenario Percentage   54% 89% 71% 60% 75% 67% 68% 83% 100% 77% 57%
Avg Max Decline   6.39% 5.14% 4.42% 7.06% 4.89% 7.13% 10.50% 9.04% 9.73% 8.28% 4.26%
Max Decline   17.32% 14.41% 10.96% 14.73% 11.62% 20.65% 24.29% 29.39% 32.27% 27.57% 13.31%
Avg Days To Max Decline   16 19 17 12 13 19 14 17 20 13 8
Avg Max Increase   -2.20% -2.59% -3.05% -0.97% -2.67% -2.05% -1.75% -2.37% -3.65% -2.07% -0.39%
Max Increase   -8.66% -6.72% -10.10% -2.36% -7.12% -6.15% -7.93% -6.77% -11.23% -5.60% -3.86%
Avg Days to Max Increase   10 8 10 2 13 20 8 8 10 6 3
2010 Contract Condition   Yes       Yes Yes       Yes Yes
Action   No       Yes Yes       Yes Not Yet
High 75.000 70.775 71.700 74.750 76.750 77.450 79.675 80.500 84.550 87.950 87.500 83.300
Low 68.750 62.725 67.800 68.700 74.000 75.050 75.100 73.300 78.300 83.700 80.575 77.425
Close/Last 70.500 68.250 71.125 74.350 76.600 76.100 75.650 80.475 83.850 86.225 82.600 79.225

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