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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for July Soybean Meal(CBOT) 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   38 44 45 45 45 45 45 45 45 45 45
Closed Higher   22 17 21 24 19 22 20 24 25 24 26
Exceeded High   16 15 17 12 15 16 18 17 18 17 16
Scenario Percentage   73% 88% 81% 50% 79% 73% 90% 71% 72% 71% 62%
Avg Max Increase   9.34% 11.07% 8.59% 11.68% 10.88% 11.81% 11.61% 11.89% 23.39% 16.00% 9.18%
Max Increase   29.23% 21.52% 39.04% 44.25% 48.78% 29.48% 36.23% 34.60% 100.18% 39.51% 27.23%
Avg Days To Max Increase   15 16 17 18 21 18 19 18 20 14 9
Avg Max Decline   -1.06% -1.81% -2.76% -1.87% -2.28% -2.01% -3.13% -2.01% -1.99% -1.60% -0.74%
Max Decline   -3.38% -6.06% -10.74% -5.56% -9.52% -7.64% -19.80% -5.30% -8.22% -6.22% -4.93%
Avg Days to Max Decline   6 6 9 5 9 6 11 9 8 6 3
2010 Contract Condition       Yes Yes     Yes   Yes   Yes
Action       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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   38 44 45 45 45 45 45 45 45 45 45
Closed Lower   16 26 24 21 25 23 24 21 20 21 19
Penetrated Low   9 24 18 13 17 23 19 13 11 17 12
Scenario Percentage   56% 92% 75% 62% 68% 100% 79% 62% 55% 81% 63%
Avg Max Decline   9.00% 6.58% 6.61% 8.38% 9.72% 5.78% 6.48% 6.76% 7.04% 7.14% 8.65%
Max Decline   33.13% 18.45% 18.18% 29.91% 28.40% 15.15% 31.68% 27.54% 16.08% 42.22% 43.20%
Avg Days To Max Decline   12 15 15 15 17 17 14 16 20 9 6
Avg Max Increase   -1.92% -1.83% -2.22% -1.69% -1.60% -2.06% -2.45% -1.56% -4.36% -2.37% 0.52%
Max Increase   -4.82% -5.35% -6.93% -4.81% -9.50% -5.65% -8.62% -4.61% -9.98% -9.96% -2.05%
Avg Days to Max Increase   6 11 7 8 5 8 9 8 10 5 2
2010 Contract Condition   Yes Yes     Yes Yes   Yes   Yes  
Action   Yes Yes     Yes Yes   No   Yes  
High 298.20 305.40 294.00 296.80 308.50 313.20 307.60 281.40 279.20 296.70 294.30 299.50
Low 262.60 275.50 270.00 260.90 276.70 289.70 266.50 259.80 251.00 259.70 270.00 269.00
Close/Last 288.50 288.00 274.30 282.20 308.20 300.60 267.50 269.60 264.70 293.10 273.50 289.40

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