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Customized Quant/Technical Screening: BMOToolkit “How To” Guide

First Step – Create the BMOToolkit Directory

Second Step – Customization

Creating MyUniverse(s)

Creating and Maintaining Portfolios

Custom Category Filters

Custom Views

Creating Anti-portfolios

Relative Strength Filter November 2010Quantitative/Technical ResearchMark Steele(416) 359-4641mark.steele@bmo.comAssoc: Tiberiu Stoichita/Rahul Muralidhar

Source for all data and graphics in this publication: BMO Capital Markets

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First Step: Creating the BMOToolkit Directory

Our Toolkit “looks” for your custom files in the “My Documents\BMOToolkit” folder, which can be created using the following 4 steps

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First Step: Creating the BMOToolkit Directory - Result

Your view should shift, to bring up drop-down menus for:

Portfolio (lists of tickers)

Category (allows you to customize the filter for the factors you desire)

View (allows you to select a custom view; i.e., shown/hidden columns, and sort order)

Portfolio checks (allow you to see the stocks in your universe that you do not own)

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Second Step: Types of Customization – Overview

A - MyUniverse

Simple, or detailed category filters, designed to carve out the universe(s) of securities you follow.

Simple Example: S&P 500 members, selected from the Company form, would show the list of stocks in the S&P 500, and would adjust as the 500 membership changes.

Detailed Example: Non-Resource shares, listed on a North American exchange, which pay a dividend and have a market capitalization greater than US$1B.

The benefit of MyUniverse, over a Portfolio (next), is that you do not have to maintain a ticker list. MyUniverse screens adjust to add/drop securities which newly meet/fail to meet the criteria which you used to define your MyUniverse screen.

B - Portfolio

A list of tickers that define your portfolioC - Category

A combination of categories that define what you want to see, similar to “MyUniverse” above.D - View

A customized perspective showing the columns you care about, hiding the columns you don’t care about, and sorting the list as you define.

E - Portfolio Checks (Anti-Portfolio, Side-Bets)

Shows stocks you do not own, but should consider as they meet your criteria (Anti-Portfolio)

Shows stocks you do own, but do not match your criteria (Side-Bets).

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Second Step: A - Creating MyUniverse Screens

Our Toolkit Screens on over 5,000 securities. Likely, the universe that you participate in is much smaller.

You can customize the BMOToolkit by creating one or more MyUniverse screens using the selection menus.

These may be loaded as a virtual portfolio, which will dynamically adjust each day as your selection criteria act on the BMOToolkit universe.

For example: If you:

select S&P 500 member from the “Company” form, and

select Dividend Yield > 0 in the “Dvd. Yield” form

and then saved this down as the “MyUniverse” “500DVD”,

Then you could bring up a “MyUniverse” portfolio of stocks that satisfy these (2) selection criteria in ONE CLICK each day.

More Complicated MyUniverse screens may be created by using more selection criteria from the forms (Company, Deciles, Pricing, etc.).

You can create as many MyUniverse screens as you wish.

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Second Step: A - Creating & Using MyUniverse Screens

Step 1: Make Selection From Form(s) Step 2: Save as a MyUniverse Filter

Step 3: Selecting From MyUniverse Filters Now You Can: Use Portfolio Analytics Filters

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Second Step: B - Creating Portfolios

Portfolios are ticker lists, accessible from the Portfolio drop-down menu.

They may be created from the list selected in the Toolkit at any time.

They may also be created from another application, such as excel.

Step 1 – Put list of tickers (Bloomberg notation) in column A

Step 2 – Use up to five other numeric fields (factors) in columns B-F

Step 3 – Use “save as Text (Tab delimited)” in

“My Documents\BMOToolkit\P_ABC.txt”

This DirectoryThis P_

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Second Step: B – More on Portfolios

Portfolios are merely text files, and may be changed as your portfolio does, by just clicking on the file (MyDocuments\BMOToolkit\P_ABC.txt) and adding/deleting the tickers (Bloomberg notation is used) in the list.

Portfolios may contain up to five separate importable fields.

The first field is treated like a weight, or other representation of size in the portfolio.

If fields are imported, a Factor form allows one to filter stocks.

Example: If you had your own custom rating for shares, you could import this rating with your ticker list, and then line up what you had as a positive rating with what the Toolkit shows as a positive rating.

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Second Step: C – Category Filters

Category filters are created, just as MyUniverse Screens are (Section A), but are saved in the Category menu.

Our Portfolio Analytics and Equity Screening By menus are a combination of commonly requested category filters, with a matching view filter

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Second Step: D – Views

Views are a combination of:

Hidden/unhidden columns

Sort

There are a number of “standard” views, which may be selected from the drop-down menu at the top right.

Clients who want to set up “I only want to see this” type of information may create their own custom views, which will show up in the customization panel.

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Second Step: D – Creating & Saving a ViewStep 1: Select Hide/Unhide within Edit Menu Step 2: Click on column headers to select (white) or deselect

(grey) the columns as you wish to show/hide

Step 3: Select Hide/Unhide again, to toggle out of selection mode Step 4: Click on the column header(s) you want to sort by

Step 5: Save

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Second Step: E – Portfolio Checks

After one creates a portfolio (see section A), there are two types of “Portfolio Checks” that can be created: Anti-Portfolios and Side-Bets.

Both of these portfolio checks use both the portfolio and a series of category- type filters.

Anti-Portfolios are designed to show you the stocks that (a) are in your universe and (b) screen well using your criteria, yet are (c) outside your portfolio.

Side-Bets show you the stocks that are in your portfolio but outside your mandate (i.e., are outside of your selected category-type filters).