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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for October Sugar #11(ICE) 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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Higher   26 25 23 21 22 20 22 19 21 21 17
Exceeded High   19 19 20 17 19 18 16 17 18 17 14
Scenario Percentage   73% 76% 87% 81% 86% 90% 73% 89% 86% 81% 82%
Avg Max Increase   14.73% 15.74% 19.84% 18.41% 13.03% 12.66% 18.87% 17.49% 15.67% 12.68% 10.37%
Max Increase   56.25% 58.71% 121.90% 60.02% 43.87% 67.91% 55.89% 65.50% 67.94% 44.66% 24.49%
Avg Days To Max Increase   18 17 17 16 15 18 19 19 16 11 14
Avg Max Decline   -2.95% -2.63% -2.82% -3.19% -1.50% -4.05% -2.51% -2.79% -5.19% -3.85% -1.57%
Max Decline   -7.70% -8.54% -10.66% -8.60% -14.62% -13.99% -7.50% -16.61% -18.81% -11.56% -6.27%
Avg Days to Max Decline   8 9 6 9 6 8 6 7 8 10 4
2010 Contract Condition     Yes Yes Yes         Yes    
Action     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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Lower   18 20 22 24 23 25 23 26 24 23 28
Penetrated Low   14 14 19 18 18 18 19 22 19 16 21
Scenario Percentage   78% 70% 86% 75% 78% 72% 83% 85% 79% 70% 75%
Avg Max Decline   6.82% 10.37% 12.10% 13.64% 15.63% 16.30% 16.25% 16.30% 19.94% 21.81% 12.10%
Max Decline   19.66% 21.43% 27.76% 33.23% 32.50% 35.94% 39.06% 29.16% 33.71% 38.65% 22.64%
Avg Days To Max Decline   17 16 17 19 21 21 18 19 21 24 22
Avg Max Increase   -2.99% -1.41% -3.22% -2.65% -3.64% -2.69% -2.92% -3.75% -5.93% -4.37% -2.74%
Max Increase   -10.34% -5.83% -17.43% -10.79% -9.09% -13.18% -10.78% -12.52% -21.36% -9.51% -10.36%
Avg Days to Max Increase   12 7 10 5 6 6 4 8 10 9 7
2010 Contract Condition   Yes       Yes Yes Yes Yes      
Action   Yes       Yes Yes Yes Not Yet      
High 21.70 21.45 20.59 21.85 22.78 22.77 21.39 18.10 15.96 15.03    
Low 18.80 18.86 18.79 19.90 21.20 20.59 16.05 15.50 13.67 14.59    
Close/Last 21.44 19.86 19.91 21.85 22.32 20.95 16.50 15.81 14.69 14.90    

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