Thursday, January 14, 2016

This report was prepared by an analyst(s) employed by BMO Nesbitt Burns Inc., and who is (are) not registered as a research analyst(s) under FINRA rules. For disclosure statements, including the Analyst's Certification, please refer to pages 40 to 41.

Quant Daily

Market Elements Page

January 13, 2015 NEW Market Elements 2

Trends & Inflection Points

January 14, 2016 NEW Ashes to Ashes 9

January 13, 2016 I’m a Mess Without My Little China 10

January 12, 2016 Capitulation Filter for the Times 12

January 11, 2016 Ground Control to Major TOM 13

January 8, 2016 It's a Fire 14

January 7, 2016 UTILITIES as 30y Treasury Yields Break Down 15

January 6, 2016 The Sells 17

January 5, 2016 U.S. Real Estate…For the Relative Strength 18

January 4, 2016 Framing 2016 & Your Global Buy List 20

December 31, 2015 Group Selection Report 21

December 30, 2015 Short Filter: Severed Uptrends in Weak Subindustries 22

December 29, 2015 Momentum Buys in S&P 500 23

December 24, 2015 Go Atomic Lite on Mining 24

December 23, 2015 Energy – The Dreaded Mean Reversion Trade 25

December 22, 2015 North American High Yield Stocks Are Beating the 500 26

December 21, 2015 Canada Heading Into 2016 – 20/20 View 28

December 18, 2015 Flying High 29

December 17, 2015 Get Ready for a Squeeze 30

December 16, 2015 Pruning the Wrong Industrials 32

December 15, 2015 Global Sector Fab Four 33

December 14, 2015 From Oil to S&P 500’s Downside ~1,900 34

Focal Points

October 5, 2015 Bank Risk Priced at a 2-Year High 35

September 3, 2015 Not Enough Puff 37

July 22, 2015 Best of Strong U.S. Dollar Stocks 38

Market Elements January 13, 2016 Research Comment Quantitative/Technical Research Website

Mark Steele (416) 359-4641 mark.steele@bmo.com Assoc: Tiberiu Stoichita/Jin Li

MSCI World broke down below the Sept low; IT and Heath Care ledlosses while Utilities were the only global sector which gained.

Safe haven bonds rallied; the US 30y BE rate explored new spacebelow 1.6% for the first time since 2008; JNK suffered its worstsession in a month and broke down to a 3.5y low; corp CDS widened.

Currencies were mixed against the greenback; CNY, JPY, EUR,and DXY treaded water; the loonie positioned itself at 69.

Brent followed WTI in breaking below the $30 barrier; gasolineand heating oil also plumbed new depths; base metals were flat tohigher; gold rose for the 1st day in four.

Levels* Currencies (USD per) Commodities Government 10-Yr Benchmark Equity Indices & Sentiment

Symbol H/L Level %Chg Symbol H/L Level %Chg Symbol H/L Level Chg Symbol H/L Level %ChgDXY 98.91 -0.1% L -1.1%

-0.4% -2.5%L -0.1% 0.03 L -1.6%

-0.1%

L -0.6%

-0.3%

-0.2% L -0.2%

L -0.3% -1.9

BB Cmdty 74.63 0.3% U.S. 2.07 -0.04 MSCI World 1,545 EUR 1.0882 0.2% WTI Oil 30.74 1.0% Canada L 1.22 -0.04 MSCI EM 728 0.6%CHF 0.9943 NMX Gas 2.28 0.9% U.K. 1.74 -0.01 S&P 500 1,890 GBP 1.4435 Gold 1,093.5 0.6% Germany 0.57 S&P/TSX 12,170 JPYx10 0.0850 Silver 14.14 2.6% France 0.88 -0.04 STOXX 50 3,073 0.3%CAD 0.6967 Platinum 848.7 1.5% Italy 1.56 -0.06 FTSE 100 5,961 0.5%AUD 0.6964 Palladium 485.55 3.2% Spain 1.78 -0.06 Hang Seng 19,935 1.1%NZD 0.6524 CMX Cu 195.55 Portugal 2.67 -0.01 Topix 1,442 2.9%BRL 0.2490 0.3% LME Al 3m 0.66 0.8% Switzerland (0.12) -0.05 S&P/ASX 4,987 1.3%MXNx10 0.5572 LME Ni 3m 3.81 1.8% Australia 2.76 -0.02 CSI 300 3,156 %ZAR 0.0604 0.7% LME Zn 3m 0.68 1.8% Hong Kong 1.42 CDX IG 5Yr 102 KRWx10 0.8252 Lumber 248.20 1.3% India 7.77 ARMS 1.2 CNY 0.1521 Corn 358.00 0.4% Japan L 0.20 -0.02 VI

0.00 H 3.9%L -0.1% 0.01 25.5% -0.1% X 25 12.0%

Moves Currencies (spot) Commodities Government 10-Yr Benchmarks Equity Indices

1.0% 0.5% 0.0% 0.5% 1.0%

CAD

CHF

AUD

MXN

NZD

KRW

GBP

JPY

CNY

EUR

BRL

ZAR

1.0% -0.08-0.06-0.04-0.02

Spain

Italy

Switzerland

Canada

France

U.S.

Australia

Japan

Portugal

U.K.

Hong Kong

India

Germany

0.000.020.04 3.0% 2.0% 1.0%0.0% 1.0% 2.0% 3.0% 4.0%

CMX Cu

BB Cmdty

Corn

Gold

LME Al 3m

NMX Gas

WTI Oil

Lumber

Platinum

LME Ni 3m

LME Zn 3m

Silver

Palladium

0.0% 1.0% 2.0% 3.0% 4.0%

S&P 500

CSI 300

S&P/TSX

MSCI World

STOXX 50

FTSE 100

MSCI EM

Hang Seng

S&P/ASX

Topix

Sectors MSCI World S&P Europe 350 S&P 500 S&P/TSX Composite

2.5% 2.0% 1.5% 1.0% 0.5% 0.0% 0.5% 1.0%

Info Tech

Hlth Care

Cons Disc

Energy

Financials

Industrials

Cons Stap

Real Estate

Materials

Telecom

Utilities

4.0% 3.0% 2.0% 1.0% 0.0%

Cons Disc

Hlth Care

Info Tech

Financials

Industrials

Materials

Energy

Cons Stap

Real Estate

Telecom

Utilities

1.0% 0.5% 0.0% 0.5% 1.0% 1.5% 2.0%

Cons Disc

Info Tech

Real Estate

Financials

Telecom

Materials

Industrials

Hlth Care

Utilities

Cons Stap

Energy

3.0% 2.0% 1.0% 0.0% 1.0%

Industrials

Hlth Care

Energy

Financials

Utilities

Info Tech

Telecom

Cons Stap

Real Estate

Cons Disc

Materials

Source for all data and graphics in this publication: BMO Capital Markets, Bloomberg, Thomson * H/L = at a new closing 52- wk High/Low; / = within 10% of the 52- week High/Low; Colour codes are inverted for bond and sentiment indications

2

Market Elements

Daily Charts 3-Month View with 26-Day Bollinger Bands and 150-, 200- and 50-Day Moving Averages

Lots of market elements are exploring new space.

Be safe.

Currencies Commodities Bonds Equities

Page 2 January 13, 2016 3

Market Elements

Intra Day Charts 2-Day 1-Minute View

Currencies Commodities Bonds Equities

Page 3 January 13, 2016 4

Market Elements

Daily Sector Charts 3-Month View with 26-Day Bollinger Bands and 150-, 200- and 50-Day Moving Averages

U.S. – at a 52-week low: Energy, Materials, Financials.

Canada – at a 52-week low: Energy, Industrials, Financials.

S&P 500

S&P/TSX Composite

S&P Europe 350

Page 4 January 13, 2016 5

Market Elements

Market Movers – Largest Daily Percentage Moves

S&P Global 1200 ex U.S. & Canada S&P 500 S&P/TSX CompositeName Symbol % Chg Name Symbol % Chg Name Symbol % ChgSECURITY_NAME TICKER Chg SECURITY_NAME Ticker Chg SECURITY_NAME Ticker Chg

Energy Santos Ltd STO AU 5.4% Southwestern Energy SWN 8.8% PrairieSky Royalty PSK 3.0%

Tullow Oil TLW LN 4.7% Range Resources RRC 2.8% TORC Oil & Gas TOG 2.9%

BP PLC BP/ LN 3.9% EOG Resources EOG 2.3% Whitecap Resources WCP 2.7%

Petroleo Brasileiro PBR/A U -5 Williams Cos Inc WMB -17 MEG Energy MEG -11.

Vallourec SA VK FP -2.4% Chesapeake Energy CHK -10.1% Encana Corp ECA -7.2%Petroleo Brasileiro PBR US -4.0% Tesoro Corp TSO -12.2% Paramount Resources POU -9.6%

S .8% .7% 7%SECURITY_NAME TICKER Chg SECURITY_NAME Ticker Chg SECURITY_NAME Ticker Chg

Materials Toyo Seikan Group Holdings 5901 JP 4.9% Newmont Mining NEM 2.8% Primero Mining P 3.7%

Mitsui Chemicals 4183 JP 4.6% Alacer Gold ASR 3.2%

Kobe Steel 5406 JP 4.3% Yamana Gold YRI 3.1%

Gerdau SA GGB US -7 Freeport-McMoRa FCX -9 OceanaGold OGC -5.

Airgas Inc ARG -0.2%

Eastman Chemical EMN -0.5%Newcrest Mining NCM AU -4.8% Martin Marietta Materials MLM -4.0% HudBay Minerals HBM -5.1%

Vale SA VALE US -5.9% LyondellBasell Industries LYB -4.1% First Quantum Minerals FM -5.1%

.7% n .0% 2%SECURITY_NAME TICKER Chg SECURITY_NAME Ticker Chg SECURITY_NAME Ticker ChgIndustrials Edenred EDEN FP 8.2% ADT Corp ADT 0.8% Westshore Terminals Investment WTE 1.6%

SMC 6273 JP 5.7% WestJet Airlines WJA 0.4%

Central Japan Railway 9022 JP 5.6%

Aurizon Holdings AZJ AU -6 Norfolk Southern NSC -5 Canadian Pacific R CP -5.

Precision Castparts PCP -0.1%

CH Robinson Worldwide CHRW -0.5% Boyd Group Income Fund BYD-U -0.0%

Embraer SA ERJ US -3.5% CSX Corp CSX -5.7% Aecon Group ARE -3.7%

Deutsche Lufthansa LHA GR -4.0% United Rentals URI -5.8% Bombardier BBD/B -4.1%

.3% .9% ailway 2%SECURITY_NAME TICKER Chg SECURITY_NAME Ticker Chg SECURITY_NAME Ticker Chg

Cons Disc Fuji Heavy Industries 7270 JP 5.8% Chipotle Mexican Grill CMG 5.9% Shaw Communications SJR/B 5.3%

Rakuten Inc 4755 JP 5.5% General Motors GM 0.6% Great Canadian Gaming GC 5.0%

Dentsu Inc 4324 JP 5.2% PulteGroup PHM 0.4% Magna MG 2.3%

Bayerische Motore BMW GR -5 BorgWarner BWA -9 Corus Entertainme CJR/B -7.

Daimler AG DAI GR -3.8% Delphi Automotive DLPH -6.4% Performance Sports Group PSG -3.9%Continental CON GR -4.1% Netflix Inc NFLX -8.6% Martinrea MRE -4.0%

n Werke .7% .5% nt 2%SECURITY_NAME TICKER Chg SECURITY_NAME Ticker Chg SECURITY_NAME Ticker Chg

Cons Stap Unicharm Corp 8113 JP 4.8% Keurig Green Mountain GMCR 0.0% Maple Leaf Foods MFI 0.2%Yakult Honsha 2267 JP 3.5%

Shiseido Co Ltd 4911 JP 3.5%

Carlsberg CARLB D -2 Church & Dwight C CHD -6 Cott Corp BCB -3.

Clorox Co CLX -0.2% Metro Inc MRU -0.2%

Kimberly-Clark KMB -0.5% George Weston WN -0.3%

Ambev SA ABEV US -1.4% Mondelez MDLZ -3.6% North West Co Inc NWC -1.0%

BRF SA BRFS US -1.7% Kroger Co KR -4.9% Alimentation Couche-Tard ATD/B -2.5%

C .0% o .1% 3%SECURITY_NAME TICKER Chg SECURITY_NAME Ticker Chg SECURITY_NAME Ticker Chg

Health Care Cochlear Ltd COH AU 4.0% Stryker Corp SYK 0.7% Extendicare EXE 2.4%

Shire PLC SHP LN 3.8% Intuitive Surgical ISRG 0.6% Concordia Healthcare CXR 0.1%

Terumo Corp 4543 JP 3.2% Baxalta Inc BXLT 0.0%

Fresenius Medical C FME GR -3 Vertex Pharmaceut VRTX -7

Chartwell Retirement Residence CSH-U -0.8%

Merck KGaA MRK GR -2.0% Express Scripts Holding ESRX -6.9% Valeant Pharmaceuticals VRX -2.3%Bayer AG BAYN GR -2.4% St Jude Medical STJ -7.0% Prometic Life Sciences PLI -9.8%

are .2% icals .0%SECURITY_NAME TICKER Chg SECURITY_NAME Ticker Chg SECURITY_NAME Ticker Chg

Financials Aegon NV AGN NA 9.7% MetLife Inc MET 2.2% Cominar REIT CUF-U 1.3%

Banco Popolare BP IM 4.2% Assurant Inc AIZ 0.8% Laurentian Bank of Canada LB 0.7%ORIX Corp 8591 JP 4.0% General Growth Properties GGP 0.2% RioCan REIT REI-U 0.6%

Deutsche Bank DBK GR -3 Host Hotels & Res HST -6 Colliers Intl CIG -5.

Credicorp Ltd BAP US -2.7% Legg Mason LM -5.7% National Bank of Canada NA -3.3%

Banco Bradesco BBD US -3.2% Navient Corp NAVI -5.9% Fairfax Financial Holdings FFH -3.4%

.4% orts .1% 2%SECURITY_NAME TICKER Chg SECURITY_NAME Ticker Chg SECURITY_NAME Ticker Chg

Technology Yahoo Japan 4689 JP 6.5% F5 Networks FFIV 1.5%

Nintendo 7974 JP 6.5% FLIR Systems FLIR 0.6%

TDK Corp 6762 JP 5.5%

Infineon Technologie IFX GR -2 Qorvo Inc QRVO -9 Enghouse Systems ESL -4.

DH Corp DH -0.2%

Mitel Networks MNW -0.5%

NetApp Inc NTAP -0.4% Open Text Corp OTC -0.9%

Cielo SA CIEL3 BZ -1.9% Skyworks Solutions SWKS -6.7% Avigilon Corp AVO -3.4%

SAP SE SAP GR -2.4% Autodesk Inc ADSK -7.2% Computer Modelling Group CMG -4.0%s .7% .8% 1%SECURITY_NAME TICKER Chg SECURITY_NAME Ticker Chg SECURITY_NAME Ticker Chg

Telecom SoftBank Group Corp 9984 JP 3.0%

China Mobile 941 HK 2.4%America Movil AMXL MM 2.0%

Deutsche Telekom DTE GR -2

AT&T Inc T -0.5% Manitoba Telecom Services MBT -1.3%

CenturyLink CTL -1.6% BCE Inc BCE -1.4%Verizon Communications VZ -1.7% TELUS Corp T -1.9%

Koninklijke KPN KPN NA -1.5% Level 3 Communications LVLT -2.8% Rogers Communications RCI/B -2.1%

Millicom Intl Cellular MIC SS -1.7% Frontier Communications Corp FTR -4.8%

.2%SECURITY_NAME TICKER Chg SECURITY_NAME Ticker Chg SECURITY_NAME Ticker Chg

Utilities Osaka Gas Co Ltd 9532 JP 2.6% Consolidated Edison ED 1.8%

Kyushu Electric Power Co 9508 JP 2.6% Sempra Energy SRE 1.5%

Power Assets Holdings 6 HK 1.8% DTE Energy DTE 0.8%

Emera Inc EMA -0.8%

Just Energy Group JE -1.0%

Fortis FTS -1.3%

Suez Environnement SEV FP -0.8% CenterPoint Energy CNP -1.3% Capital Power CPX -3.2%

Terna Rete Elettrica Nazionale TRN IM -1.0% Exelon Corp EXC -1.4% Brookfield Renewable Energy BEP-U -3.2%Cia Energetica de Minas Gerais CIG US -2.5% FirstEnergy FE -2.1% TransAlta Corp TA -5.2%

Bold = move of more than 5%

Page 5 January 13, 2016 6

Market Elements

U.S. Market Movers

Energy Industrials Consumer Discretionary Consumer Staples Technology FinancialsSymbol H/L Last %Chg Symbol H/L Last %Chg Symbol H/L Last %Chg Symbol H/L Last %Chg Symbol H/L Last %Chg Symbol H/L Last %ChgESV L -6.3% -1.8% -6.4% -1.7% -3.9% -3.110.62 UTX 88.83 DLPH 70.15 CVS 94.11 FB 95.44 WFC 49.73 %NE 8.03 BA 128.12 JCI 34.66 WBA 79.93 GOOGL 719.57 USB 39.01 L -5.3% -2.9% L -3.5% -2.3% -3.4% L -3.9%RIG 9.80 HON 97.10 BWA 33.84 SYY 40.04 EBAY 25.41 CMA 36.67 L -4.6% -2.1% L -9.5% -1.6% -3.0% L -4.7%DO 17.51 LMT 214.40 GM 30.49 0.6% KR 39.20 YHOO 29.44 PNC 86.41 -2.3% -1.6% -4.9% -4.0% -2.9%NBR 6.50 GD 129.05 F 12.20 WFM 31.25 AKAM 45.82 BBT 33.72 L -4.2% L -2.1% L -5.1% -2.8% -2.2% L -3.3%HP 44.94 RTN 121.31 HOG 41.80 WMT 61.92 VRSN 76.09 STI 38.10 L -2.3% -2.9% L -1.3% -2.7% -4.0% -3.2%RDC 12.98 NOC 184.86 MHK 169.50 COST 152.12 ACN 99.26 FITB 17.33 L -3.7% -2.1% -5.3% -2.5% -1.7% -5.1%PTEN 12.56 PCP 232.17 PHM 16.30 0.4% TAP 87.59 CTSH 57.77 RF 8.33 L -4.2% -0.1% -2.2% -3.1% L -4.6%UNT 7.50 LLL 114.18 DHI 27.24 STZ 144.13 LDOS 53.75 MTB 106.72 L -9.0% -2.4% -3.4% -2.0% -2.9% L -3.4%ATW 7.06 COL 87.19 NVR 1,527 BF/B 91.51 V 73.10 KEY 11.68 L -9.4% -1.8% -3.2% -3.2% -2.2% L -3.0%SLB 63.95 ITT 31.99 WHR 130 KO 41.85 MA 89.19 HBAN 9.75 L -1.2% L -2.8% L -3.2% -0.6% -2.4% -4.2%HAL 30.46 FLR 41.67 NWL 37.97 PEP 96.50 ADP 77.34 AMT 92.15 L -3.2% -1.7% -5.0% -1.1% -2.6% -2.4%BHI 39.25 EMR 43.26 MAT 26.26 MNST 143.67 WU 16.59 NYCB 14.99 L -4.3% -2.2% -3.1% -2.5% -2.5% -3.2%NOV 29.08 ROK 92.97 HAS 68.51 CCE 46.25 PAYX 46.38 PBCT 14.49 L -4.4% L -1.4% -3.3% -1.3% -2.2% -3.5%CAM 59.17 GE 28.24 COH 31.52 DPS 90.39 FIS 59.12 BAC 14.90 -0.9% -1.4% -3.3% -2.5% -1.4% L -2.6%FTI 24.75 MMM 138.72 VFC 56.63 ADM 33.47 CSC 28.82 JPM 57.34 L -1.9% -1.5% -1.9% L -2.3% -3.3% -2.7%OII 32.09 TYC 29.81 RL 100.78 MDLZ 40.59 FISV 86.83 C 45.19 L -3.4% L -2.5% L -3.1% -3.6% -2.7% L -3.6%DRQ 53.00 CAT 60.89 NKE 58.78 GIS 55.30 ADS 248.59 LUK 15.40 L -1.7% L -1.2% -1.9% -1.9% -3.3% L -1.7%OIS 24.98 DE 73.22 LVS 36.97 K 70.90 ADBE 88.30 CME 84.17 -1.1% -1.7% -5.0% -0.8% -1.6% -3.5%TDW 5.27 PCAR 44.30 WYNN 52.47 GMCR 90.11 0.0% INTU 91.70 MHFI 84.37 -5.2% L -2.0% -5.7% -3.3% L -4.9%CRR 15.79 CMI 84.90 IGT 14.93 CPB 52.79 CRM 72.35 ICE 246.62 -0.5% L -2.0% -2.0% -1.3% -2.8% -2.8%SPN 9.94 DHR 86.52 CCL 52.38 CAG 39.53 CTXS 67.27 MCO 87.11 L -3.7% -2.3% -4.2% -2.9% -4.9% L -4.4%CKH 44.10 ITW 82.48 RCL 89.04 MJN 69.09 ADSK 50.87 AXP 62.85 L -2.9% -1.6% -5.3% L -2.2% -7.1% L -2.4%AROC 5.25 ETN 48.43 MAR 60.27 WWAV 35.03 MSFT 51.64 COF 63.64 L -9.1% L -3.0% L -6.3% -3.0% -2.1% L -3.2%SLCA 15.99 PH 89.72 HOT 60.86 HSY 83.60 ORCL 34.08 DFS 49.40 -2.5% L -0.9% L -6.2% -1.7% L -3.6% L -3.1%BRS 20.02 DOV 55.32 WYN 67.40 SJM 119.16 SYMC 20.25 SLM 5.64 0.5L -4.8% -2.0% L -3.1% -2.1% -1.9% %HLX 4.07 FAST 38.77 MCD 115.12 HAIN 36.64 CA 26.35 BK 36.46 L -7.9% -1.7% -2.0% -6.3% -1.5% -3.3%NR 4.39 GWW 185.60 YUM 69.03 TSN 53.12 RHT 76.60 BEN 32.98 L -4.1% L -1.1% -0.1% -0.9% -2.6% L -3.0%TTI 5.43 WM 52.26 SBUX 57.87 HRL 78.44 ATVI 34.86 BLK 304.61 -5.5% -1.8% -2.7% -1.3% -6.0% -2.8%HOS 7.55 RSG 43.82 DRI 61.86 MKC 84.88 EA 63.38 STT 56.81 L -2.5% -1.9% -1.0% -0.7% -3.4% L -4.2%ERA 8.61 UPS 90.61 CMG 428.28 5.9% PM 88.31 CSCO 24.60 TROW 64.87 L -6.4% L -2.6% -0.9% -2.9% L -2.7%MTRX 19.07 6.9% FDX 130.29 APOL 7.10 MO 57.78 QCOM 46.10 NTRS 64.75 L -3.3% -3.9% -2.7% -0.9% -2.3%XOM 75.65 0.5% CHRW 62.69 DV 22.20 0.3% RAI 47.39 MSI 63.37 AMP 92.41 -0.5% -1.8% -2.3% L -3.8%CVX 81.33 EXPD 42.62 HRB 31.55 PG 75.85 JNPR 25.66 AMG 131.16 -0.9% -2.0% -2.4% -0.9% -2.2% L -3.8%COP 39.00 LUV 40.40 OMC 69.25 CL 62.91 HRS 85.40 IVZ 29.09 L -3.1% -5.3% -2.2% -0.7% -3.9% L -2.3%OXY 60.40 DAL 44.94 IPG 21.68 KMB 125.46 FFIV 94.00 1.5% LM 33.39 L -0.9% -4.3% -1.7% -0.5% L -5.6%MRO 8.54 UNP 73.85 CBS 44.94 CLX 128.11 AAPL 97.37 GS 158.99 L -7.0% -3.2% -4.4% -0.2% -2.5% L -4.0%HES 38.59 NSC 71.44 DISCA 25.54 ENR 31.40 IBM 131.17 MS 26.89 L -2.5% L -5.9% -3.0% L -1.7% L -1.3% L -5.5%MUR 17.30 CSX 22.35 CMCSA 53.55 CHD 78.65 HPQ 10.58 SCHW 27.71 L -5.1% L -5.7% -2.4% -6.1% L -2.2% -5.2%

APA 35.60 0.5% Health Care SIRI 3.71 AVP 2.51 0.0% TDC 22.69 MMC 52.23 -2.1% L -1.5% -0.8%DVN 24.80 Symbol H/L Last %Chg TWC 179.57 EL 83.10 EMC 24.19 AON 85.91 L -3.5% -2.2% -1.3% -1.9% L -1.4%

APC 34.86 MDT 74.65 SNI 54.60 0.2% Utilities STX 31.07 MET 42.91 2.1L -6.6% -2.3% L -1.5% %EOG 64.17 2.2% BAX 34.83 DIS 98.48 Symbol H/L Last %Chg NTAP 22.52 PRU 71.82 -1.8% -2.9% L -0.3% L -1.7%

Materials SYK 89.31 0.6% TWX 70.65 SO 46.80 0.7% WDC 49.99 AFL 56.91 -0.6% L -4.5% -1.5%Symbol H/L Last %Chg BDX 141.38 FOXA 25.88 EXC 27.54 SNDK 71.80 PFG 38.30 -0.7% -2.1% -1.4% -3.9% L -3.4%LYB 74.94 ISRG 545.14 0.5% VIAB 40.79 DUK 71.70 0.6% FLIR 31.28 0.5% LNC 41.78 -4.1% -2.2% L -3.9%DD 56.79 STJ 55.04 GCI 15.76 NEE 104.62 GLW 17.06 UNM 29.27 -3.0% L -7.0% -2.8% -0.7% -1.6% L -3.0%DOW 43.63 ZBH 101.20 GPC 77.40 AEP 57.95 APH 46.55 AIG 56.67 -2.5% -1.6% L -2.8% -0.3% -1.8% -2.2%EMN 62.71 BSX 17.55 AMZN 581.81 ETR 68.20 TEL 57.11 L 35.18 -0.4% -1.3% -5.8% -0.2% -2.3% L -2.0%FMC 34.33 MCK 157.84 PCLN 1,099 PPL 33.50 AVT 38.37 HIG 40.09 -3.4% L -3.7% -4.4% -0.1% -1.8% -3.0%MON 91.19 CAH 78.17 EXPE 106 FE 31.50 XRX 9.22 GNW 2.40 -1.4% -2.1% -4.9% -2.1% L -3.2% L -4.7%MOS 24.14 ESRX 79.69 NFLX 106.56 EIX 59.38 AMAT 16.20 BRK/B 126.25 -1.7% L -6.8% -8.6% -0.0% -3.2% L -1.9%CF 31.76 DGX 66.68 KSS 49.98 ES 51.30 0.3% KLAC 64.78 TRV 106.06 L -2.3% -2.2% -0.5% -1.4% -1.7%PX 98.01 HCA 64.95 SHLD 18.70 PNW 63.87 0.2% LRCX 69.08 ACE 110.06 -1.8% -2.5% -0.3% -3.3% -1.8%APD 118.55 UNH 109.23 M 38.64 0.1% POM 26.22 0.1% INTC 31.91 ALL 57.91 L -2.1% -2.6% -2.3% -1.2%ARG 138.18 ANTM 134.14 JWN 45.95 WR 41.58 0.0% TXN 49.82 CB 129.03 -0.2% -1.0% L -2.5% -3.3% -0.6%ECL 103.13 HUM 163.89 JCP 7.36 0.7% GXP 26.60 BRCM 53.22 PGR 30.11 -2.4% -2.9% -0.2% -2.7% -2.0%PPG 93.05 AET 104.88 TGT 71.64 HE 27.74 FSLR 61.37 XL 35.03 -2.1% -3.9% -2.3% -2.4% -5.9% -2.5%SHW 241.16 CI 135.26 DG 68.48 CNL 52.93 0.3% NVDA 29.26 VNO 92.93 -2.1% -2.7% -3.2% -3.0% -1.4%IFF 116.05 AMGN 145.46 DLTR 75.48 IDA 66.81 ADI 50.10 PLD 40.50 -1.9% -3.5% -4.1% -0.7% -3.0% -0.4%ASH 97.76 REGN 459.57 TJX 67.69 ALE 49.88 MU 12.06 BXP 118.73 L -1.7% -3.2% -1.8% -0.6% L -5.1% -1.8%VAL 78.26 GILD 92.54 GPS 22.48 EE 38.54 0.2% CREE 24.23 SLG 102.15 -2.5% L -4.6% L -1.6% -0.8% -0.7%RPM 40.30 ALXN 157.92 LB 92.25 PNM 30.05 XLNX 41.91 EQR 79.17 L -2.2% -4.9% -3.0% -1.2% -3.3% -0.9%ALB 47.71 VRTX 96.37 ROST 52.19 NFG 40.04 LLTC 38.89 AVB 177.00 -2.5% L -7.0% -4.2% -1.5% -1.5% -1.3%VMC 83.55 CELG 100.67 URBN 21.02 UGI 32.89 AMD 2.25 SPG 184.27 -3.6% L -5.7% -4.7% -1.1% -5.8% -0.6%MLM 122.88 BIIB 267.25 GES 17.64 GAS 63.38 MCHP 41.31 GGP 25.80 0.1-3.9% -4.0% -3.3% -0.2% -1.2% %

BLL 68.64 JNJ 97.02 BBY 29.26 STR 18.74 Telecom Services KIM 25.21 -2.7% -1.2% -2.9% -0.8% -1.1%SEE 40.77 PFE 30.37 HD 121.40 ATO 61.74 Symbol H/L Last %Chg MAC 78.13 -2.1% -2.0% -4.8% -0.5% -0.8%WRK 37.96 MRK 50.66 LOW 69.90 OGS 48.95 T 33.74 FRT 146.81 0.2L -1.0% -2.1% -4.6% -0.5% -0.4% %PKG 57.65 ABT 40.28 SPLS 9.30 WGL 61.48 VZ 44.15 PSA 249.35 L -3.1% -2.2% -1.5% -0.4% -1.7% -0.3%AA 7.13 ABBV 51.18 TIF 66.70 NJR 33.15 CTL 23.02 HST 13.46 L -2.0% -5.6% L -2.5% -1.1% L -1.6% L -6.0%FCX 3.74 BMY 61.28 AZO 704.20 SWX 56.93 1.0% FTR 4.17 HCP 36.20 L -9.0% -3.4% -3.4% L -4.7% -1.7%NEM 17.48 2.7% LLY 79.30 ORLY 235.68 SJI 22.63 WIN 5.17 WY 26.75 -1.3% -3.1% -2.4% -7.3% -0.9%NUE 35.62 AGN 287.33 KMX 46.24 NWN 50.32 TMUS 38.85 CCI 82.78 L -1.8% -2.9% L -3.0% -1.0% -3.0% -1.5%IP 36.05 TMO 133.77 BBBY 44.44 LG 57.56 S 3.10 VTR 54.54 -0.8% -2.3% L -2.6% -1.1% L -8.0% -2.4%

H/L = at a new closing 52- wk High/Low; / = within 10% of the 52- wk High/Low; Bold = move of more than 5%

Page 6 January 13, 2016 7

Market Elements

Canadian Market Movers

Energy Materials Industrials Consumer Discretionary Technology FinancialsSymbol H/L Last %Chg Symbol H/L Last %Chg Symbol H/L Last %Chg Symbol H/L Last %Chg Symbol H/L Last %Chg Symbol H/L Last %ChgCR L -1.4% L -2.7% -4.0% L -9.2% L -1.7%

L -3.7% -3.3% -1.4% L -1.6% -0.4% -2.6% -1.2% -4.0% -1.2% L -1.5%L -1.9% -1.4% -1.2% -0.1% L -1.6%

-2.8% -0.3% L -0.5% -0.9% -2.0%-7.4% -1.3% L -3.8% -2.6% L -2.6%-1.3% -0.7% -2.2% -2.1% -2.4%

-3.4% -3.6% L -2.1% -3.9% L -2.4%

-0.5% -0.7% -4.1% -1.7%-0.9% -3.6% -0.4% -1.1% -1.7% L -1.9%

-3.8% L -2.3% -1.9% -1.4% -2.9%

-1.4% L -2.5% -1.2% -0.9% L -1.3% -2.5%L -1.2% L -5.1% -1.7% -0.1% -3.3% L -3.3%

-1.2% L -2.8% L -3.8% -0.2% -2.9% L -2.9%L -1.4% L -12.5% -3.0% -3.5% -1.2%

L -5.0% -1.1% -1.8% -1.7%

L -1.7% L -6.4% L -1.9% -1.2% L -0.6%

-1.9% -2.2% -2.7% -2.0% -0.8% -2.0%

-2.2% L -1.4%

3.34 MX 35.74 BBD/B 1.17 MG 51.69 2.3% SH 30.68 XIU 18.00 PPY 2.82 CUS 1.14 CAE 15.27 LNR 61.79 SUM 6.66 XSP 21.64 TOG 4.23 2.9% CHE-U 15.81 0.0% MDA 84.03 MRE 9.83 GIB/A 54.25 XIC 19.29 CJ 6.61 BOS 16.17 MAL 15.05 DII/B 27.05 1.3% DH 32.03 XDV 19.69 AAV 6.53 POT 22.52 1.3% HRX 13.05 DOO 16.71 OTC 64.60 XFN 27.79 SPE 2.10 AGU 119.62 0.1% DRT 6.56 PSG 10.19 CSU 512.08 CPD 11.54 SRX 3.58 CCL/B 219.68 0.6% SNC 39.51 GIL 37.07 DSG 26.23 ZEB 19.97 CNE 2.21 ITP 17.55 0.7% ARE 13.54 AYA 15.65 CMG 8.65 RY 69.15 KEY 37.36 WPK 44.73 BDT 11.49 0.2% GC 17.10 5.0% ESL 63.44 TD 51.50 PKI 21.78 CAS 12.81 WSP 39.83 IT 9.19 RKN 2.73 BNS 53.00 ENB 42.82 TCK/B 3.80 BAD 22.82 WB 22.80 0.3% KXS 48.30 BMO 72.00 TRP 44.26 TRQ 2.64 LMP 18.10 QSR 45.62 ABT 6.41 CM 86.60 PPL 27.55 FM 3.32 TIH 30.21 MTY 30.10 BB 10.16 NA 36.93 IPL 20.57 LUN 3.02 WPT 1.99 CAO 26.40 SW 19.13 CWB 20.40 ALA 28.04 S 0.56 AFN 28.90 BPF-U 16.31 MITL US 6.57 LB 43.88 0.7%GEI 13.03 0.9% HBM 3.55 NFI 27.92 AW-U 26.10 SVC 3.30 MIC 23.83 0.4%VSN 7.73 CS 0.29 ATA 10.79 PZA 12.90 CDV H 6.22 1.1% HCG 23.80 ENF 26.68 MDI 3.97 XTC 14.60 KEG-U 16.55 ET 16.75 EQB 48.62 CCO 15.94 IVN 0.61 0.0% FTT 17.44 ECI 15.28 0.0% GSIG US -3.4% -2.6%

L -1.8% -0.7% -0.5% -1.7%L -2.7% -3.6% -4.3% -3.4%

-2.0% -2.0% L -1.6% -7.1% -2.5% -0.9%L -1.1% -2.8% -5.0% -1.3%

-0.6% -3.1% -1.2%

-1.5% -0.1% -0.6% -1.2%

L -0.1% L -0.6% -1.9%

-1.6% -1.3% -0.0% -0.5%

-4.6% -2.6% L -2.5%L -0.2% L -3.0% -3.8% -0.2% -6.0%L -7.5% -4.2% -0.4% -0.7% -0.1% -0.5%

-2.4% L -1.1% L -2.9% L -3.4%

12.31 FN 20.37 XEG 8.88 ALS 8.63 3.8% RUS 15.18 AIM 8.99 PUR 4.29 0.4% MKP 11.45 PD 4.28 ABX 11.53 2.2% RCH 66.19 MDCA US 18.24 AVO 12.46 FC 12.83 1.1%ESI 6.32 G 15.99 WJX 14.46 CJR/B 10.78 CLS 14.34 OCX 84.16 TDG 1.65 K 2.40 1.2% TCL/A 16.10 SJR/B 24.70 5.2% CSIQ US 20.63 X 37.10 WRG 3.04 AEM 41.61 2.2% BIN 34.07 QBR/B H 34.74 1.1% EFN 15.23

SCL 27.08 ELD 3.61 2.2% RBA 31.23 CCA 61.66 IGM 33.25

SES 6.02 YRI 2.64 3.1% RBA US 21.77 XSR 3.73 1.3% Utilities CIX 29.10

PSI 17.12 IMG 2.16 BYD-U 62.68 CGO 50.40 Symbol H/L Last %Chg AGF/B 4.35 0.9%MTL 13.52 0.0% IGT 15.15 0.5% DCI 10.76 LGF US 28.66 XBB 31.78 0.1% TCN 8.07 CEU 3.44 FNV 67.25 0.9% BDI 5.16 IMAX US 32.22 XCB 21.24 DC/A 4.80 CFW 1.34 CG 7.29 KBL 49.50 CGX 47.41 XRB 24.06 U 5.03 EFX 11.97 NGD 3.13 1.9% HNL 1.69 DHX/B 7.70 XSB H 28.67 0.2% SII 1.96 TESO US L -5.5% -0.2% -0.7% -1.3% -1.4%

-1.7% -1.2% L -2.1%

-0.8% L -1.5% -0.8%

-1.3% -1.8% -2.0%L -3.3% L -1.2% L -2.2% -2.9% L -0.2%

-2.7% -3.0% L -2.4% -1.0% L -1.6%L -2.2% -2.6% -2.3% -0.9%

-1.2% L -5.1% -2.1% -2.2% -1.6%L -7.5% -3.6% -0.2% -1.9%L -1.1% -3.6% -0.0% -3.2% -1.9%L -7.2%

5.60 AGI 4.41 0.2% MSI 14.18 TRI 50.40 FTS 37.23 AD 22.56 FRC 3.23 3.1% SMF 4.10 0.0% STN 31.49 TS/B 2.47 BIP-U 48.10 3.8% GS 18.46 NAL 2.35 2.6% NG 5.59 WJA 18.44 0.4% Y 14.41 EMA 43.39 GCG/A 17.13 1.2%TOT 12.44 3.5% DGC 15.68 CHR/B 5.36 0.1% UNS 65.98 VNR H 18.31 0.1% GMP 3.84 SU 31.33 PVG 7.41 2.9% AC 8.92 HBC 15.99 SPB 9.92 CF 4.14 IMO 40.37 PHY/U 8.98 0.3% EIF 23.59 SCC 5.58 JE 8.99 MFC 18.52 HSE 12.49 SEA 10.97 3.0% CNR 72.90 CTC/A 107.00 0.1% CU 31.13 GWO 32.76 CVE 16.36 KGI 5.06 0.5% CP 150.55 DOL 72.76 ACO/X 34.70 PWF 30.00 IOC US 24.28 BTO 1.19 1.7% TFI 21.88 RET/A 3.92 1.0% CUP/U 10.98 SLF 39.25 CNQ 24.72 XGD 8.46 0.9% STB 4.54 RON 11.36 BEP-U 32.75 POW 27.24 ECA 6.05 P 3.32 3.7% WTE 10.32 1.5% DTEA US L -3.4% L -3.1% -1.0%

-0.6% L -0.8% -1.7% -3.4%

-2.1% L -1.4% -0.7%

-3.5% -0.5% -3.2% L -0.4%

L -0.5% -1.5% L -0.0%L -11.6% -0.7% -0.7% -3.2% -1.0%

-1.9% -0.9%

L -5.3% -5.1% -0.8% -2.7%

L -9.6% -0.8% -3.8% -5.2% -0.2%

-3.0% -0.4% -0.9% -0.9%

-9.8% L -0.8%

-1.0% -0.6% -0.9%

L -4.0% -2.3% -0.3% L -1.0%

-0.2%

10.36 RNW 9.29 IAG 40.78

CPG 12.90 AR 0.92 0.0% GSY 17.00 NPI 18.05 FFH 681.90

TOU 22.13 0.6% TXG 1.35 ACQ 20.47 ATP 2.42 0.0% IFC 87.40

COS 7.30 LSG 1.18 2.6% Health Care LNF 13.50 CPX 16.89 XRE 13.81 ARX 15.04 CNL 1.84 3.9% Symbol H/L Last %Chg GBT 13.33 1.3% AQN 10.89 HR-U 18.96 MEG 4.99 OR 14.34 NVDQ US 13.75 -1.5% ZZZ 16.50 BLX 14.03 REF-U 39.97

VET 33.50 1.1% SSL 3.45 0.5% NHC 3.82 12.4% INE 10.50 DRG-U 8.07

BTE 2.64 OGC 2.75 CSH-U 12.25 CSE 3.27 CUF-U 14.28 1.2%

POU 3.94 GUY 3.56 DR 13.51 Consumer Staples TA 4.37 CRR-U 12.55

PRE 1.26 CGG 2.11 SIA 15.13 Symbol H/L Last %Chg AP-U 31.00

PEY 25.68 1.9% ASR 2.58 3.2% PLI 2.68 PJC/A 17.12 D-U 15.21 0.1%

PSK 19.57 3.0% NSU 3.50 0.0% GUD 7.09 L 63.41 BOX-U 25.16

ERF 3.31 AKG 2.13 1.9% VRX 122.69 WN 101.89 Telecom Services BEI-U 42.75

UPL US 1.70 1.1% PG 2.71 0.0% CXR 45.31 0.1% MRU 38.68 Symbol Last %Chg CAR-U 26.43 WCP 7.14 2.7% SLW 16.11 1.0% EXE 8.70 2.4% ATD/B 59.02 BCE 54.90 NVU-U 16.36 VII 13.00 0.2% PAA 8.95 2.2% EMP/A 24.71 T 37.10 REI-U 22.87 0.6%PWT 0.79 FR 4.02 1.0% NWC 27.83 MBT 29.84 SRU-U 29.35 PGF 0.72 SSO 6.70 1.3% LIQ 6.80 RCI/B 48.15 CRT-U 12.93 TET 2.34 PHS/U 5.42 3.2% CSW/A 18.76 MRT-U 12.61 BNP 1.17 DDC 13.95 BCB 14.94 AX-U 11.72 ATH 1.30 0.0% THO 11.90 SAP 32.28 INN-U 4.88 0.4%BNE 13.58 MPV 3.89 0.5% MFI 23.13 0.2% NWH-U 8.47 1.8%NBZ 3.38 LUC 2.16 3.8% AGT 33.86 BAM/A 40.92 FRU 8.85 1.1% III 5.09 RSI 4.08 0.2% FCR 17.84 RRX 7.50 SWY 0.70 PBH 38.11 DRM 6.44 PXT 8.74 0.4% PTM 0.18 CLR 10.90 4.8% MRC 128.35 BIR 3.03 FVI 3.26 1.8% SOY 9.00 5.1% BPY-U 29.16 SGY 1.68 MAG 9.74 1.7% HLF 15.09 GRT-U 37.64 AOI 1.69 LIF 8.14 0.8% KMP-U 10.24 2.7%KEL 3.07 CAM 12.76 0.3% MEQ 28.02 NVA 2.97 WFT 41.81 0.5% MRD 13.36 BNK 0.74 CFP 13.95 CIG 56.15 BXE 1.38 3.7% SJ 48.37 ISV 13.89 0.0%

IFP 9.72 AIF 18.30

-1.0% -2.5% -1.4% -0.1%

L -1.0% L -1.9%

-5.9% -1.0% -1.3% -0.9%L -6.4% L -1.0% -2.1% -1.5%L -9.3% -0.2% -0.6%L -2.5% -0.4% -3.3% -0.7%

-0.8% -0.6%

L -0.4%

-1.7% -0.7% -1.0%

-1.1% -0.6%-1.5% -4.1% -0.5% L -4.1%

-5.2% L -2.7%L -3.8% -1.7%L -4.0% -1.2% -0.4%

-1.1%

L -4.9% L -3.3%L -2.9% -3.8%L -1.3% L -1.4% -5.2% -1.6%

-3.6% -2.5%

H/L = at a new closing 52- wk High/Low; / = within 10% of the 52- wk High/Low; Blue = S&P/TSX 60 member, Italics = ETF, Bold = move of more than 5%

Page 7 January 13, 2016 8

Trends & Inflection Points January 14, 2016Research Comment Quantitative/Technical Research Website

Mark Steele (416) 359-4641 mark.steele@bmo.com Assoc: Tiberiu Stoichita/Jin Li

Ashes to Ashes

My mama said, “To get things done

you’d better not mess with Major To[p].”

David Bowie 1947 - 2016

Markets don’t repeat, but they rhyme. Lehman…Standard Chartered, they are,or at least were, both SIFIs, and they both signal.

o When they shun banks and capital markets, and bank risk is signalingdon’t mess with me, well we have seen this before – Figure 1.

o Be safe.

Figure 1: MSCI World, and the U.S. 30Y Breakeven Rate

Source: All charts/tables BMO Capital Markets, Bloomberg, Thomson, Markit

9

Trends & Inflection Points January 13, 2016Research Comment Quantitative/Technical Research Website

Mark Steele (416) 359-4641 mark.steele@bmo.com Assoc: Tiberiu Stoichita/Jin Li

I’m a Mess Without My Little China

On the one hand, the Chinese move toshore up liquidity, in the offshorecurrency market, forcing overnight ratesabove 60% for a day, and pushingonshore and offshore markets backtogether has leant some stability to thecurrency markets…which is a goodthing. On the other hand, if the forcesthat forced it to do so continue, i.e. largecapital outflow in a market that hasenjoyed a credit boom, but not yeta…well that may very well be viewed asa wake up signal – Figure 1.

Signal to what? Instability in the banking system of course. What else does onecare about when the third most consistently underperforming global industry isbanks, and the fourth is capital markets. Actually, we don’t care about equityperformance, other than to suggest you avoid (unless you are Canadian, wherethere are worse options), we care about the credit performance. When sortingthe worlds too interconnected to fail banks by “overstressed”, we see China,China, and China – Figure 2.

Our basket of Chinese Bank CDS gives a sense of how much one cares rightnow…a little. The levels are still relatively low, the trend is not threatening, butrisk just popped up to say hi…so we do as well – Figure 3.

o Ultimately, the really canary in the coal mine will come from a non-state controlled entity. STAN’s the man– Figure 4.

Figure 1: Hong Kong InterBank Offered Rate (CNH Hibor) Fixing

Figure 2: Cost to Protect Too Interconnected to Fail Banks Against Default – Sorted by 26d Bollinger Bands

Source: All charts/tables BMO Capital Markets, Bloomberg, Thomson, Markit

10

Trends & Inflection Points

Figure 3: Cost To Protect Chinse Banks Against Default Figure 4: Standard Chartered 5Yr CDS

Source: All charts/tables BMO Capital Markets, Bloomberg, Thomson, Markit

Page 2 January 13, 2016 11

Trends & Inflection Points January 12, 2016Research Comment Quantitative/Technical Research Website

Mark Steele (416) 359-4641 mark.steele@bmo.com Assoc: Tiberiu Stoichita/Jin Li

Capitulation Filter for the Times CLICK HERE for a printer friendly version of this report including research disclosures.

We provide a whole suite ofCapitulation filters daily in the TIPssuite. By far, our favourite is basedon excessively wide Bollingerbands, as volatility is meanreverting.

With most equity markets trendinglower, as the world tightens, wedon’t want to get cute muckingabout in counter-trend rallies…sowe will filter the filter.

We take our wide Bollinger band filter, tune for shares in uptrends, and apply anearnings growth filter to select the narrow list of stocks that could be bought andadded to your portfolio if you don’t already own them – Figure 1.

Before we finish, and updating our two key sources of stress in the markets;

o On the Chinese currency front, overnight rates soared above 66% in anunprecedented move last night. This is China tightening up, and calmingdown the currency market.

o Volatility measures for both WTI and Brent are excessive, above the topends of their channels. Yep. The options market is capitulating.

We are buyers of panic. Buyers of the right stuff mind you, but buyers.

Figure 1: Oversold Shares in Uptrends and Screen Well for Earnings Growth

Source: All charts/tables BMO Capital Markets, Bloomberg, Thomson, Markit

12

Trends & Inflection Points January 11, 2016Research Comment Quantitative/Technical Research Website

Mark Steele (416) 359-4641 mark.steele@bmo.com Assoc: Tiberiu Stoichita/Jin Li

Ground Control to Major TOM

By week two of 2016, after quite ahorrible week one for your benchmark(pick yours from the 5d ROC columnin Fig 1), your expectations on 2016should be well grounded. The bestequity indices are flat, and the worstare falling at rates of 20-30%. Yourgoal this year is to beat that, and webelieve your portfolio should bestructured this way.

However, the major stresses in this Technically Oriented Market are oversold…

o The Chinese currency – the slide of which is the leading driver of concernin China, which has been on Minsky Moment watch for years now – israther oversold – Figure 2. There will be, and indeed is, intervention tooffset.

o Oil is also priced below the bottom end of its channel – Figure 3. We arenot looking to sell down here; we are looking to cover shorts.

… so as we pointed out Friday, with equity volatility being so high, we are buyers.

Take your protein pill, and put your helmet on. RIP David Bowie

Figure 1: Equity Price Trends Figure 2: Chinse Renminbi (CNYUSD x10)

Figure 3: Brent Oil

Source: All charts/tables BMO Capital Markets, Bloomberg, Thomson, Markit

13

Trends & Inflection Points January 8, 2016Research Comment Quantitative/Technical Research Website

Mark Steele (416) 359-4641 mark.steele@bmo.com Assoc: Tiberiu Stoichita/Jin Li

It's a Fire

Yes, most equity markets are trending lower. We got thatover with on Monday. And by Friday your expectations of2016 are likely properly grounded, as the fire in capitalmarkets is well reported. Yet quantifying the experience wehave…

o Panic in China – Figure 1o Panic in the U.S. – Figure 2.

…and we recommend being buyers of panic (or sellers of volatility when the time is right).

A discriminating buyer we may add. We recommend whatthe market rewards, and if we can get it with an RSI in the30s, rather than in the 70s, well that’s a good thing.

We tuned for outperformance, and price uptrends, tuned upan earnings yield to at least 2, dividend yield to 1, andearnings growth expectations to at least 5, expurgated thehigh vol stocks, and tuned in oversold based on a 26dBollinger band. Heck the list even has Swiss chocolates.What could be better? – Figure 3.

Figure 1: China ETF (FXI US) Implied Volatility Figure 2: CBOE Volatility Index (VIX)

Figure 3: The Stuff That the Market Rewards…at a Discount

Source: All charts/tables BMO Capital Markets, Bloomberg, Thomson, Markit

14

Trends & Inflection Points January 7, 2016Research Comment Quantitative/Technical Research Website

Mark Steele (416) 359-4641 mark.steele@bmo.com Assoc: Tiberiu Stoichita/Jin Li

UTILITIES as 30y Treasury Yields Break Down

Excuse the bolding on the title,with just a 3% weight within globalmarkets; we have to boldsomething to make some noise.

Utilities nosed their way into bestsector in our Relative StrengthBreadth heat map – Figures 1, 2.

Cue the bond market.

This morning the US 30y bond breaks below its 200d MA. Yes, the higher U.S. ratepicture is such a 2015 story that is not relevant in 2016 (equities are long-durationassets; think 30y yields, not Yellen and company) – Figure 3.

o So is the steepening yield curve picture – Figure 4. Who ate my lunch?

We just threw the curve in for selfish purposes (the trading desk),to guide you out of your banks and capital markets stocks…

…so that you can allocate towards defensive high yield, US REITs, and yes the Utility carving from our Otis Reddingcollection – Figure 5.

Have properly constructed portfolios for the environment at hand. Be safe. Nuff said.

Figure 1: Global Relative Strength Breadth Heat Map Figure 2: Utilities Relative Strength Z-Score

Figure 3: U.S. 30-Year Bond Yield Figure 4: US Yield Curve 10-2

Source: All charts/tables BMO Capital Markets, Bloomberg, Thomson, Markit

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Trends & Inflection Points

Figure 5: Utility Momentum Buys from our Otis Redding Collection

Page 2 January 7, 2016 16

Trends & Inflection Points January 6, 2016Research Comment Quantitative/Technical Research Website

Mark Steele (416) 359-4641 mark.steele@bmo.com Assoc: Tiberiu Stoichita/Jin Li

The Sells

So we started the year showing ACWI trendinglower at 15%/year, and the credit picture, whichis negative. We also highlighted what we liked,which is defensive high yield and U.S. REITs.

With the market challenged, and yes with oilcontinuing to explore new space with bothBrent and WTI breaking to new lows below$35, we might as well show the sells in caseyou still have some 2015 portfolio cleaning todo. We will use ETFs as a proxy, but use that tospot the themes in the stocks you own.

Starting with bonds, and yes with oil and metals under pressure you cansee why high yield and inflation products continue to be momentum sells– Figure 1.

Moving to commodities, but not wanting to use up chart space, we willnote that 13 of the 17 commodity ETFs we look at are momentum sells.The ones that are not, are precious metal related, and gold itselfcontinues to be in an underperforming trend against the other safe havenasset, which is treasuries. If you do want gold shares, here are themomentum buys.

Moving to industries, yes the momentum sell list is full of resources, butit is also important to point out that also on the list are European andJapanese banks, U.S. transports and retail, as well as international REITs– Figure 2.

Figure 1: Bond ETF Momentum Sells

Figure 2: Industry ETF Momentum Sells

Source: All charts/tables BMO Capital Markets, Bloomberg, Thomson, Markit

17

Trends & Inflection Points January 5, 2016Research Comment Quantitative/Technical Research Website

Mark Steele (416) 359-4641 mark.steele@bmo.com Assoc: Tiberiu Stoichita/Jin Li

U.S. Real Estate…For the Relative Strength CLICK HERE for a printer friendly version of this report including research disclosures.

If we viewed your portfolio, we expectit could likely use more U.S. REITs.

Why? Figures 1, 2, 3, 4.

Which ones? Figure 5.

What to sell to make room? Let’s work on that. This short clip shows you how.

Figure 1:MSCI World REITs vs MSCI World Figure 2: MSCI World REITs vs MSCI Financials

Figure 3: MSCI World REITs Figure 4: Regional Real Estate Indices vs FTSE Global REITs

Source: All charts/tables BMO Capital Markets, Bloomberg, Thomson, Markit

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Trends & Inflection Points

Figure 5: US REIT Momentum Buys vs MSCI US REIT Index

Page 2 January 5, 2016 19

Trends & Inflection Points January 4, 2016Research Comment Quantitative/Technical Research Website

Mark Steele (416) 359-4641 mark.steele@bmo.com Assoc: Tiberiu Stoichita/Jin Li

Framing 2016 & Your Global Buy List

Happy New Year! Let’s get to work. We have just two charts to frame the market this year:

o MSCI ACWI has been trending lower at an annualized rate of 15%/year since thepeak late year. After a recovery from the August swoon (and note the reemergenceof the Chinese equity market selloff this morning), a set of lower lows and highshas formed, and the index is back below falling moving averages – Figure 1.

Think preservation of capital and coupon clipping in terms of defensivehigh yield – Figure 3.

o The cost protect too interconnected to fail financials is trending higher, with boutsof panic – Figure 2.

China-oriented Standard Chartered is the weakest member based on rateof credit deterioration (181%/year) and curve (1/5yr = 60%) – Figure 2.

Late last year, wehighlighted the bottomingpattern of North AmericanHigh Yield vs the S&P 500.To be clear, we have almost3x the number of high yieldmomentum sells as we domomentum buys, as the HYcredit market continues tolook weak. The largest ofthe buy list is shown inFigure 3.

Figure 1: MSCI AC World Index Trend From the 2015 Peak Figure 2: Too Interconnected to Fail Financials 5Yr CDS Basket, Standard Chartered in Insert

Figure 3: Largest Global Momentum Buys With Indicated Dividend Yield > 3%

Source: All charts/tables BMO Capital Markets, Bloomberg, Thomson, Markit

20

Trends & Inflection Points December 31, 2015Research Comment Quantitative/Technical Research Website

Mark Steele (416) 359-4641 mark.steele@bmo.com Assoc: Tiberiu Stoichita/Jin Li

Group Selection Report CLICK HERE for a printer friendly version of this report including research disclosures.

Our Group Selection Report is one of the main TIPS toolswe use in making our sector and industryrecommendations.

It contains global sector and subindustry heat maps derivedfrom equal-weighted, bottom-up relative strength trendanalysis.

o The heat maps also contain links that take you totime series indicating how sectors/subindustrieswent in and out of favour and for how long.

We show below the sector overview page of the report, wherecurrently Health Care, Consumer Staples, and Utilities are thestrongest sectors, while Energy and Materials the weakest –Figure 1.

o The pages of the report following that contain theperspective of each subindustry.

Figure 1: Group Selection Report – Global Sector Page

Source: All charts/tables BMO Capital Markets, Bloomberg, Thomson, Markit

21

Trends & Inflection Points December 30, 2015Research Comment Quantitative/Technical Research Website

Mark Steele (416) 359-4641 mark.steele@bmo.com Assoc: Tiberiu Stoichita/Jin Li

Short Filter: Severed Uptrends in Weak Subindustries CLICK HERE for a printer friendly version of this report including research disclosures.

Our TIPS suite contains a Long/Short tool that is gearedtoward clients caring on absolute returns.

The “Short 2” screen returns stocks in weaksubindustries with severed positive trends.

When applying this filter to a global universe of stocks wherewe exclude those that are oversold on a daily RSI basis, wecome up with the 21 names in Figure 1.

Figure 1: Global Stocks With Severed Uptrends in Weak Subindustries and Daily RSI > 30

Source: All charts/tables BMO Capital Markets, Bloomberg, Thomson, Markit

22

Trends & Inflection Points December 29, 2015Research Comment Quantitative/Technical Research Website

Mark Steele (416) 359-4641 mark.steele@bmo.com Assoc: Tiberiu Stoichita/Jin Li

Momentum Buys in S&P 500 CLICK HERE for a printer friendly version of this report including research disclosures.

One of the tools available in our TIPS suite is Index Members,which enables one to look at the relative strength and price trends ofthe members of different indices.

Going into the S&P 500 sleeve we find that 62 stocks are classifiedas momentum buys (outperforming the S&P 500 and theirrespective sectors, above rising moving averages, and notoverbought).

We highlight the largest 20 stocks in Figure 1(please see link for the full list).

o We also note that, yesterday, 11 of the 62stocks that we rank as momentum buystraded an outside positive day (see link).

Figure 1: Largest 20 Momentum Buys in S&P 500 – See Link For Full List

Source: All charts/tables BMO Capital Markets, Bloomberg, Thomson, Markit

23

Trends & Inflection Points December 24, 2015Research Comment Quantitative/Technical Research Website

Mark Steele (416) 359-4641 mark.steele@bmo.com Assoc: Tiberiu Stoichita/Jin Li

Go Atomic Lite on Mining

That would be atomic number 13 lite, orAluminum. Within the periodic table of miningelements, which are pretty bombed out, it’saluminum that has broken above a downtrend, ispriced at a two-month high, and is above its still-falling 50d MA – Figures 1, 2.

From a mining specialist's standpoint, portfolios should already beoverweight aluminum stocks, which are outperforming, or reversing,underperforming trends vs ACWI Metals & Mining ex Gold andSilver – Figure 3.

From a generalist’s perspective, here too we see rotation – Fig 4.

Figure 1: Metallic Price Trends Figure 2: LME 3Mo Aluminum

Figure 3: Aluminum Shares vs ACWI Metals & Mining ex Gold & Silver

Figure 4: Aluminum Shares vs ACWI

Source: All charts/tables BMO Capital Markets, Bloomberg, Thomson, Markit

24

Trends & Inflection Points December 23, 2015Research Comment Quantitative/Technical Research Website

Mark Steele (416) 359-4641 mark.steele@bmo.com Assoc: Tiberiu Stoichita/Jin Li

Energy – The Dreaded Mean Reversion Trade

It’s a good time to cover shorts on energy.

o Our relative strength breadth reading on energyis as weak as we have ever seen it, and we haveseen it here four times now – Figure 1.

o The high yield bond market for energy is pricedbelow the bottom end of a diving channel, andwe have seen it here four times now – Figure 2.

As the year comes to a close, sellers are expected to dry up,and buyers (those covering shorts), could once again find thatshares rise in a vacuum.

We highlight the spectrum of oversold energy stocks (17% ofthe universe) vs ACWI Energy in Figure 3.

Figure 1: Energy Relative Strength Breadth Reading Figure 2: Bloomberg High Yield Energy Bond Price Index

Figure 3: Oversold (RSI < 30) Energy Shares vs MSCI ACWI Energy

Source: All charts/tables BMO Capital Markets, Bloomberg, Thomson, Markit. We are Restricted on MEG Energy.

25

Trends & Inflection Points December 22, 2015Research Comment Quantitative/Technical Research Website

Mark Steele (416) 359-4641 mark.steele@bmo.com Assoc: Tiberiu Stoichita/Jin Li

North American High Yield Stocks Are Beating the 500

You take a look at our Tactical AssetAllocation link (available in our TIPs Suite),and you see the S&P 500 as the mostconsistent outperformer vs. MSCI World.Using the S&P 500 as the denominator andtaking the most outperforming region in HighYield, which is North America, as thenumerator, we note the basing phase of NorthAmerican High Yield against the S&P 500,which is a very long (but filled with value) wayto say that you should consider stuffing yourstocking with a few high yield stocks – Fig 1.

What does the index look like on its own? Flat. But relative to manybenchmarks out there, in this era of Quantitative Tightening, flat is a win– Figure 2.

Before we highlight the stock list, we will quip that when we poke aroundin our clients’ portfolios, the second sin (after owning too manyresources) is owning stocks set up for higher long rates when rates aretrending lower, and a steeper yield curve when the curves are flattening.Yes, you own too many banks.

When we look at momentum buys within North American high yield wefind the nice list filled with REITS and Utilities – Figure 3.

Still cleaning house in 2015? We highlight the Naughty list in Figure 4.

Figure 1: MSCI NAmer High Dvd Yield Net vs. S&P 500 Net Figure 2: MSCI North American High Yield Index

Figure 3: North American High Yield Momentum Buys

Source: All charts/tables BMO Capital Markets, Bloomberg, Thomson, Markit

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Trends & Inflection Points

Page 2 December 22, 2015

Figure 4: Largest 50 North American High Yield Momentum Sells

27

Trends & Inflection Points December 21, 2015Research Comment Quantitative/Technical Research Website

Mark Steele (416) 359-4641 mark.steele@bmo.com Assoc: Tiberiu Stoichita/Jin Li

Canada Heading Into 2016 – 20/20 View

The Canadian equity market is falling at an annualized rate of 20% per year,and the annualized decline from the high also approaches 20%. The doubletop becomes fully priced-in with a further decline of 9% – Figure 1.

Financials with a 38% weight are treading water, while Energy with an 18%weight is declining at 31% per year, and Materials comprising 10% of themarket is falling at 39% per year. For the purposes of the market, that 79%in total is the Canadian equity market – Figure 2.

For the purposes of your portfolio, whichhas to be in Canadian stocks (if yoursdoesn't, may we offer up some USD-denominated suggestions), there are 26Canadian large (over $500mm) and liquid(over $1mm/day traded) momentum buys –Figure 3.

Figure 1: S&P/TSX Total Return Composite Index Figure 2: Price Trends on S&P/TSX Sectors

Figure 3: Canadian Large and Liquid Momentum Buys – Total Return Price Trends

Source: All charts/tables BMO Capital Markets, Bloomberg, Thomson, Markit Note: BMO Capital Markets is restricted on Milestone Apartments REIT

28

Trends & Inflection Points December 18, 2015Research Comment Quantitative/Technical Research Website

Mark Steele (416) 359-4641 mark.steele@bmo.com Assoc: Tiberiu Stoichita/Jin Li

Flying High CLICK HERE for a printer friendly version of this report including research disclosures.

On the busiest travel day of the year, we figure it’s as good a time as any (oh yeah, … also as the oil price takes out the low, safe-haven bonds look great, yield curves are on the verge of taking out the low, and our Otis Redding collection is primarilycomposted of REITS and Utilities) to highlight the CDS which are also travelling at high levels of 1000bps or more. Each has alisted equity associated with it, for some, that won’t be the case next year – Figure 1.

o Safe travels.

Figure 1: Mille High Club Where CDS > 1000bps

Source: All charts/tables BMO Capital Markets, Bloomberg, Thomson, Markit

29

Trends & Inflection Points December 17, 2015Research Comment Quantitative/Technical Research Website

Mark Steele (416) 359-4641 mark.steele@bmo.com Assoc: Tiberiu Stoichita/Jin Li

Get Ready for a Squeeze CLICK HERE for a printer friendly version of this report including research disclosures.

Toothpaste is breaking out. Did you expectanything else? Seriously, staples is one of themarkets most favoured sectors from a relativestrength breadth perspective, and within stapleshousehold products, home of the mightysqueezable toothpaste tube, has been cruising ata high level for months now – Figure 1.

The global market cap weighted industry isabove rising or flattening moving averages andis breaking above resistance – Figure 2.

Yesterday, Colgate-Palmolive (CL US) broke above an underperformingtrend vs the S&P 500 as the shares broke out of a short-termconsolidation. Our technical target is $75 – Figure 3.

Note that higher yielding Procter & Gamble (PG US), with a similarpattern, is well into its 2nd leg. Our technical target there is $90.

We highlight relative strength trends of the 18 household products wecover vs ACWI in Figure 5.

o The weakest member?

Hindustan Unilever. How does it look? Pre-breakout.It should be a staple in any EM fund – Figure 6.

Fig 1: Global Household Products Relative Strength Breadth Figure 2: Global Household Products Price Trend

Figure 3: Colgate-Palmolive (CL US) Dvd Adj Price Trend Figure 4: Procter & Gamble (PG US) Dvd Adj Price

Source: All charts/tables BMO Capital Markets, Bloomberg, Thomson, Markit

30

Trends & Inflection Points

Figure 5: Household Products vs ACWI

Figure 6: Hindustan Unilever (HUVR IN) Dividend Adjusted Price Trend

Page 2 December 17, 2015 31

Trends & Inflection Points December 16, 2015Research Comment Quantitative/Technical Research Website

Mark Steele (416) 359-4641 mark.steele@bmo.com Assoc: Tiberiu Stoichita/Jin Li

Pruning the Wrong Industrials

Yesterday, with oversold markets,we highlighted the stocks we wantto prod you into owning - the beststocks within the best sectors. Afteryesterday’s sharp rally, and withbuoyant futures again this morning,we will suggest you use thisstrength to prune the wrong stocks.

If you don’t already know the message on resources, you don’t really know us. Theweakness in industrials however is more nuanced.

The global market cap weighted sector is fading back into a slightly underperformingtrend – Figure 1.

High yield industrial bonds were the only ones to fail to catch a bid yesterday – Fig 2.

Our RS breadth reading is fading back towards the more -ve side of neutral – Fig 3-4.

We highlight the largest 10 industrial momentum sells in Figure 5.

Figure 1: Industrials vs MSCI World Fig 2: Industrials the Only HY Sector That Failed To Rebound

Figure 3: Global Relative Strength Sector Breadth Heat Map Figure 4: Industrials Relative Strength Breadth Reading

Figure 5: Largest 10 Global Industrial Momentum Sells vs MSCI World – See Full List Here

Source: All charts/tables BMO Capital Markets, Bloomberg, Thomson, Markit

32

Trends & Inflection Points December 15, 2015Research Comment Quantitative/Technical Research Website

Mark Steele (416) 359-4641 mark.steele@bmo.com Assoc: Tiberiu Stoichita/Jin Li

Global Sector Fab Four

Our task is a simpleone; to point out strongstocks within strongsectors, and helpposition portfolios inthat direction.

From a MSCI World standpoint, the fab four, where there is consistent outperformance, andrelative strength moving averages are all positive, are technology, consumer discretionary andstaples, and yes health care – Figure 1.

Filtering for strong stocks within those strong sectors, we narrow in on MSCI World membermomentum buys, with an earnings growth filter applied, the largest 15 of which are shown inFigure 2.

Figure 1: Global Sectors vs MSCI World

Figure 2: MSCI World Momentum Buys Within Strong Sectors with and Earnings Growth Filter Applied – See Link for Full List

Source: All charts/tables BMO Capital Markets, Bloomberg, Thomson, Markit

33

Trends & Inflection Points December 14, 2015Research Comment Quantitative/Technical Research Website

Mark Steele (416) 359-4641 mark.steele@bmo.com Assoc: Tiberiu Stoichita/Jin Li

From Oil to S&P 500’s Downside ~1,900 CLICK HERE for a printer friendly version of this report including research disclosures.

S&P futures giveway with the oilprice this morning.Four charts to takeyou there…

Oil continues to decline this morning. We track the fall at around 50%/year, and that’s the keypressure point that is leading to the instability in other risk assets – Figure 1.

The energy pressure on high yield has led to an exodus in other sectors and on Friday, that pressurepushed the implied volatility on the HYG high yield ETF into a new regime – Figure 2.

The spillover into investment grade, which is trending higher (with the corollary that most equityindices are trending lower), has pushed the cost to protect North American investment grade creditrisk to a higher high (a 22-month high to be exact) – Figure 3.

The S&P 500, which is now trending slightly lower, finds the bottom of the channel, which shouldbe considered near-term downside risk, at ~1,900 – Figure 4.

Figure 1: WTI Month-To-Date, Intraday at 6:52am Figure 2: Implied Volatility on HYG

Figure 3: Markit North American Investment Grade CDS Figure 4: S&P 500 Index

Source: All charts/tables BMO Capital Markets, Bloomberg, Thomson, Markit

34

Focal Points Investment & Trading Ideas

October 5, 2015 Research Comment Quantitative/Technical Research Website

Mark Steele (416) 359-4641 mark.steele@bmo.com Assoc: Tiberiu Stoichita/Jin Li

Bank Risk Priced at a 2-Year High

U.S. bank credit risk rose to a 2-yr high on Friday. How did it get there? In 2014, as the FEDs quantitative easing program tailed off, international central bank reserve assets peaked and started to decline. Tightening replaced easing. Corporate bonds peaked with central bank reserves. Stocks have subsequently peaked. Central bank easing reduced corporate bank risk, but did not inspire enough global growth to pull commodities out of a bear market. The dollar surge at the end of U.S. QE, sent commodities into a sharp decline. With global growth scarce, growth stocks surged versus value. At tightening has replaced easing, credit risk is rising once again. Stocks trending lower outnumber stocks trending higher. Treasuries are resuming a bull trend. Portfolio emphasis should remain on growth and income, which are not hampered by a weakening credit environment.

Figure 1: Global Macro Overview The QE-driven Fed balance sheet flattened out in 2014.

International reserve assets peaked in August of 2014, and have fallen 6% from the peak. Notable sellers have been China and Russia.

The global investment grade bond market topped out with international reserves in August of 2014. This index of bond prices has been losing value at a rate of 6%/year since. It has stabilized recently with the strength of Treasuries (Figure 2).

Since 2011, when credit risk in the world's too-interconnected-to fail banks peaked at over 300 bps (many banks had sported inverted CDS curves), bank risk fell 80% to 55 bps in 2014. That risk bottomed, based, and is now breaking out to form higher highs and lows. U.S. bank risk is priced at a 2-yr high (Figure 3).

While QE worked wonderfully to reduce credit risk, it did nothing to spur commodities, the barometer of global growth, higher.

The broad U.S. dollar index started to soar with the end of QE and the decline in central bank reserves. This sharpened the rate of commodity decline (Figure 4).

Equities started decelerating in 2014 and started reacting to a negative backdrop of credit in 2015 (Figure 7).

The tilt of growth over value really took off in 2014, coincident with the peak in central bank reserves and the sharp rise in the dollar (Figure 5).

Source: BMO Capital Markets, Bloomberg, Thomson, Markit.

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Focal Points

Figure 2: BBG USD Global Investment Grade Bond Index Figure 3: U.S. Bank Risk—5Y CDS Ave of C, BAC, JPM

Figure 4: Bloomberg Commodity Price Index Figure 5: U.S. Trade Weighted Broad Dollar Index

Figure 6: U.S. 10-Year Bond Yield Figure 7: MSCI World in USD

Page 2 October 5, 2015 36

Focal Points Investment & Trading Ideas

September 3, 2015 Research Comment Quantitative/Technical Research Website

Mark Steele (416) 359-4641 mark.steele@bmo.com Assoc: Tiberiu Stoichita/Jin Li

Not Enough Puff

This morning, Draghi adjusts QE to continue to puff up the ECBbalance sheet. That’s helpful for global risk markets, but it’s notenough. Globally, the net figure shows central banks areblowing out their reserves;

o That puff peaked last August – Figure 1 top.

Pricing on investment grade corporate creditdebt peaked and started to turn lower thatsame month – Figure 1 middle, and Figure 2.

Then finally equities took the blow- Figure 1 bottom.

When mama's credit market ain’t happy, eventually ain’t nobodyhappy;

o That global corporate bond index in Figure 1 is trendinglower at an annual rate of 6%/year – Figure 2.

o Commodities, which didn’t really make it onto central bankbalance sheets, have been in a bear market since 2011. Theyare falling at an annualized rate of 17%/year, and that’s exeveryone’s (yes ours too) focus on crude oil – Figure 3.

So, unless we see a turn in the synchronized bear trends in credit andcommodities (and we are always looking), we’ll continue to framemany of our buy ideas in the relative and short-sale ideas in theabsolute.

Fig 1: Central Bank Reserves; Corp Bonds & Stocks Figure 2: BBg Global IG Corporate Bond Price Index

Figure 3: CRB Non-Energy Commodity Index

Source: BMO Capital Markets, Bloomberg, Thomson, Markit

37

Focal Points Investment & Trading Ideas

July 22, 2015 Research Comment Quantitative/Technical Research Website

Mark Steele (416) 359-4641 mark.steele@bmo.com Assoc: Tiberiu Stoichita/Jin Li

Best of Strong U.S. Dollar Stocks

The U.S. dollar index is breaking out of aconsolidation pattern (Figure 1), and all thingsassociated are happening; commodities, andcommodity currencies are suffering, inflationexpectations are rolling over, and a whiff of panic inthe gold square and energy space is in the air.

Today an ETF, which targets U.S. stocks that derive80% of their revenue from the U.S., and as such isless vulnerable to a strong U.S. dollar, starts tradingunder the ticker USSD.

o As per the time of writing, a single 700share block has traded, so the PR folk atWisdomTree have some work to do, butthat’s not the point.

It’s the concept that we care on.

The ETF is based off of the WisdomTree Strong Dollar U.S. Equity Index, whichhas a bit of history, and indeed in its early days, moves in this index are somewhatpositively correlated to the U.S. dollar index. We highlight the overlay in Figure 2.

The index contains 268 stocks, none of which are resources, and the list does havea tilt towards outperforming the S&P 500 (did we mention that it has noresources?). We highlight the largest 50 stocks along with the portfoliocharacteristics of the grouping in Figure 3.

o To narrow-in on the “best of”, we applied an earnings growth filter,(because wherever you look, growth continues to trump value) andnarrow-in on the stocks outperforming the market and the sector – Fig 4.

o We also loaded this portfolio into our Otis Redding Collection(momentum buys, with low volatility, and good yield and dividendgrowth profiles, available in our Long/Short Filters within the TIPsSuite), which narrows-in on 16 stocks for your summer investingpleasure – Figure 5.

Figure 1: U.S. Dollar Index Figure 2: U.S. Dollar Index and Strong Dollar U.S. Equity Index

Figure 3: Largest 50 Strong U.S. Dollar Stocks vs S&P 500 With Portfolio Statistics (see Video Primer on How to Do This)

Source: BMO Capital Markets, Bloomberg, Thomson, Markit

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Focal Points

Figure 4: Strong U.S. Dollar Outperformers With Our Earnings Growth Filter Applied

Note: BMO Capital Markets is restricted on Cintas Corp Figure 5: The Otis Redding Collection of Strong U.S. Dollar Stocks

Page 2 July 22, 2015 39

BMO Capital Markets Disclosure Statements

Page 1 January 14, 2016

IMPORTANT DISCLOSURES Analyst's Certification I, Mark Steele, hereby certify that the views expressed in this report accurately reflect my personal views about the subject securities or issuers. I also certify that no part of my compensation was, is, or will be, directly or indirectly, related to the specific recommendations or views expressed in this report.

Analysts who prepared this report are compensated based upon (among other factors) the overall profitability of BMO Capital Markets and their affiliates, which includes the overall profitability of investment banking services. Compensation for research is based on effectiveness in generating new ideas and in communication of ideas to clients, performance of recommendations, accuracy of earnings estimates, and service to clients.

Analysts employed by BMO Nesbitt Burns Inc. and/or BMO Capital Markets Limited are not registered as research analysts with FINRA (exceptions: Alex Arfaei and Brodie Woods). These analysts may not be associated persons of BMO Capital Markets Corp. and therefore may not be subject to the NASD Rule 2711 and NYSE Rule 472 restrictions on communications with a subject company, public appearances and trading securities held by a research analyst account. Distribution of Ratings (December 31, 2015)

Rating Category

BMO Rating

BMOCM US Universe*

BMOCM USIB Clients**

BMOCM USIB Clients***

BMOCM Universe****

BMOCM IB Clients*****

Starmine Universe

Buy Outperform 42.0% 20.9% 53.7% 44.1% 53.8% 55.6% Hold Market Perform 54.6% 13.5% 45.1% 52.3% 45.6% 39.4% Sell Underperform 3.4% 5.9% 1.2% 3.6% 0.5% 5.1%

* Reflects rating distribution of all companies covered by BMO Capital Markets Corp. equity research analysts. ** Reflects rating distribution of all companies from which BMO Capital Markets Corp. has received compensation for Investment Banking services as

percentage within ratings category. *** Reflects rating distribution of all companies from which BMO Capital Markets Corp. has received compensation for Investment Banking

services as percentage of Investment Banking clients. **** Reflects rating distribution of all companies covered by BMO Capital Markets equity research analysts. ***** Reflects rating distribution of all companies from which BMO Capital Markets has received compensation for Investment Banking services as

percentage of Investment Banking clients. Rating and Sector Key (as of April 5, 2013)

We use the following ratings system definitions:

OP = Outperform - Forecast to outperform the analyst’s coverage universe on a total return basis; Mkt = Market Perform - Forecast to perform roughly in line with the analyst’s coverage universe on a total return basis; Und = Underperform - Forecast to underperform the analyst’s coverage universe on a total return basis; (S) = Speculative investment; NR = No rating at this time; and R = Restricted – Dissemination of research is currently restricted.

BMO Capital Markets' seven Top 15 lists guide investors to our best ideas according to different objectives (CDN Large Cap, CDN Small Cap, US Large Cap, US Small Cap, Income, CDN Quant, and US Quant have replaced the Top Pick rating).

Prior BMO Capital Markets Rating System (January 4, 2010 – April 4, 2013)

http://researchglobal.bmocapitalmarkets.com/documents/2013/prior_rating_system.pdf

Other Important Disclosures For Important Disclosures on the stocks discussed in this report, please go to http://researchglobal.bmocapitalmarkets.com/Public/Company_Disclosure_Public.aspx or write to Editorial Department, BMO Capital Markets, 3 Times Square, New York, NY 10036 or Editorial Department, BMO Capital Markets, 1 First Canadian Place, Toronto, Ontario, M5X 1H3. Dissemination of Research BMO Capital Markets Equity Research is available via our website https://research-ca.bmocapitalmarkets.com/Public/Secure/Login.aspx?Return Url=/Member/Home/ResearchHome.aspx. Institutional clients may also receive our research via Thomson Reuters, Bloomberg, FactSet, and Capital IQ. Research reports and other commentary are required to be simultaneously disseminated internally and externally to our clients.

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General Disclaimer “BMO Capital Markets” is a trade name used by the BMO Investment Banking Group, which includes the wholesale arm of Bank of Montreal and its subsidiaries BMO Nesbitt Burns Inc., BMO Capital Markets Limited in the U.K. and BMO Capital Markets Corp. in the U.S. BMO Nesbitt Burns Inc., BMO Capital Markets Limited and BMO Capital Markets Corp are affiliates. Bank of Montreal or its subsidiaries (“BMO Financial Group”) has lending arrangements with, or provide other remunerated services to, many issuers covered by BMO Capital Markets. The opinions, estimates and projections contained in this report are those of BMO Capital Markets as of the date of this report and are subject to change without notice. BMO Capital Markets endeavours to ensure that the contents have been compiled or derived from sources that we believe are reliable and contain information and opinions that are accurate and complete. However, BMO Capital Markets makes no representation or warranty, express or implied, in respect thereof, takes no responsibility for any errors and omissions contained herein and accepts no liability whatsoever for any loss arising from any use of, or reliance on, this report or its contents. Information may be available to BMO Capital Markets or its affiliates that is not reflected in this report. The information in this report is not intended to be used as the primary basis of investment decisions, and because of individual client objectives, should not be construed as advice designed to meet the particular investment needs of any investor. This material is for information purposes only and is not an offer to sell or the solicitation of an offer to buy any security. BMO Capital Markets or its affiliates will buy from or sell to customers the securities of issuers mentioned in this report on a principal basis. BMO Capital Markets or its affiliates, officers, directors or employees have a long or short position in many of the securities discussed herein, related securities or in options, futures or other derivative instruments based thereon. The reader should assume that BMO Capital Markets or its affiliates may have a conflict of interest and should not rely solely on this report in evaluating whether or not to buy or sell securities of issuers discussed herein.

Additional Matters To Canadian Residents: BMO Nesbitt Burns Inc. furnishes this report to Canadian residents and accepts responsibility for the contents herein subject to the terms set out above. Any Canadian person wishing to effect transactions in any of the securities included in this report should do so through BMO Nesbitt Burns Inc. The following applies if this research was prepared in whole or in part by Alexander Pearce, David Round, Edward Sterck or Brendan Warn: This research is not prepared subject to Canadian disclosure requirements. This research is prepared by BMO Capital Markets Limited and subject to the regulations of the Financial Conduct Authority (FCA) in the United Kingdom. FCA regulations require that a firm providing research disclose its ownership interest in the issuer that is the subject of the research if it and its affiliates own 5% or more of the equity of the issuer. Canadian regulations require that a firm providing research disclose its ownership interest in the issuer that is the subject of the research if it and its affiliates own 1% or more of the equity of the issuer that is the subject of the research. Therefore BMO Capital Markets Limited will disclose its and its affiliates’ ownership interest in the subject issuer only if such ownership exceeds 5% of the equity of the issuer. To U.S. Residents: BMO Capital Markets Corp. furnishes this report to U.S. residents and accepts responsibility for the contents herein, except to the extent that it refers to securities of Bank of Montreal. Any U.S. person wishing to effect transactions in any security discussed herein should do so through BMO Capital Markets Corp. To U.K. Residents: In the UK this document is published by BMO Capital Markets Limited which is authorised and regulated by the Financial Conduct Authority. The contents hereof are intended solely for the use of, and may only be issued or passed on to, (I) persons who have professional experience in matters relating to investments falling within Article 19(5) of the Financial Services and Markets Act 2000 (Financial Promotion) Order 2005 (the “Order”) or (II) high net worth entities falling within Article 49(2)(a) to (d) of the Order (all such persons together referred to as “relevant persons”). The contents hereof are not intended for the use of and may not be issued or passed on to, retail clients. Unauthorized reproduction, distribution, transmission or publication without the prior written consent of BMO Capital Markets is strictly prohibited. Click here for data vendor disclosures when referenced within a BMO Capital Markets research document.

ADDITIONAL INFORMATION IS AVAILABLE UPON REQUEST BMO Financial Group (NYSE, TSX: BMO) is an integrated financial services provider offering a range of retail banking, wealth management, and investment and corporate banking products. BMO serves Canadian retail clients through BMO Bank of Montreal and BMO Nesbitt Burns. In the United States, personal and commercial banking clients are served by BMO Harris Bank N.A., Member FDIC. Investment and corporate banking services are provided in Canada and the US through BMO Capital Markets.

BMO Capital Markets is a trade name used by BMO Financial Group for the wholesale banking businesses of Bank of Montreal, BMO Harris Bank N.A, BMO Ireland Plc, and Bank of Montreal (China) Co. Ltd. and the institutional broker dealer businesses of BMO Capital Markets Corp. (Member SIPC) in the U.S., BMO Nesbitt Burns Inc. (Member Canadian Investor Protection Fund) in Canada, Europe and Asia, BMO Capital Markets Limited in Europe and Australia and BMO Advisors Private Limited in India.

“Nesbitt Burns” is a registered trademark of BMO Nesbitt Burns Corporation Limited, used under license. “BMO Capital Markets” is a trademark of Bank of Montreal, used under license. "BMO (M-Bar roundel symbol)" is a registered trademark of Bank of Montreal, used under license

® Registered trademark of Bank of Montreal in the United States, Canada and elsewhere. TM Trademark Bank of Montreal

©COPYRIGHT 2016 BMO CAPITAL MARKETS CORP.

Financial GroupA member of BMO

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