Question: (a) As a junior quant analyst at JPM, you are provided with a first task of analyst the following MACD output of Tesla (Nasdaq: TSLA)

(a) As a junior quant analyst at JPM, you are provided with a first task of analyst the following MACD output of Tesla (Nasdaq: TSLA) where the blue line (in MACD graph) represents the MACD line and the red line represents the signal line. The upper part of the graph represents the stock price of Tesla from April 2019 till April 2021. THAUS (1) Based on signal line crossovers, clearly explain at which instances (labelled A-E in the graph) will you enter any buying and/or selling positions? (3 marks) () Explain the relationship between the MACD line and the MACD histogram. (2 marks) (b) You are given a risk-free rate of 3% with the following monthly returns of your portfolio Month Actual Returns Jan 2020 1.00% Feb 2020 2.00% 3.00% March 2020 5.50% April 2020 May 2020 5.00% (1) Would you recommend the portfolio above or a portfolio with a Sortino of 2.4? Show your workings (3 marks) (i) Would you recommend the portfolio above or a portfolio with a Sortino of 2.4? Show your workings (3 marks) (ii) Given that the highest and lowest value of the portfolio was $125,000 and $35,000 respectively, estimate the Calmar ratio, assuming the return on the portfolio was 35% over the last 3 years. (2 marks) (a) As a junior quant analyst at JPM, you are provided with a first task of analyst the following MACD output of Tesla (Nasdaq: TSLA) where the blue line (in MACD graph) represents the MACD line and the red line represents the signal line. The upper part of the graph represents the stock price of Tesla from April 2019 till April 2021. THAUS (1) Based on signal line crossovers, clearly explain at which instances (labelled A-E in the graph) will you enter any buying and/or selling positions? (3 marks) () Explain the relationship between the MACD line and the MACD histogram. (2 marks) (b) You are given a risk-free rate of 3% with the following monthly returns of your portfolio Month Actual Returns Jan 2020 1.00% Feb 2020 2.00% 3.00% March 2020 5.50% April 2020 May 2020 5.00% (1) Would you recommend the portfolio above or a portfolio with a Sortino of 2.4? Show your workings (3 marks) (i) Would you recommend the portfolio above or a portfolio with a Sortino of 2.4? Show your workings (3 marks) (ii) Given that the highest and lowest value of the portfolio was $125,000 and $35,000 respectively, estimate the Calmar ratio, assuming the return on the portfolio was 35% over the last 3 years. (2 marks)

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