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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for August Lean Hogs(CME) as of May 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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   39 39 39 39 40 40 40 40 40 40 40
Closed Higher   24 23 28 22 26 20 22 29 18 19 22
Exceeded High   17 20 22 21 22 16 20 22 14 14 16
Scenario Percentage   71% 87% 79% 95% 85% 80% 91% 76% 78% 74% 73%
Avg Max Increase   5.78% 7.41% 6.90% 7.37% 8.78% 10.95% 9.93% 9.21% 11.64% 10.37% 5.87%
Max Increase   15.72% 17.68% 22.82% 28.19% 29.21% 23.29% 17.33% 29.29% 42.67% 43.06% 13.41%
Avg Days To Max Increase   20 18 18 17 18 17 21 20 16 11 9
Avg Max Decline   -1.51% -1.75% -2.16% -1.30% -2.31% -1.70% -1.75% -2.55% -3.00% -2.88% -0.63%
Max Decline   -4.06% -4.26% -8.50% -5.82% -7.71% -4.71% -8.47% -7.54% -11.11% -5.81% -2.58%
Avg Days to Max Decline   15 10 11 9 11 7 7 10 10 9 2
2010 Contract Condition   Yes 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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   39 39 39 39 40 40 40 40 40 40 40
Closed Lower   14 16 11 17 13 19 18 11 21 21 18
Penetrated Low   12 10 8 13 9 14 14 11 19 16 6
Scenario Percentage   86% 63% 73% 76% 69% 74% 78% 100% 90% 76% 33%
Avg Max Decline   3.80% 5.76% 5.30% 4.73% 6.62% 10.69% 9.63% 10.59% 8.91% 7.33% 6.06%
Max Decline   11.94% 11.88% 12.76% 11.56% 19.33% 24.72% 34.26% 35.00% 23.66% 21.35% 14.86%
Avg Days To Max Decline   16 17 11 13 18 16 18 19 16 11 6
Avg Max Increase   -2.58% -3.97% -0.84% -2.22% -1.64% -1.73% -2.31% -3.14% -3.24% -2.32% 0.42%
Max Increase   -6.83% -12.46% -2.55% -5.92% -4.28% -7.90% -5.83% -5.19% -10.07% -11.54% 0.04%
Avg Days to Max Increase   11 12 2 13 11 5 8 11 11 7 2
2010 Contract Condition         Yes Yes       Yes    
Action         Yes Yes       Not Yet    
High 69.200 71.000 74.000 76.275 76.500 78.850 79.850 83.750 87.525 87.300 83.725  
Low 61.600 66.125 69.200 73.500 73.775 73.875 72.500 77.575 82.975 80.700 81.950  
Close/Last 66.100 70.650 73.800 76.100 75.300 74.625 79.825 83.150 86.600 82.800 83.650  

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