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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March Sugar #11(ICE) 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 Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Higher   17 25 21 22 23 19 21 28 26 23 23
Exceeded High   15 18 19 19 18 18 19 22 20 18 10
Scenario Percentage   88% 72% 90% 86% 78% 95% 90% 79% 77% 78% 43%
Avg Max Increase   13.06% 17.76% 15.07% 14.63% 13.01% 14.19% 18.80% 17.74% 22.21% 19.08% 15.37%
Max Increase   60.89% 50.21% 53.74% 65.38% 45.05% 57.97% 102.45% 70.10% 90.79% 127.09% 51.19%
Avg Days To Max Increase   21 20 19 20 18 18 18 14 17 16 11
Avg Max Decline   -3.79% -1.75% -2.49% -3.74% -3.81% -3.88% -3.11% -3.00% -4.03% -3.61% -2.76%
Max Decline   -11.88% -8.33% -13.62% -15.38% -13.02% -12.93% -8.44% -10.60% -12.69% -8.18% -7.13%
Avg Days to Max Decline   9 3 6 7 9 11 7 8 11 7 3
2010 Contract Condition   Yes Yes Yes Yes Yes Yes       Yes Yes
Action   Yes Yes 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 Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Lower   27 19 24 22 22 26 24 17 19 21 22
Penetrated Low   18 16 21 18 16 18 17 10 14 16 16
Scenario Percentage   67% 84% 88% 82% 73% 69% 71% 59% 74% 76% 73%
Avg Max Decline   14.24% 14.13% 13.29% 15.61% 16.85% 13.62% 10.88% 9.41% 12.79% 15.30% 9.44%
Max Decline   30.90% 34.91% 24.89% 28.50% 36.32% 31.31% 23.57% 18.31% 30.22% 38.56% 18.65%
Avg Days To Max Decline   18 17 17 21 19 14 13 17 14 15 14
Avg Max Increase   -1.73% -2.62% -3.07% -4.10% -2.97% -2.90% -4.53% -5.00% -2.86% -3.83% -2.91%
Max Increase   -9.30% -8.81% -10.03% -12.28% -6.69% -7.77% -20.63% -14.50% -8.65% -16.35% -9.59%
Avg Days to Max Increase   5 5 8 12 8 9 8 11 3 6 3
2010 Contract Condition               Yes Yes Yes    
Action               Yes No No    
High 14.95 15.34 15.60 17.57 18.96 20.00 25.90 26.25 25.37 24.00 27.49 30.33
Low 13.73 13.94 14.46 15.48 16.61 17.93 19.80 21.95 21.18 21.33 22.09 26.70
Close/Last 14.82 15.06 15.58 17.27 18.83 19.78 25.82 25.39 22.81 22.64 26.95 29.90

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