MBA 683 Investment Analysis and Portfolio Management

Project title: Analysis of the use of the MACD on the commodity markets

Deadline: 16^th June 2020, 5pm UAE time.

Weightage: 40% (inclusive of 10% for presentation)

Gold Price Analysis: MACD offers bearish signal for first since November

• Gold’s MACD histogram has turned bearish for first since late November.
• The price chart, however, is signaling a bullish revival.

Source: FXStreet.com (2020) – 17^th January.

Requirements:

As a recent MBA Graduate from CUD, you have been appointed by McMaster LLC as a global investment analyst and your first task is to conduct an analysis of one of the following commodities using the MACD model.

1. Make a group (maximum of four students) and select one of the commodities:

Group A – Gold

Group B – Crude Oil

Group C – Aluminium

2. Read and understand the article on MACD from the following link:

https://www.daytrading.com/macd

3. Prepare your report, by ensuring the following areas are covered:

1. Executive summary
2. Introduction – Provide an introduction about the market under study and the MACD technique. You are encouraged to use academic references from EBSCO databases which are available from the CUD online database.

àTalk briefly about the oil industry (General no details)

àExplain briefly what is the the MACD Technique (General no details)

1. Literature Review (Academic sources)

Sections should be included:

• Market current situation (details)
• MACD technique and background (Details : what is it , why we use it and how its related to commodity and oil)
• Crude Oil background
• Oil Crisis before
• Oil price war
• Covid-19 effect on the crude oil industry

2020. Data – Collect your historical data from 1^st November 2018 to 1^st March 2020. You should collect Daily   Provide a graph showing the performance of your selected commodity with benchmarks such as the S&P500, and other major commodities.  If you can use a commodity based index as a benchmark that’s added value.

• Write a paragraph about oil prices (Explain the crude oil performance graph)
• Write a paragraph about s&p500 compared to crude oil (Explain the s&p500 vs gold graph trends)
• Write a paragraph about gold performance as a commodity (Explain the gold graph)

1. Methodology – Provide some background on the MACD and its use, including the model and how to interpret its results.

àTalk about MACD Background

àTalk about MACD Methodology(How its used and how to get the final result)

àExplain MACD Model and its uses

à Explain MACD Results and how to interpret them

1. Analysis – Adopt the MACD model onto the dataset and analyze if the MACD provides with accurate forecasts of the commodity prices. It is very important to create your own MACD values using excel, instead of using available MACD information from websites.

1. Assumptions should be clearly stated, including how the model is constructed.
2. Provide 2 graphs with clear indications about the instances where overbought or oversold levels were reached, what was the expected impact on the commodity prices, and what was the actual commodity price following the signal. The more accurate the forecast is, the better is the recommendation to use MACD to forecast energy commodity prices.  The two graphs would be based on daily data respectively.

• Would you have been better or worse off if you just pursued a Buy and Hold strategy?

1. Please provide any observation you can make, e.g., regarding the relationship between the accuracy of the MACD in forecasting the daily commodity prices. Are your observations in line or contradict existing literature regarding the use of MACD in predicting commodity prices? (References)
2. Analyze the graphs and interpret the results of MACD
3. Are the assumptions met after the analysis yes or no and why?

• Please show all the signals of buy and sell through the graph and mention all the dates related to the buy and sell signals.

1. Conclusion – Please provide a conclusion about your report. References should not be added here.  You can also include some future areas of areas specific to your report.
2. References. A minimum of 15 references should be added.  Both in text and a list of references should be provided. (APA Style). All resources should be from strong trusted sources preferably academic and from economic and finance organization such as world economic forum, oecd, and imd.
3. Table of literature summary of all the references used in this report.
4. A paragraph of the research gap you found during writing the research.
5. Put the table of literature summary and the research gaps in a different document.

Please refer to the project template regarding the format expected, and the rubric attached.  While 30% of the weight will be for the written report, 10% will be given for group presentation.  Presentation will take place on the last week of your class.  For the written report, please submit both the word report (.docx) and the excel file to your professor.