BMO ETF Portfolio Strategy Report

Fourth Quarter 2017 B M O E XC H A N G E T R A D E D F U N D S

In Search of Value
Alfred Lee, CFA, CMT, DMS
Vice President, BMO ETFs
Portfolio Manager & Investment Strategist
BMO Asset Management Inc.
alfred.lee@bmo.com
In this report:
Recent Developments................ 1
Things to Keep an Eye on...........2
Changes to the
Portfolio Strategy.....................3
Stats and Portfolio
Holdings....................................4
Portfolio Characteristics...........5
The Good, the Bad,
and the Ugly..............................6
All prices, returns and portfolio
weights are as of market close on
October 11, 2017, unless otherwise
indicated.
In this report, we highlight our strategic and tactical portfolio positioning strategies for the fourth
quarter using various BMO Exchange Traded Funds (BMO ETFs). Our key strategy changes are outlined
throughout the report and in our quarterly outlook on page six.
In recent months, rising interest rates have been a main focal point for investors as central banks
around the globe look to tighten monetary policy. In an interesting turn of events, the Bank of Canada
(BoC), having made two emergency cuts to its overnight rate in 2015, has become the most hawkish
amongst its peers. Between the beginning of May and the end of September this year, the five-year
government of Canada yield gained 73 basis points (bps) to 1.75%.
In addition to the gain in Canadian interest rates, the gap between U.S. and Canadian bond yields
have converged (Chart A). Economic data out of Canada, such as stronger than expected gross
domestic product (GDP), has also been supportive of higher interest rates. A number of economists
have since revised their interest rate expectations for 2018 to the upside. As a result, much of the
bullishness has likely already been priced into assets.
The Canadian dollar, which has gained 8.3% relative to the U.S dollar in the five months since May,
has been one of the top performing currencies over that period. In recent quarters, we had correctly
recommended hedging U.S. dollar exposure; however, recent developments may suggest the greenback
is now looking more attractive. The CFTC (Commodities Futures Trading Commission) Commitment of
Traders report shows speculative positions are now net long the loonie, which tends to be a contrarian
indicator. Investors will likely refocus on the actions of the U.S. Federal Reserve (Fed) in coming
months as it looks to shrink its balance sheet and is anticipated to raise rates again before the end of the
year. The U.S. dollar looks fundamentally set up for a rally, but the technicals have to show it is more
than a countertrend rally (Chart B).
Equity markets have rallied in recent months as a result of a more robust economy. The rally has
been further sustained with additional investors forced to participate due to a fear of missing out. The
valuation of most equity markets is now becoming stretched, particularly in the U.S. Consequently,
investors may want to look to diversify their factor exposures in certain regions.
Gold prices have experienced a 13.2% gain year to date due to geopolitical unrest. As tensions have
risen between the U.S. and North Korea, bullion has gained as it is seen as a safe haven trade. Should
headline risk of nuclear threats continue in the face of the Fed tightening monetary policy, gold prices
may experience some headwinds. Should the Fed look to raise rates, the U.S. dollar would likely be a
better safe haven than precious metals.

Chart A: U.S. and Canada 10-Year Spread Has Tightened Chart B: U.S. Dollar has Broken Above Resistance

1.5 1.50
US - Canada 10-Year Yield Spread
USD/CAD Exchange Rate

1.0 1.45

0.5 1.40
Spread (%)

0.0 1.35

-0.5 1.30

-1.0 1.25

-1.5 1.20
Oct-2015
Nov-2015
Dec-2015
Jan-2016
Feb-2016
Mar-2016
Apr-2016
May-2016
Jun-2016
Jul-2016
Aug-2016
Sep-2016
Oct-2016
Nov-2016
Dec-2016
Jan-2017
Feb-2017
Mar-2017
Apr-2017
May-2017
Jun-2017
Jul-2017
Aug-2017
Sep-2017
Jul-2000
Jan-2001
Jul-2001
Jan-2002
Jul-2002
Jan-2003
Jul-2003
Jan-2004
Jul-2004
Jan-2005
Jul-2005
Jan-2006
Jul-2006
Jan-2007
Jul-2007
Jan-2008
Jul-2008
Jan-2009
Jul-2009
Jan-2010
Jul-2010
Jan-2011
Jul-2011
Jan-2012
Jul-2012
Jan-2013
Jul-2013
Jan-2014
Jul-2014
Jan-2015
Jul-2015
Jan-2016
Jul-2016
Jan-2017
Jul-2017

Source: Bloomberg Source: Bloomberg

 Portfolio Strategy Report Fourth Quarter 2017 2

Things to Keep an Eye on...

24 Since the financial crisis, stocks have experienced a sizable rally with
the MSCI World Index gaining 265% on a total return basis (in US
dollar terms), between March 9, 2009 and September 30, 2017. While
22 asset price growth has been justified given the improvement in credit
conditions, liquidity and certainly in the economic environment, the
20 room for further earnings multiple expansion has become more limited.
P/E Ratio (Current)

Equities have moved toward full valuation as price-to-earnings (P/E)

in most areas are in-line with long-term averages. In the U.S., however,
18 traditional valuation metrics indicate stocks have become overvalued
as the 21.8x current P/E ratio of the S&P 500 Composite Index is above its
16 historical average P/E of 16.5x.
Recommendation: While it is both possible and probable that stocks
in the U.S. continue to gain, investors may want to place more focus on
14
stocks trading at a lower valuation than the broader market. Equities
trading at lower multiples provide more expansion opportunities
12 and could potentially outperform should the market be less willing
S&P/TSX BMO MSCI Canada S&P 500 BMO MSCI USA MSCI EAFE BMO MSCI
Composite Value Index ETF Composite Value Index ETF International
to overpay for stocks trading at a premium. Investors looking to gain
Value Index ETF exposure to U.S. equities with a value tilt may want to consider the
Source: Bloomberg BMO MSCI USA Value Index ETF (ZVU) or the BMO Shiller Select US
Index ETF (ZEUS).

35% Political uncertainty remains a legitimate risk to global investors

as threats from North Korea continue to escalate. Furthermore,
30% referendums in Europe continue to be a hot topic as Catalan has voted
overwhelmingly that it desires to be an independent state in the form
25% of a republic. This could potentially lead to contagion effects across the
Implied Probability

continent. Equity markets, however, have seemingly not priced in any

20% political risk as the CBOE VIX Index(VIX) remains at 9.65, showing
option premiums remain low. Furthermore, treasury yields continue
15% to move higher with credit spreads remaining tight, further indicating
assets are implying a low risk environment. Hence, a headline risk
resulting from any form of negative political event may result in a rapid
10%
repricing of assets.
5% Recommendation: U.S. treasuries can provide a hedge to potential
tail-risk in an equity portfolio. Given the safe-haven characteristics,
0% investors tend to flock towards U.S. treasury bonds in times of
0.25 Lower No Change 0.25 Higher 0.50 Higher 0.75 Higher 1.00 Higher 1.25 Higher uncertainty. Additionally, as bond yields tend to decline when risk
arises, duration exposure then becomes beneficial. U.S. currency
BoC Overnight Rate by the December 2018 Meeting
exposure adds another layer of risk mitigation as it tends to outperform
Source: Bloomberg riskier currencies such as the Canadian dollar when investors seek
safety. Investors looking for equity market hedges through U.S.
Treasuries can get exposure through our various U.S. Treasury ETFs
listed in both Canadian or U.S. dollars with a variety of term to maturity
formats including short-, mid- and long-term. Investors may want to
consider the BMO Short-Term US Treasury Bond Index ETF (ZTS/
ZTS.U), BMO Mid-Term US Treasury Bond Index ETF (ZTM/ZTM.U)
or BMO Long US Treasury Bond Index ETF (ZTL/ZTL.U).

60%
So far, the BoC has raised its overnight rate twice in 2017, removing
S&P 500 Composite the two emergency cuts it made two years ago to help stimulate the
U.S. Treasuries economy due to falling crude prices at the time. The Canadian economy
40% Gold has since shown signs of recovery with GDP growth in Q2 coming in at
an annualized rate of 4.5%, its fastest rate since 2011. This has caused a
number of economists to become more hawkish, with some expecting
20% up to five rate hikes in 2018. Consequently, much of the optimism of a
continued Canadian economic recovery is likely already priced into
Total Return

0%
both Canadian bond yields and its currency.
Recommendation: With national household debt still remaining at
record highs, a softening housing market and the strength of the loonie
-20% potentially impairing exports, the BoC may actually be limited in
terms of how quickly they can tighten monetary policy. With aggressive
-40%
expectations, rate hikes by the BoC next year can come at a slower pace
than what the market anticipates. While we recommended investors
overweight U.S. investment grade with a currency hedge several
-60% quarters ago, we now prefer mid-term Canadian investment grade
Dot-Com Slowdown 2008 Financial Crisis
bonds or reducing the currency hedge on U.S. investment grade bonds.
Source: Bloomberg Investors may want to consider the BMO Mid-Corporate Bond Index
ETF (ZCM) or the BMO Mid-Term US IG Corporate Bond Index ETF
(ZIC) respectively.
Portfolio Strategy Report Fourth Quarter 2017 3

Changes to Portfolio Strategy

Asset Allocation: In addition, we are eliminating our 3.0% position in the BMO Covered
Call Dow Jones Industrial Average Hedged to CAD ETF (ZWA). As
By including non-traditional/hybrids in our strategy, which have
previously noted, broad based U.S. equities seem to be overvalued and
low correlation to traditional assets, we are able to further diversify
since equity volatility remains muted, lower premiums are earned in
beyond a traditional 60/40 equity/bond portfolio. Our approach to asset
call writing. With the 3.0%, we are further adding to ZVU, bringing our
allocation continues to be one of the key components to our high risk-
total weight in this ETF to 6.0%. Unlike ZWA, ZVU provides exposure
adjusted returns since the inception of our portfolio strategy more than
to the U.S. dollar as it is not currency hedged.
five-years ago. Consequently, we are not making any major changes to
our asset allocation this quarter. Instead, our focus this quarter will be Non-Traditional/Hybrids:
fine tuning our positioning within asset classes and reducing our U.S.
As mentioned, our allocation to non-correlated assets continues to be
dollar hedged positions in favour of non-hedged investments.
a major driver in both our absolute and risk-adjusted performance.
Fixed Income: Within this portion of the portfolio, we have been fairly tactical based
on changing interest rates and the credit environment. This quarter,
Last quarter, we reduced our duration by moving from the BMO Mid-
however, we are not making any changes to this portion of our
Corporate Bond Index ETF (ZCM) into the BMO Short Corporate
portfolio.
Bond Index ETF (ZCS). With the market becoming more hawkish on
Canadian interest rates in recent months, ZCS outperformed ZCM
during the third quarter. Our view is that the Canadian yield curve
is already pricing in optimism of a strengthening economy and we
believe this opens up the possibility for the BoC to become more dovish
than market anticipation. However, between our current positioning
in the BMO Discount Bond Index ETF (ZDB), ZCS and ZCM, we are
content with our duration positioning within Canadian bonds.
Equities:
As mentioned on previous pages, based on traditional valuation
metrics such as price-to-earnings (P/E) and even price-to-sales (P/S),
U.S. equities look to be overvalued. While equity prices may continue
to gain, particularly with rising rates forcing investors to rotate from
bonds to equities, we view it as prudent to move 3.0% of our BMO Low
Volatility U.S. Equity ETF (ZLU) to the BMO MSCI USA Value Index
ETF (ZVU). Unlike the stocks in the broader based S&P 500 Composite
Index, we believe the higher valuation of low volatility stocks in the
U.S. is more justified, as aging demographics are causing investor to
take less equity risk and thus leading to a secular overweight toward
more stable equities. Nevertheless, we believe there is greater upside
in stocks with low valuation, compared to lower beta stocks in the U.S.

Sell/Trim Ticker (%) Buy/Add Ticker (%)

BMO Low Volatility U.S. Equity ETF ZLU 3.00% BMO MSCI USA Value Index ETF ZVU 6.00%
BMO Covered Call Dow Jones Industrial Average Hedged to
CAD ETF
ZWA 3.00%
Total 6.0% Total 6.0%
Portfolio Strategy Report Fourth Quarter 2017 4

Investment Objective and Strategy: The strategy involves tactically allocating

to multiple asset-classes and geographical areas to achieve long-term capital
appreciation and total return by investing primarily in exchange traded funds (ETFs).
Stats and Portfolio Holdings
Management Weight 90-Day Volatility Yield Yield/
Ticker ETF Name Position Price Fee* (%) Vol Contribution (%)** Vol
Fixed Income
ZDB BMO DISCOUNT BOND INDEX ETF Fixed Income Core $15.57 0.09% 7.0% 3.5 3.1% 2.4% 0.68
ZIC BMO MID-TERM U.S. IG CORPORATE BOND INDEX ETF Fixed Income Tactical $17.99 0.25% 11.0% 16.4 23.0% 3.2% 0.19
ZCM BMO MID CORPORATE BOND INDEX ETF Fixed Income Tactical $16.05 0.30% 3.0% 4.1 1.6% 3.1% 0.76
ZCS BMO SHORT CORPORATE BOND INDEX ETF Fixed Income Tactical $14.15 0.10% 6.0% 2.2 1.7% 3.0% 1.34
Total Fixed Income 27.0% 29.4%
Equities
ZLB BMO LOW VOLATILITY CANADIAN EQUITY ETF Equity Core $30.14 0.35% 14.5% 5.2 9.6% 2.7% 0.51
ZCN BMO S&P/TSX CAPPED COMPOSITE INDEX ETF Equity Core $21.31 0.05% 3.0% 6.5 2.5% 2.8% 0.43
ZLU BMO LOW VOLATILITY U.S. EQUITY ETF Equity Core $29.31 0.30% 9.0% 9.2 10.5% 1.9% 0.21
ZLD BMO LOW VOLATILITY INTERNATIONAL EQUITY HEDGED TO CAD ETF Equity Core $22.42 0.40% 7.0% 9.5 8.5% 2.0% 0.21
ZEQ BMO MSCI EUROPE HIGH QUALITY HEDGED TO CAD ETF Equity Tactical $20.48 0.40% 5.0% 10.3 6.6% 2.0% 0.19
ZUH BMO EQUAL WEIGHT U.S. HEALTH CARE HEDGED TO C$ INDEX ETF Equity Tactical $48.38 0.35% 3.0% 10.0 3.8% 0.4% 0.04
ZWB BMO COVERED CALL BANKS ETF Equity Tactical $19.05 0.65% 5.0% 7.1 4.5% 4.9% 0.70
ZVU BMO MSCI USA VALUE INDEX ETF Equity Core $20.14 0.30% 6.0% 8.5 6.5% 2.6% 0.31
ZBK BMO EQUAL WEIGHT U.S. BANKS INDEX ETF Equity Tactical $24.31 0.35% 4.0% 19.0 9.7% 1.2% 0.06
Total Equity 56.5% 62.2%
Non-Traditional/Hybrids
ZFH BMO FLOATING RATE HIGH YIELD ETF Hybrid Tactical $15.34 0.40% 3.5% 3.5 1.6% 4.5% 1.28
ZPR BMO LADDERED PREFERRED SHARE INDEX ETF Hybrid Tactical $11.77 0.45% 7.0% 5.5 4.9% 3.9% 0.71
ZHP BMO US PREFERRED SHARE HEDGED TO C$ INDEXC ETF Hybrid Tactical $25.36 0.45% 6.0% 2.5 1.9% 5.0% 1.96
Total Alternatives 16.5% 8.4%
Total Cash 0.0% 0.0 0.0% 0.0%
Portfolio 0.32% 100.0% 7.8 100.0% 2.9% 0.36

Ticker Top Holdings Weight

ZLB BMO LOW VOLATILITY CANADIAN EQUITY ETF 14.5%
ZIC BMO MID-TERM U.S. IG CORPORATE BOND INDEX ETF 11.0%
ZLU BMO LOW VOLATILITY U.S. EQUITY ETF 9.0%
ZDB BMO DISCOUNT BOND INDEX ETF 7.0% Cash
ZLD BMO LOW VOLATILITY INTERNATIONAL EQUITY HEDGED TO CAD ETF 7.0%
Non-Traditional (16.5%)
ZPR BMO LADDERED PREFERRED SHARE INDEX ETF 7.0% Alternatives
ZCS BMO SHORT CORPORATE BOND INDEX ETF 6.0% Equities (56.5%)
ZVU BMO USA VALUE INDEX ETF 6.0% Fixed IncomeEquities
(27.0%)
ZHP BMO US PREFERRED SHARE HEDGED TO C$ INDEX ETF 6.0%
ZEQ BMO MSCI EUROPE HIGH QUALITY HEDGED TO CAD ETF 5.0%
ZWB BMO COVERED CALL BANKS ETF 5.0%
Fixed Income
ZBK BMO EQUAL WEIGHT U.S. BANKS INDEX ETF 4.0%
Core 46.5%
ZFH BMO FLOATING RATE HIGH YIELD ETF 3.5%
Tactical 53.5%
ZCM BMO MID CORPORATE BOND INDEX ETF 3.0%
ZCN BMO S&P/TSX CAPPED COMPOSITE INDEX ETF 3.0%
BMO EQUAL WEIGHT U.S. HEALTH CARE HEDGED TO C$
ZUH 3.0%
INDEX ETF
Source: Bloomberg, BMO Asset Management Inc. (Data as of October 11, 2017)

*Management Fee as of October 11, 2017.

**Yield calculations for bonds is based on yield to maturity, which includes coupon payments and any capital gain or loss
that the investor will realize by holding the bonds to maturity and for equities it is based on the most recent annualized
income received divided by the market value of the investments.
Portfolio Strategy Report Fourth Quarter 2017 5

Portfolio Characteristics

Regional Breakdown (Overall Portfolio)

Cash

Emerging Markets
Canada 45.5%
United States
United States 42.5%
Canada
Europe 9.9%
Asia 2.1%

*Regional Breakdown includes equities, fixed income and non-traditional/hybrid sleeves.

Equity Sector Breakdown

Energy
Financials 30.2%
Health
Materials Care 12.8%
Consumer Staples
Telecommunication Services
11.3%
Consumer Discretionary 9.1%
Real Estate
Utilities 8.9%
Industrials
Information Technology 7.0%
Information
Industrials Technology 5.7%
Real Estate 5.3%
Utilities
Telecommunication Services 3.7%
Consumer Discretionary
Materials 3.2%
Energy
Health Care 2.7%

Fixed Income Breakdown Consumer Staples

Financials
Federal 8.5% Weighted Average Term 5.94
Provincial 7.9% Weighted Average Duration 4.36
Investment Grade Corporate 72.1% Weighted Average Coupon 4.2%
Non-Investment Grade Corporate 11.5% Weighted Average Current Yield 4.1%
Weighted Average Yield to Maturity 3.6%

Weighted Average Current Yield: The market value weighted average coupon divided by the weighted average market price of bonds.

Weighted Average Yield to Maturity: The market value weighted average yield to maturity includes the coupon payments and any capital gain or loss that the investor will realize by holding
the bonds to maturity.

Weighted Average Duration: The market value weighted average duration of underlying bonds divided by the weighted average market price of the underlying bonds. Duration is a measure
of the sensitivity of the price of a fixed income investment to a change in interest rates.

Source: Bloomberg, BMO Asset Management Inc. (As of October 11, 2017)
Portfolio Strategy Report Fourth Quarter 2017 6

The Good, the Bad, and the Ugly

Conclusion: Central banks around the globe have been focused on tightening monetary policy. While interest rates in
Canada could move higher, we have already experienced a notable upward shift across the yield curve. With economic
surprises to the upside less likely now, given expectations have been revised upwards, we believe optimism is largely priced
in and hence the sizable moves in both interest rates and equity markets have already transpired. Given the ongoing rally
in U.S. equities, we believe valuations are now becoming stretched, while equity markets in other regions are also not
inexpensive, valuations look more attractive on a relative basis. As such, we believe investors should be underweighting the
U.S. and having a higher concentration towards the value factor in the region.

Global-Macro/Geo-Political Fundamental Technical

Durable goods orders in the U.S. came in higher
than expectations.
Unemployment in the U.S. continues to go down,
now at 4.2%, a level not seen since January 2001.
Manufacturing in the U.S. came in higher than
expectations at 60.8, well above the 50 level
which indicates expansion.
Building permits in Canada is on the decline,
which may help limit the slide in home prices.
Good Canada saw a recent stumble in its GDP (y/y) but
the longer-term trend remains intact.
Unemployment in the Eurozone continues to
trend lower, now at 9.17% and moving lower
since June 2013.
There are a growing number of central banks
looking to raise interest rates, which can prevent
the growth of asset bubbles.
Inflation in the U.S. has stayed in the range of
the Feds target rate.
Total debt to assets in the S&P 500 stocks has
been on the rise, but still low compared to
historical levels.
Valuations on Canadian banks based on P/E are
well below the market average. This makes the
area extremely attractive.
Despite the strong rally since January 2016, the
valuation in preferred shares remains attractive.
While the five-year government of Canada has
moved up, preferred shares have not followed to
the same degree.
Demand for new issue bonds remains strong
keeping borrowing costs low. Credit spreads will
likely remain tight in the absence of a macro-
economic or political event.
The U.S. dollar looks to be rebounding against
the Canadian dollar but has yet to prove that the
recent trend is more than a countertrend rally.
Low volatility stocks underperformed the
broad market shortly after the U.S. presidential
election, but have recently regained relative
strength. This should benefit the core of our
strategy, given our high weight towards low
volatility stocks.
The British Pound has gained strength in recent
quarters, breaking out of its slump.
Gold prices have trended up and broken above its
previous trading range.

International merchandise trade in Canada came
in lower than expectations and negative, likely
an impact of the strong Canadian dollar.
Longer term indicators on Canadian housing
prices are up significantly, but shorter-term
indicators show a steady decline in prices.
With higher market expectations, its likely that
Bad economic data is less likely to surprise to the
upside. The Citi-Economic Surprise Index for
Canada trending down supports this notion.
New stress testing for high-ratio mortgages in
Canada could put additional pressure on the
housing market.
Unemployment in many major European
countries still remain high.
Traditional measures such as P/E indicate the S&P
500 Composite to be overvalued and so to do
more advanced measures such as EV/EBITDA.
Trailing earnings per share on average for the
S&P 500 Composite is lower than 2014. However,
have increased in recent months.
Price to earnings and forward-looking price to
sales are well above the historical median in
European stocks. However, there is potential
upside on earnings and sales growth.
The S&P/TSX Composite has continued to lose
relative strength compared to the S&P 500
Composite since 2010.
Implied volatility remains low, which indicates
the options market is not pricing in any political
risk.

Household debt levels in Canada remains our

primary concern. Sitting at an all-time high, the
BoC becoming too aggressive in raising rates,
could cause a significant problem.
Ugly
Portfolio Strategy Report Fourth Quarter 2017 7

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Any statement that necessarily depends on future events may be a forward-looking statement. Forward-looking statements are not guarantees
of performance. They involve risks, uncertainties and assumptions. Although such statements are based on assumptions that are believed to be
reasonable, there can be no assurance that actual results will not differ materially from expectations. Investors are cautioned not to rely unduly on
any forward-looking statements. In connection with any forward-looking statements, investors should carefully consider the areas of risk described
in the most recent simplified prospectus.

S&P is registered trademarks of Standard & Poors Financial Services LLC (S&P) and TSX is a trademark of TSX Inc. These trademarks have
been licensed for use by S&P Dow Jones Indices LLC and sublicensed to BMO Asset Management Inc. in connection with ZEB. ZEB is not sponsored,
endorsed, sold or promoted by S&P Dow Jones LLC, S&P, TSX, or their respective affiliates and S&P Dow Jones Indices LLC, S&P, TSX and their affiliates
make no representation regarding the advisability of trading or investing in such ETF(s).

The Dow Jones Industrial Average Index is a product of S&P Dow Jones Indices LLC and has been licensed for use by the BMO Asset Management
Inc. Dow Jones, Dow Jones Industrial Average, and DJIA are registered trademarks of Dow Jones Trademark Holdings LLC (Dow Jones), and
have been licensed to S&P Dow Jones Indices LLC and and sublicensed for use by BMO Asset Management Inc. in connection with ZWA. ZWA is not
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Jones and their respective affiliates make no representation regarding the advisability of trading or investing in such ETF.

The exchange traded funds referred to herein are not sponsored, endorsed or promoted by MSCI, and MSCI bears no liability with respect to any
such exchange traded funds or any index on which such exchange traded funds are based. The prospectus contains more detailed description of the
limited relationship MSCI has with BMO Asset Management Inc. and any related exchanged traded fund.

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Shiller Select US Index ETF (Ticker: ZEUS). ZEUS is not sponsored, endorsed, sold or promoted by Barclays Bank PLC or any of its affiliates. Neither
Barclays Bank PLC nor any of its affiliates makes any representations or warranties to holders of the ZEUS or any member of the public regarding the
advisability of investing in ZEUS.

This communication is intended for informational purposes only and is not, and should not be construed as, investment and/or tax advice to any
individual. Particular investments and/or trading strategies should be evaluated relative to each individuals circumstances. Individuals should seek
the advice of professionals, as appropriate, regarding any particular investment. Investors cannot invest directly in an index.

BMO ETFs are managed and administered by BMO Asset Management Inc., an investment fund manager and portfolio manager, and separate legal
entity from Bank of Montreal.

Commissions, management fees and expenses all may be associated with investments in exchange traded funds. The indicated rates of return
are the historical annual compound total returns including changes in prices and reinvestment of all distributions and do not take into account
commission charges or income taxes payable by any unitholder that would have reduced returns. Please read the prospectus before investing.
Exchange traded funds are not guaranteed, their value change frequently and past performance may not be repeated.

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