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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for August Live Cattle(CME) as of Jan 01, 2008
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
Tested Years 37 39 40 42 42 42 43 43 43 43 43
Closed Higher 17 19 26 28 25 20 23 24 20 18 24
Exceeded High 16 15 25 27 20 17 20 19 17 17 19
Scenario Percentage 94% 79% 96% 96% 80% 85% 87% 79% 85% 94% 79%
Avg Max Increase 2.80% 3.59% 4.17% 4.51% 4.70% 6.08% 8.28% 6.67% 6.61% 7.43% 4.04%
Max Increase 5.28% 8.67% 19.17% 12.63% 16.50% 15.89% 22.50% 20.21% 16.21% 25.20% 9.32%
Avg Days To Max Increase 18 15 17 15 16 19 22 14 18 13 14
Avg Max Decline -1.66% -0.81% -1.13% -0.81% -1.16% -1.04% -1.21% -1.52% -1.97% -1.56% -0.99%
Max Decline -6.31% -3.36% -3.71% -4.32% -3.95% -3.09% -4.08% -5.48% -5.01% -5.02% -3.43%
Avg Days to Max Decline 11 8 8 7 6 5 7 9 13 9 3
2007 Contract Condition   Yes Yes Yes   Yes   Yes     Yes
Action   Yes Yes Yes   Yes   No     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
Tested Years 37 39 40 42 42 42 43 43 43 43 43
Closed Lower 18 19 14 13 17 22 19 18 22 25 18
Penetrated Low 14 12 11 7 12 14 18 14 15 19 13
Scenario Percentage 78% 63% 79% 54% 71% 64% 95% 78% 68% 76% 72%
Avg Max Decline 3.55% 4.46% 5.02% 5.46% 5.94% 6.69% 6.37% 6.59% 7.11% 6.00% 9.73%
Max Decline 10.78% 16.33% 17.02% 14.82% 12.84% 14.09% 23.21% 26.75% 19.32% 16.00% 36.92%
Avg Days To Max Decline 15 14 17 19 21 20 18 19 20 13 16
Avg Max Increase -0.90% -0.67% -1.10% -1.78% -1.40% -0.71% -1.53% -1.46% -1.54% -1.58% -3.46%
Max Increase -2.35% -2.07% -3.29% -3.40% -3.54% -2.22% -5.21% -3.01% -3.58% -4.35% -11.78%
Avg Days to Max Increase 4 3 7 12 5 7 10 11 6 7 10
2007 Contract Condition Yes       Yes   Yes   Yes Yes  
Action Yes       No   Yes   Yes No  
High 87.300 85.775 87.250 88.900 88.750 93.250 96.075 94.800 94.100 92.000 95.075
Low 84.150 83.750 84.150 86.000 86.800 87.650 90.600 90.100 90.550 88.125 89.400
Close/Last 84.825 84.875 86.325 88.100 88.000 92.500 92.250 92.600 91.475 90.275 94.875

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