Friday, October 10, 2014

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

October 9, 2014 NEW Market Elements 002

Trends & Inflection Points

October 10, 2014 NEW Don’t Fight Slow Global Growth, Partner With It 9

October 9, 2014 Introducing TIPS 10

Relative Strength Filter

October 8, 2014 Benchmark Breakdowns & Relative Returns 11

October 7, 2014 Universalities of SMID 13

October 6, 2014 All Cap Technology Buys 14

October 3, 2014 U.S. Growth Stocks Still Standing 15

October 2, 2014 Haircuts for Outperformers 16

October 1, 2014 Energy – Retain the Best, Lighten the Rest 17

September 30, 2014 Gold @ $1,000 18

September 29, 2014 Credit Stress Exceeds Equity Pullbacks 19

September 26, 2014 Junk Junked 20

September 25, 2014 When Canadian Banks Break 21

September 24, 2014 Capitulation Filters 22

September 23, 2014 Downshifting Expectations & the Upshifting Sector 23

September 22, 2014 Canadian Breakdowns & Shifts 24

September 19, 2014 U.S. Small Cap Growth – Before the Breakout 25

September 18, 2014 Constructiveness of U.S. Home Construction 26

September 17, 2014 Universal Health Care Outperformance 27

September 16, 2014 Auto Components Down Shifting 28

September 15, 2014 Dealer Wins 29

September 12, 2014 Shift to Underweight Canada/Overweight U.S. 30

September 11, 2014 Real Estate Retrenchment 31

September 10, 2014 Macro Shifts for Canadians 32

September 9, 2014 CDN LifeCos for E&P 33

Focal Points

June 24, 2013 Tighten Up 34

Market Elements October 9, 2014 Research Comment Quantitative/Technical Research Website

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

Equities gave back the FOMC inspired gains; SmlCaps led losses; globalenergy dove 2.7% to lead all sectors lower; VIX rose to an 8m high; theS&P 500 closed below its 150d MA for the first time since Nov. 2012.

Most major 10y yields fell ~4bps, yet moved off their lows to end just1bps from Wednesday’s close; corporate default risk rose.

The U.S. dollar index pivoted higher ending a three-day pullback;the moved tracked the turn in the U.S. 2y yield off of a 7w low.

WTI fell 3.4% (off 8% MTD) and closed below $85 for the firsttime since June 2012; Brent fell 3% (off 11% MTD) and fellbelow $90 reaching the lowest level since Dec. 2010.

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 85.54 0.3% BB Cmdty 118.83 0.0% U.S. 2.33 0.01 MSCI World 1,651 -1.3%EUR 1.2688 -0.4% WTI Oil L 85.10 -2.5% Canada 2.04 0.02 MSCI EM 1,009 1.0%CHF 1.0476 -0.3% NMX Gas 3.86 0.2% U.K. L 2.26 -0.00 S&P 500 1,928 -2.1%GBP 1.6120 -0.3% Gold 1,224.4 0.3% Germany 0.91 -0.00 S&P/TSX 14,461 -1.4%JPYx10 0.0927 0.2% Silver 17.4 -0.1% France 1.25 -0.01 STOXX 50 3,042 -0.4%CAD 0.8951 -0.6% Platinum 1,274.1 -0.4% Italy 2.31 -0.02 FTSE 100 6,432 -0.8%AUD 0.8781 -0.7% Palladium 796.15 -0.9% Spain 2.08 -0.02 Hang Seng 23,535 1.2%NZD 0.7864 -0.5% CMX Cu 303.35 1.0% Portugal L 2.96 -0.06 Topix 1,261 -1.1%BRL 0.4171 -0.6% LME Al 3m 0.88 0.5% Greece 6.63 -0.06 S&P/ASX 5,297 1.1%MXNx10 0.7449 -0.6% LME Ni 3m 7.56 0.8% Australia 3.30 -0.06 CSI 300 H 2,482 0.1%ZAR 0.0904 -0.2% LME Zn 3m 1.06 0.7% Hong Kong 1.81 -0.05 CDX IG 5Yr 69.74 4.2%KRWx10 0.9365 0.1% Lumber 344.90 -0.3% India 8.47 0.06 ARMS 1.33 47.8%CNY 0.1631 0.2% Corn 344.8 0.4% Japan L 0.49 -0.01 VIX 18.76 24.2%

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

0.8% 0.6% 0.4% 0.2% 0.0% 0.2% 0.4%

AUD

MXN

BRL

CAD

NZD

EUR

GBP

CHF

ZAR

KRW

JPY

CNY

3.0% 2.0% 1.0% 0.0% 1.0% 2.0%

WTI Oil

Palladium

Platinum

Lumber

Silver

BB Cmdty

NMX Gas

Gold

Corn

LME Al 3m

LME Zn 3m

LME Ni 3m

CMX Cu

-0.10-0.050.000.050.10

Portugal

Australia

Greece

Hong Kong

Spain

Italy

Japan

France

U.K.

Germany

U.S.

Canada

India

3.0% 2.0% 1.0% 0.0% 1.0% 2.0%

S&P 500

S&P/TSX

MSCI World

Topix

FTSE 100

STOXX 50

CSI 300

MSCI EM

S&P/ASX

Hang Seng

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

3.0% 2.5% 2.0% 1.5% 1.0% 0.5% 0.0%

Energy

Industrials

Info Tech

Cons Disc

Hlth Care

Telecom

Financials

Utilities

Materials

Cons Stap

4.0% 3.0% 2.0% 1.0% 0.0%

Energy

Materials

Industrials

Cons Disc

Financials

Hlth Care

Telecom

Info Tech

Utilities

Cons Stap

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

Telecom

Energy

Financials

Cons Disc

Industrials

Utilities

Hlth Care

Cons Stap

Info Tech

Materials

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

Materials

Energy

Hlth Care

Industrials

Cons Stap

Cons Disc

Utilities

Info Tech

Financials

Telecom

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

Page 2 October 9, 2014

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

Black (oil) is the new red.

DXY retains its uptrend.

Currencies Commodities Bonds Equities

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Market Elements

Page 3 October 9, 2014

Intra Day Charts 2-Day 1-Minute View

Currencies Commodities Bonds Equities

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Market Elements

Page 4 October 9, 2014

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

Europe – at a 52-week low: Industrials.

S&P 500

S&P/TSX Composite

S&P Europe 350

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Market Elements

Page 5 October 9, 2014

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 Petrofac Ltd PFC LN 2.4% Diamond Offshore Drilling Inc DO -1.2% Enbridge Income Fund Holdings ENF 0.2%

Origin Energy Ltd ORG AU 1.8% EOG Resources Inc EOG -2.7% Painted Pony Petroleum Ltd PPY 0.0%

Petroleo Brasileiro SA PBR/A US 1.5% Murphy Oil Corp MUR -2.9% NuVista Energy Ltd NVA -0.2%

OMV AG OMV AV -1.6% Williams Cos Inc/The WMB -6.8% Bankers Petroleum Ltd BNK -6.5%Royal Dutch Shell PLC RDSB LN -2.1% Chesapeake Energy Corp CHK -7.0% Athabasca Oil Corp ATH -8.1%Cairn Energy PLC CNE LN -2.1% QEP Resources Inc QEP -7.3% Ithaca Energy Inc IAE -9.9%SECURITY_NAME TICKER Chg SECURITY_NAME Ticker Chg SECURITY_NAME Ticker Chg

Materials Randgold Resources Ltd RRS LN 6.1% Sigma-Aldrich Corp SIAL -0.1% Novagold Resources Inc NG 4.8%

Iluka Resources Ltd ILU AU 3.3% Vulcan Materials Co VMC -1.1% Alacer Gold Corp ASR 0.9%

Newcrest Mining Ltd NCM AU 2.9% Ball Corp BLL -1.2% Centerra Gold Inc CG 0.9%Cia de Minas Buenaventura SAA BVN US -3.8% Owens-Illinois Inc OI -3.8% Kinross Gold Corp K -6.1%LANXESS AG LXS GR -3.8% Alcoa Inc AA -4.2% Teck Resources Ltd TCK/B -6.4%K+S AG SDF GR -4.6% Newmont Mining Corp NEM -5.0% AuRico Gold Inc AUQ -6.5%SECURITY_NAME TICKER Chg SECURITY_NAME Ticker Chg SECURITY_NAME Ticker Chg

Industrials Hays PLC HAS LN 3.8% Deere & Co DE -0.2% CAE Inc CAE -0.2%Alfa Laval AB ALFA SS 2.7% Stericycle Inc SRCL -0.7% Wajax Corp WJX -0.3%

Metso OYJ MEO1V FH 2.1% Lockheed Martin Corp LMT -1.0% Progressive Waste Solutions Lt BIN -0.5%

Deutsche Lufthansa AG LHA GR -3.9% Rockwell Automation Inc ROK -4.7% Canadian Pacific Railway Ltd CP -3.6%

Airbus Group NV AIR FP -4.1% United Rentals Inc URI -5.1% Russel Metals Inc RUS -3.7%

Shimizu Corp 1803 JP -4.5% Eaton Corp PLC ETN -5.2% Westport Innovations Inc WPT -6.9%SECURITY_NAME TICKER Chg SECURITY_NAME Ticker Chg SECURITY_NAME Ticker Chg

Cons Disc Yamada Denki Co Ltd 9831 JP 2.4% Family Dollar Stores Inc FDO 0.1% Canadian Tire Corp Ltd CTC/A 3.1%

Burberry Group PLC BRBY LN 1.8% Staples Inc SPLS -0.2% Gildan Activewear Inc GIL 1.7%

Galaxy Entertainment Group Ltd 27 HK 1.6% Ross Stores Inc ROST -0.4% Quebecor Inc QBR/B 0.4%

adidas AG ADS GR -4.6% Goodyear Tire & Rubber Co/The GT -4.7% Linamar Corp LNR -4.8%

Lagardere SCA MMB FP -5.1% Carnival Corp CCL -5.3% Martinrea International Inc MRE -5.1%

Mediaset SpA MS IM -5.3% Gap Inc/The GPS -12.5% Amaya Gaming Group Inc AYA -5.5%SECURITY_NAME TICKER Chg SECURITY_NAME Ticker Chg SECURITY_NAME Ticker Chg

Cons Stap Nippon Meat Packers Inc 2282 JT 1.9% Hormel Foods Corp HRL 0.3% Metro Inc MRU 0.7%Yakult Honsha Co Ltd 2267 JT 0.8% Walgreen Co WAG 0.1% Jean Coutu Group PJC Inc/The PJC/A -0.4%

Asahi Group Holdings Ltd 2502 JT 0.7% ConAgra Foods Inc CAG -0.0% George Weston Ltd WN -0.4%

Diageo PLC DGE LN -1.5% Mondelez International Inc MDLZ -2.2% Empire Co Ltd EMP/A -1.2%

Delhaize Group SA DELB BB -2.0% Molson Coors Brewing Co TAP -2.2% Cott Corp BCB -1.6%

Cencosud SA CENCOSUD CC -2.1% Coca-Cola Enterprises Inc CCE -3.0% Maple Leaf Foods Inc MFI -2.4%SECURITY_NAME TICKER Chg SECURITY_NAME Ticker Chg SECURITY_NAME TICKER Chg

Health Care Cochlear Ltd COH AU 1.4% Perrigo Co PLC PRGO 0.6% Catamaran Corp CCT -2.0%

Shire PLC SHP LN 1.0% CareFusion Corp CFN -0.3% Valeant Pharmaceuticals Intern VRX -2.2%

Essilor International SA EI FP 0.8% Varian Medical Systems Inc VAR -0.7% Extendicare Inc EXE -2.8%

Bayer AG BAYN GR -2.2% Alexion Pharmaceuticals Inc ALXN -3.5%Otsuka Holdings Co Ltd 4578 JP -2.9% Universal Health Services Inc UHS -3.6%

Ono Pharmaceutical Co Ltd 4528 JP -3.0% Tenet Healthcare Corp THC -3.8%SECURITY_NAME TICKER Chg SECURITY_NAME Ticker Chg SECURITY_NAME Ticker Chg

Financials Banco do Brasil SA BBAS3 BZ 4.3% Ventas Inc VTR 1.3% Calloway Real Estate Investmen CWT-U 1.4%

Goodman Group GMG AU 4.2% Vornado Realty Trust VNO 1.2% FirstService Corp/Canada FSV 1.2%BM&FBovespa SA BVMF3 BZ 3.2% Equity Residential EQR 0.8% Fairfax Financial Holdings Ltd FFH 1.0%

Deutsche Bank AG DBK GR -3.3% E*TRADE Financial Corp ETFC -4.4% Power Corp of Canada POW -2.5%

Commerzbank AG CBK GR -4.2% Franklin Resources Inc BEN -4.6% Element Financial Corp EFN -2.5%

Unione di Banche Italiane SCpA UBI IM -4.4% Charles Schwab Corp/The SCHW -5.6% AGF Management Ltd AGF/B -5.5%SECURITY_NAME TICKER Chg SECURITY_NAME Ticker Chg SECURITY_NAME TICKER Chg

Technology Taiwan Semiconductor Manufactu 2330 TT 2.0% Apple Inc AAPL 0.2% CGI Group Inc GIB/A 0.7%

ARM Holdings PLC ARM LN 2.0% Yahoo! Inc YHOO 0.0% Open Text Corp OTC -0.3%

Tokyo Electron Ltd 8035 JP 1.8% Oracle Corp ORCL -0.7% Celestica Inc CLS -0.4%

FUJIFILM Holdings Corp 4901 JP -3.7% Hewlett-Packard Co HPQ -4.5% DH Corp DH -1.4%

MediaTek Inc 2454 TT -5.2% Micron Technology Inc MU -5.2% Constellation Software Inc/Can CSU -1.5%

Alcatel-Lucent ALU FP -6.2% First Solar Inc FSLR -9.2% Avigilon Corp AVO -3.7%SECURITY_NAME TICKER Chg SECURITY_NAME Ticker Chg SECURITY_NAME TICKER Chg

Telecom China Mobile Ltd 941 HK 3.3% AT&T Inc T -1.4% Rogers Communications Inc RCI/B 0.3%

Singapore Telecommunications L ST SP 1.6% Verizon Communications Inc VZ -1.9% BCE Inc BCE 0.2%Telstra Corp Ltd TLS AU 0.7% CenturyLink Inc CTL -2.7% TELUS Corp T 0.2%

Deutsche Telekom AG DTE GR -3.3% Windstream Holdings Inc WIN -4.4% Manitoba Telecom Services Inc MBT -0.2%

Vodafone Group PLC VOD LN -3.4% Frontier Communications Corp FTR -4.5%

Portugal Telecom SGPS SA PTC PL -12.9%SECURITY_NAME TICKER Chg SECURITY_NAME Ticker Chg SECURITY_NAME Ticker Chg

Utilities Hong Kong & China Gas Co Ltd 3 HK 3.4% FirstEnergy Corp FE -0.1% Capital Power Corp CPX 0.4%

Severn Trent PLC SVT LN 2.5% Southern Co/The SO -0.5% Emera Inc EMA 0.3%

Power Assets Holdings Ltd 6 HK 1.2% Pepco Holdings Inc POM -0.7% Fortis Inc/Canada FTS 0.2%

Cia Energetica de Minas Gerais CIG US -3.0% Exelon Corp EXC -2.9% TransAlta Corp TA -1.6%

RWE AG RWE GR -3.0% NiSource Inc NI -3.7% Northland Power Inc NPI -2.3%E.ON SE EOAN GR -4.1% AES Corp/VA AES -4.1% Just Energy Group Inc JE -4.7%

Bold = move of more than 5%

6

Market Elements

Page 6 October 9, 2014

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 37.10 -3.6% UTX L 99.94 -2.6% JCI 42.28 -4.4% CVS 81.95 -0.7% GOOGL 570.81 -2.2% WFC 51.12 -1.9%NE L 19.50 -4.8% BA 122.76 -1.8% BWA 51.42 -3.9% WAG 61.55 0.1% EBAY 52.86 -3.0% USB 40.58 -1.7%DO 34.71 -1.2% HON 89.77 -1.8% GM L 31.03 -3.6% SYY 37.15 -1.4% YHOO 41.10 0.0% CMA 47.48 -3.7%NBR 19.76 -5.2% LMT 174.55 -1.0% F L 13.84 -2.6% KR 53.26 -1.5% AKAM 58.25 -1.3% PNC 83.02 -2.1%HP 85.36 -4.5% GD 121.50 -1.3% HOG L 57.39 -2.7% SWY 34.06 -0.6% VRSN 55.25 -1.5% BBT 37.26 -1.6%RDC L 23.19 -5.8% RTN 94.97 -2.0% MHK 130.01 -3.3% WFM 37.23 -1.5% ACN 78.19 -2.0% STI 36.43 -2.8%PTEN 26.90 -7.7% NOC 124.02 -1.9% PHM 17.90 -2.2% WMT 77.86 -0.5% CTSH 44.12 -2.0% FITB 19.62 -2.3%UNT 51.46 -3.8% PCP L 223.47 -2.4% DHI 20.64 -1.7% COST 128.41 -0.2% LDOS 34.94 -3.2% RF 9.72 -2.8%ATW L 40.45 -2.9% LLL 108.11 -3.5% NVR 1,150 -0.9% TAP 73.60 -2.2% V 207.71 -2.1% MTB 121.01 -2.0%PES 11.44 -4.7% COL 74.99 -1.7% WHR 141 -1.8% BF/B 88.46 -0.8% MA 71.83 -3.0% KEY 13.09 -3.0%SLB 94.92 -3.5% ITT 40.70 -5.0% NWL 33.86 -2.0% KO 43.87 -1.5% ADP 73.19 -2.1% HBAN 9.54 -2.2%HAL 57.28 -5.1% FLR L 63.86 -2.2% MAT 30.62 -2.9% PEP 93.57 -0.4% WU 15.81 -3.1% AMT 94.75 -0.6%BHI 58.60 -4.8% EMR L 59.66 -3.5% HAS 54.85 -1.2% MNST 95.47 -1.0% PAYX 43.83 -1.1% NYCB 15.18 -1.7%NOV 71.34 -3.5% ROK 102.95 -4.7% COH 34.04 -2.5% CCE 42.04 -3.0% FIS 55.09 -2.5% HCBK 9.55 -2.1%CAM 59.14 -4.7% GE 24.78 -1.9% VFC 65.04 -2.5% DPS 64.26 -1.4% CSC 57.64 -2.6% PBCT 14.04 -1.9%FTI 51.32 -4.2% MMM 138.64 -2.0% RL 163.04 -1.8% ADM 47.13 -1.9% FISV 63.67 -1.7% BAC 16.59 -3.0%DRC 81.79 -0.5% TYC 42.48 -2.8% NKE 87.23 -1.8% MDLZ 33.65 -2.2% ADS 242.00 -2.8% JPM 59.08 -2.1%OII L 61.13 -2.6% CAT 93.50 -3.3% LVS 60.61 -2.1% KRFT 56.23 -0.7% ADBE 65.66 -3.4% C 51.14 -2.6%DRQ L 85.09 -2.8% DE 81.15 -0.2% WYNN 178.07 -2.8% GIS 49.89 -0.5% INTU 81.81 -2.3% LUK L 22.39 -2.8%OIS 58.76 -4.1% PCAR 57.40 -2.3% IGT 16.83 -1.4% K 60.67 -0.7% CRM 57.13 -1.3% CME 80.98 -0.2%TDW L 35.40 -9.7% CMI 130.86 -2.3% CCL 35.67 -5.3% GMCR 143.17 -0.3% CTXS 67.27 -1.2% MHFI 80.88 -3.3%CRR L 54.16 -2.9% DHR 72.77 -2.4% MAR 64.58 -2.4% CPB 41.88 -1.8% ADSK 56.07 -1.7% ICE 203.01 0.8%SPN 28.09 -5.2% ITW 81.68 -2.2% HOT 76.07 -3.3% CAG 33.85 -0.0% MSFT 45.85 -1.9% MCO 94.67 -1.6%CKH L 73.87 -4.0% ETN L 59.52 -5.2% WYN 76.71 -2.5% MJN 95.83 -1.9% ORCL 38.74 -0.7% AXP 85.89 -1.7%EXH 40.91 -4.1% PH 109.53 -2.6% MCD 92.72 -1.2% HSY 93.43 -0.7% SYMC 23.44 -2.3% COF 81.44 -1.5%BRS 67.26 -1.8% DOV 76.12 -2.9% YUM 69.00 -2.5% SJM 97.87 -0.9% CA L 26.58 -1.7% DFS 63.51 -2.0%HLX 21.16 -4.2% FAST 44.70 -2.4% SBUX 74.48 -1.0% TSN 40.96 -1.3% RHT 58.05 -0.8% SLM 8.77 -0.9%TTI L 9.63 -4.7% GWW 246.15 -2.4% DRI 49.27 -1.4% HRL 51.62 0.3% ATVI 20.08 -2.7% BK 37.31 -3.2%IO L 2.33 -6.4% WM 46.92 -1.4% CMG 660.61 -1.7% MKC 67.72 -0.8% EA 35.01 -0.7% BEN 51.43 -4.6%HOS L 27.61 -9.3% RSG 38.33 -1.1% APOL 25.96 1.1% PM 83.92 -1.3% CSCO 24.19 -1.9% BLK 315.21 -2.9%BAS 16.70 -8.8% UPS 96.53 -1.6% DV 43.62 -1.2% MO 46.37 -0.9% QCOM 74.08 -1.4% STT 69.11 -3.9%MTRX 22.93 -2.5% FDX 156.51 -2.3% HRB 28.94 -3.1% RAI 59.20 -1.5% MSI 60.46 -1.8% TROW 75.97 -2.0%GIFI L 16.60 -3.7% CHRW 65.20 -1.6% OMC 65.93 -1.6% LO 59.87 -0.9% JNPR 20.94 -1.2% NTRS 65.44 -2.8%XOM 91.82 -2.9% EXPD 38.57 -2.3% IPG 17.07 -3.9% PG 83.66 -0.6% HRS 63.61 -2.7% AMP 117.05 -2.9%CVX 114.51 -2.9% LUV 31.32 -2.5% CBS L 50.72 -3.6% CL 65.20 -0.9% FFIV 115.31 -3.1% AMG 193.25 -3.1%COP 71.44 -3.1% DAL 33.71 -3.2% DISCA L 35.79 -3.7% KMB 108.45 -0.7% AAPL 101.02 0.2% IVZ 37.57 -3.4%OXY 92.53 -3.1% UNP 105.34 -2.5% CMCSA 53.32 -2.6% CLX 97.46 -1.3% IBM 186.42 -1.5% LM 49.28 -3.7%MRO 34.71 -4.0% NSC 105.43 -3.4% DTV 86.60 -1.3% CHD 69.37 -1.6% HPQ 34.32 -4.4% GS 181.27 -2.8%HES 84.60 -4.3% CSX 30.73 -2.4% SIRI 3.28 -3.7% AVP L 11.05 -2.1% TDC 41.15 -1.9% MS 33.30 -3.4%

MUR 53.91 -2.8% Health Care TWC 142.48 -3.3% EL 73.61 -1.5% EMC 28.39 -1.4% SCHW 27.13 -5.5%

APA 81.88 -4.1% Symbol H/L Last %Chg SNI 74.53 -3.7% Utilities STX 56.23 -1.4% MMC 50.07 -2.1%DVN 61.30 -4.1% MDT 63.65 -3.1% DIS 85.71 -2.7% Symbol H/L Last %Chg NTAP 39.57 -1.6% AON 81.27 -2.6%APC 90.00 -6.1% BAX 71.81 -1.8% TWX 72.07 -2.6% SO 44.83 -0.4% WDC 93.39 -2.3% MET 50.35 -3.1%

Materials COV 92.69 -2.0% FOXA 33.11 -2.9% EXC 34.80 -2.8% SNDK 89.99 -3.6% PRU 83.38 -2.7%Symbol H/L Last %Chg SYK 82.92 -1.6% VIAB L 72.06 -3.4% DUK 76.39 -0.8% FLIR 29.18 -2.1% AFL L 56.93 -1.5%DD 67.31 -1.8% BDX 127.94 -1.5% GCI 27.89 -4.5% NEE 93.59 -1.8% GLW 18.58 -2.0% PFG 50.05 -2.8%DOW 48.23 -3.5% ISRG 476.35 -2.7% GPC 86.52 -2.0% AEP 53.56 -1.0% APH 98.68 -1.1% LNC 49.67 -3.7%PPG 186.03 -1.8% STJ 61.95 -1.0% AMZN 315.37 -2.3% ETR 77.51 -2.6% TEL 54.80 -2.7% UNM 33.34 -1.3%EMN 76.06 -2.9% ZMH 101.73 -1.7% PCLN 1,102 -2.2% PPL 33.70 -1.6% AVT 39.90 -2.3% AIG 50.42 -3.0%ASH 99.25 -1.6% BSX 11.92 -1.8% EXPE 84 -1.8% FE 34.55 -0.1% XRX 12.76 -2.5% L L 40.90 -2.0%FMC L 53.49 -2.5% HSP 51.03 -2.7% NFLX 461.62 -1.1% EIX 57.10 -1.6% AMAT 20.87 -1.3% HIG 36.52 -1.0%MON 107.69 -1.9% MCK 195.82 -1.9% KSS 57.14 -1.6% NU 46.10 -1.2% KLAC 73.65 -2.8% GNW L 12.64 -2.8%CF 271.05 -3.3% CAH 75.40 -1.6% SHLD 26.36 -8.6% PNW 55.97 -1.7% LRCX 72.56 -2.4% BRK/B 137.09 -2.0%PX 121.98 -2.4% ESRX 70.44 -1.5% M 56.40 -2.7% POM 26.84 -0.7% INTC 33.62 -1.8% TRV 93.89 -0.5%APD 123.31 -2.7% DGX 58.35 -3.2% JWN 69.82 -1.2% WR 34.12 -1.4% TXN 46.02 -1.9% ACE 104.92 -1.7%ARG 106.84 -2.3% UNH 84.94 -1.9% JCP 7.64 -6.7% GXP 24.32 -2.3% BRCM 38.13 -2.5% ALL 61.01 -1.0%ECL 110.66 -2.5% WLP 118.93 -0.7% TGT 61.60 -1.9% HE 26.62 -1.7% FSLR 56.49 -9.1% CB 92.66 -1.4%SHW 214.01 -1.3% HUM 125.03 -1.8% DG 60.63 -1.6% CNL 48.80 -2.6% NVDA 17.91 -1.9% PGR 25.27 -1.4%SIAL 135.60 -0.1% AET 78.62 -1.7% FDO 77.75 0.1% IDA 54.64 -2.2% ADI 46.34 -2.9% XL 32.55 -1.9%IFF 93.10 -1.9% CI 89.98 -1.5% DLTR 56.70 -0.9% ALE 47.01 -1.5% MU 30.64 -5.1% VNO 101.65 1.2%ALB L 56.30 -4.1% AMGN 137.58 -1.7% TJX 60.49 -0.8% EE 35.51 -1.7% CREE L 30.86 -5.6% PLD 37.63 -1.2%VMC 57.33 -1.1% GILD 105.85 -2.7% GPS 36.67 -12.5% PNM 25.78 -2.1% ALTR 32.64 -3.1% BXP 118.78 0.1%MLM 115.85 -2.4% CELG 92.38 -2.6% LB 67.41 -0.6% UIL 36.88 -2.0% XLNX L 40.19 -3.1% SLG 104.08 -0.1%OI L 25.28 -3.8% BIIB 319.19 -1.6% ROST 76.17 -0.4% NFG 69.01 -3.0% LLTC 41.30 -2.8% EQR 64.10 0.8%BLL 63.06 -1.2% JNJ 102.08 -2.6% URBN 35.71 -1.5% UGI 33.85 -1.6% AMD L 2.95 -10.0% AVB 145.91 0.3%AA 15.39 -4.2% PFE 28.99 -1.3% GES L 21.01 -3.9% GAS 51.29 -1.9% MCHP 45.54 -1.4% SPG 168.66 0.3%

FCX 31.14 -3.6% MRK 59.21 -1.6% BBY 30.86 -2.1% STR 22.06 -2.1% Telecom Services KIM 22.63 0.2%SCCO 28.18 -2.8% ABT 41.63 -1.2% HD 93.07 -1.1% ATO 47.69 -1.7% Symbol H/L Last %Chg MAC 65.50 -0.1%NEM 22.45 -5.0% ABBV 56.72 -2.7% LOW 53.91 -0.8% PNY 34.12 -2.0% T 34.66 -1.3% FRT 121.43 0.4%NUE 49.63 -3.3% BMY 49.50 -1.4% SPLS 11.74 -0.2% OGS 34.52 -3.3% VZ 48.93 -1.8% PSA 169.49 0.0%CLF L 7.39 -7.3% LLY 64.30 -1.4% TIF 92.63 -2.5% WGL 42.96 -2.1% CTL 39.73 -2.6% HST 21.18 -1.5%X 33.90 -7.3% ACT 242.28 -1.7% AZO 508.32 -1.8% NJR 49.77 -1.9% FTR 5.93 -4.5% HCP 41.14 0.4%ATI 32.89 -2.6% AGN 187.55 -1.5% ORLY 150.06 -2.0% SWX 50.69 0.0% WIN 10.33 -4.3% WY 31.77 -1.0%IP 46.98 -1.7% TMO 117.82 -3.1% KMX 46.30 -2.4% SJI 54.12 -1.5% TMUS 28.39 -1.9% CCI 80.52 -1.2%MWV 39.99 -2.6% A 55.03 -2.5% BBBY 66.32 -0.8% NWN 43.21 -1.6% S 5.98 -1.4% VTR 64.54 1.3%

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

7

Market Elements

Page 7 October 9, 2014

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 %ChgPD 10.54 -3.0% MX 70.87 -3.2% BBD/B 3.56 -1.1% MG 102.92 -1.6% OTC 62.90 -0.3% XIU 21.01 -1.4%ESI 13.95 -0.4% CUS L 4.12 -2.8% CAE 14.03 -0.2% LNR 54.07 -4.8% SUM 8.30 -0.5% XSP 22.27 -2.0%TDG L 7.58 -3.4% CHE-U 19.57 -2.1% MDA 83.05 -1.6% MRE 12.15 -5.0% HGN 9.01 -0.9% XIC 22.87 -1.4%SCL 52.59 -3.3% POT 36.36 -1.5% MAL 12.24 -0.1% DII/B 32.81 -1.0% GIB/A 38.34 0.7% XDV 25.08 -0.6%SES 21.35 -4.3% AGU 95.02 -1.1% HRX 9.95 -0.1% BRP 20.70 -1.2% DH 32.10 -1.4% XFN 31.36 -0.3%PSI 30.29 -1.5% CCL/B 112.41 -1.6% VIC 10.32 -1.5% DOO 24.43 -0.0% CSU 286.41 -1.4% CPD 16.26 -0.1%MTL L 23.49 -2.6% ITP 15.46 -2.0% SNC 49.88 -2.3% PSG 18.17 0.5% DSG 15.72 -0.8% ZEB 23.88 0.0%CEU 8.67 -3.1% WPK 27.50 -0.7% ARE 14.76 -0.8% GIL 62.45 1.6% CMG L 11.10 -0.8% RY 80.75 -0.2%TCW L 11.68 -1.6% CAS 5.95 -1.4% BDT 13.52 -2.0% AYA 30.00 -5.4% ESL 36.22 -0.7% TD 54.14 0.0%CFW 15.18 -2.8% TCK/B L 18.09 -6.4% WSP 34.22 -1.7% GC 18.52 -0.0% RKN 3.60 -4.0% BNS 69.02 -0.1%EFX 17.87 -2.0% TRQ 4.10 -3.7% SOX 8.42 -0.9% GH 15.80 2.6% ABT 6.67 0.4% BMO 82.73 0.0%TESO US 17.39 -4.1% FM 19.13 -4.4% BAD 25.80 -1.6% TRZ/B 8.60 -3.2% BB 10.18 -0.6% CM 101.04 -0.0%FRC 11.42 -3.5% LUN 5.10 -2.8% BLD 3.17 -3.9% WB 17.80 -0.2% JDSU US 12.59 -1.6% NA 51.87 0.4%SU 37.51 -1.9% S L 2.78 -2.1% TIH 25.76 -0.8% THI 88.00 -0.1% WIN 3.47 -1.1% CWB 38.98 -1.6%IMO 50.09 -2.5% HBM 8.57 -4.7% WPT L 6.97 -6.9% MTY 29.32 -1.1% SW 27.87 -3.0% LB 47.85 -1.9%HSE L 27.87 -1.4% TCM 2.22 -3.4% AFN 44.69 1.1% BPF-U 20.68 -0.8% MITL US 8.16 -3.2% MIC 36.67 -0.4%CVE 27.75 -2.5% CS L 1.98 -4.3% NFI 12.75 -0.8% AW-U 24.80 -0.4% SVC 2.64 -3.6% HCG 50.80 -0.7%IOC US 48.25 -3.4% MDI 6.47 -1.0% ATA L 12.12 -1.4% PZA 13.39 0.0% CDV 3.50 -1.1% EQB 63.25 -2.2%CNQ 39.06 -1.7% TKO L 1.79 -5.2% XTC 9.15 -5.4% ECI H 14.36 1.7% EXF 4.41 1.6% FN 21.25 -1.1%ECA 22.61 -3.4% RIO 2.78 3.3% FTT 28.30 -1.6% AIM L 16.00 -1.6% ET 15.65 -2.6% MKP 14.45 -1.3%CPG 37.04 -2.8% ABX 15.59 -2.1% RUS 32.39 -3.6% MDZ/A 20.74 0.0% GSIG US 11.24 -5.3% FC 12.66 -0.7%TOU 45.90 -5.3% G 26.40 -2.9% RCH 50.94 -0.7% CJR/B 25.20 -0.8% PUR 7.67 -3.8% OCX 61.08 -0.0%TLM L 8.13 -5.1% K L 3.38 -6.1% MIL US L 6.30 -1.7% SJR/B 27.59 -0.2% AVO 14.74 -3.6% X 53.09 -1.6%COS 18.89 -1.3% AEM 32.99 -3.1% WJX 35.50 -0.2% QBR/B 28.13 0.4% VNP 2.64 -1.8% EFN 12.80 -2.5%ARX 27.02 -2.4% ELD 8.34 -1.1% CVL L 18.61 0.0% CCA 58.99 -0.2% CLS 11.16 -0.4% IGM L 44.58 -0.6%MEG 30.28 -4.6% YRI 6.48 -2.8% CWX 5.91 4.0% XSR 7.01 0.0% CSIQ US 30.28 -7.7% CIX 32.13 -1.6%VET 60.69 -2.6% IMG 2.70 -5.2% RME 10.35 -1.8% CGO 53.70 0.3% VXS 1.13 -1.7% AGF/B L 10.05 -5.4%BTE L 37.01 -4.8% IGT 13.25 0.7% TCL/A 14.06 -1.4% LGF US 30.97 -3.8% DC/A 16.18 -1.4%

POU 55.94 -3.9% FNV 58.06 0.6% BIN 28.35 -0.4% CGX 41.14 0.2% Utilities U 5.09 0.9%

PRE 15.92 -5.2% CG 5.55 0.9% NAL 20.13 -3.2% IMX 29.92 1.4% Symbol H/L Last %Chg SII 2.65 0.0%

PEY 33.95 -3.2% NGD 5.36 -4.2% RBA 25.68 -1.1% DHX/B H 9.09 3.8% XBB 30.76 0.0% AD 29.64 -1.1%PSK L 33.90 -1.6% AGI 9.66 -1.0% RBA US 23.01 -1.6% TRI 41.10 -0.4% XCB 21.28 0.0% GS 29.14 0.8%ERF 17.54 -4.3% SMF 4.15 -2.3% BYD-U 40.27 -0.9% TS/B 7.09 -0.2% XRB 23.66 -0.1% GCG/A 17.94 1.5%UPL US 21.07 -3.9% NG 3.48 4.8% DCI 15.24 -0.6% Y 14.66 -0.6% XSB 28.64 -0.1% GMP 7.09 -0.7%WCP 14.64 -5.2% DGC 8.67 -3.4% BDI L 22.46 -0.6% UNS 28.00 -0.0% FTS 31.75 0.3% CF 11.07 -1.5%KOG US 11.34 -7.1% PVG 5.66 -2.4% KBL 39.66 -0.1% HBC 17.60 -1.6% BIP-U 44.42 0.3% MFC 21.08 -1.1%PWT L 6.06 -2.4% PHY/U 10.12 0.4% HNL L 4.80 -0.6% SCC L 8.90 -10.2% EMA 33.76 -0.7% GWO 31.04 -0.7%PGF L 4.89 -2.5% SEA 8.85 -3.0% MSI 16.40 -1.0% CTC/A H 120.67 3.0% VNR 15.81 0.1% PWF 32.50 -1.2%TET L 23.36 -3.8% GBU 0.91 -2.1% STN 70.22 -2.6% DOL 96.79 0.0% SPB 13.26 -0.2% SLF 39.36 -1.4%BNP 11.75 -2.5% KGI 5.22 -3.8% WJA 27.33 -3.0% RET/A 6.12 0.9% JE 6.04 0.0% POW 29.48 -2.4%ATH L 4.56 -8.0% BTO 2.44 -1.2% CHR/B 4.05 0.2% RON 13.98 -0.2% CU 39.50 -0.2% IAG 44.26 -0.4%BNE 53.00 -1.1% XGD 10.34 -2.5% AC/B 7.60 -2.0% EH 23.61 -1.5% ACO/X 52.05 -0.2% FFH 513.98 0.9%NBZ L 16.00 -1.4% SGR L 0.09 -5.2% HNZ/A L 17.61 0.0% IDG 11.35 -1.3% BEP-U 31.05 -0.4% IFC 73.88 -0.2%FRU 21.70 -1.6% P 5.29 -4.6% EIF L 16.48 -0.7% ACQ 56.84 -4.0% MXG 3.04 1.3% XRE 16.12 0.6%RRX 8.26 -1.0% AR 3.71 -2.3% CNR 74.50 -1.7% LNF 14.18 4.3% RNW 11.39 0.3% HR-U 21.98 0.6%PXT 11.21 -3.7% TXG 1.62 -4.7% CP 222.64 -3.5% GBT/A 15.50 0.0% NPI 17.73 -0.6% REF-U 48.05 0.1%

BIR 9.53 -1.9% GSC 0.43 0.0% TFI 26.70 -1.0% ATP 3.53 0.9% DRG-U 9.10 0.2%

SGY 6.36 -2.9% LSG 1.03 -5.5% STB 6.93 0.4% Consumer Staples CPX 26.20 -0.4% CUF-U 19.00 0.4%AOI 8.50 0.0% CNL 2.97 -5.7% CSS 14.95 0.0% Symbol H/L Last %Chg AQN 8.16 -0.2% CRR-U 12.97 0.3%KEL 10.79 -3.1% AUQ 3.87 -6.5% WTE 31.52 -1.5% PJC/A 24.89 -0.4% BLX 13.25 -0.1% AP-U 34.56 0.4%

NVA 10.65 -0.1% RMX 1.38 -6.1% L 55.69 -0.7% AXY 0.31 -4.6% D-U 27.84 0.8%

BNK 4.64 -6.4% SSL 4.61 -3.5% Health Care WN 89.63 -0.4% INE 10.25 -0.7% BOX-U 26.95 0.2%BXE L 6.10 -1.1% OGC 2.50 -1.9% Symbol H/L Last %Chg MRU H 75.86 0.7% CSE 4.41 0.2% BEI-U H 69.86 0.2%CR 8.68 -4.2% GUY 2.74 1.1% NVDQ US 12.77 -3.6% ATD/B 35.75 -0.8% CUP/U 10.25 0.0% CAR-U 23.76 0.1%OXC L 9.75 -1.0% CGG 3.09 -6.0% DR 16.44 -0.8% EMP/A 75.78 -1.2% TA 12.93 0.3% NPR-U 27.64 -0.6%LEG L 5.14 -3.9% TNX 2.10 -7.4% ACC 6.90 -1.1% NWC 23.02 -0.9% REI-U 25.89 0.7%PPY 7.76 0.0% ASR 2.19 0.9% LW 13.61 -0.6% LIQ 12.80 -0.2% CWT-U 26.43 1.4%

TOG 10.85 -5.8% NSU 3.92 -0.7% RLC 8.23 -1.3% CSW/A 20.25 -1.0% Telecom Services MRT-U 18.00 -0.1%CJ 16.80 -3.8% SLW 21.84 -4.3% CCT 46.31 -2.0% BCB 7.41 -1.6% Symbol H/L Last %Chg AX-U 15.33 0.7%

AAV 5.08 -4.5% PAA 11.56 -3.4% PLI 1.50 -4.5% SAP 32.62 -0.9% BCE 49.45 0.1% CSH-U 10.98 0.2%

LTS L 4.25 -5.7% FR 8.22 -3.7% GUD 5.91 1.9% MFI 18.65 -2.4% T 41.38 0.8% INN-U 5.05 -1.5%SPE L 3.09 -0.9% SSO 6.27 -4.5% TKM 26.65 0.7% AGT 27.23 -0.4% BA 28.20 -0.1% NWH-U 9.84 0.8%LRE L 3.88 -3.0% SVM 1.74 -0.5% QLT 4.51 -0.4% RSI 4.46 0.5% MBT 31.41 -0.4% BAM/A 49.62 -0.5%RMP 6.05 -2.7% PHS/U 7.05 1.2% VRX 136.81 -2.2% PBH 23.70 -0.3% RCI/B 43.41 0.2% FCR 17.60 0.0%KEY 92.53 -1.0% DPM 4.31 -4.0% CXR 38.13 -1.9% CLR 10.50 0.1% DRM 13.09 -0.7%PKI 20.53 -2.0% DDC 15.79 -0.6% COM 8.89 -1.3% SOY 14.23 -2.9% MRC 141.50 1.0%ENB 50.97 -1.1% THO 23.15 -0.9% EXE 8.11 -2.8% HLF 20.22 2.2% BPY-U H 24.04 0.3%TRP 53.50 -4.1% III 8.20 0.9% GRT-U 37.85 -0.1%PPL 44.28 -1.9% LIF L 19.31 -4.9% KMP 10.46 1.0%IPL 34.51 -3.8% WFT 52.74 -3.9% MEQ 38.49 -3.0%ALA 44.73 -3.1% CFP 23.81 -4.3% MRD 23.29 -0.2%GEI 31.99 -4.5% SJ 30.42 0.0% FSV 60.46 1.2%VSN 17.08 -2.2% IFP 15.86 -3.2% AIF 19.30 -1.3%ENF 30.23 0.1% ANS L 2.45 -2.0% BRE 13.67 0.6%CCO 18.29 -2.6% NBD 21.86 -3.9%

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%

8

Trends & Inflection Points October 10, 2014Research Comment Quantitative/Technical Research Website

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

Don’t Fight Slow Global Growth, Partner With It

• With a full suite of broken equity indices, amarket tilted against resources and industrials(as it should be given the jubilant state of thebond market), and a dive in inflationexpectations (note the German 10 Breakevenjust broke to a new low this morning, Figure1), you would think that the best opportunitiesmight be on the short side. However, when weperuse the short filters in our Long/Shortscreen (available as a tool in the click herebutton), we see the short screens are just full ofalready oversold stocks. Punishing thepunished is not a strategy we recommend.

• Under our macro screens we note volatility has once again spiked to theupside, and when we look at the credit market, we continue to sleep well.So we are suffering with a growth concern, not a credit concern, andunder this scenario, panic is to be bought.

• We will not ignore the growth concerns, we will partner with them (giventhe limit of central bank ability), excluding unrewarded industries fromour buy list. Our relative strength breadth monitor, the Group SelectionReport does this for us. We will tune for global stocks in consistentlyoutperforming trends against the market and sector, in top 3 sub industrydeciles. Our global list is highlighted in Figure 3. Your list will bedifferent, but it will be available in our new TIPS Suite. This tutorial onfunctionality will help get you there; we can help with the rest.

Figure 1: German 10Y Breakeven Rate – New Low Today! Figure 2: Elevated VIX Once Again

Figure 3: Global Consistent Outperformers (vs ACWI) In Top 3 SubIndustries - see THIS LINK for Full List

9

Trends & Inflection Points October 9, 2014Research Comment Quantitative/Technical Research Website

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

Introducing TIPS

Today our Quantitative/Technical team begins a new chapter as we launch our new daily morning note BMO Trends &Inflection Points (TIPS). We enable TIPS with a full suite of tailored products designed to support both our generalist andspecialist clients. It has been almost a decade since we launched Relative Strength Filter, and TIPS is a substantial push forward.Our product offering has grown significantly over the years, and while relative strength remains a key focus, our analysis nowencompasses a much more holistic perspective to capital markets. To see our new suite of tailored products, clients can use the“click here” icon within our note and they may bookmark the suite from our updated website.

For those who are new to our system, the suite also contains short tutorials, the first of which is found here: Introduction.

Figure 1: Our New “Click Here”

Source: BMO Capital Markets, Bloomberg, Thomson, Markit

10

Relative Strength Filter October 8, 2014 Research Comment Quantitative/Technical Research Website

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

Benchmark Breakdowns & Relative Returns CLICK HERE for a printer friendly version of this report including research disclosures.

Are you checking to see if your benchmark has brokentrend? Don’t bother it has – Figure 1.

o The breakdowns that have been focused oneverything but U.S. large caps, struck U.S.large yesterday.

Global macro markers of the breakdown? – see page 2.

Figure 1: Price Trends on Benchmarks from our Index Constituents Link

Source: BMO Capital Markets, Bloomberg, Thomson, Markit

11

Relative Strength Filter

Page 2 October 8, 2014

First of all, the focus is not so much

on credit, albeit CDS indices are flattening out, and are trending higher for U.S. high risk – Figures 2, 3.

o Have high risk stocks in the portfolio, where equity is correlated to CDS? You should rethink those positions.

The combined view of the bond market, where all major 10-year yields are tending lower, and inflation expectations are either doing the same, or are breaking to the downside points to a bond market that isvery comfortable, saying low global growth is here to stay. Yesterday’s IMF reminder was not necessary – Figures 4, 5.

From a global sector perspective, we reiterate that it is technology and health care that are in outperforming trends; yet yesterday it was staples and utilities breaking above underperforming trends– Figure 6.

o It’s not that staples and utilities are doing well on an absolute basis; rather, they are declining less than the market – Figure 7.

Looking for absolute return? Downshift your expectations. Looking for relative? We have the tools.

Figure 2: CDX North American High Yield 5-Yr CDS Figure 3: CDX North American Investment Grade 5-Yr CDS

Figure 4: Trends on Major 10Year Bond Yields Figure 5: Trend on Inflation Expectations

Figure 6: Sector Relative Strength Trends vs MSCI World Figure 7: MSCI World & Sector Price Trends

Source: BMO Capital Markets, Bloomberg, Thomson, Markit

12

Relative Strength Filter October 7, 2014 Research Comment Quantitative/Technical Research Website

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

Universalities of SMID CLICK HERE for a printer friendly version of this report including research disclosures.

We will first focus on the Russell 2000 small cap index, yetthe trends we see on both price patterns and relative strengthpatterns on global, Canadian, and mid cap indices are similar.

o Prices are breaking down, and the shorter-termpatterns sport downtrends – Figure 1.

o Relative strength trends against large capbenchmarks are woeful. Small caps are not justspiking lower, they are trending lower. Trying tocatch a spike means fighting the trend – Figure 2.

In terms of sector performance, and note we arehighlighting relative performance against benchmarksthat are breaking down, the sectors outperforminguniversally are the ones that show up best in our groupselection report, health care and technology – Figure 3.

Similarly, the underperformance of resources andindustrials is universal – Figure 4.

See this link for our SMID monitor.

Figure 1: Russell 2000 TR Index – Short Term Trend Figure 2: Russell 2000 vs Russell 3000 Index

Figure 3: Health Care & Technology Outperformance Figure 4: Resource and Industrial Underperformance

Source: BMO Capital Markets, Bloomberg, Thomson, Markit

13

Source: BMO Capital Markets, Bloomberg, Thomson, Markit

Relative Strength Filter October 6, 2014 Research Comment Quantitative/Technical Research Website

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

All Cap Technology Buys CLICK HERE for a printer friendly version of this report including research disclosures.

Both large cap and small cap technology stocksare in consistently outperforming trends againsttheir respective benchmarks – Figures 1, 2.

From an equal-weighted breadth perspective,the sector continues to improve, and is justabout to break out of the neutral zone – see link.

For the third day, we will continue to focus on the leaders, as most sportbuyable RSIs and are priced around their 50d MAs.

o For the large cap manager, we used our TMT link and honedin on the largest most consistent outperformers – Figure 3.

o For the small cap manager, we tuned our Small Cap link toshow the equivalent list – Figure 4.

Figure 1: Technology vs MSCI World Figure 2: Small Cap Technology vs MSCI World Small Caps

Figure 3: Largest 10 Technology Stocks Consistently Outperforming ACWI Technology – See Link for Complete List

Fig 4: Largest 10 SmlCap (<$5b) Technology Stocks Consistently Outperforming ACWI SmlCap IT – See Link for Complete List

14

Source: BMO Capital Markets, Bloomberg, Thomson, Markit

Relative Strength Filter October 3, 2014 Research Comment Quantitative/Technical Research Website

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

U.S. Growth Stocks Still Standing

There are manybroken equitybenchmarks outthere. The Russell 3000 Growth index is not one of them – Figure 1.

Yes, we are right at the bottom of the channel, and the channel could break; however,

o the equity market (MSCI World) has corrected the same 5% as it did in August, and we seecredit risk abating again this morning;

o our capitulation filters are rather full; and

o growth continues to outperform value – Figure 2.

You can buy most Russell 3000 Growth outperformers with RSIs in the 40-50s range – Figure 3.

Figure 1: Russell 3000 Growth Index Figure 2: Russell 3000 Growth vs Value

Figure 3: Russell 3000 Growth Outperformers – Click Here for Full List

15

Source: BMO Capital Markets, Bloomberg, Thomson, Markit This report was prepared in part 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 2 to 3.

Relative Strength Filter October 2, 2014 Research Comment Quantitative/Technical Research Website

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

Haircuts for Outperformers

Yesterday, U.S. large capindices broke uptrends, puttingthem more at par with thebreakdowns we have seenelsewhere over the past severalweeks – Figure 1.

Our capitulation filters are fillingup, and the selling we are seeingis becoming less discriminate.

We will be quite discriminate in terms of what to buy on the selloff, and will use our vs.Peers link to hone in on stocks (see full list here):

o in consistently outperforming trends against the market and the Subindustry;

o where those subindustries are in favour (top 5 deciles from our groupselection report); and yet

o are off at least 5% in the past five days.

We also excluded companies with high CDS levels, not wanting tobe buying into credit stressed situations.

Figure 1: Equity Indices Breaking Price Uptrends Yesterday

Fig 2: Shares in (including Severed Trends) Outperforming Trends vs. 500 & +ve Subind off at least 5% - See Link for Full List

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Source: BMO Capital Markets, Bloomberg, Thomson, Markit *BMO Capital Markets is restricted on Whitecap Resources

Relative Strength Filter October 1, 2014 Research Comment Quantitative/Technical Research Website

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

Energy – Retain the Best, Lighten the Rest

From a top down perspective, our Group Selection Report (based on abottom up analysis of which groups are being rewarded) puts Energyalongside the other sectors like materials and industrials which are shunnedwhen there is not enough global growth to spurn outperformance – Fig 1.

From our Sector & Industry Report, detailing index relative strengthtrends, five of the 16 energy sectors broke below the bottom ends of theirchannels yesterday. S&P 500 energy just broke down to a 7yr RS low.

Most energy commodities are under assault (Fig 2), as is a broad basket ofcommodities, and as we highlighted yesterday with Gold @ $1,000, this isunder the cover of universal dollar strength, and diving inflationexpectations.

When you know the sector is a mess, how do you retain the best?

For the global manager, our BMO Energylink details the performance of over 500energy stocks vs ACWI Energy (for localmarkets, use our Index Constituents link andselect EN for Energy).

Over a quarter of the outperformers aretransports, 2/3 of which are MLPs.

Outside the transports, we highlight theenergy stocks outperforming ACWI below.Note that most the best outperformers arenow priced below falling 50d MAs on anabsolute basis – Fig 3.

Fig 1: Sector Breadth Heat Map From Group Selection Report Figure 2: Trends on Energy Commodities

Figure 3: Non Transport Energy Outperformers vs ACWI Energy

17

Source: BMO Capital Markets, Bloomberg, Thomson, Markit

Relative Strength Filter September 30, 2014 Research Comment Quantitative/Technical Research Website

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

Gold @ $1,000

Gold is about to break to the downside,under cover of a universal strength in theUSD (Figure 1, and note the EUR slidesbelow 1.26 this morning), and divinginflation expectations (15mo low for the US10y BE). Downside risk is to $1,000 – Fig 2.

o Our link to everything bullionrelated is found here.

Gold shares are breaking down against bullion, and are priced at a 4m low.If you want gold in the portfolio, we suggest you have gold in the portfolio,but not gold shares. We expect an exodus as gold breaks below $1,200.

o Our momentum sell list of gold shares against spot gold ishighlighted in Figure 3.

o The gold shares breaking outperforming trends against gold arehighlighted in Figure 4.

Figure 1: Universal Dollar Strength Figure 2: Spot Gold at 7am This Morning

Figure 3: Momentum Sells vs Bullion

Figure 4: Largest 10 Gold Shares Breaking Outperforming Trends vs Bullion – See Full List Here

18

Source: BMO Capital Markets, Bloomberg, Thomson, Markit

Relative Strength Filter September 29, 2014 Research Comment Quantitative/Technical Research Website

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

Credit Stress Exceeds Equity Pullbacks

Friday’s CDS report showed credit stress continuingto spread (see Friday’s RSF) with Investment Gradefollowing the move in high yield – Figure 1.

o CDS indices continue to widen thismorning.

When we look at equity/CDS divergences overvarious timeframes, we find credit wideningexceeding equity pullbacks. The largest 5-daydivergences (sum of 5-day equity and CDS rate ofchange) that are indications of equities most at riskare shown in Figure 2.

The largest “mind the gap” concern for equity holders is US Steelwhere credit has widened by 46% and equity has only pulled back8% over the past five days - Figure 3.

o Resources weigh heavily on the list, with Alcoa, Nabors,and AK Steel, all showing similar profiles to US Steel.Teck is high on the list, yet in this case, it is creditcapitulating, as equity never priced-in a positive outlook.

Some large cap financials like Bank of America and GoldmanSachs have actually seen equity rise while credit risk has increased.

Mind the recent negative turn in credit, and mind the gaps.

Figure 1: 5-Year CDS Indices

Figure 2: Largest Equity/CDS Divergences over Past 5 Days Figure 3: US Steel Equity/CDS Overlay

19

Source: BMO Capital Markets, Bloomberg, Thomson, Markit

Relative Strength Filter September 26, 2014 Research Comment Quantitative/Technical Research Website

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

Junk Junked

Most credit risk indices continue to trendlower, as does the basket of toointerconnected to fail banks, which iswhy we refer to the credit market asbenign in terms of its ability to spreadrisk indiscriminately. With yesterday’sselloff, our capitulation filters continuedto fill up, yet we note that the twoCanadian banks in our oversold RSI(below 30) filter are the two banks (BNS,TD) we believe should be for sale.

One credit risk index is not trending lower, and that has been the case sinceJuly, the three-year bull market for North American High Yield is over.

o The trend is not yet higher, but the momentum is negative – Figure 1.

Junk bond ETFs are breaking uptrends, as well as 50d and 200d MAs. They arealso currently oversold – Figure 2.

Within our CDS monitor, we narrow in on the companies for which equitymoves are most highly correlated to their credit default swaps. Two-thirds ofthe CDS over 100 bps are over-widened. Junk has been junked and is likely torebound over the short term. If you own junk, we would advise selling into therebound. We highlight the companies with rising CDS trends, priced over 100bps in Figure 3. Don’t fight these trends.

Figure 1: Markit CDX North American High Yield 5Yr CDS Figure 2: High Yield Corporate Bond Fund (HYG US)

Figure 3: CDS Uptrends Priced Over 100 bps, and Where Equity Moves Are Correlated to CDS Moves

20

Source: BMO Capital Markets, Bloomberg, Thomson, Markit

Relative Strength Filter September 25, 2014 Research Comment Quantitative/Technical Research Website

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

When Canadian Banks Break

Canadian banks have broken their steep uptrend, andconsolidation is due once again – Figure 1.

The repercussions (noting that banks represent a hefty 20%of the Canadian equity market), in an environment that remains unfriendly to commodities, are well spelled out.

o The S&P/TSX Composite breaks down, joiningthe Small and MidCap indices.

o The Canadian equity market loses luster relativeto global markets, Canada should be underweighted – Figure 2.

If it is within your mandate, you can shift to U.S. banks,where four of the six U.S. majors are breaking aboveunderperforming trends against the Canadian bank index –Figure 3.

Where can you shift, within Canada?

o You really can’t. So trim the weakest banks; Bankof Nova Scotia is the weakest link, and TD wouldbe the next to trim – Figure 4.

o Take those trimmings and shift to LifeCos, whereSunLife is the best outperformer, and both GreatWest LifeCo and Power Corp are breaking aboveunderperforming trends vs CDN Financials.

Figure 1: S&P/TSX Diversified Banks Index Figure 2: MSCI Canada vs MSCI World

Figure 2: US Banks vs the S&P/TSX Banks Index Figure 3: Bank of Nova Scotia vs CDN Banks

21

Source: BMO Capital Markets, Bloomberg, Thomson, Markit BMO Capital Markets is Restricted on Whitecap Resources Inc (WCP)

Relative Strength Filter September 24, 2014 Research Comment Quantitative/Technical Research Website

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

Capitulation Filters

This link brings up a series of capitulation filters weuse when the market decides to shake things up, likethe present. What is obvious when going through thelist is how discriminate the market has been in pushingstocks into oversold territory. Most oversold stocks arethe ones you don’t want to own, seeing as they are inweak groups, or are underperforming the market andsector. The market is turning that weak relativeperformance into weak absolute performance.

After two or three relatively sharp down days in the market,Bollinger bands will have widened. Our oversold filter thatcaptures stocks with wide bands, relative to their history, is agood starting point. We further tuned the list to narrow in onstocks still in price uptrends, which are also in outperformingtrends against the market – Figure 1.

o JetBlue Airlines (JBLU US) is at trade support, andmajor support is just $1 away – Figure 2.

o Interpublic Group (IPG US) is nearing major support –Figure 3.

Figure 1: Oversold Stocks With Wide Bollinger Bands in Consistent Price Uptrends, and in Outperforming Trends vs. Market

Figure 2: JetBlue Airlines (JBLU US) Figure 3: Interpublic Group of Cos (IPG US)

22

Source: BMO Capital Markets, Bloomberg, Thomson, Markit

Relative Strength Filter September 23, 2014 Research Comment Quantitative/Technical Research Website

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

Downshifting Expectations & the Upshifting Sector

Resource-levered Aussieand CDN equity marketsbroke first, but yesterdaythere was a torrent ofequity indices breakinguptrends with slopesranging from as skinny as3% for MSCI Small Capex US, to the steep slopeof 43% for the Bovespa –Figure 1.

What are the pressure points for equity markets, and do they indicate a sharp correction or adownshifting of expectations, where index breakdowns meander into consolidation patterns?For the most part, we believe consolidation patterns are developing.

o The credit front is currently stress free, which means a low risk of contagion.

o The stress on the bond yield front is fading, with yields retreating back toward 50dMAs

o Yet there is no question that the commodity front is suffering and US inflationexpectations are spiking lower. Commodity equity markets are at risk of corrections,which is what the currency market is already telling you.

The sector benefiting from downshifting expectations is Health Care (see Universal HealthCare Outperformance), which offers the best relative strength and momentum – Figures 2, 3.

Figure 1: Global Equity Indices Breaking Price Uptrends

Figure 2: Global Relative Strength Breadth Heat Map Figure 3: Health Care Relative Strength Z-Score

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Relative Strength Filter September 22, 2014 Research Comment Quantitative/Technical Research Website

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

Canadian Breakdowns & Shifts

On Friday, the S&P/TSXComposite broke below avery steep and consistentuptrend. This follows thebreaks a month ago forCanadian small caps andmid-caps. The CanadianVenture Composite fell to a7.5m low - Figures 1, 2.

In total, over 10% of Canadian stocks that were in rising price uptrends on Thursday,broke below these trends on Friday – Figure 3.

The key to the steep uptrend for the CDN equity market has been banks and two of thebig five (TD, BNS) broke price uptrends on Friday. This follows breaks of their relativestrength trends, which we highlighted one week prior (see RSF Shift to UnderweightCanada). The shift we see for CDN Financials is toward LifeCos – Figure 4.

On a micro level, the largest Canadian stocks breaking above underperforming trends areshown in Figure 4 and the full list is found here.

Figure 1: Canadian Index Trends

Figure 2: S&P/TSX Composite Figure 3: Largest Stocks Breaking Down Friday (full list here)

Figure 4: CDN LifeCos vs S&P/TSX Financials Fig 5: Breaking Above Underperforming Trends (see full list)

Source: BMO Capital Markets, Bloomberg, Thomson, Markit *BMO Capital Markets is restricted on BCE Inc.

24

Source: BMO Capital Markets, Bloomberg, Thomson, Markit

Relative Strength Filter September 19, 2014 Research Comment Quantitative/Technical Research Website

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

U.S. Small Cap Growth – Before the Breakout

U.S. Small Cap Growth is not dead, it’s sleeping.The benchmark has been consolidating gains sinceApril. The wedge is narrowing. The apex nears.We expect a break to the upside soon – Figure 1.

o Why specify growth over value?

Note the revival – Figure 2.

There are 85 Russell 2000 Growth momentum buys, outperformingthe market and sector, above rising moving averages, and notoverbought. The top of the list is shown in Figure 3.

The benchmark may be asleep, but there are 28 stocks breaking outof their dormancy – stocks with good long-term relative strengthtrends, breaking above flat to negative trends – Figure 4.

Figure 1: Russell 2000 Growth Index Figure 2: Russell 2000 Growth vs Value – Short-Term Trend

Figure 3: R2k Growth Mo Buy List – See Full List Here Figure 4: R2k Growth Long Term +ve, Breaking to the Upside

25

Source: BMO Capital Markets, Bloomberg, Thomson, Markit

Relative Strength Filter September 18, 2014 Research Comment Quantitative/Technical Research Website

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

Constructiveness of U.S. Home Construction

In our ETF monitor; the U.S.Home Construction ETF (ITB)gapped higher on the best volumein six months yesterday. This ETFis breaking above an underperforming trend – Figure 1.

o We dig in.

One quarter of the HomeConstruction ETF holdingsgapped higher yesterday, including seven home builders and a building products company – Figure 2.

Home Construction ETF holdingsare heavily slanted towardunderperforming trends, but theseare reversing to the upside –Figure 3.

The leader in the group is Eagle Materials (EXP), which is the sole momentum buy.

The major improvement retail stocks, Home Depot (HD) and Lowes (LOW) continueto push higher, after turning positive last month.

o The small cap, Lumber Liquidators (LL), which was liquidated on hugecapitulation volume in July, is now starting to fill in the gap.

Amongst homebuilders, and comparing homebuilders to homebuilders,

o NVR, DR Horton (DHI) and to a lesser extent PulteGroup (PHM) are thehomebuilders outperforming the homebuilding index.

o Lennar (LEN) shows the largest positive reversal.

o Ryland Group (RYL) is the best laggard just reversing an underperformingtrend with yesterday’s gap higher.

Louisiana-Pacific (LPX) is reversing an underperforming trend and breaking above aprice downtrend on good volume.

o Norbord (NBD CN), Ainsworth Lumber (ANS CN) and Interfor (IFP CN)sport similar patterns amongst Forest Products stocks.

Self-editor note…we need more space for charts…time to consider expanding to amultiple page format.

Figure 1: US Home Construction ETF (ITB) vs S&P 500 Figure 2: ITB Members That Gapped Higher Yesterday

Figure 3: US Home Construction ETF Holdings vs S&P 500 Index

26

Source: BMO Capital Markets, Bloomberg, Thomson, Markit

This report was prepared in part 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 2 to 3.

Relative Strength Filter September 17, 2014 Research Comment Quantitative/Technical Research Website

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

Universal Health Care Outperformance CLICK HERE for a printer friendly version of this report including research disclosures.

It is not the slope of outperformance, nor theconsistency; it is the universality of health careoutperforming, or in the case of Canada andAustralia, breaking above underperforming trends,which is the positive – Figure 1.

Health Care is just starting to break out of theneutral zone from a global relative strength breadthstandpoint. Yesterday marked the best reading sinceApril – Figure 2.

From our Index Constituents link, we pulled out the Health Caremomentum buy list of MSCI World Index Members– Figure 3.

o Of this list, BMO ranks Celgene, Allergan, Aetna, andGilead Sciences Outperform.

From our Long/Short filters link, we highlight the list of Health Carestocks with good long-term relative strength histories, breakingabove flat to negative trends – Figure 4.

o Of the list, BMO ranks Valeant and AMN HealthcareOutperform.

Figure 1: Health Care vs Local Markets – Universal Strength Figure 2: Health Care Relative Strength Z-Score

Figure 3: Momentum Buy List of MSCI World HC Stocks Figure 4: Good LT RS Reading Breaking Flat/Negative Trends

27

This report was prepared in part 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 2 to 3.

Relative Strength Filter September 16, 2014 Research Comment Quantitative/Technical Research Website

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

Auto Components Down Shifting

In the discretionarysector, we advisetaking funds out ofAuto Components.

The market cap weighted global auto components index just broke down to form a lower relativestrength low, as the price trend broke to the downside yesterday – Figures 1, 2.

Our Relative Strength decile reading on Auto Components shifted from neutral to negativeyesterday with a 9th decile reading. This reading is derived from the facts that – Figure 3;

o more auto components stocks are underperforming than are outperforming; and

o more auto components are breaking to the downside, rather than the upside.

Of the largest 5 global auto component stocks, four are already in underperforming relativestrength trends, and flat-to-negative price trends. The fifth, Magna, just broke below a steepoutperforming trend and price trend yesterday. It’s time to trim.

Figure 1: Auto Components vs MSCI World Figure 2: MSCI World Auto Components Price Trend

Figure 3: Auto Components Stocks vs MSCI World

Source: BMO Capital Markets, Bloomberg, Thomson, Markit

28

This report was prepared in part 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 2 to 3.

Relative Strength Filter September 15, 2014 Research Comment Quantitative/Technical Research Website

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Dealer Wins CLICK HERE for a printer friendly version of this report including research disclosures.

There are many shifts going on in markets, with rates breaking abovedowntrends, commodities being pushed below the bottom ends oftheir channels, and volatility gauges in most cases above risingmoving averages. See link to BMO Macro to see these and more.

Our ETF screens do a good job of ferreting out the shifts in equitiesthat we have been highlighting recently, including the breakdowns inNatural Resources and Real Estate, and the positive reversals in U.S.Financials and U.S. Retail. Of the “severed trend” subset, we note thatthe only ETF with a positive weekly return last week was the USBroker Dealer ETF, which broke out to a six-year high on Friday –Figures 1, 2.

Breaking down the U.S. Broker Dealers, note thatNasdaq and Schwab are in outperforming trends,and the balance are breaking aboveunderperforming trends, including CME and ICE,which did so on Friday – Figure 3.

o All stocks in this group were priced at 1-9mo relative strength highs on Friday.

o When looking at price trends, four of thefive hit four-year highs.

Markets may be turbulent, but said market istelling you that the dealer wins.

Figure 1: Industry ETFs vs ACWI – Severed Trends Figure 2: U.S. Broker Dealer ETF (IAI US) Dvd Adj Price Trend

Figure 3: U.S. Brokers & Exchanges vs S&P 500

Source: BMO Capital Markets, Bloomberg, Thomson, Markit

29

Source: BMO Capital Markets, Bloomberg, Thomson, Markit

This report was prepared in part 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 2 to 3.

Relative Strength Filter September 12, 2014 Research Comment Quantitative/Technical Research Website

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

Shift to Underweight Canada/Overweight U.S.

The Canadian equity market has outperformed the S&P 500, but that outperformance is giving way. This is the inflection point atwhich one sells Canada – Figure 1.

o The resource-levered TSX SmallCap index shows a similar pattern, yet the breakdown is more advanced – Figure 2.

o Looking under the hood, the key to Canadian outperformance has not been resources, rather, it has been driven by banksand rails – Figure 3.

CDN rails continue to outperform, as do U.S. rails.

Two Canadian banks (TD, BNS), however, broke below outperforming trends yesterday – Figure 3.

Sticking with banks, the two key North American banks seeing rotation in are Citi and BofA.

Figure 1: S&P/TSX 60 vs S&P 500 Figure 2: S&P/TSX Small Cap ETF vs S&P 500

Figure 3: S&P/TSX 60 Members vs S&P 500

30

Relative Strength Filter September 11, 2014 Research Comment Quantitative/Technical Research Website Mark Steele (416) 359-4641 mark.steele@bmo.com Assoc: Tiberiu Stoichita/Jin Li

Real Estate Retrenchment

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

One-quarter of U.S. Real Estate stocks in outperforming trends against the S&P 500 broke below those uptrends yesterday – Figure 1.

In Canada, where resource retrenchment is a bigger issue, Real Estate did not break relative strength trends; rather, the TSX REIT index broke below its price uptrend as did the XRE. It did so without minting a new high, forcing the question, “Is a double top upon us?” – Figure 2.

There is no mystery here, rather a simple cause and effect. North American 10-year yields are breaking above downtrends; we highlight this in the context of major global 10y yields in Figure 3.

o The real drive for lower North American long rates has been an import from Europe, where yields are trending lower at a much steeper clip. The first sign that that influence may be waning emanates from the Swiss 10-year bond yield, trending lower at over 100%/year, posting rates as low as 40 bps, but seeing rates reverse to the upside.

Extrapolation has its limits.

Is the retrenchment global? Yes – Figure 4.

o See BMO Real Estate for stocks against a global real estate bench.

o See these links for CDN and U.S. Real Estate stocks vs. TSX and SPX.

o See this link for European Real Estate stocks vs. STOXX 50.

Fig 1: One-Quarter of U.S. REITS Broke RS Trends Wednesday Figure 2:S&P/TSX REIT Index

Figure 3: Trends on Major 10Year Bond Yields Figure 4: FTSE EPRA/NAREIT Global Index

Source: BMO Capital Markets, Bloomberg, Thomson, Markit

31

Source: BMO Capital Markets, Bloomberg, Thomson, Markit

This report was prepared in part 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 2 to 3.

Relative Strength Filter September 10, 2014 Research Comment Quantitative/Technical Research Website

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

Macro Shifts for Canadians CLICK HERE for a printer friendly version of this report including research disclosures.

This morning, the yield on the U.S. 2ybond is priced at a 40m high.

The trend on U.S. short rates, whichbecame unglued last May (starting with theMay 3, 2013, payroll data point), hasshifted over the past five months to rise atalmost double the pace (90%), which hadbeen the trend since the start of the year –Figure 1.

That acceleration has broadened thestrength of the USD against major crosses,all of which have broken below 50d MAs.

o The loonie, has taken out itsshort-term uptrend. We expect aretest of the low – Figure 2.

Yesterday, the weakest base metal, copper, broke below its short-termuptrend. This was also followed by breakdowns in nickel and zinc, all ofwhich are being pulled in the direction of the bear trends on Chinese steeland iron ore – Figure 3. If trends on base metals and bulks look weak, trendson energy commodities look worse - Figure 4. Lastly, the head and shouldersbottom on gold should have played itself out by now. We expect a retest ofthe $1,200 low.

Canadian portfolios should be,

o overweight the positive trends in banks, auto parts, pipes and rails;

o overweight the positive reversal s seen in food retail and LifeCos;

o looking at positive reversals in technology shares; and

o underweight utilities, materials, telecom, E&P, energy equipment

For more, see BMO Canada, and our presentation on Global Macro & NorthAmerican Equity Trends.

Figure 1: Short-Term Trend on US 2Year Bond Yield Figure 2: Canadian Dollar

Fig 3: Trends on Base Metals & Bulks Includes Cu Breakdown Figure 4: Trends on Energy Commodities

32

Source: BMO Capital Markets, Bloomberg, Thomson, Markit *BMO Capital Markets is restricted on Manulife Financial This report was prepared in part 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 2 to 3.

Relative Strength Filter September 9, 2014 Research Comment Quantitative/Technical Research Website

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

CDN LifeCos for E&P CLICK HERE for a printer friendly version of this report including research disclosures.

This is really the market call, asviewed through the Canadasection of our sector report.Yesterday, the relative strengthof CDN E&P broke below theAugust low, almost wiping outgains for the year, and the onlylarge enough underperforminggroup to act as a rotation-intocandidate, the LifeCos, brokeback above what is becoming aless consistent underperformingtrend – Figure 1.

In wider context,

o most energy sectors are priced at 4-6 month relative strength lows against localbenchmarks, so the weakness is global and it also encompasses materials; and

o the recent weakness of North American bonds, which is beneficial for LifeCos,has not yet been enough to break yield downtrends, but as a precursor, yieldsare breaking above 50d MAs.

The LifeCo, rotation-into candidates, are in underperforming trends, which are becomingless severe. Three of the six are reversing underperforming trends. If you look at pricetrends (relative strength trends have to beat the composite, which is trending higher at asteep clip of 24%/year), GWO, SLF, and POW rank as momentum buys, and all havetilted toward a flat or positive trend. If we had to pick one, SLF is the key outperformeragainst its peers.

For more on Canadian stocks, visit BMO Canada.

Figure 1: Largest Dozen CDN Subindustries (Almost Three Quarters of the Composite) vs S&P/TSX Composite

Figure 3: CDN LifeCos vs S&P/TSX Composite

33

This report was prepared in part 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 7 to 8.

Focal Points Investment & Trading Ideas

June 24, 2013 Research Comment Quantitative/Technical Research Website Mark Steele (416) 359-4641 mark.steele@bmo.com Assoc: Tiberiu Stoichita/Jin Li

Tighten Up

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

In May and June, markets star ted a new dance called the Tighten Up.

o 1st tighten up on the long end of the U.S. treasury curve – Figure 1.

o 2nd tighten up the Chinese in terbank lending curve – Figure 2.

o 3rd tighten up on the short end of the U.S. treasury curve – Figure 3.

Sock it to me now

Tighten it up

Archie Bell & The Drells

A tipping point has been reached. The central bankers’ bank (BIS) now deems that (1) there has been enough stimulus provided to the global economy, (2) more cannot be done without compounding risks that central banks have already created, and (3) easing has led to the delay of structural reforms (BIS Annual Report June 23, 2013).

After a period of unprecedented central bank easing, and ultra low interest rate volatility, markets are adjusting to now rather rapid tightening and escalating volatility.

o The known unk nown is that when intere st rates move from lo w and highly certain, to high and highly uncertain, that carry trades blow up. This was Long-Term Capital Management, th is was Carlyle Capital Corporation, and this i s the known unknown that markets are routing out now.

Our goal over the next few pages is to detail these stresses, which we believ e are still at very early stages. We expect global equity weakness to persist over the near term.

Figure 1: U.S., German, and Japanese 10-Year Bond Yields (Top) and Implied Volatility (Bottom)

Figure 2: Chinese Interbank Lending Rates Figure 3: Odds of a ‘14 Fed Rate Hike From Fed Funds Futures

Source: BMO Capital Markets, Bloomberg, Thomson, Markit

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Focal Points

Page 2 June 24, 2013

FOMC: Early Withdrawal? Really?

President Bullard also felt that the

Committee’s decision to

authorize the Chairman to

lay out a more elaborate plan for reducing the pace of

asset purchases was

inappropriately timed

FRB of St. Louis June 21

There has been a change in the calculus of the FED this year . In BIS term s, “Delivering further extraordinary monetary stimulus is becoming increasingly perilous”.

o U.S. inflation expectations just started to ease leading into the FOMC minutes release in February. o On February 20 we learned that the FED was concerned about its open ended QE policy.

This was also the start of the market's fascination with the term “tapering” wh ich has been written about 150 times per day, on average, in the month of June (“NT Tapering” on Bloomberg).

o Inflation expectations really started falling after Cypriot debt resolution uncertainty came to bear on March 18. One month later, inflation expectations were breaking down globally.

o While inflation expectations were falling, asset price inflation was picking up. This is obviously not the inflation that the fed targets, but it was the destination that the market was targeting for QE related flows.

o Would outgoing Bernanke go down as the FED who stoked asset price inflation? – Figure 4.

On May 22 Bernanke and the FOMC told the market that QE could be stepped down as early as June. On June 19 Bernanke delivered the withdrawal schedule verbally. Asset price inflation is no longer a problem.

Asset price deflation in our clients’ portfolios is our key interest now.

Figure 4: US Inflation Expectations (10-Year Breakeven Rate) Top; FTSE Global REIT Index (TENHGU) Bottom

35

Focal Points

Page 3 June 24, 2013

PBOC: Money Not in the Right Places

It's not that there's no

money, it's that the money is

not in the right places

PBOC June 23, 2013

While it may seem to be a stretch to jump from looking at infla tion expectations at the long end of the U.S. curve, to the stresses at the ultra short end of the Chinese credit curve, it is not.

o The combination of low U.S. interest rates, and interest rate volatility encouraged flows into emerging markets with higher-yielding assets.

o The FOMC, whose policy underpins the world’s largest and most liquid bond market becomes the central banker to the world via the carry trade.

$3.9 trillion had flowed into emerging markets over the past four years. It is a mistake to apply market western policy thinking to policy action of the n ew People's Republic of China g overnment,

and the PBOC. o Rather than releasing stim ulus in response to weak economic figures, which was the point where the Chin ese

sovereign CDS broke to the upside (Figure 5), China has done the opposite, has withheld stimulus, and has allowed banking stress to build – Figure 2.

o China is g etting it’s plumbing in order b y reigning in th e shadow banking s ystem, which it needs to g et under control such that it can have a handle on its financial system. During this plumbing exercise,

Chinese bank CDS levels are soaring – Figure 6. Chinese Real Estate CDS levels are soaring – Figure 7.

We are sure that the Minsky Moment for many shadowy players in the Chinese financial system is upon them now, but to call this the Lehman moment for China as a whole is premature. Possible, but premature – Figure 8.

o China has breathing room to tighten up, and so it is. o Global growth oriented resource countries such as Canada should continue to be underweighted.

Figure 5: Chinese Sovereign CDS Figure 6: Chinese Bank 5Yr CDS

Figure 7: Chinese Real Estate CDS Figure 8: Chinese Sovereign CDS Levels and Curve

36

Focal Points

Page 4 June 24, 2013

BIS: Borrowed Time

Central banks cannot do more

without compounding the risks they have already

created

BIS June 23, 2013

The tone of the BIS annual report released Sunday shows central banking thinking turning from carrot to stick:

What central bank accommodation has done during the recovery is to borrow time...But the time has not been well used

The short end of the U.S. curve is tightening up.

o The FED's assessment, disclosed last Wednesday, was to bring the time of a rate hike forward by two months. o Fed funds futures on Friday signaled a greater than 50% probability of a FED rate hike next year – Figure 3.

Nowhere does time seem to be more borrowed than in the European periphery where bonds received a massive ECB (Draghi) induced grace period. It seems that European policy makers could use the stick to un-jam the process that calm has created.

o The stick is coming: The Spanish sovereign CDS, like many others, has broken to the upside – Figure 9. A peripheral European banks CDS basket is basing and should soon mint a higher high– Figure 10. Italian-German and Spanish-German stress and spreads are just now starting to turn up again – Figure 11. The Italian bank UniCredit remains the SIFI with the most inverted curve – Figures 12, 13.

Figure 9: Spanish Sovereign CDS Figure 10: Average Peripheral Bank CDS

Figure 11: Italian and Spanish Spreads off of German Bunds Figure 12: UniCredit SpA 5Yr CDS

37

Focal Points

Page 5 June 24, 2013

SIFI: Stresses Rising

The cost to protect systemically important financial institutions (SIFI) is rising – Figure 13. o Where the trends were showing improvement in creditworthiness (green wedges), the trends have broken (red arrows). o Our systems’ best fit for most European SIFI CDS trends is towards widening (red wedges).

Debt protection costs at the short end of the curve (1yr) debt is rising faster than the long end of the curve (5yr). o Our SIFI CDS trend list below is sorted by this ratio (CDS Curve 1/5Yr). o No curve is even close to b eing over 100% (LEH-like), but it is interesting (and unflattering) to see Asia-centric HSBC line up

close to UniCredit (top two lines in Figure 13).

Figure 13: CDS Trends on Too-Interconnected to Fail Banks

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Focal Points

Page 6 June 24, 2013

US Equities: Last Dot Finally Connected, Picture Now Emerging

The stress in the banking system is just starting to be felt in the U.S. equity market – Figure 14. o The breakout in the cost to protect the US Banks against default last Thursday coincided with the breakdown in the S&P 500.

The U.S. 2-year swap spread, a gauge of counterparty risk, has just started to get in the game – Figure 15. o It is still incredibly low – Figure 16, but will move higher with continued stress in the banking system. o When stresses are high enough, one can watch this counterparty risk move with S&P futures tick for tick. o We have not seen this yet, but are expecting it. When we see it, we will be closer to an equity bottom.

The known unknown is that when interest rates move from low and highly certain to high and highly uncertain that carry trades blow up. o This is the precursor to LTCM, to CCC, and to the known unknown of 2013.

When this unknown is known, we believe equities will be lining up for a bottom.

Figure 14: US Bank CDS and the S&P 500 Figure 15: U.S. 2-year Swap Spread

Figure 16: U.S. 2-year Swap Spread – Long Term Perspective

F

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BMO Capital Markets Disclosure Statements

Page 1 October 10, 2014

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.

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Category

BMO Rating BMOCM US

Universe* BMOCM USIB Clients**

BMOCM USIB Clients***

BMOCM Universe****

BMOCM IB Clients*****

Starmine Universe

Buy Outperform 44.1% 21.1% 67.5% 43.3% 58.6% 55.4% Hold Market Perform 50.9% 8.4% 31.3% 51.2% 39.9% 39.5% Sell Underperform 5.0% 3.4% 1.3% 5.5% 1.5% 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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BMO Nesbitt Burns Disclosure Statements

Page 2 October 10, 2014

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