CMT Level III case studies
CMT Level III · Put your knowledge to work in context.
The Chartered Market Technician® (CMT®) designation is awarded by the CMT Association to professionals who demonstrate mastery of a core body of knowledge of investment risk in portfolio management settings. It is the culmination of a rigorous three-level curriculum that provides market professionals with comprehensive training in technical analysis of financial markets. The CMT Level III case studies are 5 cases and about 3,079 words.
1Copper Trend System After a Whipsaw Quarter
A commodity trading advisor runs a long/short system on COMEX copper futures using a 20-day/100-day EMA crossover. Over the past three months the system has produced seven round trips and a net loss of 4.8%.
652 words, about 3 min2Risk Budget Under Correlated Selloff
A foundation portfolio holds 55% global equities, 35% investment-grade bonds, and 10% gold. Its target volatility is 10%; trailing 12-month realized volatility is 9.8%.
600 words, about 3 min3Breadth Divergence at Index High
A large-cap equity index prints a new all-time high. The equal-weight version of the same index is 3.5% below its high; the advance-decline line made a lower high; the percentage of stocks above their 50-day moving averages has fallen from 78% to 54%; the 52-week new-high minus new-low reading has narrowed for five weeks.
621 words, about 3 min4Stop-Loss Versus Protective Put on a Concentrated Position
A portfolio manager holds a 9% position in a mid-cap industrial stock, now 68, with a cost basis of 42. The stock's 20-day ATR is 2.10; 30-day implied volatility is 38%; beta to the benchmark is 1.3; correlation is 0.65.
637 words, about 3 min5Volatility Targeting and Procyclical Deleveraging
A risk parity fund targets 8% annualized volatility and uses a 20-day realized volatility estimate to set leverage. Current allocations are 35% equities, 55% bonds, and 10% commodities; leverage is 1.4x.
569 words, about 3 min