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·	Investor guides and fund fact sheets.

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Contents
Dear Shareholder	3
Economic and Market Overview	4
Management Discussion of Fund Performance	6
Performance Report and Fund Profile	20
About Shareholders’ Fund Expenses	34
Schedule of Investments	35
Statements of Assets and Liabilities	57
Statements of Operations	59
Statements of Changes in Net Assets	61
Financial Highlights	65
Notes to Financial Statements	72
Report of Independent Registered Public Accounting Firm	85
Other Information	86
Approval of Advisory Agreements –
Claymore Exchange-Traded Fund Trust 2	91
Trust Information	96
About the Trust Adviser	Back Cover

 

(Unaudited)	August 31, 2017

 

DEAR SHAREHOLDER

Guggenheim Funds Investment Advisors, LLC and Guggenheim Partners Investment Management, LLC (the “Investment Advisers”) are pleased to present the annual shareholder report for several of our exchange-traded funds (“ETFs” or “Funds”). This report covers performance of the Funds for the annual fiscal period ended August 31, 2017.

The Investment Advisers are each 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.

We also note that Guggenheim Investments has entered into a definitive agreement to sell its exchange-traded funds business to Invesco Ltd. (“Invesco”), a leading global investment management company. As a result, we expect to propose to the Board of Trustees of the Claymore Exchange-Traded Fund Trust that it approve a reorganization of each Fund into a newly organized exchange-traded fund advised by an affiliate of Invesco. If approved by the Board, the reorganization of each Fund would be submitted to the shareholders of the respective Fund for their approval.

Sincerely,

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ECONOMIC AND MARKET OVERVIEW (Unaudited)	August 31, 2017

 

Second-quarter U.S. real gross domestic product (“GDP”) growth was solid at 3.0% annualized, rebounding from a soft 1.4% reading in the first quarter. We anticipate that personal spending will continue to propel above-trend real GDP growth in coming quarters, supported by strong gains in household income and net worth.

The U.S. labor market has strengthened further, despite softer gains in August. The 12-month moving average stands at 175,000, roughly double the amount needed to keep the unemployment rate steady. Indeed, the unemployment rate has fallen by 0.5 percentage point over the past year to 4.4%, and we expect further declines going forward.

Inflation and wage gains have disappointed in recent months, however, with core personal consumption expenditure (“PCE”) inflation slowing from 1.9% to 1.4% year over year between February and July. While transitory factors account for some of the weakness, inflation should be accelerating, not slowing. Nevertheless, the U.S. Federal Reserve (the “Fed”) pressed forward with a quarter-point rate increase at its June meeting, and projected another hike in 2017, plus three more in both 2018 and 2019. The Fed’s forecasts show that it expects inflation weakness will not persist beyond 2017.

A key reason the Fed is shrugging off soft inflation data is that measures of broad U.S. financial conditions—which incorporate factors such as short- and long-term interest rates, credit spreads, equity prices and the exchange value of the dollar—have eased even as the Fed has tightened. There has also been a benign market reaction to the Fed’s pre-announcement of its balance sheet normalization strategy, which we expect to be implemented starting in October. The fact that growth-friendly financial conditions still prevail despite Fed tightening—and diminished odds of fiscal easing—has given the Fed confidence that it can stick to its plans to gradually raise rates and shrink its balance sheet without damaging the economy.

The European Central Bank’s (“ECB”) path is arguably more treacherous than the Fed’s because markets are more uncertain about the future of the ECB’s asset purchase program. Purchases are currently scheduled to continue at a pace of €60 billion per month through 2017. We expect the ECB will announce a reduction in the purchase pace to €40 billion through at least mid-2018, effective in January, later this fall. With the tide of central bank liquidity receding, markets are due for an increase in volatility.

For the 12-month period ended August 31, 2017, the Standard & Poor’s 500^® (“S&P 500”) Index returned 16.23%. The MSCI Europe-Australasia-Far East (“EAFE”) Index returned 17.64%. The return of the MSCI Emerging Markets Index was 24.53%.

In the bond market, the Bloomberg Barclays U.S. Aggregate Bond Index posted a 0.49% return for the period, while the Bloomberg Barclays U.S. Corporate High Yield Index returned 8.63%. The return of the Bank of America (“BofA”) Merrill Lynch 3-Month U.S. Treasury Bill Index was 0.62% for the 12-month period.

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ECONOMIC AND MARKET OVERVIEW (Unaudited) continued	August 31, 2017

 

Index Definitions

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

BofA 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 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 Barclays industry classifications.

 

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MANAGEMENT DISCUSSION OF FUND PERFORMANCE (Unaudited)	August 31, 2017

 

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 annual fiscal period ended August 31, 2017.

On a market price basis, the Fund generated a total return of 29.51%, which included an increase in market price over the period to $33.23 on August 31, 2017, from $26.23 on August 31, 2016. On an NAV basis, the Fund generated a total return of 29.33%, which included an increase in NAV over the period to $33.14 on August 31, 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 30.34%, and the MSCI China Index returned 35.00% 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 12-month period ended August 31, 2017, the information technology sector contributed the most to the Fund’s return, followed by the financials sector. The telecommunications services sector was the only one to detract from return. The utilities sector contributed least.

Positions that contributed the most to the Fund’s return included Alibaba Group Holding Ltd. ADR, which operates as a holding company that provides Internet infrastructure, e-commerce, online financial, and Internet content services through its subsidiaries; Tencent Holdings Ltd., a Chinese Internet service portal; and JD.com, Inc. ADR, also known as Jingdong and formerly called 360buy, which is a Chinese e-commerce company (7.5%, 6.8%, and 3.0%, 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 (3.9% of the Fund’s long-term investments at period end); Vipshop Holdings Ltd. ADR, a Chinese company that operates the e-commerce website VIP.com specializing in online discount sales (0.3% of the Fund’s long-term investments at period end); and China Huishan Dairy Holdings Company Ltd., a producer and seller of raw milk, liquid milk products and milk powder products (less than 0.1% of the Fund’s long-term investments at period end).

 

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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 annual fiscal period ended August 31, 2017.

On a market price basis, the Fund generated a total return of 43.66%, which included an increase in market price over the period to $55.21 on August 31, 2017, from $39.08 on August 31, 2016. On an NAV basis, the Fund generated a total return of 42.43%, which included an increase in NAV over the period to $55.00 on August 31, 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 42.92%, and the MSCI China Index returned 35.00% 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 12-month period ended August 31, 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 Sunny Optical Technology Group Company Ltd, which designs and manufactures optical and optical related products; Tencent Holdings Ltd., a Chinese Internet service portal; and NetEase, Inc. ADR, a Chinese Internet company (7.3%, 11.7%, and 4.8%, respectively, of the Fund’s long-term investments at period end).

Positions that detracted the most from the Fund’s return included GCL-Poly Energy Holdings Ltd., a green energy supplier in China, providing power and heat via cogeneration, incineration, and wind power (1.1% of the Fund’s long-term investments at period end); Coolpad Group Ltd., which provides a range of wireless system solutions and wireless terminal products (less than 0.1% of the Fund’s long-term investments at period end); and Lenovo Group Ltd., which, through its subsidiaries, sells and manufacturers personal computers and handheld devices (2.4% of the Fund’s long-term investments at period end).

 

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MANAGEMENT DISCUSSION OF FUND PERFORMANCE (Unaudited) continued	August 31, 2017

 

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 August 31, 2017, the Index is comprised of approximately 25 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 annual fiscal period ended August 31, 2017.

On a market price basis, the Fund generated a total return of 9.01%, which included an increase in market price over the period to $21.70 on August 31, 2017, from $20.91 on August 31, 2016. On an NAV basis, the Fund generated a total return of 8.72%, which included a increase in NAV over the period to $21.62 on August 31, 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 6.48%, and the MSCI World Index returned 16.19% 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 financials sectors contributed the most to the Fund’s return for the 12-month period ended August 31, 2017. The industrials sector was the only one to detract from return. The consumer discretionary sector contributed least.

Positions that contributed the most to the Fund’s return included SolarEdge Technologies, Inc., a provider of power optimizer, solar inverter and monitoring solutions for photovoltaic arrays; First Solar, Inc., a leading global provider of comprehensive photovoltaic (PV) solar systems which use its advanced module and system technology; and Meyer Burger Technology AG, which supplies systems and production equipment to the photovoltaic, semiconductor, and optoelectronic industries (5.8%, 9.5%, and 5.0%, respectively, of the Fund’s long-term investments at period end).

Positions that detracted the most from the Fund’s return included Shunfeng International Clean Energy Ltd., a comprehensive solar energy operator; GCL-Poly Energy Holdings Ltd., a green energy supplier in China, providing power and heat via cogeneration, incineration, and wind power; and Xinyi Solar Holdings Ltd., a maker of solar glass (1.0%, 6.1%, and 6.3%, respectively, of the Fund’s long-term investments at period end).

 

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MANAGEMENT DISCUSSION OF FUND PERFORMANCE (Unaudited) continued	August 31, 2017

 

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 annual fiscal period ended August 31, 2017.

On a market price basis, the Fund generated a total return of 12.18%, which included an increase in market price over the period to $33.46 on August 31, 2017, from $30.32 on August 31, 2016. On an NAV basis, the Fund generated a total return of 12.09%, which included an increase in NAV over the period to $33.38 on August 31, 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 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 12.35%, the MSCI World Index returned 16.19%, and the Dow Jones Global Utilities Index returned 15.39% 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 12-month period ended August 31, 2017, the industrials sector contributed the most to return, followed by the utilities sector. No sector detracted, but the information technology sector contributed least.

Positions that contributed the most to the Fund’s return included Alfa Laval AB, which provides specialized products and engineering solutions; Olin Corp., a manufacturer of chemicals and ammunition products; and Xylem, Inc., an American water-technology supplier (3.2%, 2.6%, and 5.4%, respectively, of the Fund’s long-term investments at period end).

Positions that detracted the most from the Fund’s return included Fomento de Construcciones y Contratas S.A., a Spanish concern that offers construction services and manufactures building materials (not held in the portfolio at period end); United Utilities Group Plc, which manages and operates the regulated electricity distribution, water, and wastewater networks in North West England (4.2% of the Fund’s long-term investments at period end); and Forterra, Inc., which manufactures pipe and precast concrete products (less than 0.1% of the Fund’s long-term investments at period end).

 

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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 annual fiscal period ended August 31, 2017.

On a market price basis, the Fund generated a total return of 12.17%, which included an increase in market price over the period to $28.35 on August 31, 2017, from $26.48 on August 31, 2016. On an NAV basis, the Fund generated a total return of 12.98%, which included an increase in NAV over the period to $28.33 on August 31, 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 13.69%, and the S&P Global BMI Index returned 17.75% for the same period.

The Fund pays distributions quarterly on the last business day of each calendar quarter to shareholders of record two business days earlier. Per share distributions paid over the fiscal period ended August 31, 2017, were:

Payable Date		Amount
September 30, 2016		$	0.2954
December 30, 2016		$	0.1778
March 31, 2017		$	0.2067
June 30, 2017		$	0.6011
Total		$	1.2810

 

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 annual fiscal period ended August 31, 2017, the utilities sector contributed the most to the Fund’s performance, followed by the energy sector. The financials sector was the only one to detract from return. The industrials sector contributed least.

Positions that contributed the most to the Fund’s return included Veresen, Inc., a Calgary-based energy infrastructure company (2.6% of the Fund’s long-term investments at period end); Golar LNG Ltd., an independent owner and operator of liquefied natural gas (LNG) infrastructure (not held in the portfolio at period end); and Abertis Infraestructuras S.A., which runs toll roads and telecommunication infrastructure in Europe and America (2.4% of the Fund’s long-term investments 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 (2.9% of the Fund’s long-term investments at period end); Teekay Tankers Ltd. Class A, an operator of mid-sized tankers and owner of a fleet of double-hull vessels (not held in the portfolio at period end); and Frontline Ltd., an oil tanker shipping company (0.8% of the Fund’s long-term investments at period end).

 

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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 annual fiscal period ended August 31, 2017.

On a market price basis, the Fund generated a total return of 3.47%, which included an increase in market price over the period to $52.67 on August 31, 2017, from $52.60 on August 31, 2016. On an NAV basis, the Fund generated a total return of 3.47%, which included an increase in NAV over the period to $52.61 on August 31, 2017, from $52.54 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 all other Fund expenses.

For comparison, the Bloomberg Barclays U.S. Aggregate Bond Index returned 0.49% for the same period.

The Fund made the following monthly distributions for the annual fiscal period ended August 31, 2017:

Payable Date		Amount
September 8, 2016		$	0.1283
October 7, 2016		$	0.1164
November 7, 2016		$	0.0688
December 7, 2016		$	0.1155
January 4, 2017		$	0.4440
February 7, 2017		$	0.1619
March 7, 2017		$	0.1134
April 7, 2017		$	0.1436
May 5, 2017		$	0.1087
June 7, 2017		$	0.1065
July 10, 2017		$	0.1192
August 7, 2017		$	0.0640
Total		$	1.6903

 

The total distribution on January 4, 2017 was composed of $0.1365 in ordinary income and $0.3075 in short-term capital gains.

 

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GTO Guggenheim Total Return Bond ETF (continued)

Performance Review

Tightening credit spreads, duration, and the Fund’s carry led to outperformance versus the benchmark during the period. Carry refers to the income received net of borrowing costs from portfolio investments over a defined period. We continue to focus on higher quality and shorter spread duration investments until spreads widen to compensate investors appropriately for lower-quality credits and weaker structural protections. Positive returns have largely been driven by the Fund’s investments in collateralized loan obligations (CLOs), nonagency residential mortgage-backed securities (NA-RMBS), and commercial mortgage-back securities (CMBS).

Investment grade CLOs performed well during the period as spreads continue to trade at the tight end of post-crisis levels. The CLO market is reaching the end of its refinancing and reset wave. The total deal balance of CLOs refinanced or reset in the first half of 2017 reached $117 billion, plus $59 billion of new issues. Net new issuance of $25 billion for the full year is forecast. CLO refinance AAA rallied sharply in the second quarter, with spreads tightening from 125 to 95 basis points. We currently favor refinanced AAA and A CLO tranches.

CMBS positioning contributed to return. We generally prefer senior investment grade securities in select single asset single borrower (SASB) and AAA interest only CMBS conduit. We also remain active in commercial real estate (CRE) CLO transactions, given their short maturity profiles.

NA-RMBS positioning was a positive contributor during the period. We have been upgrading opportunistically to shorter maturity and more senior tranches for a relatively small spread concession. However, we believe opportunities exist to earn returns in excess of quoted spreads due to the nature of discount-priced RMBS. In addition, we continue to look at the resecuritization subsector for opportunities.

August new issue estimates of investment grade bond issuance were for $80-90 billion, well below last year’s record $116 billion, but above the $65 billion August average. On the whole, the positive technical environment for U.S. bonds and other fixed income instruments should continue. U.S. investment-grade corporate bond yields look attractive relative to European investment-grade corporates and foreign flows should limit potential spread widening in the U.S. corporate bond market.

High yield corporate bonds performed well during the period. With prices already near par, we continue to expect that bond market returns will largely consist of coupons, with limited price upside. Given current spread valuations, the fund reduced its exposure to high yield corporate bonds over the first half of 2017.

Bank loans, which have been stymied by refinancing activity, generally have reduced contractual spreads at the expense of the investor. Moreover, while three-month Libor increased from 1.0 percent to 1.3 percent over the course of the first half, it did not keep pace with increases in the effective fed funds rate.

The allocation to long dated treasury bonds detracted from performance, as 30 year treasury yields rose over the period.

Barbell key rate duration positioning added to performance as the yield curve flattened during the period. The fund was overweight to floating-rate assets at the short end, underweight fixed in the intermediary part of the curve, and overweight key rate duration exposure at the long end of the curve. We believe this rate strategy will continue to benefit the Fund versus the benchmark from a greater jump in short-term rates as the Fed accelerates its pace of rate hikes. Meanwhile, yields at the long-end should stay anchored near 3 percent, which is Guggenheim’s projection of the terminal fed funds rate in this tightening cycle.

 

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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.

Guggenheim Index Services^SM is the Index Provider (“Index Provider”), which 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 annual fiscal period ended August 31, 2017.

On a market price basis, the Fund generated a total return of 9.28%, which included an increase in market price over the period to $28.29 on August 31, 2017, from $26.14 on August 31, 2016. On an NAV basis, the Fund generated a total return of 10.50%, which included an increase in NAV over the period to $28.67 on August 31, 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 10.93%, and the S&P 500 Index returned 16.23% for the 12-month period ended August 31, 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 12-month period ended August 31, 2017, the information technology sector contributed the most to the Fund’s return, followed by the health care sector. The telecommunications services sector detracted the most from the Fund’s return, followed by the energy 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; Intuitive Surgical, Inc., a maker of robotic surgical systems; and Wells Fargo & Co., a diversified financial services company (3.0%, 1.3%, and 0.2%, respectively, of the Fund’s long-term investments at period end).

Positions that detracted the most from the Fund’s return included Target Corp., a U.S. discount retailer (not held in the portfolio at period end); and both the Class A and Class C shares of Under Armour, Inc., an American company that manufactures footwear, sports and casual apparel (0.4% and 0.4%, respectively, of the Fund’s long-term investments at period end).

 

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The views expressed in this report reflect those of the portfolio managers, Guggenheim Partners Investment Management, LLC and Guggenheim Funds Investment Advisors, LLC only through the report period as stated on the cover. These views are subject to change at any time, based on market and other conditions and should not be construed as a recommendation of any kind. The material may also contain forward looking statements that involve risk and uncertainty, and there is no guarantee they will come to pass.

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.

Active Management Risk (GTO only)—The Fund is actively managed, which means that investment decisions are made based on investment views. There is no guarantee that the investment views will produce the desired results or expected returns, causing the Fund to fail to meet its investment objective or underperform its benchmark index or funds with similar investment objectives and strategies. Furthermore, active trading that can accompany active management, also called “high turnover,” may have a negative impact on performance. Active trading may result in higher brokerage costs or mark-up charges, which are ultimately passed on to shareholders of the Fund. Active trading may also result in adverse tax consequences.

Asset-Backed Securities Risk (GTO only)—Investors in ABS, including MBS and structured finance investments, generally receive payments that are part interest and part return of principal. These payments may vary based on the rate at which the underlying borrowers pay off their loans. Some ABS, including MBS, may have structures that make their reaction to interest rates and other factors difficult to predict, causing their prices to be volatile. These instruments are particularly subject to interest rate, credit and liquidity and valuation risks.

Asset Class Risk—The securities in a Fund’s portfolio may underperform the returns of other securities or indices that track other industries, markets, asset classes or sectors.

China Investment Risk (YAO and CQQQ only)—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; actions of the Chinese central and local government authorities continue to have a substantial effect on economic conditions in China (including both direct and indirect market stabilization efforts, which may affect valuations of Chinese issuers); and both interim and permanent market regulations may affect the ability of certain stockholders to sell Chinese securities when it would otherwise be advisable. In addition, the Chinese government has from time to time taken actions that influence the prices at which certain goods may be sold, encourage companies to invest or concentrate in particular industries, induce mergers between companies in certain industries and induce private companies to publicly offer their securities to increase or continue the rate of economic growth, control the rate of inflation or otherwise regulate economic expansion. It may do so in the future as well, potentially having a significant adverse effect on economic conditions in China, the economic prospects for, and the market prices and liquidity of, the securities of Chinese companies and the payments of dividends and interest by Chinese companies.

Collateralized Loan Obligations and Collateralized Debt Obligations Risk (GTO only)—Collateralized loan obligations (“CLOs”) bear many of the same risks as other forms of asset-backed securities, including interest rate risk, credit risk and default risk. As they are backed by pools of loans, CLOs also bear similar risks to investing in loans directly. CLOs issue classes or “tranches” that vary in risk and yield. CLOs may experience substantial losses attributable to loan defaults. Losses caused by defaults on underlying assets are borne first by the holders of subordinate tranches. The Fund’s investment in CLOs may decrease in market value when the CLO experiences loan defaults or credit impairment, the disappearance of a subordinate tranche, or market anticipation of defaults and investor aversion to CLO securities as a class.

Collateralized debt obligations (“CDOs”) are structured similarly to CLOs and bear the same risks as CLOs including interest rate risk, credit risk and default risk. CDOs are subject to additional risks because they are backed by pools of assets other than loans including securities (such as other asset-backed securities), synthetic instruments or bonds and may be highly leveraged. Like CLOs, losses incurred by a CDO are borne first by holders of subordinate tranches. Accordingly, the risks of CDOs depend largely on the type of underlying collateral and the tranche of CDOs in which the Fund invests. For example, CDOs that obtain their exposure through synthetic investments entail the risks associated with derivative instruments.

Commercial Paper Risk (GTO only)—The value of the Fund’s investment in commercial paper, which is an unsecured promissory note that generally has a maturity date between one and 270 days and is issued by a U.S. or foreign entity, is susceptible to changes in the issuer’s financial condition or credit quality. Investments in commercial paper are usually discounted from their value at maturity. Commercial paper can be fixed-rate or variable rate and can be adversely affected by changes in interest rates.

Concentration Risk (All Funds except GTO)—If the Index concentrates in an industry or group of industries, a Fund’s investments will be concentrated accordingly. In such event, the value of shares may rise and fall more than the value of the Fund’s shares of a fund that invests in securities of companies in a broader range of industries and the Fund’s performance will be particularly susceptible to adverse events impacting such industry.

 

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Convertible Securities Risk (GTO only)—Convertible securities may be subordinate to other securities. The total return for a convertible security depends, in part, upon the performance of the underlying security into which it can be converted. The value of convertible securities tends to decline as interest rates increase. Convertible securities generally offer lower interest or dividend yields than non-convertible securities of similar quality.

Counterparty Credit Risk (GTO only)—The Fund makes investments in financial instruments and OTC-traded derivatives involving counterparties to gain exposure to a particular group of securities, index, asset class or other reference asset without actually purchasing those securities or investments, or to hedge a position. Through these investments, the Fund is exposed to credit risks that the counterparty may be unwilling or unable to make timely payments to meet its contractual obligations. If the counterparty becomes bankrupt or defaults on (or otherwise becomes unable or unwilling to perform) its payment obligations to the Fund, the Fund may not receive the full amount that it is entitled to receive or may experience delays in recovering the collateral held by, or on behalf of, the counterparty. If this occurs, the value of your shares in the Fund will decrease.

Credit Risk (GTO only)—The Fund could lose money if the issuer or guarantor of a fixed-income instrument or a counterparty to a transaction is unable or unwilling, or perceived to be unable or unwilling, to pay interest or repay principal on time or defaults. The issuer, guarantor or counterparty could also suffer a rapid decrease in credit quality rating, which would adversely affect the volatility of the value and liquidity of the instrument. Credit ratings may not be an accurate assessment of liquidity or credit risk.

Currency Risk (GTO only)—Indirect and direct exposure to foreign currencies subjects the Fund to the risk that those currencies will decline in value relative to the U.S. dollar, which would cause a decline in the U.S. value of the holdings of the Fund. Currency rates in foreign countries may fluctuate significantly over short periods of time for a number of reasons, including changes in interest rates and the imposition of currency controls or other political, economic and tax developments in the U.S. or abroad. The Fund’s foreign currency hedging transactions and techniques may not be effective and, in certain cases, may adversely affect the Fund. In addition, the Fund’s ability to engage in these transactions and techniques may be limited under certain circumstances.

Depositary Receipt Risk—The Funds may hold the securities of non-U.S. companies in the form of depositary receipts. The underlying securities of the depositary receipts in a Fund’s portfolio are subject to fluctuations in foreign currency exchange rates that may affect the value of a Fund’s portfolio. In addition, the value of the securities underlying the depositary receipts may change materially when the U.S. markets are not open for trading. Investments in the underlying foreign securities also involve political and economic risks distinct from those associated with investing in the securities of U.S. issuers.

Derivatives Risk (GTO only)—Derivatives may pose risks in addition to and greater than those associated with investing directly in securities, currencies or other investments, including risks relating to leverage, imperfect correlations with underlying investments or the Fund’s other portfolio holdings, high price volatility, lack of availability, counterparty credit, liquidity, valuation and legal restrictions. Their use is a highly specialized activity that involves investment techniques and risks different from those associated with ordinary portfolio securities transactions. If the Investment Adviser is incorrect about its expectations of market conditions, the use of derivatives could also result in a loss, which in some cases may be unlimited. Some of the derivatives in which the Fund invests are traded (and privately negotiated) in the over-the-counter (“OTC”) market. OTC derivatives are subject to heightened credit, liquidity and valuation risks. Certain risks also are specific to the derivatives in which the Fund invests.

Dollar Roll Transaction Risk (GTO only)—The Fund may enter into dollar roll transactions, in which the Fund sells a mortgage-backed or other security for settlement on one date and buys back a substantially similar security for settlement at a later date. Dollar rolls involve a risk of loss if the market value of the securities that the Fund is committed to buy declines below the price of the securities the Fund has sold.

Emerging Markets Risk (All Funds except OVLC)—Investments in or exposure to emerging markets are generally subject to a greater level of those risks associated with investing in or being exposed to developed foreign markets, as emerging markets are considered to be less developed than developing countries. Furthermore, investments in or exposure to emerging markets are generally subject to additional risks, including the risks associated with trading in smaller markets, lower volumes of trading, and being subject to lower levels of government regulation and less extensive accounting, financial and other reporting requirements.

Equity Securities Risk (All Funds except GTO)—The prices of equity securities generally fluctuate in value more than fixed-income investments, may rise or fall rapidly or unpredictably and may reflect real or perceived changes in the issuing company’s financial condition and changes in the overall market or economy. A decline in the value of equity securities held by a Fund will adversely affect the value of your investment in a Fund. Common stocks generally represent the riskiest investment in a company and dividend payments (if declared) to preferred stockholders generally rank junior to payments due to a company’s debtholders. A Fund may lose a substantial part, or even all, of its investment in a company’s stock

Extension Risk (GTO only)—An issuer may exercise its right to pay principal on an obligation later than expected, thereby effectively lengthening the maturity of the obligation and making the obligation more sensitive to interest rate changes. This may happen when there is a rise in interest rates. Under these circumstances, the value of the obligation will decrease and the Fund’s performance may suffer from its inability to invest in higher yielding securities.

Foreign Securities and Currency Risk (All Funds except OVLC)—Foreign securities carry unique or additional risks when compared to U.S. securities, including currency fluctuations, adverse political and economic developments, unreliable or untimely information, less liquidity and more volatility, limited legal recourse and higher transactional costs.

 

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Hedging Risk (GTO only)—The Fund may, but is not required to, engage in various investments or transactions that are designed to hedge a position that the Fund holds. There can be no assurance that the Fund’s hedging investments or transactions will be effective. Hedging investments or transactions involve costs and may reduce gains or result in losses, which may adversely affect the Fund.

High Yield and Unrated Securities Risk (GTO only)—High yield, below investment grade and unrated high risk debt securities (which also may be known as “junk bonds”) may present additional risks because these securities may be less liquid, and therefore more difficult to value accurately and sell at an advantageous price or time, present more credit risk than investment grade bonds and subject to greater risk of default. The price of high yield securities tends to be subject to greater volatility due to issuer-specific operating results and outlook and to real or perceived adverse economic and competitive industry conditions.

Income Risk (GTO only)—The Fund’s income may decline during period of falling interest rates or when the Fund experiences defaults on debt securities it holds. The amount and rate of distributions that the Fund’s shareholders receive are affected by the income that the Fund receives from its portfolio holdings. If the income is reduced, distributions by the Fund to shareholders may be less.

Index Construction Risk (OVLC only)—A stock included in the Index may not exhibit the factor trait or provide specific factor exposure for which it was selected and consequently the Fund’s holdings may not exhibit returns consistent with that factor trait.

Infrastructure Risk (GHII only)—Companies within one of the Infrastructure Clusters that comprise the Index are subject to a variety of factors that may adversely affect their business or operations, including high interest costs in connection with capital construction and improvement programs, high leverage, costs associated with compliance with and changes in environmental and other regulations, difficulty in raising capital in adequate amounts and on reasonable terms in periods of high inflation and unsettled capital markets or government budgetary constraints that impact publicly funded projects, the effects of economic slowdown or recession and surplus capacity, increased competition from other providers of services, uncertainties concerning the availability of fuel at reasonable prices, the effects of energy conservation policies and other factors.

Interest Rate Risk (GTO only)—Investments in fixed-income instruments are subject to the possibility that interest rates could rise sharply, causing the value of the Fund’s holdings and share price to decline. The risks associated with rising interest rates are heightened given the historically low interest rate environment as of the date of this prospectus. Interest rates may continue to rise in the future, possibly suddenly and significantly, with unpredictable effects on the financial markets and the Fund’s investments. Fixed-income instruments with longer durations are subject to more volatility than those with shorter durations.

Investment in Investment Companies Risk (GTO only)—Investing in other investment companies, including ETFs and closed-end funds, subjects the Fund to those risks affecting the investment company, including the possibility that the value of the underlying securities held by the investment company could decrease or the portfolio becomes illiquid. Moreover, the Fund and its shareholders will incur its pro rata share of the underlying investment companies’ expenses, which will reduce the Fund’s performance, and the purchase of shares of some investment companies (in the case of closed-end investment companies) may sometimes require the payment of substantial premiums above the value of such companies’ portfolio securities or NAVs.

Investments in Loans Risk (GTO only)—Investments in loans, including loan syndicates and other direct lending opportunities, involve special types of risks, including credit risk, interest rate risk, counterparty risk and prepayment risk. Loans may offer a fixed or floating interest rate. Loans are often generally below investment grade and may be unrated. The Fund’s investments in loans can be difficult to value accurately and may be more susceptible to liquidity risk than fixed-income instruments of similar credit quality and/or maturity. The Fund is also subject to the risk that the value of the collateral for the loan may be insufficient to cover the borrower’s obligations should the borrower fail to make payments or become insolvent. Participations in loans may subject the Fund to the credit risk of both the borrower and the issuer of the participation and may make enforcement of loan covenants more difficult for the Fund as legal action may have to go through the issuer of the participations. Transactions in loans are often subject to long settlement periods, thus potentially limiting the ability of the Fund to invest sale proceeds in other investments and to use proceeds to meet its current redemption obligations. Thus, to the extent the Fund effects redemptions in cash, the Fund is subject to the risk of selling other investments or taking other actions necessary to raise cash to meet its redemption obligations.

Issuer-Specific Changes Risk—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 those of larger issuers.

Large-Capitalization Securities Risk—A Fund is subject to the risk that large-capitalization securities may underperform other segments of the equity market or the equity market as a whole. Larger, more established companies may be unable to respond quickly to new competitive challenges such as changes in technology and may not be able to attain the high growth rate of smaller companies, especially during extended periods of economic expansion.

Leverage Risk (GTO only)—The Fund’s use of leverage, through borrowings or instruments such as derivatives, may cause the Fund to be more volatile and riskier than if it had not been leveraged.

Limited Exposure Risk (YAO and CQQQ only)—China A-Shares and China B-Shares are not eligible for inclusion in the Index, even if they would otherwise qualify under the other criteria set forth in the Index methodology. China A-Shares are subject to substantial restrictions on foreign investment, while the China B-Share market generally is smaller and offers less liquidity

 

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than the categories of securities which may be included in the Index. However, by excluding such shares from the Index, the exposure provided by the Index (and thus a Fund) to the Chinese presence in the sector may be more limited than would be the case if the Index included China A-Shares or China B-Shares.

Liquidity and Valuation Risk (GTO only)—In certain circumstances, it may be difficult for the Fund to purchase and sell particular investments within a reasonable time at a fair price, or the price at which it has been valued by the Investment Adviser for purposes of the Fund’s net asset value, causing the Fund to be less liquid and unable to realize what the Investment Adviser believes should be the price of the investment.

Market Price Risk—The Funds’ shares are listed for trading on NYSE Arca, Inc. (“NYSE Arca”) and are bought and sold in the secondary market at market prices. The market prices of shares may fluctuate continuously during trading hours, in some cases materially, in response to changes in the NAV and supply and demand for shares, among other factors. Although it is expected that the market price of shares typically will remain closely correlated to the NAV, the market price will generally differ from the NAV because of timing reasons, supply and demand imbalances and other factors. As a result, the trading prices of shares may deviate significantly from NAV during certain periods, especially those of market volatility. The Investment Adviser cannot predict whether shares will trade above (premium), below (discount) or at their NAV. Thus, an investor may pay more than NAV when buying shares in the secondary market and receive less than NAV when selling shares in the secondary market.

Market Risk—The value of, or income generated by, the securities held by a Fund may fluctuate rapidly and unpredictably as a result of factors affecting individual companies or changing economic, political, social or financial market conditions throughout the world. The performance of these investments may underperform the general securities markets or other types of securities.

Municipal Securities Risk (GTO only)—Municipal securities may be subject to credit, interest, prepayment, liquidity and valuation risks. In addition, municipal securities can be affected by unfavorable legislative or political developments and adverse changes in the economic and fiscal conditions of state and municipal issuers or the federal government in case it provides financial support to such issuers. Certain sectors of the municipal bond market have special risks that can affect them more significantly than the market as a whole. Because many municipal instruments are issued to finance similar projects, conditions in these industries can significantly affect the overall municipal market. Municipal securities that are insured by an insurer may be adversely affected by developments relevant to that particular insurer, or more general developments relevant to the market as a whole. Municipal securities can be difficult to value and be less liquid than other investments, which may affect the Fund’s performance.

Non-Diversification Risk—Certain Funds are considered non-diversified because it may invest a large portion of its assets in a small number of issuers. As a result, a Fund is more susceptible to risks associated with those issuers and a Fund may experience greater losses and volatility than a more diversified portfolio.

Passive Management Risk (All Funds except GTO)—Unlike many investment companies, the Funds, except for GTO, are not “actively” managed. Therefore, it would not necessarily sell a security because the security’s issuer was in financial trouble or defaulted on its obligations under the security, or whose credit rating was downgraded, unless that security is removed from the Index. In addition, a Fund will not otherwise take defensive positions in declining markets unless such positions are reflected in the Index.

Preferred Securities Risk (GTO only)—A company’s preferred stock generally pays dividends only after the company makes required payments to holders of its bonds and other debt. For this reason, the value of preferred stock will usually react more strongly than bonds and other debt to actual or perceived changes in the company’s financial condition or prospects.

Prepayment Risk (GTO only)—Securities subject to prepayment risk generally offer less potential for gains when interest rates decline, because issuers of the securities may be able to prepay the principal due on the securities. These securities generally offer less potential for gains when interest rates decline and may offer a greater potential for loss when interest rates rise.

Real Estate Securities Risk (GTO only)—The Fund may invest in securities of real estate companies and companies related to the real estate industry, including real estate investment trusts (“REITs”), which are subject to the same risks as direct investments in real estate. The real estate industry is particularly sensitive to economic downturns.

Regulatory and Legal Risk—U.S. and non-U.S. governmental agencies and other regulators regularly implement additional regulations and legislators may pass new laws that affect the investments held by a Fund, the strategies used by a Fund or the level of regulation or taxation applying to a Fund. These may impact the investment strategies, performance, costs and operations of a Fund or taxation of shareholders.

Repurchase Agreements and Reverse Repurchase Agreements Risk (GTO only)—In the event of the insolvency of the counterparty to a repurchase agreement or reverse repurchase agreement, recovery of the repurchase price owed to the Fund or, in the case of a reverse repurchase agreement, the securities sold by the Fund, may be delayed. Because reverse repurchase agreements may be considered to be the practical equivalent of borrowing funds, they constitute a form of leverage. If the Fund reinvests the proceeds of a reverse repurchase agreement at a rate lower than the cost of the agreement, entering into the agreement will lower the Fund’s yield.

Restricted Securities Risk (GTO only)—Restricted securities generally cannot be sold to the public and may involve a high degree of business, financial and liquidity risk, which may result in substantial losses to the Fund.

Risk of Cash Transactions (GTO only)—In certain instances, unlike most ETFs, the Fund may effect creations and redemptions for cash, rather than in-kind. As a result, an investment in the Fund may be less tax-efficient than an investment in a more conventional ETF.

 

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Risks of Investing in Hong Kong (YAO and CQQQ only)—A Fund’s investments which are listed and traded in Hong Kong may expose a Fund to certain legal, regulatory, political, currency and economic risks. China is Hong Kong’s largest trading partner, both in terms of exports and imports. Any changes in the Chinese economy, trade regulations or currency exchange rates may have an adverse impact on Hong Kong’s economy.

Short Sale and Short Exposure Risk (GTO only)—Short selling a security involves selling a borrowed security with the expectation that the value of that security will decline so that the security may be purchased at a lower price when returning the borrowed security. A short exposure through a derivative exposes the Fund to counterparty credit risk and leverage risk. The risk for loss on a short sale or other short exposure is greater than a direct investment in the security itself because the price of the borrowed security may rise, thereby increasing the price at which the security must be purchased. The risk of loss through a short sale or other short exposure may in some cases be theoretically unlimited. Government actions also may affect the Fund’s ability to engage in short selling.

Micro-, Small- and Mid-Capitalization Securities Risk (All Funds except GTO and OVLC)—A Fund is subject to the risk that micro-, small- and mid-capitalization securities may underperform other segments of the equity market or the equity market as a whole. Securities of micro-, small- and mid-capitalization companies may be more speculative, volatile and less liquid than securities of larger companies. Micro-, small- and mid-capitalization companies tend to have inexperienced management as well as limited product and market diversification and financial resources, and may be more vulnerable to adverse developments than large capitalization companies.

Sovereign Debt Risk (GTO only)—The debt securities issued by sovereign entities may decline as a result of default or other adverse credit event resulting from a sovereign debtor’s unwillingness or inability to repay principal and pay interest in a timely manner, which may be affected by a variety of factors, including its cash flow situation, the extent of its reserves, the availability of sufficient foreign exchange on the date a payment is due, the relative size of the debt service burden to the economy as a whole, the sovereign debtor’s policy toward international lenders, and the political constraints to which a sovereign debtor may be subject. Sovereign debt risk is increased for emerging market issuers.

Special Situation Investments/Securities in Default Risk (GTO only)—Investments in the securities and debt of distressed issuers or issuers in default involve far greater risk than investing in issuers whose debt obligations are being met and whose debt trade at or close to its “par” or full value because the investments are highly speculative with respect to the issuer’s ability to make interest payments and/or to pay its principal obligations in full and/or on time.

Tracking Error Risk (All Funds except GTO)—The performance of a Fund may diverge from that of the Index for a number of reasons, including operating expenses, transaction costs, cash flows and operational inefficiencies. A Fund’s return also may diverge from the return of the Index because a Fund bears the costs and risks associated with buying and selling securities (especially when rebalancing the Fund’s securities holdings to reflect changes in the Index) while such costs and risks are not factored into the return of the Index. Transaction costs, including brokerage costs, will decrease a Fund’s NAV to the extent not offset by the transaction fee payable by an Authorized Participant. Market disruptions and regulatory restrictions could have an adverse effect on a Fund’s ability to adjust its exposure to the required levels in order to track the Index. In addition, a Fund’s use of a representative sampling approach may cause the Fund’s returns to not be as well correlated with the return of the Index as would be the case if the Fund purchased all of the securities in the Index in the proportions represented in the Index. Errors in the Index data, the Index computations and/or the construction of the Index in accordance with its methodology may occur from time to time and may not be identified and corrected by the Index Provider for a period of time or at all, which may have an adverse impact on the Funds and their shareholders. In addition, a Fund may be unable to invest in certain securities included in the Index, or invest in them in the exact proportions in which they are represented in the Index, due to legal restrictions or limitations imposed by the governments of certain countries, a lack of liquidity in markets in which such securities trade, potential adverse tax consequences or other regulatory reasons. To the extent a Fund calculates its NAV based on fair value prices and the value of the Index is based on the securities’ closing prices (i.e., the value of the Index is not based on fair value prices), a Fund’s ability to track the Index may be adversely affected. For tax efficiency purposes, a Fund may sell certain securities, and such sale may cause the Fund to realize a loss and, thus, the Fund’s performance to deviate from the performance of the Index. In light of the factors discussed above, the Fund’s return may deviate significantly from the return of the Index.

U.S. Government Securities Risk (GTO only)—U.S. government securities may or may not be backed by the full faith and credit of the U.S. government. U.S. government securities are subject to the risks associated with fixed-income and debt securities, particularly interest rate risk and credit risk.

Volatility Risk (OVLC only)—Although the Index is designed to seek lower volatility than the S&P 500^® Index in typical market conditions, there is no guarantee that these strategies will be successful. Moreover, the Index may be unsuccessful in attempting to reflect higher volatility in certain market conditions, whether due to the reward to risk for some or all of the Index’s constituent securities being in fact lower than estimated under the Index methodology, or because the Index’s measurements of market conditions or the reward to risk do not correspond to actual market results.

Water-Related Company Risk (CGW only)—Adverse developments related to water-related companies may significantly affect the value of the securities held by the Fund. In particular, water-related companies can be affected by technological changes, climactic events, environmental considerations, water conservation, taxes, additional government regulation, including the increased cost of compliance, inflation, an increase in the cost of raw materials, an increase in interest rates and changes in consumer sentiment and spending.

 

18 l CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT

RISKS AND OTHER CONSIDERATIONS (Unaudited) continued	August 31, 2017

 

 

CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT l 19

PERFORMANCE REPORT AND FUND PROFILE (Unaudited)	August 31, 2017

YAO Guggenheim China All-Cap ETF

Fund Statistics
Share Price		$	33.23
Net Asset Value		$	33.14
Premium to NAV			0.27	%
Net Assets ($000)		$	26,510

AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED AUGUST 31, 2017
		One Year				Three Year				Five Year				Since Inception (10/19/09)
Guggenheim China All-Cap ETF
NAV			29.33	%			7.89	%			11.50	%			5.82	%
Market			29.51	%			8.05	%			11.45	%			5.86	%
AlphaShares
China All
Cap Index			30.34	%			8.10	%			11.96	%			6.39	%
MSCI China
Index			35.00	%			9.76	%			12.14	%			6.02	%

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.

Portfolio Breakdown		% of Net Assets
Financial			34.3	%
Communications			31.5	%
Consumer, Non-cyclical			7.7	%
Energy			6.4	%
Industrial			6.3	%
Consumer, Cyclical			6.1	%
Technology			2.7	%
Other			4.6	%
Total Long-Term Investments			99.6	%
Securities Lending Collateral			2.3	%
Total Investments			101.9	%
Other Assets & Liabilities, net			-1.9	%
Net Assets			100.0	%

Ten Largest Holdings		(% of Total Net Assets)
Alibaba Group Holding Ltd. ADR			7.5	%
Tencent Holdings Ltd.			6.8	%
Baidu, Inc. ADR			4.8	%
China Construction Bank Corp. — Class H			4.6	%
Industrial & Commercial Bank of China Ltd. — Class H			4.5	%
China Mobile Ltd.			3.9	%
Ping An Insurance Group Company of China Ltd. — Class H			3.1	%
Bank of China Ltd. — Class H			3.1	%
JD.com, Inc. ADR			3.0	%
China Life Insurance Company Ltd. — Class H			1.8	%
Top Ten Total			43.1	%

“Ten Largest Holdings” excludes any temporary cash investments.

 

20 l CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) continued	August 31, 2017

 

YAO Guggenheim China All-Cap ETF continued

 

CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT l 21

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) continued	August 31, 2017

CQQQ Guggenheim China Technology ETF

Fund Statistics
Share Price		$	55.21
Net Asset Value		$	55.00
Premium to NAV			0.38	%
Net Assets ($000)		$	209,019

AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED AUGUST 31, 2017
		One Year				Three Year				Five Year				Since Inception (12/08/09)
Guggenheim China Technology ETF
NAV			42.43	%			14.71	%			24.14	%			12.19	%
Market			43.66	%			15.06	%			24.32	%			12.25	%
AlplhaShares
China
Technology
Index			42.92	%			14.04	%			23.91	%			12.15	%
MSCI China
Index			35.00	%			9.76	%			12.14	%			5.43	%

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.

Portfolio Breakdown		% of Net Assets
Communications			54.7	%
Technology			18.5	%
Industrial			15.4	%
Basic Materials			3.7	%
Energy			2.8	%
Consumer, Cyclical			1.4	%
Consumer, Non-cyclical			0.9	%
Other			0.7	%
Total Long-Term Investments			98.1	%
Securities Lending Collateral			8.9	%
Total Investments			107.0	%
Other Assets & Liabilities, net			-7.0	%
Net Assets			100.0	%

Ten Largest Holdings		(% of Total Net Assets)
Tencent Holdings Ltd.			11.4	%
Alibaba Group Holding Ltd. ADR			11.3	%
Sunny Optical Technology Group Company Ltd.			7.1	%
Baidu, Inc. ADR			7.0	%
NetEase, Inc. ADR			4.7	%
AAC Technologies Holdings, Inc.			4.7	%
58.com, Inc. ADR			4.2	%
Weibo Corp. ADR			4.0	%
SINA Corp.			3.9	%
Kingboard Chemical Holdings Ltd.			2.7	%
Top Ten Total			61.0	%

“Ten Largest Holdings” excludes any temporary cash investments.

 

22 l CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) continued	August 31, 2017

 

CQQQ Guggenheim China Technology ETF continued

 

 

CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT l 23

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) continued	August 31, 2017

TAN Guggenheim Solar ETF

Fund Statistics
Share Price		$	21.70
Net Asset Value		$	21.62
Premium to NAV			0.37	%
Net Assets ($000)		$	360,008

AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED AUGUST 31, 2017
		One Year				Three Year				Five Year				Since Inception (04/15/08)
Guggenheim Solar ETF
NAV			8.72	%			(18.59	%)			9.20	%			(20.76	%)
Market			9.01	%			(18.38	%)			9.30	%			(20.73	%)
MAC Global
Solar Energy
Index			6.48	%			(21.57	%)			6.05	%			(22.35	%)
MSCI World
Index			16.19	%			5.92	%			11.10	%			5.47	%

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.

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 Annual Report, the Fund’s annualized net operating expense ratio was 0.70% while the Fund’s annualized gross operating expense ratio, gross of any fee waivers or expense reimbursements, was 0.76%. 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.

Portfolio Breakdown		% of Net Assets
Energy			62.2	%
Industrial			18.1	%
Utilities			7.9	%
Technology			4.2	%
Financial			4.1	%
Basic Materials			2.9	%
Total Long-Term Investments			99.4	%
Securities Lending Collateral			27.2	%
Total Investments			126.6	%
Other Assets & Liabilities, net			-26.6	%
Net Assets			100.0	%

Ten Largest Holdings		(% of Total Net Assets)
First Solar, Inc.			9.5	%
Xinyi Solar Holdings Ltd.			6.3	%
GCL-Poly Energy Holdings Ltd.			6.0	%
SolarEdge Technologies, Inc.			5.8	%
JinkoSolar Holding Company Ltd. ADR			5.4	%
Canadian Solar, Inc.			5.1	%
Meyer Burger Technology AG			5.0	%
SMA Solar Technology AG			4.4	%
TerraForm Power, Inc. — Class A			4.3	%
Sunrun, Inc.			4.3	%
Top Ten Total			56.1	%

“Ten Largest Holdings” excludes any temporary cash investments

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

 

24 l CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) continued	August 31, 2017

 

TAN Guggenheim Solar ETF continued

This graph compares a hypothetical $10,000 investment in the Fund, made at its inception, with a similar investment in the MSCI World Index.Results include the reinvestment of all dividends and capital gains. Past performance is no guarantee of future results. 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 referenced index is unmanaged. It is not possible to invest directly in the MSCI World Index. Investment return and principal value will fluctuate with changes in market conditions and other factors and Fund shares, when redeemed, may be worth more or less than their original investment.

 

CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT l 25

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) continued	August 31, 2017

CGW Guggenheim S&P Global Water Index ETF

Fund Statistics
Share Price		$	33.46
Net Asset Value		$	33.38
Premium to NAV			0.24	%
Net Assets ($000)		$	610,253

AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED AUGUST 31, 2017
		One Year				Three Year				Five Year				Ten Year
Guggenheim S&P Global Water Index ETF
NAV			12.09	%			6.56	%			11.56	%			5.35	%
Market			12.18	%			6.57	%			11.68	%			5.26	%
S&P Global
Water Index			12.35	%			6.80	%			11.85	%			5.81	%
Dow Jones
Global
Utilities Index			15.39	%			5.92	%			9.23	%			1.12	%
MSCI World
Index			16.19	%			5.92	%			11.10	%			4.47	%

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.

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 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.

Portfolio Breakdown		% of Net Assets
Industrial			47.6	%
Utilities			40.4	%
Consumer, Non-cyclical			4.6	%
Basic Materials			2.9	%
Consumer, Cyclical			2.4	%
Energy			1.8	%
Total Long-Term Investments			99.7	%
Securities Lending Collateral			0.1	%
Total Investments			99.8	%
Other Assets & Liabilities, net			0.2	%
Net Assets			100.0	%

Ten Largest Holdings		(% of Total Net Assets)
Geberit AG			8.2	%
American Water Works Co., Inc.			7.5	%
Veolia Environnement S.A.			6.0	%
Xylem, Inc.			5.4	%
Pentair plc			4.6	%
Danaher Corp.			4.5	%
IDEX Corp.			4.4	%
United Utilities Group plc			4.2	%
Suez			3.7	%
Severn Trent plc			3.6	%
Top Ten Total			52.1	%

“Ten Largest Holdings” excludes any temporary cash investments.

 

26 l CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) continued	August 31, 2017

 

CGW Guggenheim S&P Global Water Index ETF continued

 

This Graph compares a hypothetical $10,000 investment in the Fund with a similar investment in the MSCI World Index. Results include the reinvestment of all distributions and capital gains.Past performance is no guarantee of future results. 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 referenced index is unmanaged. It is not possible to invest directly in the MSCI World Index. Investment return and principal value will fluctuate with changes in market conditions and other factors and Fund shares, when redeemed, may be worth more or less than their original investment.

 

CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT l 27

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) continued	August 31, 2017

 

GHII Guggenheim S&P High Income Infrastructure ETF

Fund Statistics
Share Price		$	28.35
Net Asset Value		$	28.33
Premium to NAV			0.07	%
Net Assets ($000)		$	35,408

AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED AUGUST 31, 2017
		One Year				Since Inception (02/11/15)
Guggenheim S&P High Income Infrastructure ETF
NAV			12.98	%			9.96	%
Market			12.17	%			9.96	%
S&P High Income
Infrastructure Index			13.69	%			11.01	%
S&P Global BMI Index			17.75	%			8.18	%

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 High Income Infrastructure Index is designed to serve as a benchmark for yield-seeking equity investors looking for infrastructure exposure. The index is composed of the 50 highest-dividend-paying companies within the S&P Global BMI that operate in the energy, transportation, and utilities sectors.

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.

Portfolio Breakdown		% of Net Assets
Utilities			49.8	%
Energy			26.4	%
Industrial			12.2	%
Consumer, Non-cyclical			9.2	%
Consumer, Cyclical			1.1	%
Total Long-Term Investments			98.7	%
Securities Lending Collateral			13.1	%
Total Investments			111.8	%
Other Assets & Liabilities, net			-11.8	%
Net Assets			100.0	%

Ten Largest Holdings		(% of Total Net Assets)
Ship Finance International Ltd.			4.1	%
Targa Resources Corp.			3.9	%
AltaGas Ltd.			3.3	%
SemGroup Corp. — Class A			3.3	%
Macquarie Infrastructure Corp.			3.2	%
Electricite de France S.A.			3.2	%
Enagas S.A.			2.9	%
Enbridge Income Fund Holdings, Inc.			2.9	%
Fortum Oyj			2.9	%
Snam SpA			2.9	%
Top Ten Total			32.6	%

“Ten Largest Holdings” excludes any temporary cash investments.

 

28 l CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) continued	August 31, 2017

 

GHII Guggenheim S&P High Income Infrastructure ETF continued

 

 

 

This graph compares a hypothetical $10,000 investment in the Fund, made at its inception, with a similar investment in the S&P Global BMI Index. Results include the reinvestment of all dividends and capital gains. Past performance is no guarantee of future results. 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. It is not possible to invest directly in the S&P Global BMI Index. Investment return and principal value will fluctuate with changes in market conditions and other factors and Fund shares, when redeemed, may be worth more or less than their original investment.

 

CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT l 29

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) continued	August 31, 2017

GTO Guggenheim Total Return Bond ETF

Fund Statistics
Share Price		$	52.67
Net Asset Value		$	52.61
Premium to NAV			0.11	%
Net Assets ($000)		$	81,538

 

AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED AUGUST 31, 2017
		One Year				Since Inception (02/10/16)
Guggenheim Total Return Bond ETF
NAV			3.47	%			6.31	%
Market			3.47	%			6.40	%
Bloomberg Barclays U.S.
Aggregate Bond Index			0.49	%			2.74	%

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.

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 year ended August 31, 2017, the Fund’s total net expense ratio was 0.49% due to voluntary expense waivers. Please see Financial Highlights for recent expense ratios.

Portfolio Breakdown		% of Net Assets
Corporate Bonds			20.7	%
Collateralized Mortgage Obligations			17.3	%
Asset-Backed Securities			15.5	%
Commercial Paper			14.7	%
Repurchase Agreements			12.2	%
U.S. Government Securities			7.8	%
Exchange-Traded Funds			5.0	%
Money Market Fund			4.3	%
Municipal Bonds			4.2	%
Other Instruments			6.2	%
Total Long-Term Investments			107.9	%
Other Assets & Liabilities, net			-7.9	%
Net Assets			100.0	%

Ten Largest Holdings		(% of Total Net Assets)
U.S. Treasury Bonds 11/15/44			6.7	%
Guggenheim Ultra Short Duration ETF			5.0	%
KKR CLO 15 Ltd. 2.86%			1.3	%
LMREC, Inc. 2.99%			1.2	%
Flatiron CLO Ltd. 2.76%			1.2	%
U.S. Treasury Bonds 11/15/46			1.1	%
Freddie Mac Multifamily Structured Pass Through Certificates 3.12%			1.0	%
Mitsubishi UFJ Financial Group, Inc. 3.20%			1.0	%
Guggenheim Strategic Opportunities Fund			1.0	%
State of California General Obligation Unlimited 7.60%			1.0	%
Top Ten Total			20.5	%

“Ten Largest Holdings” excludes any temporary cash or derivative investments.

 

30 l CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) continued	August 31, 2017

 

GTO Guggenheim Total Return Bond ETF continued

 

 

 

CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT l 31

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) continued	August 31, 2017

 

OVLC Guggenheim U.S. Large Cap Optimized Volatility ETF

Fund Statistics
Share Price		$	28.29
Net Asset Value		$	28.67
Discount to NAV			-1.34	%
Net Assets ($000)		$	1,434

 

AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED AUGUST 31, 2017
		One Year				Since Inception (05/10/16)
Guggenheim U.S. Large Cap Optimized Volatility ETF
NAV			10.50	%			11.38	%
Market			9.28	%			10.24	%
Guggenheim U.S. Large Cap
Optimized Volatility Index			10.93	%			11.79	%
S&P 500 Index			16.23	%			17.44	%

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 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 0.30% 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.

Portfolio Breakdown		% of Net Assets
Financial			21.5	%
Consumer, Non-cyclical			18.7	%
Consumer, Cyclical			13.1	%
Utilities			10.8	%
Industrial			10.7	%
Technology			10.5	%
Communications			7.4	%
Other			6.7	%
Total Long-Term Investments			99.4	%
Securities Lending Collateral			0.8	%
Total Investments			100.2	%
Other Assets & Liabilities, net			-0.2	%
Net Assets			100.0	%

Ten Largest Holdings		(% of Total Net Assets)
Apple, Inc.			3.0	%
Berkshire Hathaway, Inc. — Class B			2.7	%
Exxon Mobil Corp.			2.5	%
Procter & Gamble Co.			2.2	%
AT&T, Inc.			2.1	%
Verizon Communications, Inc.			2.0	%
Merck & Co., Inc.			1.8	%
Intel Corp.			1.8	%
Microsoft Corp.			1.7	%
Wal-Mart Stores, Inc.			1.6	%
Top Ten Total			21.4	%

“Ten Largest Holdings” excludes any temporary cash investments.

 

32 l CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) continued	August 31, 2017

 

OVLC Guggenheim U.S. Large Cap Optimized Volatility ETF continued

This graph compares a hypothetical $10,000 investment in the Fund, made at its inception, with a similar investment in the S&P 500 Index.Results include the reinvestment of all distributions and capital gains.Past performance is no guarantee of future results. The S&P 500 Index 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 index is unmanaged. It is not possible to invest directly in the S&P 500 Index.Investment return and principal value will fluctuate with changes in market conditions and other factors and Fund shares, when redeemed,may be worth more or less than their original investment.

 

CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT l 33

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)	August 31, 2017

 

Shareholder Expense Example

As a shareholder of the Funds, you incur transaction costs such as creation and redemption fees or brokerage charges, and ongoing costs including advisory fees, trustee fees and, if applicable, distribution fees. All other Trust expenses are paid by the advisor. This example is intended to help you understand your ongoing costs (in dollars) of investing in a Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The example in the table is based on an investment of $1,000 invested on February 28, 2017 and held for the six months ended August 31, 2017.

Actual Expenses

The first table below provides information about actual account values and actual expenses. You may use the information in this table, together with the amount you invested, to estimate the expenses that you incurred over the period. Simply divide your 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 in the first table under the heading entitled “Expenses Paid During Period” to estimate the expenses attributable to your investment during this period.

Hypothetical Example for Comparison Purposes

The second table below provides information about hypothetical account values and hypothetical expenses based on a Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not a Fund’s actual return. Thus, you should not use the hypothetical account values and expenses to estimate the actual ending account balance or your expenses for the period. Rather, these figures are provided to enable you to compare the ongoing costs of investing in a Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as creation and redemption fees, or brokerage charges. 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 transaction costs were included, your costs would have been higher.

		Expense Ratio1				Fund Return				Beginning Account Value February 28, 2017				Ending Account Value August 31, 2017				Expenses Paid During Period2
Table 1. Based on actual Fund return3
Guggenheim China All-Cap ETF			0.70	%			22.11	%		$	1,000.00			$	1,221.10			$	3.92
Guggenheim China Technology ETF			0.70	%			37.05	%			1,000.00				1,370.50				4.18
Guggenheim Solar ETF			0.70	%			15.49	%			1,000.00				1,154.92				3.80
Guggenheim S&P Global Water Index ETF			0.63	%			10.90	%			1,000.00				1,108.98				3.35
Guggenheim S&P High Income Infrastructure ETF			0.45	%			8.40	%			1,000.00				1,084.05				2.36
Guggenheim Total Return Bond ETF			0.49	%			3.45	%			1,000.00				1,034.54				2.51
Guggenheim U.S. Large Cap Optimized Volatility ETF			0.30	%			3.32	%			1,000.00				1,033.15				1.54
Table 2. Based on hypothetical 5% return (before expenses)
Guggenheim China All-Cap ETF			0.70	%			5.00	%		$	1,000.00			$	1,021.68			$	3.57
Guggenheim China Technology ETF			0.70	%			5.00	%			1,000.00				1,021.68				3.57
Guggenheim Solar ETF			0.70	%			5.00	%			1,000.00				1,021.68				3.57
Guggenheim S&P Global Water Index ETF			0.63	%			5.00	%			1,000.00				1,022.03				3.21
Guggenheim S&P High Income Infrastructure ETF			0.45	%			5.00	%			1,000.00				1,022.94				2.29
Guggenheim Total Return Bond ETF			0.49	%			5.00	%			1,000.00				1,022.74				2.50
Guggenheim U.S. Large Cap Optimized Volatility ETF			0.30	%			5.00	%			1,000.00				1,023.69				1.53

 

1	Annualized and excludes expenses of the underlying funds in which the Funds invest, if any.
2	Expenses are equal to the Fund’s annualized expense ratio, net of any applicable fee waivers, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period).
3	Actual cumulative return at net asset value for the period February 28, 2017 to August 31, 2017.

 

34 l CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT

SCHEDULE OF INVESTMENTS	August 31, 2017

 

YAO Guggenheim China All-Cap ETF

		Shares				Value
COMMON STOCKS† – 99.6%
Financial – 34.3%
China Construction Bank Corp. — Class H			1,381,549			$	1,210,948
Industrial & Commercial Bank of China Ltd. — Class H			1,585,126				1,186,852
Ping An Insurance Group Company of China Ltd. — Class H			103,152				819,131
Bank of China Ltd. — Class H			1,537,466				809,353
China Life Insurance Company Ltd. — Class H			150,995				484,252
Bank of Communications Company Ltd. — Class H			449,993				343,829
China Overseas Land & Investment Ltd.			89,995				314,494
China Merchants Bank Company Ltd. — Class H			76,493				288,323
China Pacific Insurance Group Company Ltd. — Class H			55,600				261,787
Agricultural Bank of China Ltd. — Class H			528,982				248,728
China Evergrande Group*			70,994				214,530
Country Garden Holdings Company Ltd.			157,873				209,786
CITIC Ltd.			128,000				196,585
PICC Property & Casualty Company Ltd. — Class H			93,995				176,546
China Resources Land Ltd.			55,999				174,942
China CITIC Bank Corporation Ltd. — Class H			246,993				163,159
China Minsheng Banking Corporation Ltd. — Class H			124,990				124,727
Sunac China Holdings Ltd.1			40,000				120,106
Haitong Securities Company Ltd. — Class H			65,200				109,299
CITIC Securities Company Ltd. — Class H			45,501				100,927
New China Life Insurance Company Ltd. — Class H			15,200				97,301
China Huarong Asset Management Company Ltd. — Class H2			219,000				93,460
China Taiping Insurance Holdings Company Ltd.			28,800				87,396
China Vanke Company Ltd. — Class H			26,396				79,089
Huatai Securities Company Ltd. — Class H2			31,927				71,063
GF Securities Company Ltd. — Class H			31,072				66,301
People’s Insurance Company Group of China Ltd. — Class H			136,000				64,121
China Cinda Asset Management Company Ltd. — Class H			171,000				63,581
China Galaxy Securities Company Ltd. — Class H			69,500				62,960
Longfor Properties Company Ltd.			23,999				57,648
Shimao Property Holdings Ltd.			23,999				49,553
Guangzhou R&F Properties Company Ltd. — Class H1			20,000				46,713
CIFI Holdings Group Company Ltd.			78,000				43,851
Chong Sing Holdings FinTech Gr*			306,515				41,514
Sino-Ocean Group Holding Ltd.			59,993				41,393
China Everbright Ltd.			18,000				41,122
China Jinmao Holdings Group Ltd.*			87,998				39,128
Far East Horizon Ltd.			42,000				38,370
Chongqing Rural Commercial Bank Company Ltd. — Class H			49,994				34,814
Agile Group Holdings Ltd.			28,000				33,558
Bank of Jinzhou Company Ltd. — Class H1			32,000				33,037
Shanghai Industrial Holdings Ltd.			9,000				27,369
China International Capital Corporation Ltd. — Class H2			13,600				24,675
Shenzhen Investment Ltd.			53,999				24,631

		Shares				Value
COMMON STOCKS† – 99.6% (continued)
Financial – 34.3% (continued)
KWG Property Holding Ltd.*			26,315			$	23,940
Yuexiu Property Company Ltd.			121,992				22,445
SOHO China Ltd.*			36,999				21,557
Poly Property Group Company Ltd.*			36,999				19,382
Harbin Bank Company Ltd. — Class H*,2			59,000				18,243
Yanlord Land Group Ltd.			13,100				16,689
Huishang Bank Corporation Ltd. — Class H			32,000				16,109
Shui On Land Ltd.			66,993				15,664
Guotai Junan International Holdings Ltd.1			47,000				15,614
Greentown China Holdings Ltd.			12,500				15,173
Joy City Property Ltd.			76,000				12,818
China South City Holdings Ltd.1			62,000				12,754
Noah Holdings Ltd.*,1			424				12,419
Shengjing Bank Company Ltd. — Class H2			14,318				11,946
Hopson Development Holdings Ltd.			12,000				11,346
Central China Securities Company Ltd. — Class H			19,000				8,982
Bank of Tianjin Company Ltd. — Class H			12,500				8,880
Renhe Commercial Holdings Company Ltd.*			377,930				8,789
Total Financial							9,093,702
Communications – 31.5%
Alibaba Group Holding Ltd. ADR*			11,505				1,975,868
Tencent Holdings Ltd.			42,742				1,796,743
Baidu, Inc. ADR*			5,562				1,268,414
China Mobile Ltd.			96,951				1,028,172
JD.com, Inc. ADR*			18,807				788,201
Ctrip.com International Ltd. ADR*			8,148				419,215
China Unicom Hong Kong Ltd.*			121,995				177,698
China Telecom Corporation Ltd. — Class H			277,981				142,783
SINA Corp.*			1,193				121,483
58.com, Inc. ADR*			1,808				113,235
Weibo Corp. ADR*,1			1,115				112,727
Autohome, Inc. ADR*,1			1,080				69,412
Vipshop Holdings Ltd. ADR*			7,187				66,911
YY, Inc. ADR*			890				66,501
ZTE Corp. — Class H*			15,048				41,050
BYD Electronic International Company Ltd.1			12,500				34,498
Sohu.com, Inc.*			613				32,697
Bitauto Holdings Ltd. ADR*			808				28,926
51job, Inc. ADR*			451				26,789
Fang Holdings Ltd. ADR*,1			5,235				19,370
Baozun Inc. ADR*,1			506				13,758
CITIC Telecom International Holdings Ltd.			26,000				7,740
21Vianet Group, Inc. ADR*,1			1,219				6,327
Total Communications							8,358,518

See notes to financial statements.
	CLAYMORE EXCHANGE-TRADED FUND TRUST 2 ANNUAL REPORT l 35

SCHEDULE OF INVESTMENTS continued	August 31, 2017

 

YAO Guggenheim China All-Cap ETF continued

		Shares				Value
COMMON STOCKS† – 99.6% (continued)
Consumer, Non-cyclical – 7.7%
New Oriental Education & Technology Group, Inc. ADR*			2,602			$	212,713
TAL Education Group ADR			5,633				171,412
WH Group Ltd.2			140,500				146,847
CSPC Pharmaceutical Group Ltd.			94,000				146,769
Hengan International Group Company Ltd.			15,501				129,530
China Mengniu Dairy Company Ltd.*			53,998				126,121
Sinopharm Group Company Ltd. — Class H			23,601				106,599
Want Want China Holdings Ltd.1			125,993				83,390
China Resources Beer Holdings Company Ltd.			32,000				80,302
Sino Biopharmaceutical Ltd.			89,992				78,994
China Conch Venture Holdings Ltd.			36,000				65,501
BeiGene Ltd*,1			890				61,339
Tingyi Cayman Islands Holding Corp.			37,999				50,591
China Medical System Holdings Ltd.			26,495				48,749
Jiangsu Expressway Company Ltd. — Class H			26,000				39,865
Zhejiang Expressway Company Ltd. — Class H			29,999				37,525
China Biologic Products, Inc.*			369				35,978
Shenzhen International Holdings Ltd.			19,407				35,658
Tsingtao Brewery Company Ltd. — Class H			8,000				33,170
Shandong Weigao Group Medical Polymer Company
Ltd. — Class H			40,001				31,944
Shanghai Fosun Pharmaceutical Group Company
Ltd. — Class H			7,500				28,174
3SBio, Inc.*,1,2			20,454				28,121
China First Capital Group Ltd.*			50,000				19,996
Uni-President China Holdings Ltd.			23,000				19,660
China Agri-Industries Holdings Ltd.			39,999				18,706
Luye Pharma Group Ltd.1			36,000				18,215
SSY Group Ltd.			38,000				17,576
CAR, Inc.*,1			17,818				15,823
Tong Ren Tang Technologies Company Ltd. — Class H			11,000				15,460
Guangzhou Baiyunshan Pharmaceutical Holdings Company
Ltd. — Class H			6,000				15,164
China Resources Phoenix Healthcare Holdings Company Ltd.1			12,000				15,164
Health and Happiness Ltd.*			3,500				12,522
Fu Shou Yuan International Group Ltd.			18,000				12,051
Shenzhen Expressway Company Ltd. — Class H			12,000				11,714
Universal Medical Financial & Technical Advisory Services
Company Ltd.1,2			13,636				11,395
Vinda International Holdings Ltd.			6,000				10,656
CP Pokphand Company Ltd.			121,993				10,599
Tibet Water Resources Ltd.*,1			27,000				10,591
China Modern Dairy Holdings Ltd.*			52,989				10,427
China Shengmu Organic Milk Ltd.*,2			48,000				7,973
China Huishan Dairy Holdings Company Ltd.†††,4			59,000				–
Hua Han Health Industry Holdings Ltd.*,†††,2,4			91,200				–