GUGGENHEIMINVESTMENTS.COM

. . . YOUR ROAD TO THE LATEST, MOST UP - TO - DATE INFORMATION

The shareholder report you are reading right now is just the beginning of the story. Online at guggenheiminvestments.com, you will find:

Guggenheim Funds Distributors, LLC is constantly updating and expanding shareholder information services on each Fund's website, in an ongoing effort to provide you with the most current information about how your Fund's assets are managed, and the results of our efforts. It is just one more small way we are working to keep you better informed about your investment.

DEAR SHAREHOLDER

Guggenheim Funds Investment Advisors, LLC and Guggenheim Partners Investment Management, LLC (the "Investment Advisors") are pleased to present the semiannual shareholder report for several of our exchange-traded funds ("ETFs" or "Funds"). This report covers performance of the Funds for the semiannual fiscal period ended February 28, 2017.

The Investment Advisors are part of Guggenheim Investments, which represents the investment management businesses of Guggenheim Partners, LLC ("Guggenheim"), a global diversified financial services firm.

Guggenheim Funds Distributors, LLC, the distributor of the Funds, is committed to providing investors with innovative investment solutions. We have built on the investment management strengths of Guggenheim Investments and worked with a diverse group of index providers to create some of the most distinctive ETFs available.

To learn more about economic and market conditions over the last year and the objective and performance of each ETF, we encourage you to read the Economic and Market Overview section of the report, which follows this letter, and the Management Discussion of Fund Performance for each ETF, which begins on page 6.

Sincerely,

Donald Cacciapaglia
President and Chief Executive Officer
Claymore Exchange-Traded Fund Trust 2

March 31, 2017

 

For much of the period, U.S. risk assets rallied in anticipation of growth-oriented fiscal policy outcomes, but there are obvious risks: no one wins in a trade war; border taxes and tariffs are notoriously regressive; deportations and immigration limits deprive our labor force of a critically vibrant component; and geopolitical tensions could needlessly escalate if the new administration is not careful. Discounting such events, the U.S. economic backdrop is strong and risk assets should continue to perform well, even if a healthy dose of caution causes consolidation around current levels.

Much of the rise in asset valuations since Donald Trump's victory has been based on anticipation of his pro-growth policies coming to fruition, an outcome that is far from certain. Asset valuations could be getting a bit ahead of themselves, and becoming more sensitive to a temporary growth scare or setback, especially since the rollout of Trump's new policies will not be smooth or easy.

Nevertheless, the underlying economy remains on a good trajectory. U.S. real gross domestic product (GDP) growth in the fourth quarter was solid but unspectacular, like most of the post-crisis period. The early readings came in at around 2%, down from 3.5% in the third quarter. The quarterly volatility seen in the second half of 2016 resulted mainly from large swings in the contribution of net exports. Smoothing through the quarterly noise reveals a trend-like pace of 1.9% real GDP growth over the past year. Growth has benefited from recent gains in consumer and business confidence, which should continue to support consumption and investment spending as precautionary savings are reduced.

We forecast the unemployment rate to fall below 4% before the end of the expansion as faster GDP growth boosts employment while demographic constraints limit gains in the size of the labor force. This would be well below the Fed's estimate of the natural rate of unemployment; however, we believe the Trump administration's fiscal agenda will not push up inflation materially because the Fed will respond by tightening monetary policy faster.

A strong corporate earnings recovery, expansionary fiscal policies, falling unemployment, and upward wage pressure should lead the Fed to raise the fed funds rate more than the market is currently expecting. This should cause the yield curve to flatten as rates in the short end rise while the long end is stabilized by confidence in the Fed's willingness to contain inflation.

Time will tell how successful President Trump will be in implementing his policy proposals, but the various thematic areas being discussed—tax reform, infrastructure spending, and deregulation—are all constructive for U.S. economic growth. The United States is the locomotive of the world. When our economy is growing, dynamic, and strong, it is a boon to the global economy, which is already experiencing a synchronous expansion.

For the six months ended February 28, 2017, the Standard & Poor's 500^® ("S&P 500") Index returned 10.01%. The MSCI Europe-Australasia-Far East ("EAFE") Index returned 4.90%. The return of the MSCI Emerging Markets Index was 5.51%.

In the bond market, the Bloomberg Barclays U.S. Aggregate Bond Index posted a -2.19% return for the period, while the Bloomberg Barclays U.S. Corporate High Yield Index returned 1.64%. The return of the Bank of America Merrill Lynch 3-Month U.S. Treasury Bill Index was 0.22% for the six-month period.

The opinions and forecasts expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.

 

Index Definitions
All indices described below are unmanaged and reflect no expenses. It is not possible to invest directly in any index.

The Bank of America Merrill Lynch 3-Month U.S. Treasury Bill Index is an unmanaged market Index of U.S. Treasury securities maturing in 90 days that assumes reinvestment of all income.

The Bloomberg Barclays U.S. Aggregate Bond Index is a broad-based flagship benchmark that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market, including U.S. Treasuries, government-related and corporate securities, mortgage-backed securities or "MBS" (agency fixed-rate and hybrid adjustable-rate mortgage, or "ARM", pass-throughs), asset-backed securities ("ABS"), and commercial mortgage-backed securities ("CMBS") (agency and non-agency).

The Bloomberg Barclays U.S. Corporate High Yield Index measures the U.S. dollar-denominated, high yield, fixed-rate corporate bond market. Securities are classified as high yield if the middle rating of Moody's, Fitch, and S&P is Ba1/BB +/BB + or below.

The Dow Jones Global Utilities Index includes those companies in the Dow Jones Global Index associated with generating and distributing electricity through the burning of fossil fuels such as coal, petroleum and natural gas, and through nuclear energy; alternative electricity companies generating and distributing electricity from a renewable source; distributors of gas to end users; and multi-utility and water companies.

The MSCI China Index is a capitalization-weighted index that measures the performance of large- and mid-cap securities in the Chinese equity markets and includes representation across China H shares, B shares, Red chips and P chips.

The MSCI EAFE Index is a capitalization-weighted measure of stock markets in Europe, Australasia, and the Far East.

The MSCI Emerging Markets Index is a free float-adjusted market capitalization-weighted index that is designed to measure equity market performance in the global emerging markets.

The MSCI World Index measures performance from a diverse range of global stock markets, including the U.S., Canada, Europe, Australia, New Zealand, and the Far East.

The Standard and Poor's 500 Index (S&P 500®) is a broad-based index, the performance of which is based on the performance of 500 widely held common stocks chosen for market size, liquidity, and industry group representation.

The Standard & Poor's Global BMI (Broad Market Index), which comprises the S&P Developed BMI and S&P Emerging BMI, is a comprehensive, rules-based index measuring global stock market performance.

Industry Sectors
Comments about industry sectors in these Fund commentaries are based on Bloomberg industry classifications.

 

YAO Guggenheim China All-Cap ETF

Fund Overview
The Guggenheim China All-Cap ETF, NYSE Arca ticker: YAO (the "Fund") seeks investment results that correspond generally to the performance, before the Fund's fees and expenses, of an equity index called the AlphaShares China All-Cap Index (the "Index").

The Index is designed to measure and monitor the performance of the investable universe of publicly traded companies based in mainland China. The Index was created by AlphaShares, LLC ("AlphaShares") and is maintained by Standard & Poor's. The Index includes equity securities of companies of all capitalizations, as defined by AlphaShares, subject to certain minimum capitalization requirements. The Fund will invest at least 80% of its total assets in common stock, American depositary receipts ("ADRs"), American depositary shares ("ADSs"), global depositary receipts ("GDRs"), and international depositary receipts ("IDRs") that comprise the Index and depositary receipts or shares representing common stocks included in the Index (or underlying securities representing ADRs, ADSs, GDRs, and IDRs included in the Index). The Fund generally will invest in all of the securities comprising the Index in proportion to their weightings in the Index.

Fund Performance
All Fund returns cited—whether based on net asset value ("NAV") or market price—assume the reinvestment of all distributions. This report discusses the semiannual fiscal period ended February 28, 2017.

On a market price basis, the Fund generated a total return of 5.81%, which included an increase in market price over the period to $27.15 on February 28, 2017, from $26.23 on August 31, 2016. On an NAV basis, the Fund generated a total return of 5.91%, which included an increase in NAV over the period to $27.14 on February 28, 2017, from $26.19 on August 31, 2016. At the end of the period, the Fund's shares were trading at a market price premium to NAV, which is to be expected from time to time. All NAV returns include the deduction of management fees, operating expenses, and other Fund expenses.

For comparison, the Index returned 6.28%, and the MSCI China Index returned 5.34% for the same period.

The Fund made an annual income distribution of $0.5415 per share on December 30, 2016, to shareholders of record on December 28, 2016.

Performance Attribution
For the six-month period ended February 28, 2017, the financials sector contributed the most to the Fund's return, followed by the consumer discretionary sector. The telecommunications services sector detracted the most from return, followed by the utilities sector.

Positions that contributed the most to the Fund's return included NetEase, Inc. ADR, a Chinese Internet technology company; China Construction Bank Corp. Class H, a commercial bank that provides a wide range of financial services; and China Life Insurance Company Ltd. Class H, which provides life, accident, and health insurance, as well as reinsurance and fund investment (2.1%, 5.1%, and 2.1%, respectively, of the Fund's long-term investments at period end).

Positions that detracted the most from the Fund's return included China Mobile Ltd., a telecommunications services provider in Mainland China; China Overseas Land & Investment Ltd., which through its subsidiaries develops and invests in properties, constructs buildings, invests in treasury securities, and infrastructure projects; and 58.com, Inc. Class A ADR, a local life-service platform that enables transfer of products and services between purchasers and sellers (4.8%, 1.2%, and 0.3%, respectively, of the Fund's long-term investments at period end).

CQQQ Guggenheim China Technology ETF

Fund Overview
The Guggenheim China Technology ETF, NYSE Arca ticker: CQQQ (the "Fund") seeks investment results that correspond generally to the performance, before the Fund's fees and expenses, of an equity index called the AlphaShares China Technology Index (the "Index").

The Index is designed to measure and monitor the performance of the universe of publicly traded companies that are based in mainland China, Hong Kong, or Macau, are in the Information Technology Sector, as defined by Standard & Poor's Global Industry Classification Standard, and are open to foreign investment. The Index was created by AlphaShares, LLC ("AlphaShares") and is maintained by Standard & Poor's. The Index includes equity securities of companies of all categories of market capitalizations, as defined by AlphaShares (subject to certain minimum capitalization requirements).

The Index may include Hong Kong-listed securities, including China H-shares and Red Chips. China H-shares are issued by companies incorporated in mainland China and listed on the Hong Kong Stock Exchange. Red Chip shares are issued by companies with controlling Chinese shareholders that are incorporated outside mainland China and listed on the Hong Kong Stock Exchange. The Index may also include N-shares, which are issued by companies based in mainland China and listed on the NYSE Arca, Inc. or NASDAQ Stock Market. The Index does not include China A-Shares (which are subject to substantial restrictions on foreign investment) or China B-Shares (which offer a generally smaller market and limited liquidity), each of which trade on the Shanghai Stock Exchange and the Shenzhen Stock Exchange.

The Fund will invest at least 80% of its total assets in common stock, American depositary receipts ("ADRs"), American depositary shares ("ADSs"), global depositary receipts ("GDRs"), and international depositary receipts ("IDRs") that comprise the Index and depositary receipts or shares representing common stocks included in the Index (or underlying securities representing ADRs, ADSs, GDRs, and IDRs included in the Index). The Fund generally will invest in all of the securities comprising the Index in proportion to their weightings in the Index.

Fund Performance
All Fund returns cited—whether based on net asset value ("NAV") or market price—assume the reinvestment of all distributions. This report discusses the semiannual fiscal period ended February 28, 2017.

On a market price basis, the Fund generated a total return of 5.15%, which included an increase in market price over the period to $40.41 on February 28, 2017, from $39.08 on August 31, 2016. On an NAV basis, the Fund generated a total return of 3.92%, which included an increase in NAV over the period to $40.13 on February 28, 2017, from $39.26 on August 31, 2016. At the end of the period, the Fund's shares were trading at a market price premium to NAV, which is to be expected from time to time. All NAV returns include the deduction of management fees, operating expenses, and other Fund expenses.

For comparison, the Index returned 4.19%, and the MSCI China Index returned 5.34% for the same period.

The Fund made an annual income distribution of $0.5953 per share on December 30, 2016, to shareholders of record on December 28, 2016.

Performance Attribution
For the six-month period ended February 28, 2017, all of the holdings were in the information technology sector, which had positive return for the period.

Positions that contributed the most to the Fund's return included NetEase, Inc. ADR, a Chinese Internet company; Sunny Optical Technology Group Company Ltd, which designs and manufactures optical and optical related products; and Semiconductor Manufacturing International Corp., which operates a semiconductor foundry (8.7%, 4.4%, and 4.0%, respectively, of the Fund's long-term investments at period end).

Positions that detracted the most from the Fund's return included 58.com, Inc. ADR, a local life-service platform that enables transfer of products and services between purchasers and sellers; Fang Holdings Ltd. ADR, which operates a real estate Internet portal; and Coolpad Group Ltd., which provides a range of wireless system solutions and wireless terminal products (3.4%, 0.7%, and 0.3%, respectively, of the Fund's long-term investments at period end).

TAN Guggenheim Solar ETF

Fund Overview
The Guggenheim Solar ETF, NYSE Arca ticker: TAN (the "Fund") seeks investment results that correspond generally to the performance, before the Fund's fees and expenses, of an equity index called the MAC Global Solar Energy Index (the "Index").

As of February 28, 2017, the Index is comprised of approximately 26 securities selected based on the relative importance of solar power within the company's business model, as determined by MAC Indexing LLC (the "Index Provider"). The Index is designed to track companies within the following business segments of the solar energy industry: companies that produce solar power equipment and products for end users; companies that produce fabrication products (such as the equipment used by solar cell and module producers to manufacture solar power equipment) or services (such as companies specializing in the solar cell manufacturing or the provision of consulting services to solar cell and module producers) for solar power equipment producers; companies that supply raw materials or components to solar power equipment producers or integrators; companies that derive a significant portion of their business (as defined in the Fund prospectus under "Index Methodology") from solar power system sales, distribution, installation, integration, or financing; and companies that specialize in selling electricity derived from solar power.

The Index is generally comprised of equity securities, including American depositary receipts ("ADRs"), and global depositary receipts ("GDRs"), traded in developed markets, as defined by the Index Provider. While the equity securities comprising the Index are traded in developed markets, the issuers of such securities may be located in emerging markets. Emerging market countries are countries that major international financial institutions, such as the World Bank, generally consider to be less economically mature than developed nations. The Fund will invest at least 90% of its total assets in common stock, ADRs, and GDRs that comprise the Index and depositary receipts representing common stocks included in the Index (or underlying securities representing ADRs and GDRs included in the Index). The Fund generally will invest in all of the securities comprising the Index in proportion to their weightings in the Index. The Fund will concentrate its investments (i.e., hold 25% or more of its assets) in a particular industry or group of industries to the extent the Index is so concentrated.

Fund Performance
All Fund returns cited—whether based on net asset value ("NAV") or market price—assume the reinvestment of all distributions. This report discusses the semiannual fiscal period ended February 28, 2017.

On a market price basis, the Fund generated a total return of -5.76%, which included a decrease in market price over the period to $18.76 on February 28, 2017, from $20.91 on August 31, 2016. On an NAV basis, the Fund generated a total return of -5.87%, which included a decrease in NAV over the period to $18.72 on February 28, 2017, from $20.89 on August 31, 2016. At the end of the period, the Fund's shares were trading at a market price premium to NAV, which is to be expected from time to time. All NAV returns include the deduction of management fees, operating expenses, and other Fund expenses.

For comparison, the Index returned -6.93%, and the MSCI World Index returned 7.78% for the same period.

The Fund made an annual income distribution of $0.8349 per share on December 30, 2016, to shareholders of record on December 28, 2016.

Performance Attribution
The utilities and consumer discretionary contributed the most to the Fund's return for the six-month period ended February 28, 2017. The information technology sector detracted the most from return, followed by the industrials sector.

Positions that contributed the most to the Fund's return included Atlantica Yield plc, which owns a diversified portfolio of contracted renewable energy, power generation, and electric transmission assets; TerraForm Global, Inc. Class A, which owns and operates contracted clean power generation assets including wind, geothermal, hydroelectric, and hybrid energy solutions; and Canadian Solar, Inc., which designs, manufactures, and sells solar module products that convert sunlight into electricity (5.4%, 3.6%, and 5.2%, respectively, of the Fund's long-term investments at period end).

Positions that detracted the most from the Fund's return included JA Solar Holdings Co. Ltd ADR, which manufactures solar cells; Xinyi Solar Holdings Ltd., a maker of solar glass; and SMA Solar Technology AG, which manufactures solar inverters (3.5%, 5.5%, and 3.8%, respectively, of the Fund's long-term investments at period end).

 

CGW Guggenheim S&P Global Water Index ETF

Fund Overview
The Guggenheim S&P Global Water Index ETF, NYSE Arca ticker: CGW (the "Fund"), seeks investment results that correspond generally to the performance, before the Fund's fees and expenses, of an equity index called the S&P Global Water Index (the "Index").

The Index is comprised of approximately 50 equity securities selected, based on investment and other criteria, from a universe of companies listed on global developed market exchanges. Standard & Poor's ("S&P") generally defines "developed markets" as the capital markets of those countries with high levels of per capita income and strict market regulation resulting in greater transparency. The universe of companies includes all companies classified by Standard & Poor's Global Industry Classifications as being associated (in a manner representing a major component of such companies' business) with the global demand for water, including water utilities, infrastructure, equipment, instruments, and materials. Total market capitalization and float-adjusted market capitalization of securities in the Index must be at least $250 million and $100 million, respectively, at the time of each reconstitution, which includes small-, mid-, and large-capitalization securities as defined by S&P. The companies in the universe are selected using criteria as identified by S&P. The Fund will invest at least 90% of its total assets in common stock and American depositary receipts ("ADRs") that comprise the Index and depositary receipts representing common stocks included in the Index (or underlying securities representing ADRs included in the Index). The Fund generally will invest in all of the securities comprising the Index in proportion to their weightings in the Index. The Fund will concentrate its investments (i.e., hold 25% or more of its assets) in a particular industry or group of industries to the extent the Index is so concentrated.

Fund Performance
All Fund returns cited—whether based on net asset value ("NAV") or market price—assume the reinvestment of all distributions. This report discusses the semiannual fiscal period ended February 28, 2017.

On a market price basis, the Fund generated a total return of 0.85%, which included a decrease in market price over the period to $30.08 on February 28, 2017, from $30.32 on August 31, 2016. On an NAV basis, the Fund generated a total return of 1.08%, which included a decrease in NAV over the period to $30.10 on February 28, 2017, from $30.27 on August 31, 2016. At the end of the period, shares of the Fund at NAV were trading at a market price discount to NAV, which is to be expected from time to time. All NAV returns include the deduction of management fees, operating expenses, and other Fund expenses.

For comparison, the Index returned 1.25%, the MSCI World Index returned 7.78%, and the Dow Jones Global Utilities Index returned 3.03% for the same period.

The Fund made an annual income distribution of $0.4701 per share on December 30, 2016, to shareholders of record on December 28, 2016.

Performance Attribution
For the six-month period ended February 28, 2017, the materials sector contributed the most to return, followed by the industrials sector. The utilities sector detracted the most from return, followed by the information technology sector.

Positions that contributed the most to the Fund's return included Olin Corp., a manufacturer of chemicals and ammunition products; American Water Works Co., Inc., which provides drinking water, wastewater, and other water-related services in multiple U.S. states and Ontario, Canada; and Alfa Laval AB, which provides specialized products and engineering solutions (2.7%, 8.1%, and 2.7%, respectively, of the Fund's long-term investments at period end).

Positions that detracted the most from the Fund's return included Veolia Environnement S.A., which is engaged in providing environmental management services; Pentair Plc, a U.K-based provider of services related to water and other fluids, thermal management, and equipment protection; and Halma Plc, a group of technology companies that makes products for hazard detection and life protection (3.7%, 5.0%, and 2.4%, respectively, of the Fund's long-term investments at period end).

 

GHII Guggenheim S&P High Income Infrastructure ETF

Fund Overview
The Guggenheim S&P High Income Infrastructure ETF, NYSE Arca ticker: GHII (the "Fund") seeks investment results that correspond generally to the performance, before the Fund's fees and expenses, of the S&P High Income Infrastructure Index (the "Index"). The Fund, using a "passive" or "indexing" investment approach, seeks to replicate, before the Fund's fees and expenses, the performance of the Index.

The Index is designed to measure and monitor the performance of 50 high-yielding global equity securities of companies that engage in various infrastructure-related sub-industries. Index constituents must meet size, listing, and liquidity requirements and also be part of the S&P Global BMI Index, which is a rules-based index that measures global stock market performance.

The Fund will invest at least 80% of its total assets in common stocks, American depositary receipts ("ADRs"), American depositary shares ("ADSs"), global depositary receipts ("GDRs"), and international depositary receipts ("IDRs") that comprise the Index and depositary receipts representing common stocks included in the Index (or underlying securities representing the ADRs, ADSs, GDRs, and IDRs included in the Index).

Fund Performance
All Fund returns cited—whether based on net asset value ("NAV") or market price—assume the reinvestment of all distributions. This report discusses the semiannual fiscal period ended February 28, 2017.

On a market price basis, the Fund generated a total return of 4.11%, which included an increase in market price over the period to $27.08 on February 28, 2017, from $26.48 on August 31, 2016. On an NAV basis, the Fund generated a total return of 4.22%, which included an increase in NAV over the period to $26.90 on February 28, 2017, from $26.28 on August 31, 2016. At the end of the period the Fund's shares were trading at a market price premium to NAV, which is to be expected from time to time. All NAV returns include the deduction of management fees, operating expenses, and other Fund expenses.

For comparison, the Index returned 4.50%, and the S&P Global BMI Index returned 7.86% for the same period.

The Fund made the following quarterly income distributions for the semiannual period ended February 28, 2017:

The total distribution on December 30, 2016 was composed of $0.1676 in ordinary income and $0.0102 in short-term capital gains.

Performance Attribution
For the semiannual fiscal period ended February 28, 2017, the energy sector contributed the most to the Fund's performance, followed by the industrials sector. No sector detracted, but the utilities sector contributed least.

Positions that contributed the most to the Fund's return included Golar LNG Ltd., an independent owner and operator of liquefied natural gas (LNG) infrastructure (not held in the portfolio at period end); Targa Resources Corp., a midstream energy corporation (4.1% of the Fund's long-term investments at period end); and ONEOK, Inc., a diversified energy company (not held in the portfolio at period end).

Positions that detracted the most from the Fund's return included Nordic American Tankers Ltd., a shipping company that owns and charters tankers for oil transportation; Electricite de France S.A., an electric utility largely owned by the French state; and Engie S.A., which offers a full range of electricity, gas, and associated energy and environment services throughout the world (4.6%, 2.8%, and 2.3%, respectively, of the Fund's long-term investments at period end).

 

GTO Guggenheim Total Return Bond ETF

Fund Overview

The Guggenheim Total Return Bond ETF, NYSE Arca ticker: GTO (the "Fund") seeks maximum total return, comprised of income and capital appreciation.

In managing the Fund, Guggenheim Partners Investment Management, LLC ("GPIM") uses a process for selecting securities for purchase and sale that is based on intensive credit research and involves extensive due diligence on each issuer, region, and sector. GPIM also considers macroeconomic outlook and geopolitical issues. GPIM maintains targets with respect to portfolio maturity and duration, which are reviewed continually by various teams, including the portfolio management team. These targets are set based on the interest rate outlook, the macro environment, and can be either absolute or relative to a portfolio's positioning to a benchmark.

The Fund will normally invest in a portfolio of fixed income instruments of varying maturities and of any credit quality. The Fund will normally invest at least 80% of its assets in fixed income instruments and also include exchange-traded funds ("ETFs") and closed-end funds ("CEFs") that invest substantially all of their assets in fixed income instruments. The Fund may invest in short-term instruments such as commercial paper, repurchase agreements, reverse repurchase agreements and short-term investment funds.

The fixed-income instruments in which the Fund invests include corporate debt securities of U.S. and non-U.S. issuers, including corporate bonds and other similar instruments, such as Treasury securities, collateralized loan obligations ("CLOs"), mortgage-backed securities ("MBS"), and asset-backed securities ("ABS"), issued by various U.S. and non-U.S. public- or private-sector entities, and municipal securities.

The Fund may invest up to 33 1/3% of its total assets in high yield debt securities ("junk bonds"), which are debt securities that are rated below investment grade by nationally recognized statistical rating organizations, or are unrated securities that GPIM believes are of comparable below investment grade quality. The Fund may also invest up to 20% of its total assets in participations in, or assignments of, bank loans or corporate loans.

The Fund also may seek certain exposures through derivative transactions, which may also create economic leverage in the Fund. The Fund may engage in derivative transactions for speculative purposes to enhance total return, to seek to hedge against fluctuations in securities prices, interest rates or currency rates, to change the effective duration of its portfolio, to manage certain investment risks and/or as a substitute for the purchase or sale of securities or currencies. The Fund may use leverage to the extent permitted by applicable law by entering into reverse repurchase agreements and borrowing transactions (principally lines of credit) for investment purposes.

Fund Performance
All Fund returns cited—whether based on net asset value ("NAV") or market price—assume the reinvestment of all distributions. This report discusses the semiannual fiscal period ended February 28, 2017.

On a market price basis, the Fund generated a total return of -0.24%, which included a decrease in market price over the period to $51.43 on February 28, 2017, from $52.60 on August 31, 2016. On an NAV basis, the Fund generated a total return of 0.01%, which included a decrease in NAV over the period to $51.49 on February 28, 2017, from $52.54 on August 31, 2016. At the end of the period the Fund's shares were trading at a market price discount to NAV, which is to be expected from time to time. All NAV returns include the deduction of management fees, operating expenses, and all other Fund expenses.

For comparison, the Bloomberg Barclays U.S. Aggregate Bond Index returned -2.19% for the same period.

The Fund made the following monthly distributions for the semiannual fiscal period ended February 28, 2017:

The total distribution on December 30, 2016 was composed of $0.1365 in ordinary income and $0.3075 in short-term capital gains.

GTO Guggenheim Total Return Bond ETF continued

Performance Review
Positive returns were attributed to continued spreads tightening across fixed income sectors despite the headwinds of a sharp increase in interest rates following the U.S. presidential election. The Fund's allocation to asset-backed securities, corporate bonds, and non-agency mortgaged-backed securities contributed to positive performance and relative outperformance versus the benchmark.

The investment-grade CLO market performed well during the period given strong investor demand for floating-rate securities. Volatility during early 2016 had kept many CLO issuers on the sidelines, even though investors continued to increase allocations to floating-rate CLO debt in response to rising USD London Interbank Offered Rate (LIBOR) and low to negative yields in Japan and Europe. Not surprisingly, CLO spreads tightened significantly in the last months of 2016. Already hoping to issue or refinance CLOs ahead of the December 2016 risk retention deadline, CLO issuers were only too happy to meet strong CLO demand. November represented the highest monthly CLO issuance of the year. The Fund will continue to focus on allocating to investment grade structured credit that may shield investors from rate volatility without having to sacrifice yield.

January's new issuance volume of investment grade corporate credit reached $167 billion, which was the second largest on record. On the whole, the positive technical environment for US bonds and other fixed income instruments should continue. U.S. investment-grade corporate bond yields look attractive relative to European investment-grade corporates with some at premiums of 200 basis points or more. Adding this to the continuing Asian flows into the U.S., the foreign flows should limit potential spread widening in the U.S. corporate bond market.

High-yield spreads tightened as that sector continued to rebound. The depressed commodity-price environment ultimately pressured earnings in oil, gas and metals, causing a wave of defaults to materialize. Based on the 1998 default cycle, we predicted that defaults would peak in 2016. Since peaking at 5.7% in August, the 12-month trailing default rate for all U.S. speculative-grade borrowers rated by Moody's has fallen to 5.5%. It is expected to decline further in 2017 according to Moody's.

Non-agency RMBS positioning was a positive contributor in the period due to low-duration, floating-rate structures that saw limited impact from higher interest rates. The sector benefited from ongoing improvements in credit fundamentals and tracked the rally in credit sectors. In addition to having an income advantage, non-agency RMBS saw price appreciation from spread tightening across all subsectors. Strongest performers were spread duration securities which are expected to experience improving cash flows from ongoing improvements in mortgage credit.

Given the Fed interest rate hike in December 2016, the upward trend in the 10-year U.S. Treasury note yield, and the anticipation of three to four additional rate hikes in 2017, the portfolio remains adherent to a "barbell" duration strategy. Around half of the portfolio was floating rate. At the other end of the "barbell" are longer-term government debt, with higher yields and longer durations. We anticipate over time the yield curve will bear flatten and thus we believe the longer duration securities to be more insulated to losses than the intermediate part of the curve.

 

OVLC Guggenheim U.S. Large Cap Optimized Volatility ETF

Fund Overview
The Guggenheim U.S. Large Cap Optimized Volatility ETF, NYSE Arca ticker: OVLC (the "Fund") seeks investment results that correspond generally to the performance, before the Fund's fees and expenses, of the Guggenheim U.S. Large Cap Optimized Volatility Index (the "Index"). The Index, composed of approximately 120 securities, is designed to capture the benefits of low volatility investing while outperforming these strategies during market rallies. The Index's optimized volatility methodology attempts to have a low volatility exposure much of the time but adopts a higher volatility exposure as market reward-to-risk levels dictate. By utilizing a systematic process to optimize the index methodology's volatility profile, the Index is designed to provide attractive risk-adjusted returns across a market cycle.

Index constituents must be constituents of the S&P 500 Index. Guggenheim Index Services^SM is the Index Provider ("Index Provider.") The Index Provider was previously named Accretive Asset Management, LLC. The Index Provider is affiliated with Guggenheim Investment Advisors, LLC and Guggenheim Fund Distributors, LLC. The Index Provider selects securities from the constituents of the S&P 500 Index for inclusion in the Index using a proprietary methodology that calculates the reward to risk of each security in the investable universe.

The Fund will invest at least 80% of its total assets in securities that comprise the Index. The Fund generally will invest in all of the securities comprising the Index in proportion to their weightings in the Index.

Fund Performance
All Fund returns cited—whether based on net asset value ("NAV") or market price—assume the reinvestment of all distributions. This report discusses the semiannual fiscal period ended February 28, 2017.

On a market price basis, the Fund generated a total return of 6.96%, which included an increase in market price over the period to $27.69 on February 28, 2017, from $26.14 on August 31, 2016. On an NAV basis, the Fund generated a total return of 6.95%, which included an increase in NAV over the period to $27.75 on February 28, 2017, from $26.20 on August 31, 2016. At the end of the period the Fund's shares were trading at a market price discount to NAV, which is to be expected from time to time. All NAV returns include the deduction of management fees, operating expenses, and all other Fund expenses.

For comparison, the Index returned 7.18%, and the S&P 500 Index returned 10.01% for the six-month period ended February 28, 2017.

The Fund made an annual income distribution of $0.2591 per share on December 30, 2016, to shareholders of record on December 28, 2016.

Performance Attribution
For the six-month period ended February 28, 2017, the financials sector contributed the most to the Fund's return, followed by the information technology sector. The telecommunications services sector detracted the most from the Fund's return, followed by the consumer staples sector.

Positions that contributed the most to the Fund's return included Apple, Inc., a technology company that designs, develops, and sells consumer electronics, computer software, and online services (2.5% of the Fund's long-term investments at period end); Wells Fargo & Co., a diversified financial services company (0.3% of the Fund's long-term investments at period end); and M&T Bank Corp., a regional bank holding company based in Buffalo (not held in the portfolio at period end).

Positions that detracted the most from the Fund's return included Target Corp., a U.S. discount retailer; General Mills, Inc., a maker of branded consumer foods sold through retail stores; and Under Armour, Inc. Class A, an American company that manufactures footwear, sports and casual apparel (0.9%, 1.1%, and 0.3%, respectively, of the Fund's long-term investments at period end).

 

This information does not represent an offer to sell securities of the Funds and it is not soliciting an offer to buy securities of the Funds. An investment in the various Guggenheim ETFs is subject to certain risks and other considerations. Below are some general risks and considerations associated with investing in a Fund, which may cause you to lose money, including the entire principal that you invest. Please refer to each individual ETF prospectus for a more detailed discussion of Fund-specific risks and considerations.

Investment Risk. An investment in a Fund is subject to investment risk, including the possible loss of the entire principal amount that you invest.

Equity Risk. The value of the securities held by each Fund may fall due to general market and economic conditions, perceptions regarding the industries in which the issuers of securities held by each Fund participate, or factors relating to specific companies in which such Fund invests.

Foreign Investment Risk. A Fund's investments in non-U.S. issuers may involve unique risks compared to investing in securities of U.S. issuers, including, among others, greater market volatility than U.S. securities and less complete financial information than for U.S. issuers. In addition, adverse political, economic, or social developments could undermine the value of such Fund's investments or prevent such Fund from realizing the full value of its investments. Financial reporting standards for companies based in foreign markets differ from those in the U.S. Finally, the value of the currency of the country in which a Fund has invested could decline relative to the value of the U.S. dollar, which may affect the value of the investment to U.S. investors. In addition, the underlying issuers of certain depositary receipts, particularly unsponsored or unregistered depositary receipts, are under no obligation to distribute shareholder communications to the holders of such receipts, or to pass through to them any voting rights with respect to the deposited securities.

Emerging Markets Risk. Investment in securities of issuers based in developing or "emerging market" countries entails all of the risks of investing in securities of non-U.S. issuers, as previously described, but to a heightened degree.

Micro-, Small-, and Medium-Sized Company Risk. Investing in securities of these companies involves greater risk as their stocks may be more volatile and less liquid than investing in more established companies. These stocks may have returns that vary, sometimes significantly, from the overall stock market. Micro-cap companies may be newly formed, less developed, and there may be less available information about the company.

Replication Management Risk (except GTO). The Funds are not "actively" managed. Therefore, a Fund would not necessarily sell a security because the stock's issuer was in financial trouble unless that stock is removed from such Fund's Index.

Non-Correlation Risk (except GTO). A Fund's return may not match the return of such Fund's index for a number of reasons. For example, the Fund incurs a number of operating expenses not applicable to the Index, and incurs costs in buying and selling securities, especially when rebalancing the Fund's securities holdings to reflect changes in the composition of the Index. A Fund may not be fully invested at times, either as a result of cash flows into such Fund or reserves of cash held by a Fund to meet redemptions and expenses. If a Fund utilizes a sampling approach or futures or other derivative positions, its return may not correlate as well with the return on the Index, as would be the case if it purchased all of the securities in the Index with the same weightings as the Index.

Issuer-Specific Changes. The value of an individual security or particular type of security can be more volatile than the market as a whole and can perform differently from the value of the market as a whole. The value of securities of smaller issuers can be more volatile than that of larger issuers.

Non-Diversified Fund Risk. Certain Funds are considered non-diversified and can invest a greater portion of assets in securities of individual issuers than a diversified fund. As a result, changes in the market value of a single investment could cause greater fluctuations in share price than would occur in a diversified fund.

Concentration Risk. If the Index concentrates in an industry or group of industries, the Fund's investments will be concentrated accordingly. In such event, the value of the Fund's shares may rise and fall more than the value of shares of a fund that invests in securities of companies in a broader range of industries.

China Investment Risk (YAO and CQQQ). Investing in securities of Chinese companies involves additional risks, including, but not limited to: the economy of China differs, often unfavorably, from the U.S. economy in such respects as structure, general development, government involvement, wealth distribution, rate of inflation, growth rate, allocation of resources, and capital reinvestment, among others; the central government has historically exercised substantial control over virtually every sector of the Chinese economy through administrative regulation and/or state ownership; and actions of the Chinese central and local government authorities continue to have a substantial effect on economic conditions in China.

Recent Market Developments Risk. Global and domestic financial markets have experienced periods of unprecedented turmoil. Recently, markets have witnessed more stabilized economic activity as expectations for an economic recovery increased. However, risks to a robust resumption of growth persist. Continuing uncertainty as to the status of the euro and the European Monetary Union has created significant volatility in currency and financial markets generally. A return to unfavorable economic conditions or sustained economic slowdown could adversely impact the Funds' portfolios. Financial

 

market conditions, as well as various social and political tensions in the U.S. and around the world, have contributed to increased market volatility and may have long-term effects on the U.S. and worldwide financial markets and cause further economic uncertainties or deterioration in the U.S. and worldwide. The Investment Advisors do not know how long the financial markets will continue to be affected by these events and cannot predict the effects of these or similar events in the future on the U.S. and global economies and securities markets.

There is no assurance that the requirements of the NYSE Arca necessary to maintain the listing of the Funds will continue to be met or will remain unchanged.

In addition to the risks described, there are certain other risks related to investing in the Funds. These risks are described further in each Fund's Prospectus and Statement of Additional Information and at guggenheiminvestments.com.

 

YAO Guggenheim China All-Cap ETF

Performance data quoted represents past performance, which is no guarantee of future results and current performance may be lower or higher than the figures shown. All NAV returns include the deduction of management fees, operating expenses and all other Fund expenses. The deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares is not reflected in the total returns. For the most recent month-end performance figures, please visit guggenheiminvestments.com. The investment return and principal value of an investment will fluctuate with changes in market conditions and other factors so that an investor's shares, when redeemed, may be worth more or less than their original cost.

Since inception returns assume a purchase of the Fund at the initial share price of $24.82 per share for share price returns or initial net asset value (NAV) of $24.82 per share for NAV returns. Returns for periods of less than one year are not annualized.

The MSCI China Index is a capitalization-weighted index that measures the performance of large- and mid-cap securities in the Chinese equity markets and includes representation across China H shares, B shares, Red chips and P chips.

The referenced index is unmanaged and not available for direct investment. Index performance does not reflect transaction costs, fees or expenses.

The Fund's annual operating expense ratio of 0.70% is expressed as a unitary fee and covers all expenses of the Fund, except for distribution fees, if any, brokerage expenses, taxes, interest, litigation expenses and other extraordinary expenses. Please see Financial Highlights for recent expense ratios.

"Ten Largest Holdings" excludes any temporary cash investments.

 

CQQQ Guggenheim China Technology ETF

Performance data quoted represents past performance, which is no guarantee of future results and current performance may be lower or higher than the figures shown. All NAV returns include the deduction of management fees, operating expenses and all other Fund expenses. The deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares is not reflected in the total returns. For the most recent month-end performance figures, please visit guggenheiminvestments.com. The investment return and principal value of an investment will fluctuate with changes in market conditions and other factors so that an investor's shares, when redeemed, may be worth more or less than their original cost.

Since inception returns assume a purchase of the Fund at the initial share price of $25.06 per share for share price returns or initial net asset value (NAV) of $25.06 per share for NAV returns. Returns for periods of less than one year are not annualized.

The MSCI China Index is a capitalized-weighted index that measures the performance of large- and mid-cap securities in the Chinese equity markets and includes representation across China H shares, B shares, Red chips, and P chips.

The referenced index is unmanaged and not available for direct investment. Index performance does not reflect transaction costs, fees or expenses.

The Fund's annual operating expense ratio of 0.70% is expressed as a unitary fee and covers all expenses of the Fund, except for distribution fees, if any, brokerage expenses, taxes, interest, litigation expenses and other extraordinary expenses. Please see Financial Highlights for recent expense ratios.

"Ten Largest Holdings" excludes any temporary cash investments.

 

TAN Guggenheim Solar ETF

Performance data quoted represents past performance, which is no guarantee of future results and current performance may be lower or higher than the figures shown. All NAV returns include the deduction of management fees, operating expenses and all other Fund expenses. The deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares is not reflected in the total returns. For the most recent month-end performance figures, please visit guggenheiminvestments.com. The investment return and principal value of an investment will fluctuate with changes in market conditions and other factors so that an investor's shares, when redeemed, may be worth more or less than their original cost.

Since inception returns assume a purchase of the Fund at the initial share price of $251.30* per share for share price returns or initial net asset value (NAV) of $251.30* per share for NAV returns. Returns for periods of less than one year are not annualized.

The Morgan Stanley Capital International (MSCI) World Index measures performance from a diverse range of global stock markets, including the U.S., Canada, Europe, Australia, New Zealand, and the Far East.

The referenced index is unmanaged and not available for direct investment. Index performance does not reflect transaction costs, fees or expenses.

Per the most recent prospectus, the Fund's annualized gross operating expense ratio, gross of any fee waivers or expense reimbursements, was 0.88%. In the Financial Highlights section of this Semi-annual Report, the Fund's annualized net operating expense ratio was 0.69% while the Fund's annualized gross operating expense ratio, gross of any fee waivers or expense reimbursements, was 0.78%. There is a contractual fee waiver currently in place for this Fund through December 31, 2019 to the extent necessary in keeping the Fund's operating expense ratio from exceeding 0.65% of average net assets per year. Some expenses fall outside of this expense cap and actual expenses may be higher than 0.65%. Without this expense cap, actual returns would be lower. Please see Financial Highlights for recent expense ratios.

"Ten Largest Holdings" excludes any temporary cash investments.

*Reflects 1 for 10 reverse stock split that occurred on February 15, 2012.

 

CGW Guggenheim S&P Global Water Index ETF

Performance data quoted represents past performance, which is no guarantee of future results and current performance may be lower or higher than the figures shown. All NAV returns include the deduction of management fees, operating expenses and all other Fund expenses. The deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares is not reflected in the total returns. For the most recent month-end performance figures, please visit guggenheiminvestments.com. The investment return and principal value of an investment will fluctuate with changes in market conditions and other factors so that an investor's shares, when redeemed, may be worth more or less than their original cost.

Since inception returns assume a purchase of the Fund at the initial share price of $24.78 per share for share price returns or initial net asset value (NAV) of $24.78 per share for NAV returns. Returns for periods of less than one year are not annualized.

The Morgan Stanley Capital International (MSCI) World Index measures performance from a diverse range of global stock markets, including the U.S., Canada, Europe, Australia, New Zealand, and the Far East. The Dow Jones Global Utilities Index consists of companies that provide electrical, water, natural gas, and telephone utilities. The index is quoted in USD.

The referenced indices are unmanaged and not available for direct investment. Index performance does not reflect transaction costs, fees or expenses.

Per the most recent prospectus, the Fund's annualized gross operating expense ratio, gross of any fee waivers or expense reimbursements, was 0.64%. In the Financial Highlights section of this Semi-annual Report, the Fund's annualized net operating expense ratio was 0.63% while the Fund's annualized gross operating expense ratio, gross of any fee waivers or expense reimbursements, was 0.63%. There is a contractual fee waiver currently in place for this Fund through December 31, 2019 to the extent necessary in keeping the Fund's operating expense ratio from exceeding 0.65% of average net assets per year. Some expenses fall outside of this expense cap and actual expenses may be higher than 0.65%. Without this expense cap, actual returns would be lower. Please see Financial Highlights for recent expense ratios.

"Ten Largest Holdings" excludes any temporary cash investments.

 

GHII Guggenheim S&P High Income Infrastructure ETF

Performance data quoted represents past performance, which is no guarantee of future results and current performance may be lower or higher than the figures shown. All NAV returns include the deduction of management fees, operating expenses and all other Fund expenses. The deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares is not reflected in the total returns. For the most recent month-end performance figures, please visit guggenheiminvestments.com. The investment return and principal value of an investment will fluctuate with changes in market conditions and other factors so that an investor's shares, when redeemed, may be worth more or less than their original cost.

Since inception returns assume a purchase of the Fund at the initial share price of $25.05 per share for share price returns or initial net asset value (NAV) of $25.05 per share for NAV returns. Returns for periods of less than one year are not annualized.

The S&P Global BMI is a comprehensive, rules-based index designed to measure global stock market performance. The index covers all publicly listed equities with float adjusted market values of $100 million or more and annual dollar value traded of at least $50 million in all included countries. The S&P Global BMI is made up of the S&P Developed BMI and the S&P Emerging BMI indices. The referenced indices are unmanaged and not available for direct investment. Index performance does not reflect transaction costs, fees or expenses.

The Fund's annual operating expense ratio of 0.45% is expressed as a unitary fee and covers all expenses of the Fund, except for distribution fees, if any, brokerage expenses, taxes, interest, litigation expenses and other extraordinary expenses. Please see Financial Highlights for recent expense ratios.

"Ten Largest Holdings" excludes any temporary cash investments.

 

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) continued

February 28, 2017

GHII Guggenheim S&P High Income Infrastructure ETF continued

 

GTO Guggenheim Total Return Bond ETF

 

Performance data quoted represents past performance, which is no guarantee of future results and current performance may be lower or higher than the figures shown. All NAV returns include the deduction of management fees, operating expenses and all other Fund expenses. The deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares is not reflected in the total returns. For the most recent month-end performance figures, please visit guggenheiminvestments.com. The investment return and principal value of an investment will fluctuate with changes in market conditions and other factors so that an investor's shares, when redeemed, may be worth more or less than their original cost.

Since inception returns assume a purchase of the Fund at the initial share price of $49.97 per share for share price returns or initial net asset value (NAV) of $49.97 per share for NAV returns. Returns for periods of less than one year are not annualized.

The Bloomberg Barclays U.S. Aggregate Bond Index is a broad-based benchmark that measures the investment grade, U.S. dollar denominated, fixed-rate taxable bond market, including Treasuries, government-related and corporate securities, MBS (agency fixed-rate and hybrid ARM passthroughs), ABS and CMBS. The referenced indices are unmanaged and not available for direct investment. Index performance does not reflect transaction costs, fees or expenses.The referenced indices are unmanaged and not available for direct investment. Index performance does not reflect transaction costs, fees or expenses.

The Fund's annual operating expense ratio of 0.50% is expressed as a unitary fee and covers all expenses of the Fund, except for distribution fees, if any, brokerage expenses, taxes, interest, litigation expenses and other extraordinary expenses. For the period ended February 28, 2017, the Fund's total net expense ratio was 0.48% due to voluntary expense waivers. Please see Financial Highlights for recent expense ratios.

"Ten Largest Holdings" excludes any temporary cash investments.

 

GTO Guggenheim Total Return Bond ETF continued

 

OVLC Guggenheim U.S. Large Cap Optimized Volatility ETF

Performance data quoted represents past performance, which is no guarantee of future results and current performance may be lower or higher than the figures shown. All NAV returns include the deduction of management fees, operating expenses and all other Fund expenses. The deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares is not reflected in the total returns. For the most recent month-end performance figures, please visit guggenheiminvestments.com. The investment return and principal value of an investment will fluctuate with changes in market conditions and other factors so that an investor's shares, when redeemed, may be worth more or less than their original cost.

Since inception returns assume a purchase of the Fund at the initial share price of $25.14 per share for share price returns or initial net asset value (NAV) of $25.14 per share for NAV returns. Returns for periods of less than one year are not annualized.

The Standard and Poor's 500 Index (S&P 500^®) is a broad-based index, the performance of which is based on the performance of 500 widely held common stocks chosen for market size, liquidity and industry group representation. The referenced indices are unmanaged and not available for direct investment. Index performance does not reflect transaction costs, fees or expenses.

The Fund's annual operating expense ratio of 0.30% is expressed as a unitary fee and covers all expenses of the Fund, except for distribution fees, if any, brokerage expenses, taxes, interest, litigation expenses and other extraordinary expenses. Please see Financial Highlights for recent expense ratios.

"Ten Largest Holdings" excludes any temporary cash investments.

 

All funds have operating expenses and it is important for our shareholders to understand the impact of costs on their investments. Shareholders of a Fund incur advisory fees and other Fund expenses which are deducted from a Fund's gross income and reduce the investment return of the Fund.

A fund's expenses are expressed as a percentage of its average net assets, which is known as the expense ratio. The following examples are intended to help investors understand the ongoing costs (in dollars) of investing in a Fund and to compare these costs with the ongoing costs of investing in other funds.

The examples are based on an investment of $1,000 made at the beginning of the period and held for the entire six-month period beginning August 31, 2016 and ending February 28, 2017.

The following tables illustrate a Fund's costs in two ways:

Table 1. Based on actual Fund return. This section helps investors estimate the actual expenses paid over the period. The "Ending Account Value" shown is derived from the Fund's actual return, and the fifth column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Fund. Investors may use the information here, together with the amount invested, to estimate the expenses paid over the period. Simply divide the Fund's account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number provided under the heading "Expenses Paid During Period."

Table 2. Based on hypothetical 5% return. This section is intended to help investors compare a Fund's cost with those of other funds. The table provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses paid during the period. The example is useful in making comparisons because the U.S. Securities and Exchange Commission (the "SEC") requires all mutual funds to calculate expenses based on the 5% return. Investors can assess a Fund's costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.

The calculations illustrated above assume no shares were bought or sold during the period. Actual costs may have been higher or lower, depending on the amount of investment and the timing of any purchases or redemptions.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) on purchase payments, and contingent deferred sales charges ("CDSC") on redemptions, if any. Therefore, the second table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

More information about a Fund's expenses, including annual expense ratios for the past five years, can be found in the Financial Highlights section of this report. For additional information on operating expenses and other shareholder costs, please refer to the appropriate Fund prospectus.

 

YAO Guggenheim China All-Cap ETF

 

YAO Guggenheim China All-Cap ETF continued

 

YAO Guggenheim China All-Cap ETF continued

 

YAO Guggenheim China All-Cap ETF continued

See Sector Classification in Supplemental Information section.

The following table summarizes the inputs used to value the Fund's investments at February 28, 2017 (See Note 4 in the Notes to Financial Statements):