UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811- 21261
Rydex ETF Trust
(Exact name of registrant as specified in charter)
702 King Farm Boulevard, Suite 200
Rockville, Maryland 20850
(Address of principal executive offices) (Zip code)
Amy J. Lee
Rydex ETF Trust
702 King Farm Boulevard, Suite 200
Rockville, Maryland 20850
(Name and address of agent for service)
Registrant's telephone number, including area code: 1-301-296-5100
Date of fiscal year end: October 31
Date of reporting period: November 1, 2016 - October 31, 2017
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. Reports to Stockholders.
10.31.2017
Guggenheim ETFs Funds Annual Report
EWEM | Guggenheim MSCI Emerging Markets Equal Country Weight ETF |
GMFL | Guggenheim Multi-Factor Large Cap ETF |
EWMC | Guggenheim S&P MidCap 400® Equal Weight ETF |
EWSC | Guggenheim S&P SmallCap 600® Equal Weight ETF |
OEW | Guggenheim S&P 100® Equal Weight ETF |
RCD | Guggenheim S&P 500® Equal Weight Consumer Discretionary ETF |
RHS | Guggenheim S&P 500® Equal Weight Consumer Staples ETF |
RYE | Guggenheim S&P 500® Equal Weight Energy ETF |
RYF | Guggenheim S&P 500® Equal Weight Financials ETF |
RYH | Guggenheim S&P 500® Equal Weight Health Care ETF |
RGI | Guggenheim S&P 500® Equal Weight Industrials ETF |
RTM | Guggenheim S&P 500® Equal Weight Materials ETF |
EWRE | Guggenheim S&P 500® Equal Weight Real Estate ETF |
RYT | Guggenheim S&P 500® Equal Weight Technology ETF |
RYU | Guggenheim S&P 500® Equal Weight Utilities ETF |
GuggenheimInvestments.com | ETF1-ANN-1017x1018 |
TABLE OF CONTENTS |
DEAR SHAREHOLDER | 2 |
ECONOMIC AND MARKET OVERVIEW | 3 |
ABOUT SHAREHOLDERS’ FUND EXPENSES | 5 |
MANAGER’S ANALYSIS | 7 |
PORTFOLIO SUMMARY | 8 |
SCHEDULES OF INVESTMENTS | 37 |
STATEMENTS OF ASSETS AND LIABILITIES | 77 |
STATEMENTS OF OPERATIONS | 81 |
STATEMENTS OF CHANGES IN NET ASSETS | 85 |
FINANCIAL HIGHLIGHTS | 93 |
NOTES TO FINANCIAL STATEMENTS | 108 |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM | 120 |
OTHER INFORMATION | 121 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS | 126 |
GUGGENHEIM INVESTMENTS PRIVACY POLICIES | 130 |
GUGGENHEIM ETFs ANNUAL REPORT | 1 |
October 31, 2017 |
Dear Shareholder:
Security Investors, LLC (the “Investment Adviser”) is pleased to present the annual shareholder report for a selection of our exchange-traded funds (“ETFs”) for the annual fiscal period ended October 31, 2017.
The Investment Adviser is 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 affiliated with Guggenheim and the Investment Adviser.
We encourage you to read the Economic and Market Overview, which follows this letter, followed by the Manager’s Analysis for each ETF.
We are committed to providing investors with innovative investment solutions and appreciate the trust you place in us.
Sincerely,
Security Investors, LLC
November 30, 2017
This material is not intended as a recommendation or as investment advice of any kind, including in connection with rollovers, transfers, and distributions. Such material is not provided in a fiduciary capacity, may not be relied upon for or in connection with the making of investment decisions, and does not constitute a solicitation of an offer to buy or sell securities. All content has been provided for informational or educational purposes only and is not intended to be and should not be construed as legal or tax advice and/or a legal opinion. Always consult a financial, tax and/or legal professional regarding your specific situation.
Read a prospectus and summary prospectus (if available) carefully before investing. It contains the investment objectives, risks, charges, expenses and other information, which should be considered carefully before investing. Obtain a prospectus and summary prospectus (if available) at guggenheiminvestments.com or call 800.820.0888.
ETFs may not be suitable for all investors. ● Investment returns and principal value will fluctuate so that when shares are redeemed, they may be worth more or less than original cost. Most investors will also incur customary brokerage commissions when buying or selling shares of an ETF. ● Investments in securities and derivatives, in general, are subject to market risks that may cause their prices to fluctuate over time. ● ETF shares may trade below their net asset value per share (“NAV”). The NAV of shares will fluctuate with changes in the market value of an ETF’s holdings. In addition, there can be no assurance that an active trading market for shares will develop or be maintained. ● Tracking error risk refers to the risk that the Adviser may not be able to cause the ETF’s performance to match or correlate to that of the ETF’s underlying index, either on a daily or aggregate basis. Tracking error risk may cause the ETF’s performance to be less than you expect. Please review a prospectus carefully for more information of the risks associated with each ETF.
2 | GUGGENHEIM ETFs ANNUAL REPORT |
ECONOMIC AND MARKET OVERVIEW (Unaudited) | October 31, 2017 |
The performance of the global economy exceeded expectations in 2017—for the first time in several years—with growth accelerating and the expansion becoming more synchronized across countries. We expect U.S. real gross domestic product (“GDP”) growth to come in at 2.5% in 2017, supported by strong global momentum and favorable financial conditions. Tax cuts are also likely to provide a modest boost as Republicans scrambled to pass a bill before next year’s midterm elections in an effort to save their House and Senate majorities.
While growth has been tepid during this expansion, it has been above potential and there is a growing risk of running too hot. The labor market is already in the early stages of overheating, with the unemployment rate falling to a cycle low of 4.1% in October, underscoring the robust—and unsustainable—trend in job growth. Inflation remains below the Federal Reserve’s (“Fed”) 2% goal as of September.
In this context, the Fed has been emboldened to steadily “normalize” monetary policy in 2017. With two rate hikes and the start of balance sheet runoff already in the books, the last item on the Fed’s to-do list for this year is a third hike, which it is all but certain to deliver in December.
We currently expect 2018 to be a year of overshooting, meaning that the Fed may take short-term rates into restrictive territory in order to cool growth to a more sustainable pace and arrest the drop in the unemployment rate. We see four hikes as opposed to the Fed’s baseline of three, reflecting our expectation for a steeper drop in unemployment, financial conditions that are easing in spite of Fed tightening, and the effects of the tax cuts.
For risk assets, the combination of strong growth and mild inflation was a catalyst for heady gains over the past year. Stocks, particularly interest-rate sensitive sectors like financials, should continue to benefit. But there is limited room to run in this bull market; our analysis of several key economic and market indicators suggests that the current expansion may end as soon as late 2019.
For the 12 months ended October 31, 2017, the Standard & Poor’s 500® (“S&P 500”) Index* returned 23.63%. The MSCI Europe-Australasia-Far East (“EAFE”) Index* returned 23.44%. The return of the MSCI Emerging Markets Index* was 26.45%.
In the bond market, the Bloomberg Barclays U.S. Aggregate Bond Index* posted a 0.9% return for the period, while the Bloomberg Barclays U.S. Corporate High Yield Index* returned 8.92%. The return of the Bank of America (“BofA”) Merrill Lynch 3-Month U.S. Treasury Bill Index* was 0.72% for the 12-month period.
The opinions and forecasts expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.
*Index Definitions:
The following indices are referenced throughout this report. Indices are unmanaged and not available for direct investment. Index performance does not reflect transaction costs, fees, or expenses.
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.
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).
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.
GUGGENHEIM ETFs ANNUAL REPORT | 3 |
ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) | October 31, 2017 |
Guggenheim Multi-Factor Large Cap Index is comprised of a focused basket of approximately 50 stocks selected from the S&P 500 Index. The underlying index security selection process employs a Multi-Factor Composite Score, which is a proprietary rules-based methodology, that seeks to identify component securities with attractive exposures to fundamental (value, growth and quality) and non-fundamental (momentum, short interest, volatility and liquidity) factors. The index seeks to have a similar sector exposure as the S&P 500 Index. The index constituents are equally weighted and reconstituted quarterly.
MSCI EAFE Index is a capitalization-weighted measure of stock markets in Europe, Australasia, and the Far East.
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.
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.
MSCI Emerging Markets Equal Country Weighted Index captures large and mid-cap representation across 23 Emerging Market countries. The index represents an alternative weighting scheme to its market-cap weighted parent index, the MSCI Emerging Markets Index. The Index includes the same constituents as its parent index but applies an equal country weighting at each semi-annual index review date.
MSCI Emerging Markets Equal Weighted Index equally weights the securities in the MSCI Emerging Markets Index (the MSCI Emerging Markets cap-weighted index), which is a free float-adjusted market capitalization index that is designed to measure the equity market performance of emerging markets. In the MSCI Emerging Markets Equal Weighted Index, each security has the same weight, which means that the weight of each security is set to unity of the rebalancing date.
S&P 100® Equal Weight Index is an unmanaged equal weighted version of the S&P 100® Index, which is an unmanaged capitalization-weighted index composed of a subset of 100 common stocks of the S&P 500® Index representing major blue-chip companies across multiple industry groups.
S&P 100® Index is an unmanaged capitalization-weighted index composed of a subset of 100 common stocks of the S&P 500® Index, representing major blue-chip companies across multiple industry groups.
S&P MidCap 400® Equal Weight Index is an equal weighted version of the S&P MidCap 400® Index, which measures the performance of 400 mid-sized companies selected by Standard&Poor’s, and covers approximately 7% of the U.S. equities market. The S&P MidCap 400® EWI has the same constituents as the capitalization weighted S&P 400® Index, but each company is allocated to a fixed weight, rebalancing quarterly.
S&P MidCap 400® Index is an unmanaged capitalization-weighted index which measures the performance of 400 mid-sized companies selected by Standard & Poor’s, and covers approximately 7% of the U.S. equities market.
S&P SmallCap 600® Equal Weight Index is an equal weighted version of the S&P SmallCap 600® Index, which measures the performance of 600 small-sized companies selected by Standard&Poor’s, and covers approximately 3% of the U.S. equities market. The S&P SmallCap 600® EWI has the same constituents as the capitalization weighted S&P SmallCap 600® Index, but each company is allocated to a fixed weight, rebalancing quarterly.
S&P SmallCap 600® Index is an unmanaged capitalization-weighted index which measures the performance of 600 small-sized companies selected by Standard & Poor’s, and covers approximately 3% of the U.S. equities market.
S&P 500® Equal Weight Index Consumer Discretionary is an unmanaged equal weighted version of the S&P 500® Consumer Discretionary Index that consists of the common stocks of the following industries: automobiles and components, consumer durables, apparel, hotels, restaurants, leisure, media and retailing that comprise the Consumer Discretionary sector of the S&P 500® Index.
S&P 500® Equal Weight Index Consumer Staples is an unmanaged equal weighted version of the S&P 500® Consumer Staples Index that consists of the common stocks of the following industries: food and drug retailing, beverages, food products, tobacco, household products and personal products that comprise the Consumer Staples sector of the S&P 500® Index.
S&P 500® Equal Weight Index Energy is an unmanaged equal weighted version of the S&P 500® Energy Index that consists of the common stocks of the following industries: oil and gas exploration, production, marketing, refining and/or transportation and energy equipment and services industries that comprise the Energy sector of the S&P 500® Index.
S&P 500® Equal Weight Index Financials is an unmanaged equal weighted version of the S&P 500® Financials Index that consists of the common stocks of the following industries: banks, diversified financials, brokerage, asset management insurance and real estate, including investment trusts that comprise the Financials sector of the S&P 500® Index.
S&P 500® Equal Weight Index Health Care is an unmanaged equal weighted version of the S&P 500® Health Care Index that consists of the common stocks of the following industries: health care equipment and supplies, health care providers and services, and biotechnology and pharmaceuticals that comprise the Health Care sector of the S&P 500® Index.
S&P 500® Equal Weight Index Industrials is an unmanaged equal weighted version of the S&P 500® Industrials Index that consists of the common stocks of the following industries: aerospace and defense, building products, construction and engineering, electrical equipment, conglomerates, machinery; commercial services and supplies, air freight and logistics, airlines, and marine, road and rail transportation infrastructure that comprise the 52 Industrials sector of the S&P 500® Index.
S&P 500® Equal Weight Index Materials is an unmanaged equal weighted version of the S&P 500® Materials Index that consists of the common stocks of the following industries: chemicals, construction materials, containers and packaging, metals and mining, and paper and forest products that comprise the Materials sector of the S&P 500® Index.
S&P 500® Equal Weight Real Estate Index is an unmanaged equal weighted version of the S&P 500® Real Estate Index that consists of common stocks of the following industries: Real Estate Investment Trusts (REITS) and Real Estate Management & Development that comprise the Real Estate sector of the S&P 500® Index.
S&P 500® Equal Weight Index Information Technology is an unmanaged equal weighted version of the S&P 500® Information Technology Index that consists of the common stocks of the following industries: Internet equipment, computers and peripherals, electronic equipment, office electronics and instruments, semiconductor equipment and products, diversified telecommunication services, and wireless telecommunication services that comprise the Information Technology sector of the S&P 500® Index.
S&P 500® Equal Weight Index Telecommunication Services & Utilities is an unmanaged equal weighted version of the S&P 500® Telecommunication Services Index and S&P 500® Utilities Index that consists of the common stocks of the following industries: electric utilities, gas utilities, multi-utilities and unregulated power and water utilities, telecommunication service companies, including fixed-line, cellular, wireless, high bandwidth and fiber-optic cable networks that comprise the Telecommunications Services and Utilities sectors of the S&P 500® Index.
4 | GUGGENHEIM ETFs ANNUAL REPORT |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) |
Shareholder Expense Example
As a shareholder of the Rydex ETF Trust, 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 Adviser. 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 April 30, 2017 and held for the six months ended October 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.
GUGGENHEIM ETFs ANNUAL REPORT | 5 |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(concluded) |
Expense Ratio1 | Fund Return | Beginning Account Value April 30, 2017 | Ending Account Value October 31, 2017 | Expenses Paid During Period2 | |
Table 1. Based on actual Fund return3 | |||||
Guggenheim MSCI Emerging Markets Equal Country Weight ETF | 0.65% | 9.51% | $ 1,000.00 | $ 1,095.10 | $ 3.43 |
Guggenheim Multi-Factor Large Cap ETF4 | 0.25% | 4.58% | 1,000.00 | 1,045.80 | 0.95 |
Guggenheim S&P MidCap 400® Equal Weight ETF | 0.41% | 4.82% | 1,000.00 | 1,048.20 | 2.12 |
Guggenheim S&P SmallCap 600® Equal Weight ETF | 0.41% | 6.34% | 1,000.00 | 1,063.40 | 2.13 |
Guggenheim S&P 100® Equal Weight ETF | 0.41% | 7.61% | 1,000.00 | 1,076.10 | 2.15 |
Guggenheim S&P 500® Equal Weight Consumer Discretionary ETF | 0.40% | (1.78%) | 1,000.00 | 982.20 | 2.00 |
Guggenheim S&P 500® Equal Weight Consumer Staples ETF | 0.40% | (2.50%) | 1,000.00 | 975.00 | 1.99 |
Guggenheim S&P 500® Equal Weight Energy ETF | 0.40% | (1.88%) | 1,000.00 | 981.20 | 2.00 |
Guggenheim S&P 500® Equal Weight Financials ETF | 0.40% | 12.28% | 1,000.00 | 1,122.80 | 2.14 |
Guggenheim S&P 500® Equal Weight Health Care ETF | 0.40% | 7.48% | 1,000.00 | 1,074.80 | 2.09 |
Guggenheim S&P 500® Equal Weight Industrials ETF | 0.40% | 8.41% | 1,000.00 | 1,084.10 | 2.10 |
Guggenheim S&P 500® Equal Weight Materials ETF | 0.40% | 12.36% | 1,000.00 | 1,123.60 | 2.14 |
Guggenheim S&P 500® Equal Weight Real Estate ETF | 0.41% | 2.94% | 1,000.00 | 1,029.40 | 2.10 |
Guggenheim S&P 500® Equal Weight Technology ETF | 0.40% | 16.40% | 1,000.00 | 1,164.00 | 2.18 |
Guggenheim S&P 500® Equal Weight Utilities ETF | 0.40% | 5.79% | 1,000.00 | 1,057.90 | 2.07 |
Table 2. Based on hypothetical 5% return (before expenses) | |||||
Guggenheim MSCI Emerging Markets Equal Country Weight ETF | 0.65% | 5.00% | $ 1,000.00 | $ 1,021.93 | $ 3.31 |
Guggenheim Multi-Factor Large Cap ETF | 0.25% | 5.00% | 1,000.00 | 1,023.95 | 1.28 |
Guggenheim S&P MidCap 400® Equal Weight ETF | 0.41% | 5.00% | 1,000.00 | 1,023.14 | 2.09 |
Guggenheim S&P SmallCap 600® Equal Weight ETF | 0.41% | 5.00% | 1,000.00 | 1,023.14 | 2.09 |
Guggenheim S&P 100® Equal Weight ETF | 0.41% | 5.00% | 1,000.00 | 1,023.14 | 2.09 |
Guggenheim S&P 500® Equal Weight Consumer Discretionary ETF | 0.40% | 5.00% | 1,000.00 | 1,023.19 | 2.04 |
Guggenheim S&P 500® Equal Weight Consumer Staples ETF | 0.40% | 5.00% | 1,000.00 | 1,023.19 | 2.04 |
Guggenheim S&P 500® Equal Weight Energy ETF | 0.40% | 5.00% | 1,000.00 | 1,023.19 | 2.04 |
Guggenheim S&P 500® Equal Weight Financials ETF | 0.40% | 5.00% | 1,000.00 | 1,023.19 | 2.04 |
Guggenheim S&P 500® Equal Weight Health Care ETF | 0.40% | 5.00% | 1,000.00 | 1,023.19 | 2.04 |
Guggenheim S&P 500® Equal Weight Industrials ETF | 0.40% | 5.00% | 1,000.00 | 1,023.19 | 2.04 |
Guggenheim S&P 500® Equal Weight Materials ETF | 0.40% | 5.00% | 1,000.00 | 1,023.19 | 2.04 |
Guggenheim S&P 500® Equal Weight Real Estate ETF | 0.41% | 5.00% | 1,000.00 | 1,023.14 | 2.09 |
Guggenheim S&P 500® Equal Weight Technology ETF | 0.40% | 5.00% | 1,000.00 | 1,023.19 | 2.04 |
Guggenheim S&P 500® Equal Weight Utilities ETF | 0.40% | 5.00% | 1,000.00 | 1,023.19 | 2.04 |
1 | Annualized and excludes expenses of the underlying funds in which the Funds invest. |
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 April 30, 2017 to October 31, 2017. |
4 | Since commencement of operations: June 20, 2017. Expenses paid based on actual fund return are calculated using 135 days from the commencement of operations. |
6 | GUGGENHEIM ETFs ANNUAL REPORT |
MANAGER'S ANALYSIS (Unaudited) | October 31, 2017 |
Guggenheim Msci Emerging Markets Equal Country Weight Etf
Guggenheim MSCI Emerging Markets Equal Country Weight ETF (“EWEM”) returned 17.14% for the one-year period ended October 31, 2017. The MSCI Emerging Markets Equal Country Weighted Index returned 16.39% for the period, and the MSCI Emerging Markets Equal Weight Index returned 19.23%. Over the period, EWEM achieved over 99% correlation to the MSCI Emerging Markets Equal Country Weighted Index on a daily basis.
The Energy, Information Technology, and Financials sectors contributed the most to the Fund’s return for the period. The Telecommunications Services, Consumer Staples, and Health Care sectors detracted the most from the Fund’s return for the period.
Top contributors to the Fund’s return included ConocoPhillips, Samsung Electronics Company Ltd GDR, and Credicorp Ltd. Top detractors included VanEck Vectors Egypt Index ETF, Alpha Bank AE, and Compania de Minas Buenaventura SAA ADR.
Cumulative Fund Performance: December 3, 2010 – October 31, 2017
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED OCTOBER 31, 2017 | ||||
One Year | Three Year | Five Year | Since Inception (12/03/10) | |
Guggenheim MSCI Emerging Markets Equal Country Weight ETF | 17.14% | 1.49% | 2.04% | (0.73%) |
MSCI Emerging Markets Equal Country Weighted Index | 16.39% | N/A | N/A | N/A |
MSCI Emerging Markets Equal Country Weight Blended Index1 | 2.93% | (4.11%) | (0.73%) | (1.93%) |
MSCI Emerging Markets Equal Weighted Index | 19.23% | 2.95% | 3.57% | 1.14% |
MSCI Emerging Markets Index | 26.45% | 5.70% | 4.83% | 2.44% |
The MSCI Emerging Markets Equal Country Weighted Index incepted on 11/10/14. Therefore, the index returns for the time periods listed above are not available.
1 | Benchmark returns reflect the blended return of the MSCI Emerging Markets Equal Weighted Index from 12/03/10 - 01/19/15 and the return of the MSCI Emerging Markets Equal Country Weighted Index from 01/20/15 to 10/31/17. |
The returns presented above do not reflect the effect of taxes. Index returns represent total returns. Performance displayed represents past performance, which is no guarantee of future results.
GUGGENHEIM ETFs ANNUAL REPORT | 7 |
PORTFOLIO SUMMARY (Unaudited) | October 31, 2017 |
Guggenheim MSCI Emerging Markets Equal Country Weight ETF
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Ten Largest Holdings | (% of Total Net Assets) |
iShares MSCI India ETF | 4.4% |
Credicorp Ltd. | 3.4% |
Commercial International Bank Egypt SAE GDR | 3.1% |
Global X MSCI Pakistan ETF | 2.7% |
OTP Bank plc | 2.6% |
CEZ AS | 1.7% |
Komercni Banka AS | 1.6% |
Taiwan Semiconductor Manufacturing Company Ltd. ADR | 1.6% |
Samsung Electronics Company Ltd. GDR | 1.5% |
Naspers Ltd. — Class N | 1.3% |
Top Ten Total | 23.9% |
“Ten Largest Holdings” excludes any temporary cash investments.
8 | GUGGENHEIM ETFs ANNUAL REPORT |
MANAGER'S ANALYSIS (Unaudited) | October 31, 2017 |
Guggenheim Multi-Factor Large Cap Etf
Guggenheim Multi-Factor Large Cap ETF, NYSE Arca ticker: GMFL (the “Fund”) seeks is to replicate as closely as possible, before fees and expenses, the daily performance of the Guggenheim Multi-Factor Large Cap Index (the “Index”). The inception date of the Fund was June 20, 2017.
For the abbreviated annual fiscal period ended October 31, 2017, the Fund returned 4.58%. For comparison, the Index returned 4.80%, and the S&P 500 Index returned 5.65% for the abbreviated fiscal period.
For the abbreviated annual fiscal period ended October 31, 2017, the Information Technology, Industrials, and Financials sectors contributed the most to the Fund’s return. The Consumer Staples, Telecommunications Services, and Financials sectors detracted the most from the Fund’s return for the period.
For the abbreviated annual fiscal period ended October 31, 2017, top contributors to the Fund’s return included Boeing Co., FLIR Systems, Inc., and Harris Corp. Top detractors included DaTiva, Inc., Walgreens Boots Alliance, Inc., and Everest Re Group Ltd.
Cumulative Fund Performance: June 20, 2017 – October 31, 2017
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED OCTOBER 31, 2017 | |
Since Inception (06/20/17) | |
Guggenheim Multi-Factor Large Cap ETF | 4.58% |
Guggenheim Multi-Factor Large Cap Index | 4.80% |
S&P 500 Index | 5.65% |
The returns presented above do not reflect the effect of taxes. Index returns represent total returns. Performance displayed represents past performance, which is no guarantee of future results.
GUGGENHEIM ETFs ANNUAL REPORT | 9 |
PORTFOLIO SUMMARY (Unaudited) | October 31, 2017 |
Guggenheim Multi-Factor Large Cap Etf
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Ten Largest Holdings | (% of Total Net Assets) |
Adobe Systems, Inc. | 2.3% |
FLIR Systems, Inc. | 2.2% |
PulteGroup, Inc. | 2.2% |
Wal-Mart Stores, Inc. | 2.2% |
ANSYS, Inc. | 2.1% |
Anthem, Inc. | 2.1% |
Total System Services, Inc. | 2.1% |
Cadence Design Systems, Inc. | 2.1% |
UnitedHealth Group, Inc. | 2.1% |
TE Connectivity Ltd. | 2.1% |
Top Ten Total | 21.5% |
“Ten Largest Holdings” excludes any temporary cash investments.
10 | GUGGENHEIM ETFs ANNUAL REPORT |
MANAGER'S ANALYSIS (Unaudited) | October 31, 2017 |
Guggenheim S&P Midcap 400® Equal Weight Etf
Guggenheim S&P MidCap 400® Equal Weight ETF (“EWMC”) returned 21.82% for the one-year period ended October 31, 2017, compared with the 22.33% return of the benchmark, the S&P MidCap 400® Equal Weight Index. The cap-weighted S&P MidCap 400® Index returned 23.48%. During the period, the Fund achieved over 99% correlation to its benchmark on a daily basis.
The Information Technology, Industrials, and Financials sectors contributed the most to the Fund’s return for the period. The sectors detracting the most from performance were Energy, Consumer Staples, and Telecommunications Services.
Top contributors to the Fund’s return included Chemours Co., Cognex Corp., and Advanced Micro Devices, Inc. Top detractors included Avon Products, Inc., Frontier Communications Corp. Class B, and Dick’s Sporting Goods, Inc.
Cumulative Fund Performance: December 3, 2010 – October 31, 2017
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED OCTOBER 31, 2017 | ||||
One Year | Three Year | Five Year | Since Inception (12/03/10) | |
Guggenheim S&P MidCap 400® Equal Weight ETF | 21.82% | 8.49% | 14.42% | 12.45% |
S&P MidCap 400 Equal Weight Index | 22.33% | 9.67% | 14.51% | 12.33% |
S&P MidCap 400 Index | 23.48% | 10.71% | 15.13% | 12.79% |
The returns presented above do not reflect the effect of taxes. Index returns represent total returns. Performance displayed represents past performance, which is no guarantee of future results.
GUGGENHEIM ETFs ANNUAL REPORT | 11 |
PORTFOLIO SUMMARY (Unaudited) | October 31, 2017 |
Guggenheim S&P Midcap 400® Equal Weight Etf
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Ten Largest Holdings | (% of Total Net Assets) |
SM Energy Co. | 0.4% |
Cree, Inc. | 0.4% |
Rowan Companies plc — Class A | 0.3% |
CalAtlantic Group, Inc. | 0.3% |
TRI Pointe Group, Inc. | 0.3% |
SVB Financial Group | 0.3% |
Kemper Corp. | 0.3% |
Diamond Offshore Drilling, Inc. | 0.3% |
Silicon Laboratories, Inc. | 0.3% |
KB Home | 0.3% |
Top Ten Total | 3.2% |
“Ten Largest Holdings” excludes any temporary cash investments.
12 | GUGGENHEIM ETFs ANNUAL REPORT |
MANAGER'S ANALYSIS (Unaudited) | October 31, 2017 |
Guggenheim S&P Smallcap 600® Equal Weight Etf
Guggenheim S&P SmallCap 600® Equal Weight ETF (“EWSC”) returned 25.32% for the one-year period ended October 31, 2017, compared with the 25.56% return of the benchmark, the S&P SmallCap 600® Equal Weight Index. The cap-weighted S&P SmallCap 600® returned 27.92%. During the period, the Fund achieved over 99% correlation to its benchmark on a daily basis.
The Industrials, Financials, and Information Technology sectors contributed the most to the Fund’s return for the period. The sectors contributing least to performance were Energy, Utilities, and Telecommunications Services. No sector detracted.
Top contributors to Fund return included Spectrum Pharmaceuticals, Inc., Scientific Games Corp. Class A, and QuinStreet, Inc. Top detractors included Adeptus Health, Inc., Class A, Vitamin Shoppe, Inc., and Depomed, Inc.
Cumulative Fund Performance: December 3, 2010 – October 31, 2017
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED OCTOBER 31, 2017 | ||||
One Year | Three Year | Five Year | Since Inception (12/03/10) | |
Guggenheim S&P SmallCap 600® Equal Weight ETF | 25.32% | 6.60% | 11.88% | 9.56% |
S&P SmallCap 600 Equal Weight Index | 25.56% | 9.94% | 15.42% | 13.12% |
S&P SmallCap 600 Index | 27.92% | 11.85% | 16.29% | 14.06% |
The returns presented above do not reflect the effect of taxes. Index returns represent total returns. Performance displayed represents past performance, which is no guarantee of future results.
GUGGENHEIM ETFs ANNUAL REPORT | 13 |
PORTFOLIO SUMMARY (Unaudited) | October 31, 2017 |
Guggenheim S&P Smallcap 600® Equal Weight Etf
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Ten Largest Holdings | (% of Total Net Assets) |
Spectrum Pharmaceuticals, Inc. | 0.3% |
QuinStreet, Inc. | 0.3% |
Calgon Carbon Corp. | 0.3% |
Bill Barrett Corp. | 0.2% |
Carrizo Oil & Gas, Inc. | 0.2% |
Kraton Corp. | 0.2% |
Echo Global Logistics, Inc. | 0.2% |
FARO Technologies, Inc. | 0.2% |
Electro Scientific Industries, Inc. | 0.2% |
Photronics, Inc. | 0.2% |
Top Ten Total | 2.3% |
“Ten Largest Holdings” excludes any temporary cash investments.
14 | GUGGENHEIM ETFs ANNUAL REPORT |
MANAGER'S ANALYSIS (Unaudited) | October 31, 2017 |
Guggenheim S&P 100® Equal Weight Etf
Guggenheim S&P 100® Equal Weight ETF (“OEW”) returned 20.71% for the one-year period ended October 31, 2017, compared with the 21.30% return of the benchmark, the S&P 100® Equal Weight Index. The cap-weighted S&P 100® Index returned 23.17%. Over the period, OEW achieved over 99% correlation to the S&P 100® Equal Weight Index on a daily basis.
The Financials, Industrials, and Information Technology sectors contributed the most to the Fund’s return for the abbreviated period. The only sector detracting from performance was Real Estate. Telecommunications Services and Energy contributed least.
Top contributors to the Fund’s return included Boeing Co., Bank of America Corp., and PayPal Holdings, Inc. Top detractors included General Electric Co., Qualcomm, Inc., and Walgreens Boots Alliance, Inc.
Cumulative Fund Performance: June 30, 2016 – October 31, 2017
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED OCTOBER 31, 2017 | ||
One Year | Since Inception (06/30/16) | |
Guggenheim S&P 100® Equal Weight ETF | 20.71% | 18.27% |
S&P 100 Equal Weight Index | 21.30% | 18.84% |
S&P 100 Index | 23.17% | 20.05% |
The returns presented above do not reflect the effect of taxes. Index returns represent total returns. Performance displayed represents past performance, which is no guarantee of future results.
GUGGENHEIM ETFs ANNUAL REPORT | 15 |
PORTFOLIO SUMMARY (Unaudited) | October 31, 2017 |
Guggenheim S&P 100® Equal Weight Etf
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Ten Largest Holdings | (% of Total Net Assets) |
Intel Corp. | 1.2% |
Bank of America Corp. | 1.2% |
PayPal Holdings, Inc. | 1.1% |
Texas Instruments, Inc. | 1.1% |
Capital One Financial Corp. | 1.1% |
General Motors Co. | 1.1% |
Caterpillar, Inc. | 1.1% |
ConocoPhillips | 1.1% |
JPMorgan Chase & Co. | 1.1% |
American Express Co. | 1.1% |
Top Ten Total | 11.2% |
“Ten Largest Holdings” excludes any temporary cash investments.
16 | GUGGENHEIM ETFs ANNUAL REPORT |
MANAGER'S ANALYSIS (Unaudited) | October 31, 2017 |
Guggenheim S&P 500® Equal Weight Consumer Discretionary Etf
For the one-year period ended October 31, 2017, Guggenheim S&P 500® Equal Weight Consumer Discretionary ETF (“RCD”) returned 8.32%, compared to its benchmark, the S&P 500® Equal Weight Index Consumer Discretionary, which returned 8.83%. RCD achieved over 99% correlation to its benchmark on a daily basis.
The return of the cap-weighted Standard & Poor’s 500® Index was 23.63%.
The Hotel, Restaurants & Leisure; Household Durables; and Auto Components industries were the largest contributors to the Fund’s return. The Specialty Retail, Leisure Products, and Multiline Retail industries detracted the most from the Fund’s return.
Marriott International, Inc. Class A, Wynn Resorts Ltd., and Wyndham Worldwide Corp. contributed the most to the Fund’s return. Mattel, Inc., Foot Locker, Inc., and Macy’s, Inc. detracted the most from the Fund’s return.
Cumulative Fund Performance: October 31, 2007 – October 31, 2017
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED OCTOBER 31, 2017 | ||||
One Year | Three Year | Five Year | 10 Year | |
Guggenheim S&P 500® Equal Weight Consumer Discretionary ETF | 8.32% | 4.67% | 12.04% | 8.86% |
S&P 500 Equal Weight Index Consumer Discretionary | 8.83% | 5.03% | 12.54% | 9.32% |
S&P 500 Index | 23.63% | 10.77% | 15.18% | 7.51% |
The returns presented above do not reflect the effect of taxes. Index returns represent total returns. Performance displayed represents past performance, which is no guarantee of future results.
GUGGENHEIM ETFs ANNUAL REPORT | 17 |
PORTFOLIO SUMMARY (Unaudited) | October 31, 2017 |
Guggenheim S&P 500® Equal Weight Consumer Discretionary Etf
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Ten Largest Holdings | (% of Total Net Assets) |
DR Horton, Inc. | 1.5% |
PulteGroup, Inc. | 1.5% |
General Motors Co. | 1.4% |
L Brands, Inc. | 1.4% |
Michael Kors Holdings Ltd. | 1.4% |
Marriott International, Inc. — Class A | 1.4% |
Amazon.com, Inc. | 1.4% |
BorgWarner, Inc. | 1.4% |
VF Corp. | 1.4% |
Netflix, Inc. | 1.4% |
Top Ten Total | 14.2% |
“Ten Largest Holdings” excludes any temporary cash investments.
18 | GUGGENHEIM ETFs ANNUAL REPORT |
MANAGER'S ANALYSIS (Unaudited) | October 31, 2017 |
Guggenheim S&P 500® Equal Weight Consumer Staples Etf
For the one-year period ended October 31, 2017, Guggenheim S&P 500® Equal Weight Consumer Staples ETF (“RHS”) returned 1.99%. For the same period, its benchmark, the S&P 500® Equal Weight Index Consumer Staples, returned 2.17%. RHS achieved over 99% correlation to its benchmark on a daily basis.
The return of the cap-weighted Standard & Poor’s 500® Index was 23.63%.
The Beverages, Food & Staples Retailing, and Tobacco industries were the largest contributors to the Fund’s return. The Food Products and Personal Products were the only detractors. Household Products contributed the least.
Whole Foods Market, Inc., Constellation Brands, Inc. Class A, and Estee Lauder Companies, Inc. Class A contributed the most to the Fund’s return. Coty, Inc. Class A, Kroger Co., and Molson Coors Brewing Co. Class B detracted the most.
Cumulative Fund Performance: October 31, 2007 – October 31, 2017
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED OCTOBER 31, 2017 | ||||
One Year | Three Year | Five Year | 10 Year | |
Guggenheim S&P 500® Equal Weight Consumer Staples ETF | 1.99% | 8.42% | 14.42% | 10.92% |
S&P 500 Equal Weight Index Consumer Staples | 2.17% | 8.84% | 15.00% | 11.46% |
S&P 500 Index | 23.63% | 10.77% | 15.18% | 7.51% |
The returns presented above do not reflect the effect of taxes. Index returns represent total returns. Performance displayed represents past performance, which is no guarantee of future results.
GUGGENHEIM ETFs ANNUAL REPORT | 19 |
PORTFOLIO SUMMARY (Unaudited) | October 31, 2017 |
Guggenheim S&P 500® Equal Weight Consumer Staples Etf
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Ten Largest Holdings | (% of Total Net Assets) |
Tyson Foods, Inc. — Class A | 3.3% |
Wal-Mart Stores, Inc. | 3.3% |
Constellation Brands, Inc. — Class A | 3.2% |
Sysco Corp. | 3.1% |
Brown-Forman Corp. — Class B | 3.1% |
Altria Group, Inc. | 3.1% |
Monster Beverage Corp. | 3.1% |
Estee Lauder Companies, Inc. — Class A | 3.1% |
Costco Wholesale Corp. | 3.1% |
McCormick & Company, Inc. | 3.1% |
Top Ten Total | 31.5% |
“Ten Largest Holdings” excludes any temporary cash investments. |
20 | GUGGENHEIM ETFs ANNUAL REPORT |
MANAGER'S ANALYSIS (Unaudited) | October 31, 2017 |
Guggenheim S&P 500® Equal Weight Energy Etf
For the one-year period ended October 31, 2017, Guggenheim S&P 500® Equal Weight Energy ETF (“RYE”) returned -2.20%. For the same period, its benchmark, the S&P 500® Equal Weight Index Energy, returned -1.63%. RYE achieved over 99% correlation to its benchmark on a daily basis.
The return of the cap-weighted Standard & Poor’s 500® Index was 23.63%.
The Oil & Gas Refining & Marketing, Integrated Oil & Gas, and Oil & Gas Storage & Transportation industries contributed the most to the Fund’s return. The Oil & Gas Exploration & Production, Oil & Gas Equipment & Services, and Oil & Gas Drilling industries detracted the most from the Fund’s return.
Valero Energy Corp., Marathon Oil Corp., and Cabot Oil & Gas Corp. contributed the most to the Fund’s return. Range Resources Corp., Chesapeake Energy Corp., and Apache Corp. detracted the most from the Fund’s return.
Cumulative Fund Performance: October 31, 2007 – October 31, 2017
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED OCTOBER 31, 2017 | ||||
One Year | Three Year | Five Year | 10 Year | |
Guggenheim S&P 500® Equal Weight Energy ETF | (2.20%) | (9.12%) | (1.48%) | (0.62%) |
S&P 500 Equal Weight Index Energy | (1.63%) | (8.87%) | (1.18%) | (0.16%) |
S&P 500 Index | 23.63% | 10.77% | 15.18% | 7.51% |
The returns presented above do not reflect the effect of taxes. Index returns represent total returns. Performance displayed represents past performance, which is no guarantee of future results.
GUGGENHEIM ETFs ANNUAL REPORT | 21 |
PORTFOLIO SUMMARY (Unaudited) | October 31, 2017 |
Guggenheim S&P 500® Equal Weight Energy Etf
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Ten Largest Holdings | (% of Total Net Assets) |
Marathon Oil Corp. | 3.6% |
Newfield Exploration Co. | 3.5% |
Anadarko Petroleum Corp. | 3.4% |
Concho Resources, Inc. | 3.4% |
Helmerich & Payne, Inc. | 3.4% |
Cimarex Energy Co. | 3.4% |
Devon Energy Corp. | 3.3% |
Pioneer Natural Resources Co. | 3.3% |
EOG Resources, Inc. | 3.3% |
ConocoPhillips | 3.3% |
Top Ten Total | 33.9% |
“Ten Largest Holdings” excludes any temporary cash investments. |
22 | GUGGENHEIM ETFs ANNUAL REPORT |
MANAGER'S ANALYSIS (Unaudited) | October 31, 2017 |
Guggenheim S&P 500® Equal Weight Financials Etf
For the one-year period ended October 31, 2017, Guggenheim S&P 500® Equal Weight Financials ETF (“RYF”) returned 35.15%. For the same period, its benchmark, the S&P 500® Equal Weight Index Financials, returned 35.61%. RYF achieved a daily correlation of over 99% to its benchmark on a daily basis.
The return of the cap-weighted Standard & Poor’s 500® Index was 23.63%.
Regional Banks, Asset Management & Custody Banks, and Life & Health Insurance were the industries contributing the most to return. Reinsurance was the only detractor. The Multi-Sector Holdings and Multi-Line Insurance industries contributed the least to return.
Ameriprise Financial, Inc., Bank of America Corp., and Lincoln National Corp. were the largest contributors to the Fund’s return. Everest Re Group Ltd. was the only detractor. Cincinnati Financial Corp. and American International Group, Inc. contributed the least to the Fund’s return.
Cumulative Fund Performance: October 31, 2007 – October 31, 2017
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED OCTOBER 31, 2017 | ||||
One Year | Three Year | Five Year | 10 Year | |
Guggenheim S&P 500® Equal Weight Financials ETF | 35.15% | 13.26% | 17.87% | 4.42% |
S&P 500 Equal Weight Index Financials | 35.61% | 13.87% | 18.49% | 5.23% |
S&P 500 Index | 23.63% | 10.77% | 15.18% | 7.51% |
The returns presented above do not reflect the effect of taxes. Index returns represent total returns. Performance displayed represents past performance, which is no guarantee of future results.
GUGGENHEIM ETFs ANNUAL REPORT | 23 |
PORTFOLIO SUMMARY (Unaudited) | October 31, 2017 |
Guggenheim S&P 500® Equal Weight Financials Etf
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Ten Largest Holdings | (% of Total Net Assets) |
Comerica, Inc. | 1.7% |
Bank of America Corp. | 1.6% |
Ameriprise Financial, Inc. | 1.6% |
Capital One Financial Corp. | 1.6% |
Regions Financial Corp. | 1.6% |
Charles Schwab Corp. | 1.6% |
Citizens Financial Group, Inc. | 1.6% |
M&T Bank Corp. | 1.6% |
Discover Financial Services | 1.6% |
Lincoln National Corp. | 1.6% |
Top Ten Total | 16.1% |
“Ten Largest Holdings” excludes any temporary cash investments. |
24 | GUGGENHEIM ETFs ANNUAL REPORT |
MANAGER'S ANALYSIS (Unaudited) | October 31, 2017 |
Guggenheim S&P 500® Equal Weight Health Care Etf
For the one-year period ended October 31, 2017, Guggenheim S&P 500® Equal Weight Health Care ETF (“RYH”) returned 22.85%. For the same period, its benchmark, the S&P 500® Equal Weight Index Health Care, returned 23.32%. RYH achieved over 99% correlation to its benchmark on a daily basis.
The return of the cap-weighted Standard & Poor’s 500® Index was 23.63%.
The Health Care Equipment & Supplies, Health Care Providers & Services, and Life Sciences Tools & Services were the largest contributors to the Fund’s return. Health Care Technology, Pharmaceuticals, and Biotechnology contributed the least. No industry detracted.
Vertex Pharmaceuticals, Inc., Anthem, Inc., and Intuitive Surgical, Inc. were the largest contributors to the Fund’s return. Endo International Plc, Envision Healthcare Corp., and Mallinckrodt Plc were the largest detractors from the Fund’s return.
Cumulative Fund Performance: October 31, 2007 – October 31, 2017
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED OCTOBER 31, 2017 | ||||
One Year | Three Year | Five Year | 10 Year | |
Guggenheim S&P 500® Equal Weight Health Care ETF | 22.85% | 9.07% | 18.60% | 12.37% |
S&P 500 Equal Weight Index Health Care | 23.32% | 9.32% | 19.21% | 13.09% |
S&P 500 Index | 23.63% | 10.77% | 15.18% | 7.51% |
The returns presented above do not reflect the effect of taxes. Index returns represent total returns. Performance displayed represents past performance, which is no guarantee of future results.
GUGGENHEIM ETFs ANNUAL REPORT | 25 |
PORTFOLIO SUMMARY (Unaudited) | October 31, 2017 |
Guggenheim S&P 500® Equal Weight Health Care Etf
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Ten Largest Holdings | (% of Total Net Assets) |
Align Technology, Inc. | 2.1% |
Quintiles IMS Holdings, Inc. | 1.8% |
Mettler-Toledo International, Inc. | 1.8% |
Mylan N.V. | 1.8% |
Stryker Corp. | 1.8% |
Intuitive Surgical, Inc. | 1.8% |
Anthem, Inc. | 1.8% |
PerkinElmer, Inc. | 1.7% |
Cigna Corp. | 1.7% |
Johnson & Johnson | 1.7% |
Top Ten Total | 18.0% |
“Ten Largest Holdings” excludes any temporary cash investments. |
26 | GUGGENHEIM ETFs ANNUAL REPORT |
MANAGER'S ANALYSIS (Unaudited) | October 31, 2017 |
Guggenheim S&P 500® Equal Weight Industrials Etf
For the one-year period ended October 31, 2017, Guggenheim S&P 500® Equal Weight Industrials ETF (“RGI”) returned 26.21% compared to its benchmark S&P 500® Equal Weight Index Industrials, which returned 26.66%. RGI achieved over 99% correlation to its benchmark on a daily basis.
The return of the cap-weighted Standard & Poor’s 500® Index was 23.63%.
The Machinery, Aerospace & Defense, and Road & Rail industries contributed the most to the Fund’s return. The only detractor was the Professional Services industry. The Construction & Engineering and Commercial Services & Supplies industries contributed least.
Boeing Co., United Rentals, Inc., and CSX Corp. contributed the most to the Fund’s return. General Electric Co., Acuity Brands, Inc., and Pitney Bowes, Inc. detracted the most from the Fund’s return.
Cumulative Fund Performance: October 31, 2007 – October 31, 2017
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED OCTOBER 31, 2017 | ||||
One Year | Three Year | Five Year | 10 Year | |
Guggenheim S&P 500® Equal Weight Industrials ETF | 26.21% | 10.30% | 16.37% | 8.68% |
S&P 500 Equal Weight Index Industrials | 26.66% | 10.70% | 16.92% | 9.24% |
S&P 500 Index | 23.63% | 10.77% | 15.18% | 7.51% |
The returns presented above do not reflect the effect of taxes. Index returns represent total returns. Performance displayed represents past performance, which is no guarantee of future results.
GUGGENHEIM ETFs ANNUAL REPORT | 27 |
PORTFOLIO SUMMARY (Unaudited) | October 31, 2017 |
Guggenheim S&P 500® Equal Weight Industrials Etf
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Ten Largest Holdings | (% of Total Net Assets) |
Rockwell Automation, Inc. | 1.7% |
WW Grainger, Inc. | 1.7% |
Caterpillar, Inc. | 1.6% |
Robert Half International, Inc. | 1.6% |
Pentair plc | 1.6% |
Deere & Co. | 1.6% |
Parker-Hannifin Corp. | 1.6% |
3M Co. | 1.6% |
Illinois Tool Works, Inc. | 1.6% |
United Rentals, Inc. | 1.6% |
Top Ten Total | 16.2% |
“Ten Largest Holdings” excludes any temporary cash investments. |
28 | GUGGENHEIM ETFs ANNUAL REPORT |
MANAGER'S ANALYSIS (Unaudited) | October 31, 2017 |
Guggenheim S&P 500® Equal Weight Materials Etf
For the one-year period ended October 31, 2017, Guggenheim S&P 500® Equal Weight Materials ETF (“RTM”) returned 29.52% compared with the 30.27% return of the benchmark, the S&P 500® Equal Weight Index Materials. RTM achieved over 99% correlation to its benchmark on a daily basis.
The return of the cap-weighted Standard & Poor’s 500® Index was 23.63%.
The Specialty Chemicals, Fertilizers & Agricultural Chemicals, and Paper Packaging industries were the largest contributors to the Fund’s return. The Aerospace & Defense and Aluminum industries were the only detractors from return. The Gold industry contributed least.
FMC Corp., Albermarle Corp., and CF Industries Holdings, Inc. contributed the most to the Fund’s return. Owens-Illinois, Inc., Arconic, Inc., and Sealed Air Corp. detracted the most from the Fund’s return.
Cumulative Fund Performance: October 31, 2007 – October 31, 2017
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED OCTOBER 31, 2017 | ||||
One Year | Three Year | Five Year | 10 Year | |
Guggenheim S&P 500® Equal Weight Materials ETF | 29.52% | 11.05% | 13.92% | 8.09% |
S&P 500 Equal Weight Index Materials | 30.27% | 11.54% | 14.42% | 8.71% |
S&P 500 Index | 23.63% | 10.77% | 15.18% | 7.51% |
The returns presented above do not reflect the effect of taxes. Index returns represent total returns. Performance displayed represents past performance, which is no guarantee of future results.
GUGGENHEIM ETFs ANNUAL REPORT | 29 |
PORTFOLIO SUMMARY (Unaudited) | October 31, 2017 |
Guggenheim S&P 500® Equal Weight Materials Etf
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Ten Largest Holdings | (% of Total Net Assets) |
Albemarle Corp. | 4.4% |
CF Industries Holdings, Inc. | 4.4% |
Mosaic Co. | 4.3% |
Sherwin-Williams Co. | 4.3% |
Avery Dennison Corp. | 4.2% |
LyondellBasell Industries N.V. — Class A | 4.2% |
PPG Industries, Inc. | 4.2% |
DowDuPont, Inc. | 4.2% |
Praxair, Inc. | 4.1% |
Air Products & Chemicals, Inc. | 4.1% |
Top Ten Total | 42.4% |
“Ten Largest Holdings” excludes any temporary cash investments. |
30 | GUGGENHEIM ETFs ANNUAL REPORT |
MANAGER'S ANALYSIS (Unaudited) | October 31, 2017 |
Guggenheim S&P 500® Equal Weight Real Estate Etf
For the one-year period ended October 31, 2017, Guggenheim S&P 500® Equal Weight Real Estate ETF (“EWRE”) returned 8.33%, compared with its benchmark, the S&P 500® Equal Weight Real Estate Index, which returned 8.88%.
The return of the cap-weighted Standard & Poor’s 500® Index was 23.63%.
The Specialized REITS, Residential REITs, and Real Estate Services were the largest contributors to the Fund’s return. Retails REITS and Health Care REITs were the only detractors from return. The Industrial REITs industry contributed least.
CBRE Group, Inc. Class A, Host Hotels & Resorts, Inc., and Digital Realty Trust, Inc. contributed the most to the Fund’s return. Kimco Realty Corp., Macerich Co., and GGP, Inc. detracted the most from the Fund’s return.
Cumulative Fund Performance: August 13, 2015 – October 31, 2017
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED OCTOBER 31, 2017 | ||
One Year | Since Inception (08/13/15) | |
Guggenheim S&P 500® Equal Weight Real Estate ETF | 8.33% | 5.54% |
S&P 500 Equal Weight Real Estate Index | 8.88% | 6.02% |
S&P 500 Index | 23.63% | 12.29% |
The returns presented above do not reflect the effect of taxes. Index returns represent total returns. Performance displayed represents past performance, which is no guarantee of future results.
GUGGENHEIM ETFs ANNUAL REPORT | 31 |
PORTFOLIO SUMMARY (Unaudited) | October 31, 2017 |
Guggenheim S&P 500® Equal Weight Real Estate Etf
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Ten Largest Holdings | (% of Total Net Assets) |
CBRE Group, Inc. — Class A | 3.3% |
Host Hotels & Resorts, Inc. | 3.3% |
Weyerhaeuser Co. | 3.3% |
SBA Communications Corp. | 3.2% |
Alexandria Real Estate Equities, Inc. | 3.2% |
Vornado Realty Trust | 3.1% |
Prologis, Inc. | 3.1% |
Boston Properties, Inc. | 3.1% |
Macerich Co. | 3.1% |
Crown Castle International Corp. | 3.1% |
Top Ten Total | 31.8% |
“Ten Largest Holdings” excludes any temporary cash investments. |
32 | GUGGENHEIM ETFs ANNUAL REPORT |
MANAGER'S ANALYSIS (Unaudited) | October 31, 2017 |
Guggenheim S&P 500® Equal Weight Technology Etf
For the one-year period ended October 31, 2017, Guggenheim S&P 500® Equal Weight Technology ETF (“RYT”) returned 37.19% compared with its benchmark, the S&P 500® Equal Weight Index Information Technology, which returned 37.40%. RYT achieved over 99% correlation to its benchmark on a daily basis.
The return of the cap-weighted Standard & Poor’s 500® Index was 23.63%.
The Semiconductors & Semiconductor Equipment, Software, and IT Services industries were the largest contributors to the Fund’s return. The Consumer Finance, Diversified Financial Services, and Communications Equipment industries contributed the least to return. No industry detracted.
NVIDIA Corp., Micron Technology, Inc., and Lam Research Corp. contributed the most to the Fund’s return. First Solar, Inc., Akamai Technologies, Inc., and Qualcomm, Inc. detracted the most from the Fund’s return.
Cumulative Fund Performance: October 31, 2007 – October 31, 2017
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED OCTOBER 31, 2017 | ||||
One Year | Three Year | Five Year | 10 Year | |
Guggenheim S&P 500® Equal Weight Technology ETF | 37.19% | 19.23% | 23.94% | 10.79% |
S&P 500 Equal Weight Index Information Technology | 37.40% | 19.82% | 24.48% | 11.33% |
S&P 500 Index | 23.63% | 10.77% | 15.18% | 7.51% |
The returns presented above do not reflect the effect of taxes. Index returns represent total returns. Performance displayed represents past performance, which is no guarantee of future results.
GUGGENHEIM ETFs ANNUAL REPORT | 33 |
PORTFOLIO SUMMARY (Unaudited) | October 31, 2017 |
Guggenheim S&P 500® Equal Weight Technology Etf
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Ten Largest Holdings | (% of Total Net Assets) |
Micron Technology, Inc. | 1.8% |
Intel Corp. | 1.7% |
Applied Materials, Inc. | 1.7% |
NVIDIA Corp. | 1.7% |
Lam Research Corp. | 1.7% |
FLIR Systems, Inc. | 1.7% |
Texas Instruments, Inc. | 1.6% |
PayPal Holdings, Inc. | 1.6% |
Xilinx, Inc. | 1.6% |
Seagate Technology plc | 1.6% |
Top Ten Total | 16.7% |
“Ten Largest Holdings” excludes any temporary cash investments. |
34 | GUGGENHEIM ETFs ANNUAL REPORT |
MANAGER'S ANALYSIS (Unaudited) | October 31, 2017 |
Guggenheim S&P 500® Equal Weight Utilities Etf
For the one-year period ended October 31, 2017, Guggenheim S&P 500® Equal Weight Utilities ETF (“RYU”) returned 12.51% while its benchmark, the S&P 500® Equal Weight Telecommunication Services & Utilities Index, returned 13.01%. RYU had a 96% correlation to its benchmark on a daily basis.
The return of the cap-weighted Standard & Poor’s 500® Index was 23.63%.
The industries for Electric Utilities, Multi-Utilities, and Independent Power & Renewable Electricity Producers were the largest contributors to the Fund’s return. Diversified Telecommunication Services was the only detractor. Water Utilities contributed the least.
NRG Energy, Inc., CenterPoint Energy, Inc., and Ameren Corp. contributed the most to the Fund’s return. Scana Corp., Frontier Communications Corp., and CenturyLink, Inc. detracted the most from the Fund’s return.
Cumulative Fund Performance: October 31, 2007 – October 31, 2017
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED OCTOBER 31, 2017 | ||||
One Year | Three Year | Five Year | 10 Year | |
Guggenheim S&P 500® Equal Weight Utilities ETF | 12.51% | 8.49% | 11.68% | 7.36% |
S&P 500 Equal Weight Index Telecommunication Services & Utilities | 13.01% | 8.91% | 12.16% | 7.91% |
S&P 500 Index | 23.63% | 10.77% | 15.18% | 7.51% |
The returns presented above do not reflect the effect of taxes. Index returns represent total returns. Performance displayed represents past performance, which is no guarantee of future results.
GUGGENHEIM ETFs ANNUAL REPORT | 35 |
PORTFOLIO SUMMARY (Unaudited) | October 31, 2017 |
Guggenheim S&P 500® Equal Weight Utilities Etf
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Ten Largest Holdings | (% of Total Net Assets) |
Entergy Corp. | 3.5% |
American Water Works Company, Inc. | 3.5% |
Public Service Enterprise Group, Inc. | 3.4% |
Exelon Corp. | 3.4% |
NextEra Energy, Inc. | 3.4% |
NRG Energy, Inc. | 3.4% |
Southern Co. | 3.4% |
Verizon Communications, Inc. | 3.4% |
Ameren Corp. | 3.3% |
CenturyLink, Inc. | 3.3% |
Top Ten Total | 34.0% |
“Ten Largest Holdings” excludes any temporary cash investments. |
36 | GUGGENHEIM ETFs ANNUAL REPORT |
SCHEDULE OF INVESTMENTS | October 31, 2017 |
Guggenheim MSCI Emerging Markets Equal Country Weight ETF |
Shares | Value | |||||||
COMMON STOCKS† - 90.2% | ||||||||
Financial - 37.3% | ||||||||
Credicorp Ltd. | 2,177 | $ | 455,950 | |||||
Commercial International Bank Egypt SAE GDR | 91,936 | 419,688 | ||||||
OTP Bank plc | 8,662 | 349,249 | ||||||
Komercni Banka AS | 4,918 | 211,437 | ||||||
Bancolombia S.A. ADR | 4,600 | 173,650 | ||||||
Emaar Properties PJSC | 54,743 | 123,568 | ||||||
Qatar National Bank QPSC | 3,578 | 119,406 | ||||||
Moneta Money Bank AS1 | 30,018 | 102,617 | ||||||
Alpha Bank AE* | 43,024 | 85,707 | ||||||
Powszechna Kasa Oszczednosci Bank Polski S.A.* | 7,964 | 84,808 | ||||||
Sberbank of Russia PJSC ADR | 5,503 | 78,968 | ||||||
Bank Central Asia Tbk PT | 47,600 | 73,352 | ||||||
Grupo de Inversiones Suramericana S.A. | 5,354 | 67,949 | ||||||
Abu Dhabi Commercial Bank PJSC | 32,791 | 65,981 | ||||||
Public Bank BHD | 13,600 | 65,727 | ||||||
Ayala Land, Inc. | 77,385 | 64,757 | ||||||
Powszechny Zaklad Ubezpieczen S.A. | 4,965 | 64,101 | ||||||
Egyptian Financial Group-Hermes Holding Co. GDR | 23,894 | 63,559 | ||||||
First Abu Dhabi Bank PJSC | 21,461 | 60,480 | ||||||
Turkiye Garanti Bankasi AS ADR | 21,939 | 59,674 | ||||||
Siam Commercial Bank PCL | 13,522 | 59,632 | ||||||
Banco de Chile ADR | 646 | 59,510 | ||||||
Bank Rakyat Indonesia Persero Tbk PT | 50,900 | 58,547 | ||||||
National Bank of Greece S.A. ADR* | 165,825 | 57,707 | ||||||
Banco Santander Chile ADR | 1,840 | 57,555 | ||||||
SM Prime Holdings, Inc. | 79,200 | 56,763 | ||||||
Ayala Corp. | 2,640 | 52,723 | ||||||
Banco Bradesco S.A. ADR | 4,939 | 52,205 | ||||||
Malayan Banking BHD | 23,600 | 51,565 | ||||||
Masraf Al Rayan QSC | 5,206 | 51,106 | ||||||
BDO Unibank, Inc. | 19,050 | 50,739 | ||||||
Akbank TAS ADR | 9,550 | 49,994 | ||||||
Eurobank Ergasias S.A.* | 58,034 | 47,392 | ||||||
Grupo Financiero Banorte SAB de CV — Class O | 7,818 | 46,499 | ||||||
Bank Mandiri Persero Tbk PT | 83,000 | 43,145 | ||||||
DAMAC Properties Dubai Company PJSC | 37,560 | 40,396 | ||||||
Bank Pekao S.A. | 1,193 | 38,981 | ||||||
Central Pattana PCL | 14,714 | 35,213 | ||||||
CIMB Group Holdings BHD | 23,600 | 34,228 | ||||||
China Construction Bank Corp. ADR | 1,876 | 33,412 | ||||||
mBank S.A.* | 264 | 33,406 | ||||||
Dubai Islamic Bank PJSC | 19,720 | 32,861 | ||||||
Turkiye Is Bankasi — Class C | 16,790 | 31,576 | ||||||
Bank Negara Indonesia Persero Tbk PT | 55,600 | 31,157 | ||||||
Ezdan Holding Group QSC | 11,757 | 30,678 | ||||||
Qatar Islamic Bank SAQ | 1,100 | 29,307 | ||||||
Banco Bradesco ADR | 2,855 | 28,643 | ||||||
Bank Zachodni WBK S.A. | 274 | 27,507 | ||||||
VTB Bank PJSC GDR | 13,074 | 27,063 | ||||||
Industrial & Commercial Bank of China Ltd. ADR2 | 1,640 | 26,084 | ||||||
Aldar Properties PJSC | 39,979 | 25,908 | ||||||
Piraeus Bank S.A.* | 8,779 | 25,261 | ||||||
Standard Bank Group Ltd. ADR2 | 2,137 | 25,131 | ||||||
Qatar Insurance Company SAQ | 2,026 | 24,769 | ||||||
Banco do Brasil S.A. ADR | 2,243 | 23,910 | ||||||
Commercial Bank PQSC* | 3,196 | 23,175 | ||||||
China Evergrande Group* | 6,000 | 23,110 | ||||||
Bangkok Bank PCL | 3,941 | 22,896 | ||||||
Turkiye Halk Bankasi AS | 7,539 | 21,962 | ||||||
Banco de Credito e Inversiones | 313 | 21,068 | ||||||
Banco Santander Brasil S.A. ADR | 2,401 | 20,865 | ||||||
Ping An Insurance Group Company of China Ltd. ADR | 1,160 | 20,589 | ||||||
Krung Thai Bank PCL | 35,197 | 19,283 | ||||||
Emaar Malls PJSC | 30,453 | 19,154 | ||||||
Hana Financial Group, Inc. | 421 | 18,018 | ||||||
KB Financial Group, Inc. ADR | 342 | 17,958 | ||||||
GT Capital Holdings, Inc. | 780 | 17,829 | ||||||
Bank of China Ltd. ADR | 1,415 | 17,631 | ||||||
Doha Bank QPSC | 2,200 | 17,040 | ||||||
RMB Holdings Ltd. | 3,834 | 16,945 | ||||||
FirstRand Ltd. | 4,645 | 16,834 | ||||||
BB Seguridade Participacoes S.A. ADR | 1,962 | 16,673 | ||||||
Pakuwon Jati Tbk PT | 348,200 | 16,174 | ||||||
PICC Property & Casualty Company Ltd. — Class H | 8,000 | 15,853 | ||||||
Shinhan Financial Group Company Ltd. ADR2 | 348 | 15,754 | ||||||
Emlak Konut Gayrimenkul Yatirim Ortakligi AS REIT* | 22,233 | 15,460 | ||||||
China Merchants Bank Company Ltd. — Class H | 4,000 | 15,253 | ||||||
Hong Leong Bank BHD | 4,000 | 15,061 | ||||||
CTBC Financial Holding Company Ltd. | 23,349 | 14,942 | ||||||
Turkiye Vakiflar Bankasi TAO — Class D | 8,664 | 14,446 | ||||||
Alior Bank S.A.* | 695 | 13,815 | ||||||
Growthpoint Properties Ltd. REIT | 7,764 | 13,457 | ||||||
Redefine Properties Ltd. REIT | 17,871 | 13,408 | ||||||
Bank of the Philippine Islands | 7,010 | 13,307 | ||||||
AMMB Holdings BHD | 12,800 | 12,941 | ||||||
Sanlam Ltd. ADR | 1,268 | 12,819 | ||||||
Fubon Financial Holding Company Ltd. | 8,000 | 12,746 | ||||||
Grupo Financiero Inbursa SAB de CV — Class O | 7,358 | 12,673 | ||||||
Mega Financial Holding Company Ltd. | 16,000 | 12,573 | ||||||
E.Sun Financial Holding Company Ltd. | 20,547 | 12,501 | ||||||
Shanghai Industrial Holdings Ltd. | 4,000 | 12,279 | ||||||
Yapi ve Kredi Bankasi AS* | 10,038 | 12,162 | ||||||
First Financial Holding Company Ltd. | 18,162 | 11,713 | ||||||
Fibra Uno Administracion S.A. de CV REIT | 7,358 | 11,604 | ||||||
Cathay Financial Holding Company Ltd. | 7,000 | 11,559 | ||||||
Grupo Financiero Santander Mexico SAB de CV — Class B | 6,657 | 11,236 |
SEE NOTES TO FINANCIAL STATEMENTS. | GUGGENHEIM ETFs ANNUAL REPORT | 37 |
SCHEDULE OF INVESTMENTS (continued) | October 31, 2017 |
Guggenheim MSCI Emerging Markets Equal Country Weight ETF |
Shares | Value | |||||||
Barwa Real Estate Co. | 1,358 | $ | 11,194 | |||||
Discovery Ltd. | 1,061 | 10,995 | ||||||
Barclays Africa Group Ltd. | 1,100 | 10,901 | ||||||
Hyundai Marine & Fire Insurance Company Ltd. | 265 | 10,727 | ||||||
China Life Insurance Company Ltd. ADR2 | 631 | 10,519 | ||||||
China Resources Land Ltd. | 3,283 | 9,784 | ||||||
China Life Insurance Company Ltd. | 9,975 | 9,426 | ||||||
Bank Millennium S.A.* | 4,000 | 8,772 | ||||||
Robinsons Land Corp. | 16,400 | 8,005 | ||||||
Country Garden Holdings Company Ltd. | 5,000 | 7,921 | ||||||
China Pacific Insurance Group Company Ltd. — Class H | 1,600 | 7,885 | ||||||
Samsung Fire & Marine Insurance Company Ltd. | 32 | 7,798 | ||||||
China Overseas Land & Investment Ltd. | 2,000 | 6,486 | ||||||
NH Investment & Securities Company Ltd. | 508 | 6,371 | ||||||
Bank of Communications Company Ltd. — Class H | 8,000 | 6,029 | ||||||
CITIC Ltd. | 4,000 | 5,855 | ||||||
Samsung Securities Company Ltd. | 173 | 5,497 | ||||||
Mirae Asset Daewoo Company Ltd. | 588 | 5,327 | ||||||
China CITIC Bank Corporation Ltd. — Class H | 8,000 | 5,148 | ||||||
Nedbank Group Ltd.2 | 289 | 4,238 | ||||||
Brait SE*,2 | 1,017 | 3,804 | ||||||
Total Financial | 5,008,649 | |||||||
Communications - 9.9% | ||||||||
Naspers Ltd. — Class N | 715 | 174,183 | ||||||
Emirates Telecommunications Group Company PJSC | 27,265 | 132,516 | ||||||
Tencent Holdings Ltd. ADR | 2,511 | 113,121 | ||||||
Alibaba Group Holding Ltd. ADR* | 519 | 95,958 | ||||||
America Movil SAB de CV — Class L ADR2 | 5,300 | 90,736 | ||||||
Hellenic Telecommunications Organization S.A. | 7,478 | 88,857 | ||||||
Telekomunikasi Indonesia Persero Tbk PT | 243,300 | 72,295 | ||||||
O2 Czech Republic AS | 3,825 | 46,590 | ||||||
Grupo Televisa SAB ADR | 2,000 | 43,780 | ||||||
Advanced Info Service PCL | 5,848 | 34,239 | ||||||
PLDT, Inc. ADR | 901 | 29,787 | ||||||
Baidu, Inc. ADR* | 120 | 29,273 | ||||||
Turkcell Iletisim Hizmetleri AS ADR | 3,112 | 29,222 | ||||||
Ooredoo QSC | 1,236 | 29,162 | ||||||
China Mobile Ltd. ADR | 496 | 25,023 | ||||||
MTN Group Ltd. ADR | 2,713 | 23,446 | ||||||
DiGi.com BHD | 17,600 | 20,787 | ||||||
NAVER Corp. | 26 | 20,747 | ||||||
Telefonica Brasil S.A. ADR | 1,261 | 19,419 | ||||||
Axiata Group BHD | 14,800 | 18,843 | ||||||
Cyfrowy Polsat S.A. | 2,290 | 15,960 | ||||||
Empresa Nacional de Telecomunicaciones S.A. | 1,358 | 15,799 | ||||||
Chunghwa Telecom Company Ltd. ADR | 464 | 15,785 | ||||||
Vodacom Group Ltd. ADR | 1,240 | 13,640 | ||||||
Maxis BHD | 9,600 | 13,492 | ||||||
Globe Telecom, Inc. | 330 | 13,053 | ||||||
True Corporation PCL* | 68,614 | 12,702 | ||||||
JD.com, Inc. ADR* | 325 | 12,194 | ||||||
Telekom Malaysia BHD | 7,200 | 10,800 | ||||||
China Unicom Hong Kong Ltd. ADR* | 734 | 10,371 | ||||||
Turk Telekomunika ADR* | 3,044 | 10,304 | ||||||
Samsung SDI Company Ltd. | 54 | 9,929 | ||||||
Ctrip.com International Ltd. ADR* | 201 | 9,626 | ||||||
TIM Participacoes S.A. ADR | 484 | 8,925 | ||||||
Orange Polska S.A.* | 5,067 | 7,812 | ||||||
Sistema PJSC FC GDR | 1,312 | 6,166 | ||||||
Total Communications | 1,324,542 | |||||||
Consumer, Non-cyclical - 7.5% | ||||||||
Richter Gedeon Nyrt | 4,826 | 120,034 | ||||||
Ambev S.A. ADR | 10,228 | 64,742 | ||||||
DP World Ltd. | 2,610 | 61,988 | ||||||
Fomento Economico Mexicano SAB de CV ADR | 630 | 55,283 | ||||||
JG Summit Holdings, Inc. | 31,020 | 46,206 | ||||||
Cencosud S.A. | 14,231 | 42,637 | ||||||
BIM Birlesik Magazalar AS | 2,042 | 41,602 | ||||||
Unilever Indonesia Tbk PT | 10,800 | 39,497 | ||||||
Magnit PJSC GDR | 1,097 | 31,045 | ||||||
Universal Robina Corp. | 10,640 | 29,473 | ||||||
Kroton Educational S.A. ADR | 4,749 | 26,452 | ||||||
Cia Cervecerias Unidas S.A. ADR | 913 | 26,002 | ||||||
Bangkok Dusit Medical Services PCL — Class F | 33,532 | 21,400 | ||||||
Anadolu Efes Biracilik Ve Malt Sanayii AS | 3,278 | 18,961 | ||||||
Charoen Pokphand Foods PCL | 23,923 | 18,724 | ||||||
Kalbe Farma Tbk PT | 156,400 | 18,451 | ||||||
PPB Group BHD | 4,600 | 18,233 | ||||||
IHH Healthcare BHD | 13,200 | 17,585 | ||||||
BRF S.A. ADR*,2 | 1,300 | 17,511 | ||||||
Uni-President Enterprises Corp. | 8,320 | 17,380 | ||||||
Aspen Pharmacare Holdings Ltd. | 757 | 17,101 | ||||||
Cielo S.A. ADR | 2,397 | 16,491 | ||||||
IOI Corporation BHD | 15,600 | 16,435 | ||||||
Charoen Pokphand Indonesia Tbk PT | 66,100 | 16,083 | ||||||
Tiger Brands Ltd. | 568 | 15,504 | ||||||
Kuala Lumpur Kepong BHD | 2,400 | 13,946 | ||||||
CSPC Pharmaceutical Group Ltd. | 8,000 | 13,904 | ||||||
Gruma SAB de CV — Class B | 1,000 | 13,127 | ||||||
Grupo Bimbo SAB de CV | 5,518 | 12,784 | ||||||
Coca-Cola Femsa SAB de CV | 1,722 | 11,658 | ||||||
Indofood Sukses Makmur Tbk PT | 18,000 | 10,883 | ||||||
Hanjaya Mandala Sampoerna Tbk PT | 37,000 | 10,858 | ||||||
Ulker Biskuvi Sanayi AS | 2,001 | 10,668 | ||||||
Eurocash S.A. | 1,036 | 10,480 | ||||||
KT&G Corp. | 106 | 10,029 | ||||||
Shoprite Holdings Ltd. ADR2 | 685 | 9,933 | ||||||
Localiza Rent a Car SA ADR | 525 | 9,251 |
38 | GUGGENHEIM ETFs ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | October 31, 2017 |
Guggenheim MSCI Emerging Markets Equal Country Weight ETF |
Shares | Value | |||||||
Kimberly-Clark de Mexico SAB de CV — Class A | 5,302 | $ | 9,149 | |||||
Bidvest Group Ltd. | 725 | 8,793 | ||||||
Arca Continental SAB de CV | 1,200 | 7,653 | ||||||
LG Household & Health Care Ltd. | 7 | 7,354 | ||||||
Want Want China Holdings Ltd. | 8,000 | 6,542 | ||||||
Amorepacific Corp. | 22 | 6,166 | ||||||
JBS S.A ADR2 | 1,072 | 4,996 | ||||||
Total Consumer, Non-cyclical | 1,002,994 | |||||||
Energy - 7.2% | ||||||||
MOL Hungarian Oil & Gas plc | 13,760 | 164,742 | ||||||
Polski Koncern Naftowy ORLEN S.A. | 2,531 | 89,518 | ||||||
PTT PCL | 6,567 | 83,026 | ||||||
Ecopetrol S.A. ADR2 | 7,000 | 77,630 | ||||||
LUKOIL PJSC ADR | 1,451 | 77,048 | ||||||
Gazprom PJSC ADR | 17,577 | 75,484 | ||||||
Tupras Turkiye Petrol Rafinerileri AS | 1,225 | 44,043 | ||||||
Tatneft PJSC ADR | 857 | 38,565 | ||||||
Petroleo Brasileiro S.A. ADR* | 3,264 | 34,762 | ||||||
Novatek PJSC GDR | 262 | 29,894 | ||||||
Polskie Gornictwo Naftowe i Gazownictwo S.A. | 15,775 | 29,002 | ||||||
PTT Exploration & Production PCL | 11,122 | 28,876 | ||||||
Sasol Ltd. ADR | 874 | 25,442 | ||||||
Surgutneftegas OJSC ADR | 4,538 | 22,672 | ||||||
CNOOC Ltd. ADR | 164 | 22,419 | ||||||
Petronas Gas BHD | 4,800 | 20,454 | ||||||
Rosneft Oil Company PJSC GDR | 3,492 | 19,136 | ||||||
Jastrzebska Spolka Weglowa S.A.* | 600 | 16,142 | ||||||
Grupa Lotos S.A. | 879 | 15,950 | ||||||
Ultrapar Participacoes S.A. ADR | 571 | 13,641 | ||||||
SK Innovation Company Ltd. | 70 | 12,809 | ||||||
Petronas Dagangan BHD | 2,100 | 11,885 | ||||||
China Petroleum & Chemical Corp. ADR | 103 | 7,585 | ||||||
PetroChina Company Ltd. ADR | 93 | 6,092 | ||||||
China Everbright International Ltd. | 4,000 | 5,640 | ||||||
Total Energy | 972,457 | |||||||
Basic Materials - 6.4% | ||||||||
Southern Copper Corp. | 2,929 | 125,801 | ||||||
Cia de Minas Buenaventura S.A.A. ADR | 6,551 | 90,338 | ||||||
Industries Qatar QSC | 2,358 | 61,852 | ||||||
Sociedad Quimica y Minera de Chile S.A. ADR | 1,012 | 60,457 | ||||||
MMC Norilsk Nickel PJSC ADR | 2,466 | 45,374 | ||||||
Grupo Mexico SAB de CV | 11,956 | 38,961 | ||||||
PTT Global Chemical PCL | 15,511 | 37,353 | ||||||
Eregli Demir ve Celik Fabrikalari TAS | 15,917 | 37,314 | ||||||
KGHM Polska Miedz S.A. | 1,097 | 37,066 | ||||||
Empresas CMPC S.A. | 11,022 | 35,173 | ||||||
POSCO ADR | 332 | 24,229 | ||||||
Petronas Chemicals Group BHD | 12,800 | 22,283 | ||||||
Vale S.A. ADR | 2,060 | 20,167 | ||||||
Fibria Celulose S.A. ADR | 1,179 | 18,793 | ||||||
Formosa Plastics Corp. | 6,000 | 18,283 | ||||||
LG Chem Ltd. | 45 | 16,207 | ||||||
Braskem S.A. ADR* | 500 | 15,985 | ||||||
Nan Ya Plastics Corp. | 6,000 | 14,801 | ||||||
Novolipetsk Steel PJSC GDR | 479 | 11,041 | ||||||
Grupa Azoty S.A. | 538 | 10,793 | ||||||
China Steel Corp. | 13,000 | 10,582 | ||||||
Mexichem SAB de CV | 3,905 | 10,076 | ||||||
Gerdau S.A. ADR | 3,022 | 10,003 | ||||||
AngloGold Ashanti Ltd. ADR | 1,059 | 9,849 | ||||||
Severstal PJSC GDR | 636 | 9,699 | ||||||
Sappi Ltd. | 1,438 | 9,630 | ||||||
Mondi Ltd. | 399 | 9,569 | ||||||
Industrias Penoles SAB de CV | 400 | 9,319 | ||||||
Formosa Chemicals & Fibre Corp. | 3,000 | 9,112 | ||||||
Synthos S.A. | 6,003 | 8,133 | ||||||
Hyundai Steel Co. | 150 | 7,698 | ||||||
Petkim Petrokimya Holding AS | 4,000 | 6,996 | ||||||
PhosAgro PJSC GDR | 479 | 6,586 | ||||||
Korea Zinc Company Ltd. | 13 | 5,941 | ||||||
Total Basic Materials | 865,464 | |||||||
Consumer, Cyclical - 6.4% | ||||||||
OPAP S.A. | 6,851 | 76,778 | ||||||
Astra International Tbk PT | 103,300 | 60,934 | ||||||
SACI Falabella | 5,926 | 56,658 | ||||||
SM Investments Corp. | 3,060 | 56,606 | ||||||
CP ALL PCL | 25,561 | 53,861 | ||||||
JUMBO S.A. | 3,226 | 51,862 | ||||||
Latam Airlines Group S.A. ADR2 | 3,632 | 49,322 | ||||||
Turk Hava Yollari AO* | 14,885 | 40,697 | ||||||
Wal-Mart de Mexico SAB de CV | 16,555 | 37,073 | ||||||
Arcelik AS | 4,903 | 26,759 | ||||||
Jollibee Foods Corp. | 5,480 | 26,431 | ||||||
FF Group* | 1,216 | 25,470 | ||||||
LPP S.A. | 10 | 23,562 | ||||||
Steinhoff International Holdings N.V. | 5,095 | 22,126 | ||||||
Genting BHD | 10,000 | 21,377 | ||||||
Minor International PCL | 16,300 | 21,221 | ||||||
Genting Malaysia BHD | 17,200 | 20,436 | ||||||
Hyundai Motor Co. | 134 | 19,256 | ||||||
Bid Corporation Ltd. | 725 | 15,944 | ||||||
Hyundai Mobis Company Ltd. | 64 | 15,224 | ||||||
Woolworths Holdings Limited/South Africa2 | 3,380 | 13,469 | ||||||
LG Corp. | 171 | 13,126 | ||||||
Yum China Holdings, Inc.* | 320 | 12,912 | ||||||
Home Product Center PCL | 32,500 | 12,523 | ||||||
Dongfeng Motor Group Company Ltd. — Class H | 8,000 | 10,972 | ||||||
Kia Motors Corp. | 332 | 10,490 | ||||||
Mr Price Group Ltd. | 803 | 9,951 | ||||||
Matahari Department Store Tbk PT | 14,000 | 8,877 | ||||||
Cheng Shin Rubber Industry Company Ltd. | 4,000 | 7,891 | ||||||
Great Wall Motor Company Ltd. — Class H | 6,000 | 7,560 | ||||||
DXB Entertainments PJSC* | 35,961 | 7,246 | ||||||
Far Eastern New Century Corp. | 8,160 | 6,994 |
SEE NOTES TO FINANCIAL STATEMENTS. | GUGGENHEIM ETFs ANNUAL REPORT | 39 |
SCHEDULE OF INVESTMENTS (continued) | October 31, 2017 |
Guggenheim MSCI Emerging Markets Equal Country Weight ETF |
Shares | Value | |||||||
CCC S.A. | 80 | $ | 6,001 | |||||
Samsung C&T Corp. | 45 | 5,945 | ||||||
Total Consumer, Cyclical | 855,554 | |||||||
Utilities - 5.1% | ||||||||
CEZ AS | 10,218 | 224,055 | ||||||
Enel Americas S.A. ADR | 6,056 | 64,194 | ||||||
Tenaga Nasional BHD | 17,200 | 60,942 | ||||||
PGE Polska Grupa Energetyczna S.A.* | 11,487 | 41,196 | ||||||
Interconexion Electrica S.A. ESP | 9,122 | 39,929 | ||||||
Enel Generacion Chile S.A. ADR | 1,216 | 31,494 | ||||||
Enel Chile S.A. ADR | 4,358 | 25,669 | ||||||
Aboitiz Power Corp. | 26,000 | 21,404 | ||||||
Qatar Electricity & Water Company QSC | 423 | 21,262 | ||||||
Centrais Eletricas Brasileiras S.A. ADR* | 2,702 | 18,130 | ||||||
Colbun S.A. | 75,370 | 17,810 | ||||||
Metro Pacific Investments Corp. | 132,100 | 17,400 | ||||||
Aguas Andinas S.A. — Class A | 25,266 | 16,476 | ||||||
RusHydro PJSC ADR | 12,040 | 16,134 | ||||||
Cia de Saneamento Basico do Estado de Sao Paulo ADR | 1,680 | 15,322 | ||||||
Guangdong Investment Ltd. | 10,000 | 14,484 | ||||||
Korea Electric Power Corp. ADR2 | 801 | 14,114 | ||||||
Perusahaan Gas Negara Persero Tbk | 82,400 | 11,179 | ||||||
CPFL Energia S.A. ADR | 400 | 6,700 | ||||||
Total Utilities | 677,894 | |||||||
Technology - 4.3% | ||||||||
Taiwan Semiconductor Manufacturing Company Ltd. ADR | 4,982 | 210,888 | ||||||
Samsung Electronics Company Ltd. GDR1 | 161 | 198,513 | ||||||
MediaTek, Inc. | 4,000 | 45,425 | ||||||
SK Hynix, Inc. | 521 | 38,226 | ||||||
Advanced Semiconductor Engineering, Inc. ADR | 5,331 | 32,839 | ||||||
SK Holdings Company Ltd. | 74 | 19,121 | ||||||
United Microelectronics Corp. ADR | 7,000 | 18,200 | ||||||
NetEase, Inc. ADR | 40 | 11,277 | ||||||
Quanta Computer, Inc. | 4,000 | 9,417 | ||||||
Total Technology | 583,906 | |||||||
Industrial - 3.9% | ||||||||
Airports of Thailand PCL | 36,000 | 64,479 | ||||||
Hon Hai Precision Industry Company Ltd. | 13,860 | 51,471 | ||||||
Grupo Argos S.A. | 6,671 | 43,495 | ||||||
Cementos Argos S.A. | 9,897 | 36,101 | ||||||
Cemex SAB de CV ADR* | 4,416 | 35,814 | ||||||
Titan Cement Company S.A. | 1,444 | 34,855 | ||||||
United Tractors Tbk PT | 12,257 | 31,337 | ||||||
Qatar Gas Transport Company Ltd. | 5,114 | 21,280 | ||||||
Embraer S.A. ADR | 1,071 | 20,499 | ||||||
Semen Indonesia Persero Tbk PT | 24,000 | 19,288 | ||||||
Delta Electronics, Inc. | 4,000 | 19,231 | ||||||
Indocement Tunggal Prakarsa Tbk PT | 11,600 | 19,201 | ||||||
BTS Group Holdings PCL | 61,960 | 15,854 | ||||||
Gamuda BHD | 12,400 | 15,377 | ||||||
Grupo Aeroportuario del Pacifico SAB de CV ADR | 160 | 15,187 | ||||||
Grupo Aeroportuario del Sureste SAB de CV — Class B | 727 | 12,994 | ||||||
LG Electronics, Inc. | 147 | 11,940 | ||||||
DMCI Holdings, Inc. | 40,020 | 11,892 | ||||||
MISC BHD | 6,400 | 10,507 | ||||||
Delta Electronics Thailand PCL | 3,800 | 9,837 | ||||||
Promotora y Operadora de Infraestructura SAB de CV | 837 | 7,966 | ||||||
LG Display Company Ltd. ADR2 | 592 | 7,690 | ||||||
Taiwan Cement Corp. | 6,000 | 6,665 | ||||||
China Communications Construction Company Ltd. — Class H | 4,000 | 4,855 | ||||||
Total Industrial | 527,815 | |||||||
Diversified - 2.2% | ||||||||
Empresas COPEC S.A. | 4,117 | 63,506 | ||||||
KOC Holding AS ADR | 2,041 | 45,555 | ||||||
Siam Cement PCL | 2,800 | 41,300 | ||||||
Aboitiz Equity Ventures, Inc. | 24,010 | 34,835 | ||||||
Sime Darby BHD | 14,400 | 31,293 | ||||||
Haci Omer Sabanci Holding AS | 10,126 | 28,112 | ||||||
Remgro Ltd. | 1,121 | 16,964 | ||||||
IJM Corporation BHD | 16,800 | 12,659 | ||||||
Grupo Carso SAB de CV | 3,000 | 9,751 | ||||||
Alfa SAB de CV — Class A | 8,737 | 9,148 | ||||||
CJ Corp. | 45 | 7,491 | ||||||
Total Diversified | 300,614 | |||||||
Total Common Stocks | ||||||||
(Cost $11,043,384) | 12,119,889 | |||||||
PREFERRED STOCKS† - 1.9% | ||||||||
Financial - 1.2% | ||||||||
Itau Unibanco Holding S.A. ADR | 6,258 | 80,165 | ||||||
Grupo Aval Acciones y Valores S.A. | 83,526 | 34,722 | ||||||
Grupo de Inversiones Suramericana | 2,655 | 32,771 | ||||||
Total Financial | 147,658 | |||||||
Technology - 0.3% | ||||||||
Samsung Electronics Company, Ltd. | 19 | 37,988 | ||||||
Energy - 0.2% | ||||||||
Petroleo Brasileiro S.A. ADR* | 3,142 | 32,206 | ||||||
Basic Materials - 0.2% | ||||||||
Vale S.A. ADR | 3,110 | 28,394 | ||||||
Consumer, Cyclical - 0.0% | ||||||||
Hyundai Motor Co. | 42 | 4,236 | ||||||
Total Preferred Stocks | ||||||||
(Cost $216,652) | 250,482 |
40 | GUGGENHEIM ETFs ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | October 31, 2017 |
Guggenheim MSCI Emerging Markets Equal Country Weight ETF |
Shares | Value | |||||||
RIGHTS††† - 0.0% | ||||||||
Chinatrust Financial Holdings | ||||||||
Expires 12/15/17*,5 | 319 | $ | — | |||||
Total Rights | ||||||||
(Cost $—) | — | |||||||
EXCHANGE-TRADED FUNDS† - 7.6% | ||||||||
iShares MSCI India ETF | 16,826 | 593,032 | ||||||
Global X MSCI Pakistan ETF2 | 26,621 | 359,916 | ||||||
VanEck Vectors Egypt Index ETF*,2 | 2,200 | 69,168 | ||||||
Total Exchange-Traded Funds | ||||||||
(Cost $1,080,858) | 1,022,116 | |||||||
MONEY MARKET FUND† - 0.2% | ||||||||
Federated U.S. Treasury Cash Reserve Fund — Institutional Shares, 0.89%3 | 25,520 | 25,520 | ||||||
Total Money Market Fund | ||||||||
(Cost $25,520) | 25,520 |
Face Amount | ||||||||
SECURITIES LENDING COLLATERAL††,4 - 2.4% | ||||||||
Repurchase Agreements | ||||||||
Cantor Fitzgerald Securities issued 10/31/17 at 1.08% due 11/01/17 | $ | 250,000 | 250,000 | |||||
Daiwa Capital Markets America issued 10/31/17 at 1.08% due 11/01/17 | 75,960 | 75,960 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $325,960) | 325,960 | |||||||
Total Investments - 102.3% | ||||||||
(Cost $12,692,374) | $ | 13,743,967 | ||||||
Other Assets & Liabilities, net - (2.3)% | (310,267 | ) | ||||||
Total Net Assets - 100.0% | $ | 13,433,700 |
INVESTMENT CONCENTRATION
At October 31, 2017, the investment diversification of the Fund by country was as follows:
Country | % of Total Investments |
Peru | 5.0% |
China | 4.8% |
Chile | 4.8% |
Hungary | 4.7% |
Brazil | 4.7% |
Republic of Korea | 4.6% |
India | 4.4% |
Thailand | 4.4% |
Czech Republic | 4.4% |
Poland | 4.3% |
Taiwan, Province of China | 4.3% |
United Arab Emirates | 4.2% |
Egypt | 4.1% |
Philippines | 4.1% |
Turkey | 4.1% |
Indonesia | 4.0% |
Malaysia | 4.0% |
South Africa | 3.9% |
Mexico | 3.8% |
Colombia | 3.8% |
Russian Federation | 3.7% |
Greece | 3.7% |
Qatar | 3.3% |
Pakistan | 2.7% |
United States | 0.2% |
Total Investments | 100.0% |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
††† | Value determined based on Level 3 inputs — See Note 4. |
1 | Security is a 144A or Section 4(a)(2) security. These securities have been determined to be liquid under guidelines established by the Board of Trustees. The total market value of 144A or Section 4(a)(2) securities is $102,617 (cost $98,108), or 0.8% of total net assets. |
2 | All or portion of this security is on loan at October 31, 2017 — See Note 5. |
3 | Rate indicated is the 7 day yield as of October 31, 2017. |
4 | Securities lending collateral — See Note 5. |
5 | This security was fair valued by the Valuation Committee at October 31, 2017. |
ADR — American Depositary Receipt | |
GDR — Global Depositary Receipt | |
plc — Public Limited Company | |
REIT — Real Estate Investment Trust | |
See Sector Classification in Other Information section. |
SEE NOTES TO FINANCIAL STATEMENTS. | GUGGENHEIM ETFs ANNUAL REPORT | 41 |
SCHEDULE OF INVESTMENTS (concluded) | October 31, 2017 |
Guggenheim MSCI Emerging Markets Equal Country Weight ETF |
The following table summarizes the inputs used to value the Fund’s investments at October 31, 2017 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | Total | ||||||||||||
Common Stocks | $ | 12,119,889 | $ | — | $ | — | $ | 12,119,889 | ||||||||
Preferred Stocks | 250,482 | — | — | 250,482 | ||||||||||||
Rights | — | — | — | * | — | * | ||||||||||
Exchange-Traded Funds | 1,022,116 | — | — | 1,022,116 | ||||||||||||
Money Market Fund | 25,520 | — | — | 25,520 | ||||||||||||
Securities Lending Collateral | — | 325,960 | — | 325,960 | ||||||||||||
Total Assets | $ | 13,418,007 | $ | 325,960 | $ | — | $ | 13,743,967 |
* | Security has a market value of $0. |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
For the year ended October 31, 2017, there were no transfers between levels.
42 | GUGGENHEIM ETFs ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS | October 31, 2017 |
Guggenheim multi-factor large cap etf |
Shares | Value | |||||||
COMMON STOCKS† - 99.6% | ||||||||
Consumer, Non-cyclical - 20.3% | ||||||||
Anthem, Inc. | 131 | $ | 27,406 | |||||
Total System Services, Inc. | 380 | 27,379 | ||||||
UnitedHealth Group, Inc. | 128 | 26,908 | ||||||
Aetna, Inc. | 157 | 26,695 | ||||||
Humana, Inc. | 103 | 26,301 | ||||||
Cigna Corp. | 133 | 26,230 | ||||||
Quest Diagnostics, Inc. | 275 | 25,790 | ||||||
Robert Half International, Inc. | 496 | 25,678 | ||||||
Conagra Brands, Inc. | 745 | 25,449 | ||||||
Centene Corp.* | 259 | 24,261 | ||||||
Total Consumer, Non-cyclical | 262,097 | |||||||
Consumer, Cyclical - 17.6% | ||||||||
PulteGroup, Inc. | 932 | 28,174 | ||||||
Wal-Mart Stores, Inc. | 321 | 28,027 | ||||||
LKQ Corp.* | 688 | 25,931 | ||||||
BorgWarner, Inc. | 489 | 25,780 | ||||||
Lowe’s Companies, Inc. | 310 | 24,785 | ||||||
Signet Jewelers Ltd.1 | 377 | 24,720 | ||||||
Best Buy Company, Inc. | 432 | 24,183 | ||||||
Walgreens Boots Alliance, Inc. | 347 | 22,995 | ||||||
CVS Health Corp. | 330 | 22,615 | ||||||
Total Consumer, Cyclical | 227,210 | |||||||
Industrial - 16.2% | ||||||||
FLIR Systems, Inc. | 615 | 28,794 | ||||||
TE Connectivity Ltd. | 294 | 26,745 | ||||||
WestRock Co. | 436 | 26,740 | ||||||
Corning, Inc. | 843 | 26,394 | ||||||
Pentair plc | 362 | 25,507 | ||||||
Boeing Co. | 98 | 25,282 | ||||||
Jacobs Engineering Group, Inc. | 430 | 25,030 | ||||||
Ingersoll-Rand plc | 276 | 24,454 | ||||||
Total Industrial | 208,946 | |||||||
Financial - 15.7% | ||||||||
XL Group Ltd. | 641 | 25,941 | ||||||
Loews Corp. | 519 | 25,696 | ||||||
CBRE Group, Inc. — Class A* | 653 | 25,676 | ||||||
Northern Trust Corp. | 272 | 25,437 | ||||||
Unum Group | 483 | 25,135 | ||||||
Hartford Financial Services Group, Inc. | 456 | 25,103 | ||||||
Principal Financial Group, Inc. | 381 | 25,089 | ||||||
Nasdaq, Inc. | 343 | 24,919 | ||||||
Total Financial | 202,996 | |||||||
Technology - 12.4% | ||||||||
Adobe Systems, Inc.* | 168 | 29,427 | ||||||
ANSYS, Inc.* | 201 | 27,478 | ||||||
Cadence Design Systems, Inc.* | 624 | 26,932 | ||||||
Synopsys, Inc.* | 308 | 26,648 | ||||||
Intuit, Inc. | 176 | 26,580 | ||||||
Xerox Corp. | 771 | 23,369 | ||||||
Total Technology | 160,434 | |||||||
Energy - 5.9% | ||||||||
Valero Energy Corp. | 329 | 25,955 | ||||||
Exxon Mobil Corp. | 311 | 25,922 | ||||||
Phillips 66 | 273 | 24,865 | ||||||
Total Energy | 76,742 | |||||||
Communications - 5.4% | ||||||||
VeriSign, Inc.* | 231 | 24,837 | ||||||
Juniper Networks, Inc. | 893 | 22,173 | ||||||
AT&T, Inc. | 658 | 22,142 | ||||||
Total Communications | 69,152 | |||||||
Utilities - 4.1% | ||||||||
FirstEnergy Corp. | 809 | 26,656 | ||||||
CenterPoint Energy, Inc. | 879 | 26,001 | ||||||
Total Utilities | 52,657 | |||||||
Basic Materials - 2.0% | ||||||||
PPG Industries, Inc. | 224 | 26,038 | ||||||
Total Common Stocks | ||||||||
(Cost $1,263,148) | 1,286,272 | |||||||
MONEY MARKET FUND† - 0.3% | ||||||||
Federated U.S. Treasury Cash Reserve Fund — Institutional Shares, 0.89%2 | 3,294 | 3,294 | ||||||
Total Money Market Fund | ||||||||
(Cost $3,294) | 3,294 | |||||||
Face Amount | ||||||||
SECURITIES LENDING COLLATERAL††,3 - 1.9% | ||||||||
Repurchase Agreements | ||||||||
Citibank issued 10/31/17 at 1.06% due 11/01/17 | $ | 24,528 | 24,528 | |||||
Total Securities Lending Collateral | ||||||||
(Cost $24,528) | 24,528 | |||||||
Total Investments - 101.8% | ||||||||
(Cost $1,290,970) | $ | 1,314,094 | ||||||
Other Assets & Liabilities, net - (1.8)% | (23,733 | ) | ||||||
Total Net Assets - 100.0% | $ | 1,290,361 |
SEE NOTES TO FINANCIAL STATEMENTS. | GUGGENHEIM ETFs ANNUAL REPORT | 43 |
SCHEDULE OF INVESTMENTS (concluded) | October 31, 2017 |
Guggenheim multi-factor large cap etf |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | All or portion of this security is on loan at October 31, 2017 — See Note 5. |
2 | Rate indicated is the 7 day yield as of October 31, 2017. |
3 | Securities lending collateral — See Note 5. |
plc — Public Limited Company | |
See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at October 31, 2017 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | Total | ||||||||||||
Common Stocks | $ | 1,286,272 | $ | — | $ | — | $ | 1,286,272 | ||||||||
Money Market Fund | 3,294 | — | — | 3,294 | ||||||||||||
Securities Lending Collateral | — | 24,528 | — | 24,528 | ||||||||||||
Total Assets | $ | 1,289,566 | $ | 24,528 | $ | — | $ | 1,314,094 |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
For the year ended October 31, 2017, there were no transfers between levels.
44 | GUGGENHEIM ETFs ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS | October 31, 2017 |
GUGGENHEIM S&P MIDCAP 400® EQUAL WEIGHT ETF |
Shares | Value | |||||||
COMMON STOCKS† - 99.8% | ||||||||
Financial - 23.7% | ||||||||
SVB Financial Group* | 1,655 | $ | 362,908 | |||||
Kemper Corp.1 | 5,583 | 357,870 | ||||||
Webster Financial Corp. | 5,948 | 327,080 | ||||||
TCF Financial Corp. | 17,864 | 325,481 | ||||||
Primerica, Inc. | 3,662 | 324,087 | ||||||
Cathay General Bancorp1 | 7,750 | 323,950 | ||||||
Texas Capital Bancshares, Inc.*,1 | 3,764 | 323,891 | ||||||
Wintrust Financial Corp. | 3,940 | 320,283 | ||||||
Umpqua Holdings Corp. | 15,578 | 318,726 | ||||||
Chemical Financial Corp.1 | 6,026 | 317,510 | ||||||
Cullen/Frost Bankers, Inc. | 3,220 | 317,170 | ||||||
Associated Banc-Corp. | 12,501 | 316,275 | ||||||
International Bancshares Corp. | 7,743 | 314,366 | ||||||
Federated Investors, Inc. — Class B | 10,105 | 313,962 | ||||||
Hancock Holding Co. | 6,437 | 313,804 | ||||||
Stifel Financial Corp. | 5,877 | 311,657 | ||||||
UMB Financial Corp.1 | 4,224 | 310,591 | ||||||
Washington Federal, Inc. | 8,891 | 309,407 | ||||||
Trustmark Corp.1 | 9,393 | 309,405 | ||||||
MB Financial, Inc.1 | 6,732 | 309,268 | ||||||
Prosperity Bancshares, Inc.1 | 4,693 | 308,706 | ||||||
First Horizon National Corp.1 | 16,431 | 308,410 | ||||||
SEI Investments Co. | 4,771 | 307,777 | ||||||
Reinsurance Group of America, Inc. — Class A | 2,059 | 307,573 | ||||||
Bank of the Ozarks | 6,581 | 306,806 | ||||||
Quality Care Properties, Inc. REIT* | 19,297 | 305,471 | ||||||
Synovus Financial Corp. | 6,507 | 304,853 | ||||||
Sterling Bancorp | 12,169 | 304,833 | ||||||
Aspen Insurance Holdings Ltd. | 7,062 | 302,960 | ||||||
First American Financial Corp. | 5,566 | 302,902 | ||||||
BancorpSouth, Inc.1 | 9,517 | 300,737 | ||||||
East West Bancorp, Inc. | 5,003 | 299,380 | ||||||
Lamar Advertising Co. — Class A REIT1 | 4,227 | 297,749 | ||||||
Pinnacle Financial Partners, Inc. | 4,493 | 297,437 | ||||||
CNO Financial Group, Inc. | 12,406 | 297,372 | ||||||
United Bankshares, Inc. | 8,251 | 296,623 | ||||||
FNB Corp.1 | 21,955 | 296,173 | ||||||
Eaton Vance Corp. | 5,859 | 295,704 | ||||||
PacWest Bancorp | 6,087 | 294,124 | ||||||
Commerce Bancshares, Inc. | 5,035 | 292,836 | ||||||
Fulton Financial Corp. | 16,035 | 291,837 | ||||||
Jones Lang LaSalle, Inc. | 2,240 | 290,058 | ||||||
Bank of Hawaii Corp.1 | 3,546 | 289,389 | ||||||
Valley National Bancorp | 25,106 | 288,719 | ||||||
New York Community Bancorp, Inc. | 22,966 | 288,453 | ||||||
Old Republic International Corp.1 | 14,193 | 287,976 | ||||||
RenaissanceRe Holdings Ltd. | 2,077 | 287,374 | ||||||
American Financial Group, Inc. | 2,720 | 286,933 | ||||||
Hanover Insurance Group, Inc. | 2,908 | 286,089 | ||||||
WR Berkley Corp. | 4,154 | 284,881 | ||||||
Potlatch Corp. REIT | 5,497 | 284,744 | ||||||
Signature Bank* | 2,178 | 283,162 | ||||||
Kilroy Realty Corp. REIT | 3,957 | 281,857 | ||||||
Rayonier, Inc. REIT1 | 9,368 | 280,852 | ||||||
Legg Mason, Inc. | 7,346 | 280,470 | ||||||
Hospitality Properties Trust REIT | 9,799 | 280,055 | ||||||
Alleghany Corp.* | 494 | 279,713 | ||||||
Home BancShares, Inc. | 12,414 | 279,067 | ||||||
Janus Henderson Group plc1 | 8,026 | 278,904 | ||||||
SLM Corp.* | 26,292 | 278,432 | ||||||
Brown & Brown, Inc. | 5,570 | 277,609 | ||||||
Douglas Emmett, Inc. REIT | 6,929 | 275,705 | ||||||
Alexander & Baldwin, Inc.1 | 5,941 | 268,771 | ||||||
Liberty Property Trust REIT | 6,265 | 268,644 | ||||||
Medical Properties Trust, Inc. REIT1 | 20,224 | 267,564 | ||||||
LaSalle Hotel Properties REIT1 | 9,452 | 266,641 | ||||||
First Industrial Realty Trust, Inc. REIT | 8,596 | 265,444 | ||||||
DCT Industrial Trust, Inc. REIT | 4,569 | 265,093 | ||||||
Cousins Properties, Inc. REIT | 29,377 | 264,981 | ||||||
Highwoods Properties, Inc. REIT | 5,176 | 264,235 | ||||||
Life Storage, Inc. REIT | 3,267 | 264,039 | ||||||
Mercury General Corp.1 | 4,694 | 262,723 | ||||||
Mack-Cali Realty Corp. REIT | 11,538 | 262,720 | ||||||
EPR Properties REIT | 3,787 | 261,985 | ||||||
Corporate Office Properties Trust REIT | 8,118 | 259,208 | ||||||
Genworth Financial, Inc. — Class A* | 77,662 | 257,061 | ||||||
CyrusOne, Inc. REIT1 | 4,186 | 256,979 | ||||||
Healthcare Realty Trust, Inc. REIT | 7,950 | 256,308 | ||||||
Camden Property Trust REIT | 2,802 | 255,654 | ||||||
GEO Group, Inc. REIT | 9,846 | 255,504 | ||||||
CoreSite Realty Corp. REIT | 2,295 | 254,171 | ||||||
Tanger Factory Outlet Centers, Inc. REIT | 11,168 | 254,072 | ||||||
National Retail Properties, Inc. REIT | 6,315 | 253,737 | ||||||
JBG SMITH Properties REIT* | 8,124 | 253,550 | ||||||
Weingarten Realty Investors REIT | 8,301 | 252,765 | ||||||
Uniti Group, Inc. REIT1 | 14,437 | 252,648 | ||||||
Urban Edge Properties REIT1 | 10,758 | 252,383 | ||||||
Washington Prime Group, Inc. REIT1 | 32,223 | 252,306 | ||||||
CoreCivic, Inc. REIT | 10,022 | 247,143 | ||||||
Senior Housing Properties Trust REIT | 13,408 | 246,707 | ||||||
Taubman Centers, Inc. REIT | 5,141 | 242,758 | ||||||
Omega Healthcare Investors, Inc. REIT | 8,299 | 239,509 | ||||||
Education Realty Trust, Inc. REIT | 6,815 | 237,844 | ||||||
Sabra Health Care REIT, Inc. | 11,826 | 235,574 | ||||||
American Campus Communities, Inc. REIT | 5,586 | 232,266 | ||||||
Total Financial | 27,129,383 | |||||||
Industrial - 17.7% | ||||||||
Cree, Inc.*,1 | 11,295 | 403,232 | ||||||
Vishay Intertechnology, Inc.1 | 15,312 | 340,692 | ||||||
Kennametal, Inc. | 7,636 | 333,311 | ||||||
Orbital ATK, Inc. | 2,484 | 330,198 | ||||||
Oshkosh Corp. | 3,602 | 329,800 | ||||||
Curtiss-Wright Corp. | 2,770 | 327,553 | ||||||
EMCOR Group, Inc. | 4,033 | 324,697 | ||||||
SYNNEX Corp. | 2,405 | 324,386 | ||||||
Terex Corp. | 6,777 | 319,264 | ||||||
Old Dominion Freight Line, Inc. | 2,630 | 318,571 | ||||||
KLX, Inc.* | 5,744 | 315,116 |
SEE NOTES TO FINANCIAL STATEMENTS. | GUGGENHEIM ETFs ANNUAL REPORT | 45 |
SCHEDULE OF INVESTMENTS (continued) | October 31, 2017 |
GUGGENHEIM S&P MIDCAP 400® EQUAL WEIGHT ETF |
Shares | Value | |||||||
ITT, Inc. | 6,687 | $ | 311,881 | |||||
Zebra Technologies Corp. — Class A* | 2,685 | 311,433 | ||||||
Nordson Corp. | 2,443 | 309,503 | ||||||
Carlisle Companies, Inc. | 2,808 | 308,403 | ||||||
Knowles Corp.*,1 | 18,604 | 308,081 | ||||||
Granite Construction, Inc. | 4,809 | 306,285 | ||||||
Cognex Corp. | 2,485 | 306,028 | ||||||
Graco, Inc. | 2,321 | 305,885 | ||||||
National Instruments Corp.1 | 6,764 | 304,380 | ||||||
Kirby Corp.*,1 | 4,290 | 303,947 | ||||||
Crane Co. | 3,652 | 303,554 | ||||||
Littelfuse, Inc.1 | 1,452 | 303,468 | ||||||
Trinity Industries, Inc. | 9,325 | 303,249 | ||||||
Lennox International, Inc. | 1,586 | 303,132 | ||||||
MSA Safety, Inc. | 3,808 | 302,736 | ||||||
Hubbell, Inc. | 2,406 | 302,723 | ||||||
Tech Data Corp.*,1 | 3,261 | 302,523 | ||||||
Keysight Technologies, Inc.* | 6,766 | 302,237 | ||||||
KBR, Inc.1 | 15,390 | 302,106 | ||||||
Teledyne Technologies, Inc.* | 1,775 | 301,679 | ||||||
Dycom Industries, Inc.*,1 | 3,425 | 300,818 | ||||||
Coherent, Inc.* | 1,136 | 298,439 | ||||||
Huntington Ingalls Industries, Inc. | 1,276 | 297,091 | ||||||
Esterline Technologies Corp.* | 3,129 | 296,786 | ||||||
Wabtec Corp.1 | 3,833 | 293,225 | ||||||
Woodward, Inc. | 3,784 | 292,617 | ||||||
Valmont Industries, Inc. | 1,839 | 292,217 | ||||||
Arrow Electronics, Inc.* | 3,494 | 292,063 | ||||||
Donaldson Company, Inc.1 | 6,168 | 291,191 | ||||||
Avnet, Inc. | 7,310 | 290,938 | ||||||
Regal Beloit Corp. | 3,546 | 287,758 | ||||||
Timken Co. | 6,088 | 287,049 | ||||||
Sonoco Products Co. | 5,532 | 286,503 | ||||||
EnerSys | 4,128 | 286,359 | ||||||
AECOM* | 8,148 | 285,669 | ||||||
IDEX Corp. | 2,224 | 285,139 | ||||||
Gentex Corp. | 14,650 | 284,357 | ||||||
Trimble, Inc.* | 6,895 | 281,868 | ||||||
Lincoln Electric Holdings, Inc. | 3,061 | 280,602 | ||||||
Belden, Inc. | 3,506 | 280,164 | ||||||
Landstar System, Inc. | 2,831 | 279,561 | ||||||
AptarGroup, Inc. | 3,200 | 278,624 | ||||||
Genesee & Wyoming, Inc. — Class A*,1 | 3,860 | 277,071 | ||||||
Werner Enterprises, Inc.1 | 7,712 | 274,933 | ||||||
Ryder System, Inc. | 3,390 | 274,861 | ||||||
GATX Corp.1 | 4,614 | 274,118 | ||||||
Eagle Materials, Inc. | 2,595 | 273,954 | ||||||
Knight-Swift Transportation Holdings, Inc.* | 6,594 | 273,321 | ||||||
AGCO Corp. | 3,954 | 271,126 | ||||||
Silgan Holdings, Inc. | 9,127 | 266,965 | ||||||
Louisiana-Pacific Corp.* | 9,793 | 266,174 | ||||||
Owens-Illinois, Inc.* | 11,124 | 265,752 | ||||||
Greif, Inc. — Class A1 | 4,710 | 261,546 | ||||||
Clean Harbors, Inc.* | 4,853 | 259,684 | ||||||
Energizer Holdings, Inc. | 5,849 | 251,449 | ||||||
Jabil, Inc.1 | 8,806 | 249,034 | ||||||
Bemis Company, Inc.1 | 5,473 | 246,394 | ||||||
Worthington Industries, Inc.1 | 5,340 | 242,970 | ||||||
Total Industrial | 20,348,443 | |||||||
Consumer, Non-cyclical - 14.4% | ||||||||
ABIOMED, Inc.* | 1,709 | 329,700 | ||||||
Sotheby’s* | 6,269 | 324,860 | ||||||
Boston Beer Company, Inc. — Class A*,1 | 1,791 | 318,888 | ||||||
WellCare Health Plans, Inc.* | 1,557 | 307,881 | ||||||
WEX, Inc.*,1 | 2,477 | 306,132 | ||||||
Lamb Weston Holdings, Inc. | 5,897 | 300,688 | ||||||
LivaNova plc* | 4,061 | 300,108 | ||||||
Sabre Corp. | 15,228 | 297,860 | ||||||
West Pharmaceutical Services, Inc. | 2,930 | 297,102 | ||||||
Adtalem Global Education, Inc.1 | 8,030 | 296,709 | ||||||
ManpowerGroup, Inc. | 2,386 | 294,146 | ||||||
United Natural Foods, Inc.*,1 | 7,565 | 293,295 | ||||||
Bio-Techne Corp. | 2,238 | 293,223 | ||||||
Avis Budget Group, Inc.*,1 | 7,103 | 292,999 | ||||||
Flowers Foods, Inc.1 | 15,186 | 288,990 | ||||||
Live Nation Entertainment, Inc.* | 6,599 | 288,904 | ||||||
Charles River Laboratories International, Inc.* | 2,480 | 288,399 | ||||||
Lancaster Colony Corp. | 2,301 | 288,130 | ||||||
STERIS plc | 3,081 | 287,550 | ||||||
Snyder’s-Lance, Inc.1 | 7,542 | 283,805 | ||||||
Catalent, Inc.* | 6,642 | 282,883 | ||||||
MEDNAX, Inc.* | 6,417 | 281,000 | ||||||
Globus Medical, Inc. — Class A*,1 | 8,814 | 280,902 | ||||||
Hill-Rom Holdings, Inc. | 3,462 | 279,418 | ||||||
Molina Healthcare, Inc.*,1 | 4,119 | 279,392 | ||||||
HealthSouth Corp. | 5,987 | 276,240 | ||||||
Incorporated Research Holdings, Inc. — Class A* | 4,823 | 275,634 | ||||||
Masimo Corp.* | 3,127 | 274,426 | ||||||
Deluxe Corp. | 3,936 | 274,142 | ||||||
Service Corporation International | 7,724 | 273,893 | ||||||
Teleflex, Inc. | 1,154 | 273,475 | ||||||
TreeHouse Foods, Inc.*,1 | 4,098 | 272,025 | ||||||
Helen of Troy Ltd.*,1 | 2,922 | 271,454 | ||||||
Ingredion, Inc. | 2,159 | 270,631 | ||||||
Bio-Rad Laboratories, Inc. — Class A* | 1,225 | 269,243 | ||||||
Graham Holdings Co. — Class B | 478 | 265,983 | ||||||
Post Holdings, Inc.* | 3,200 | 265,376 | ||||||
Bioverativ, Inc.* | 4,695 | 265,268 | ||||||
CoreLogic, Inc.* | 5,649 | 264,938 | ||||||
United Therapeutics Corp.* | 2,229 | 264,337 | ||||||
Akorn, Inc.*,1 | 8,094 | 263,622 | ||||||
Rollins, Inc. | 6,003 | 263,592 | ||||||
MarketAxess Holdings, Inc. | 1,511 | 262,914 | ||||||
Prestige Brands Holdings, Inc.* | 5,476 | 256,824 | ||||||
Tootsie Roll Industries, Inc.1 | 7,136 | 254,042 | ||||||
Brink’s Co. | 3,332 | 253,565 | ||||||
NuVasive, Inc.*,1 | 4,387 | 248,875 | ||||||
Sanderson Farms, Inc.1 | 1,655 | 247,538 | ||||||
Halyard Health, Inc.* | 5,848 | 246,493 |
46 | GUGGENHEIM ETFs ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | October 31, 2017 |
GUGGENHEIM S&P MIDCAP 400® EQUAL WEIGHT ETF |
Shares | Value | |||||||
Avon Products, Inc.* | 107,326 | $ | 244,703 | |||||
Sprouts Farmers Market, Inc.*,1 | 13,160 | 243,328 | ||||||
Hain Celestial Group, Inc.*,1 | 6,727 | 242,307 | ||||||
Mallinckrodt plc*,1 | 7,624 | 241,452 | ||||||
Dean Foods Co.1 | 24,580 | 239,655 | ||||||
Edgewell Personal Care Co.* | 3,674 | 238,553 | ||||||
Aaron’s, Inc. | 6,401 | 235,557 | ||||||
Owens & Minor, Inc. | 9,539 | 234,373 | ||||||
LifePoint Health, Inc.*,1 | 4,836 | 232,853 | ||||||
Tenet Healthcare Corp.*,1 | 16,229 | 231,750 | ||||||
Endo International plc* | 30,893 | 197,097 | ||||||
Acadia Healthcare Company, Inc.*,1 | 5,721 | 179,411 | ||||||
Total Consumer, Non-cyclical | 16,498,533 | |||||||
Consumer, Cyclical - 13.8% | ||||||||
CalAtlantic Group, Inc.1 | 7,786 | 384,161 | ||||||
TRI Pointe Group, Inc.*,1 | 21,251 | 375,930 | ||||||
KB Home | 12,516 | 343,314 | ||||||
Dana, Inc. | 11,060 | 337,219 | ||||||
Thor Industries, Inc. | 2,445 | 333,058 | ||||||
Skechers U.S.A., Inc. — Class A* | 10,382 | 331,393 | ||||||
Buffalo Wild Wings, Inc.*,1 | 2,738 | 323,632 | ||||||
Polaris Industries, Inc. | 2,732 | 323,551 | ||||||
MSC Industrial Direct Company, Inc. — Class A | 3,869 | 320,740 | ||||||
Pool Corp. | 2,637 | 318,497 | ||||||
NVR, Inc.* | 97 | 318,293 | ||||||
ILG, Inc. | 10,664 | 316,401 | ||||||
Toll Brothers, Inc. | 6,791 | 312,658 | ||||||
Dunkin’ Brands Group, Inc.1 | 5,248 | 309,999 | ||||||
Cheesecake Factory, Inc.1 | 6,895 | 308,482 | ||||||
Urban Outfitters, Inc.*,1 | 12,460 | 305,519 | ||||||
Jack in the Box, Inc. | 2,921 | 302,353 | ||||||
International Speedway Corp. — Class A | 7,774 | 302,020 | ||||||
Cinemark Holdings, Inc.1 | 8,296 | 301,477 | ||||||
Copart, Inc.*,1 | 8,285 | 300,663 | ||||||
Williams-Sonoma, Inc.1 | 5,695 | 293,862 | ||||||
Watsco, Inc.1 | 1,751 | 291,664 | ||||||
Carter’s, Inc.1 | 3,004 | 290,577 | ||||||
Cracker Barrel Old Country Store, Inc.1 | 1,861 | 290,558 | ||||||
Texas Roadhouse, Inc. — Class A | 5,780 | 289,058 | ||||||
Casey’s General Stores, Inc. | 2,514 | 288,029 | ||||||
Big Lots, Inc.1 | 5,604 | 287,541 | ||||||
American Eagle Outfitters, Inc.1 | 22,027 | 286,792 | ||||||
Wendy’s Co. | 18,645 | 283,590 | ||||||
Scotts Miracle-Gro Co. — Class A1 | 2,845 | 283,419 | ||||||
AutoNation, Inc.*,1 | 5,970 | 282,978 | ||||||
Deckers Outdoor Corp.* | 4,146 | 282,923 | ||||||
Toro Co. | 4,488 | 282,071 | ||||||
Churchill Downs, Inc.1 | 1,351 | 281,751 | ||||||
Tempur Sealy International, Inc.*,1 | 4,296 | 280,830 | ||||||
JetBlue Airways Corp.* | 14,406 | 275,875 | ||||||
Nu Skin Enterprises, Inc. — Class A1 | 4,331 | 275,495 | ||||||
Six Flags Entertainment Corp.1 | 4,381 | 275,083 | ||||||
Tupperware Brands Corp. | 4,642 | 272,718 | ||||||
Brinker International, Inc.1 | 8,818 | 270,889 | ||||||
HSN, Inc. | 7,175 | 270,498 | ||||||
Herman Miller, Inc. | 8,013 | 269,237 | ||||||
Cooper Tire & Rubber Co.1 | 8,054 | 264,171 | ||||||
Domino’s Pizza, Inc. | 1,437 | 262,971 | ||||||
GameStop Corp. — Class A1 | 14,068 | 262,931 | ||||||
Brunswick Corp. | 5,142 | 260,442 | ||||||
Papa John’s International, Inc.1 | 3,765 | 256,208 | ||||||
HNI Corp. | 7,279 | 249,087 | ||||||
Dick’s Sporting Goods, Inc.1 | 10,026 | 245,336 | ||||||
Dillard’s, Inc. — Class A1 | 4,777 | 242,672 | ||||||
Sally Beauty Holdings, Inc.*,1 | 13,779 | 238,514 | ||||||
Michaels Companies, Inc.*,1 | 12,145 | 235,856 | ||||||
World Fuel Services Corp. | 7,783 | 216,367 | ||||||
Office Depot, Inc. | 62,214 | 192,863 | ||||||
Bed Bath & Beyond, Inc. | 9,519 | 189,428 | ||||||
Total Consumer, Cyclical | 15,791,644 | |||||||
Technology - 10.3% | ||||||||
Silicon Laboratories, Inc.*,1 | 3,673 | 348,568 | ||||||
Integrated Device Technology, Inc.*,1 | 10,807 | 335,773 | ||||||
IPG Photonics Corp.* | 1,545 | 328,946 | ||||||
Teradyne, Inc. | 7,638 | 327,594 | ||||||
Science Applications International Corp.1 | 4,412 | 323,577 | ||||||
PTC, Inc.* | 4,838 | 321,485 | ||||||
Blackbaud, Inc.1 | 3,172 | 321,323 | ||||||
Monolithic Power Systems, Inc. | 2,610 | 317,559 | ||||||
Cypress Semiconductor Corp. | 19,894 | 315,519 | ||||||
DST Systems, Inc. | 5,199 | 304,765 | ||||||
Take-Two Interactive Software, Inc.* | 2,691 | 297,759 | ||||||
MAXIMUS, Inc. | 4,420 | 293,621 | ||||||
Leidos Holdings, Inc. | 4,693 | 293,406 | ||||||
Pitney Bowes, Inc. | 21,346 | 293,294 | ||||||
Microsemi Corp.* | 5,492 | 293,108 | ||||||
Convergys Corp. | 11,357 | 292,216 | ||||||
Teradata Corp.*,1 | 8,720 | 291,684 | ||||||
Broadridge Financial Solutions, Inc. | 3,392 | 291,440 | ||||||
Jack Henry & Associates, Inc.1 | 2,629 | 289,532 | ||||||
Ultimate Software Group, Inc.*,1 | 1,425 | 288,691 | ||||||
Acxiom Corp.* | 11,419 | 287,302 | ||||||
ACI Worldwide, Inc.*,1 | 11,827 | 284,794 | ||||||
Dun & Bradstreet Corp.1 | 2,432 | 284,131 | ||||||
Fair Isaac Corp. | 1,939 | 281,465 | ||||||
Fortinet, Inc.* | 7,134 | 281,151 | ||||||
Tyler Technologies, Inc.*,1 | 1,582 | 280,473 | ||||||
Allscripts Healthcare Solutions, Inc.*,1 | 20,643 | 278,268 | ||||||
CDK Global, Inc. | 4,313 | 274,134 | ||||||
Medidata Solutions, Inc.*,1 | 3,640 | 273,837 | ||||||
MSCI, Inc. — Class A | 2,333 | 273,801 | ||||||
j2 Global, Inc.1 | 3,656 | 271,056 | ||||||
Cirrus Logic, Inc.* | 4,818 | 269,808 | ||||||
Manhattan Associates, Inc.* | 6,364 | 266,397 | ||||||
VeriFone Systems, Inc.* | 13,773 | 262,788 | ||||||
Synaptics, Inc.*,1 | 7,068 | 262,364 | ||||||
3D Systems Corp.*,1 | 21,030 | 260,351 | ||||||
Diebold Nixdorf, Inc. | 13,303 | 256,748 | ||||||
Brocade Communications Systems, Inc. | 21,768 | 253,597 | ||||||
NCR Corp.* | 7,529 | 241,606 | ||||||
NetScout Systems, Inc.*,1 | 8,362 | 237,481 |
SEE NOTES TO FINANCIAL STATEMENTS. | GUGGENHEIM ETFs ANNUAL REPORT | 47 |
SCHEDULE OF INVESTMENTS (continued) | October 31, 2017 |
GUGGENHEIM S&P MIDCAP 400® EQUAL WEIGHT ETF |
Shares | Value | |||||||
CommVault Systems, Inc.* | 4,457 | $ | 231,987 | |||||
Total Technology | 11,783,399 | |||||||
Energy - 6.7% | ||||||||
SM Energy Co. | 19,750 | 421,267 | ||||||
Rowan Companies plc — Class A*,1 | 27,020 | 387,196 | ||||||
Diamond Offshore Drilling, Inc.*,1 | 21,245 | 355,429 | ||||||
QEP Resources, Inc.* | 37,364 | 334,408 | ||||||
Transocean Ltd.*,1 | 31,805 | 333,953 | ||||||
Ensco plc — Class A1 | 60,536 | 326,289 | ||||||
WPX Energy, Inc.* | 28,003 | 315,874 | ||||||
Patterson-UTI Energy, Inc.1 | 15,846 | 313,434 | ||||||
First Solar, Inc.* | 5,712 | 313,132 | ||||||
Callon Petroleum Co.*,1 | 28,235 | 313,126 | ||||||
Matador Resources Co.*,1 | 11,708 | 310,847 | ||||||
HollyFrontier Corp.1 | 8,315 | 307,238 | ||||||
Murphy Oil Corp. | 11,483 | 307,170 | ||||||
PBF Energy, Inc. — Class A1 | 10,581 | 306,532 | ||||||
Murphy USA, Inc.*,1 | 4,121 | 306,438 | ||||||
CONSOL Energy, Inc.* | 18,855 | 304,131 | ||||||
Gulfport Energy Corp.* | 22,118 | 303,017 | ||||||
Core Laboratories N.V.1 | 2,955 | 295,205 | ||||||
Southwestern Energy Co.*,1 | 52,006 | 288,633 | ||||||
Dril-Quip, Inc.*,1 | 6,685 | 281,439 | ||||||
NOW, Inc.*,1 | 22,245 | 278,507 | ||||||
Energen Corp.* | 5,348 | 276,492 | ||||||
Superior Energy Services, Inc.*,1 | 29,701 | 261,963 | ||||||
Nabors Industries Ltd.1 | 41,317 | 232,615 | ||||||
Oceaneering International, Inc. | 11,077 | 223,977 | ||||||
Total Energy | 7,698,312 | |||||||
Basic Materials - 5.1% | ||||||||
Carpenter Technology Corp. | 6,884 | 342,753 | ||||||
PolyOne Corp. | 7,368 | 339,444 | ||||||
Allegheny Technologies, Inc.*,1 | 13,067 | 329,027 | ||||||
Olin Corp. | 8,757 | 319,893 | ||||||
Cabot Corp. | 5,140 | 313,334 | ||||||
Domtar Corp. | 6,618 | 313,164 | ||||||
Chemours Co. | 5,392 | 305,241 | ||||||
Minerals Technologies, Inc. | 4,242 | 305,000 | ||||||
Versum Materials, Inc. | 7,205 | 303,186 | ||||||
Ashland Global Holdings, Inc. | 4,345 | 295,373 | ||||||
Valvoline, Inc. | 12,217 | 293,452 | ||||||
RPM International, Inc. | 5,488 | 292,675 | ||||||
Steel Dynamics, Inc. | 7,833 | 291,466 | ||||||
Commercial Metals Co. | 14,585 | 284,116 | ||||||
Sensient Technologies Corp. | 3,712 | 282,298 | ||||||
Reliance Steel & Aluminum Co. | 3,640 | 279,698 | ||||||
Compass Minerals International, Inc.1 | 3,985 | 261,416 | ||||||
NewMarket Corp. | 645 | 258,252 | ||||||
United States Steel Corp.1 | 9,940 | 251,681 | ||||||
Royal Gold, Inc. | 2,889 | 242,994 | ||||||
Total Basic Materials | 5,904,463 | |||||||
Utilities - 4.3% | ||||||||
Hawaiian Electric Industries, Inc. | 7,852 | 286,283 | ||||||
Great Plains Energy, Inc. | 8,720 | 286,278 | ||||||
Westar Energy, Inc. | 5,266 | 281,626 | ||||||
Aqua America, Inc.1 | 7,851 | 278,553 | ||||||
Southwest Gas Holdings, Inc. | 3,368 | 277,490 | ||||||
ONE Gas, Inc.1 | 3,582 | 275,742 | ||||||
New Jersey Resources Corp. | 6,196 | 275,412 | ||||||
OGE Energy Corp. | 7,452 | 274,532 | ||||||
PNM Resources, Inc. | 6,299 | 273,377 | ||||||
WGL Holdings, Inc. | 3,177 | 272,269 | ||||||
Vectren Corp. | 3,985 | 271,538 | ||||||
IDACORP, Inc. | 2,933 | 269,924 | ||||||
National Fuel Gas Co.1 | 4,644 | 269,584 | ||||||
MDU Resources Group, Inc. | 9,821 | 268,604 | ||||||
Atmos Energy Corp. | 3,074 | 268,176 | ||||||
NorthWestern Corp. | 4,472 | 265,100 | ||||||
UGI Corp. | 5,502 | 263,326 | ||||||
Black Hills Corp. | 3,818 | 249,163 | ||||||
Total Utilities | 4,906,977 | |||||||
Communications - 3.8% | ||||||||
FactSet Research Systems, Inc. | 1,693 | 321,450 | ||||||
LogMeIn, Inc. | 2,449 | 296,451 | ||||||
ViaSat, Inc.*,1 | 4,484 | 291,908 | ||||||
ARRIS International plc* | 10,196 | 290,586 | ||||||
Telephone & Data Systems, Inc.1 | 9,940 | 289,751 | ||||||
Plantronics, Inc. | 6,375 | 289,170 | ||||||
InterDigital, Inc. | 3,896 | 285,772 | ||||||
John Wiley & Sons, Inc. — Class A | 5,141 | 280,956 | ||||||
TEGNA, Inc.1 | 22,154 | 270,943 | ||||||
New York Times Co. — Class A1 | 14,068 | 268,699 | ||||||
Ciena Corp.* | 12,403 | 263,812 | ||||||
Meredith Corp.1 | 4,905 | 259,965 | ||||||
Cable One, Inc.1 | 362 | 256,951 | ||||||
Frontier Communications Corp.1 | 20,455 | 247,710 | ||||||
AMC Networks, Inc. — Class A*,1 | 4,758 | 242,087 | ||||||
Cars.com, Inc.*,1 | 10,033 | 238,986 | ||||||
Total Communications | 4,395,197 | |||||||
Total Common Stocks | ||||||||
(Cost $103,740,174) | 114,456,351 | |||||||
MONEY MARKET FUND† - 0.2% | ||||||||
Federated U.S. Treasury Cash Reserve Fund — Institutional Shares, 0.89%2 | 214,980 | 214,980 | ||||||
Total Money Market Fund | ||||||||
(Cost $214,980) | 214,980 |
48 | GUGGENHEIM ETFs ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (concluded) | October 31, 2017 |
GUGGENHEIM S&P MIDCAP 400® EQUAL WEIGHT ETF |
Face Amount | Value | |||||||
SECURITIES LENDING COLLATERAL††,3 - 10.8% | ||||||||
Repurchase Agreements | ||||||||
HSBC Securities (USA), Inc. issued 10/31/17 at 1.04% due 11/01/17 | $ | 2,890,996 | $ | 2,890,996 | ||||
Nomura Securities International, Inc. issued 10/31/17 at 1.06% due 11/01/17 | 2,890,996 | 2,890,996 | ||||||
Daiwa Capital Markets America issued 10/31/17 at 1.08% due 11/01/17 | 2,890,996 | 2,890,996 | ||||||
Cantor Fitzgerald Securities issued 10/31/17 at 1.08% due 11/01/17 | 2,890,996 | 2,890,996 | ||||||
Jefferies LLC issued 10/31/17 at 1.14% due 11/01/17 | 856,695 | 856,695 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $12,420,679) | 12,420,679 | |||||||
Total Investments - 110.8% | ||||||||
(Cost $116,375,833) | $ | 127,092,010 | ||||||
Other Assets & Liabilities, net - (10.8)% | (12,400,068 | ) | ||||||
Total Net Assets - 100.0% | $ | 114,691,942 |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | All or portion of this security is on loan at October 31, 2017 — See Note 5. |
2 | Rate indicated is the 7 day yield as of October 31, 2017. |
3 | Securities lending collateral — See Note 5. |
plc — Public Limited Company | |
REIT — Real Estate Investment Trust | |
See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at October 31, 2017 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | Total | ||||||||||||
Common Stocks | $ | 114,456,351 | $ | — | $ | — | $ | 114,456,351 | ||||||||
Money Market Fund | 214,980 | — | — | 214,980 | ||||||||||||
Securities Lending Collateral | — | 12,420,679 | — | 12,420,679 | ||||||||||||
Total Assets | $ | 114,671,331 | $ | 12,420,679 | $ | — | $ | 127,092,010 |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
For the year ended October 31, 2017, there were no transfers between levels.
SEE NOTES TO FINANCIAL STATEMENTS. | GUGGENHEIM ETFs ANNUAL REPORT | 49 |
SCHEDULE OF INVESTMENTS | October 31, 2017 |
GUGGENHEIM S&P SMALLCAP 600® EQUAL WEIGHT ETF |
Shares | Value | |||||||
COMMON STOCKS† - 99.8% | ||||||||
Financial - 19.5% | ||||||||
Piper Jaffray Cos. | 900 | $ | 65,789 | |||||
Universal Insurance Holdings, Inc. | 2,701 | 64,420 | ||||||
Interactive Brokers Group, Inc. — Class A1 | 1,169 | 63,149 | ||||||
Meta Financial Group, Inc.1 | 723 | 63,082 | ||||||
Greenhill & Company, Inc. | 3,432 | 62,806 | ||||||
WisdomTree Investments, Inc. | 5,562 | 61,683 | ||||||
Opus Bank* | 2,322 | 60,139 | ||||||
ServisFirst Bancshares, Inc.1 | 1,466 | 60,121 | ||||||
Enova International, Inc.* | 4,035 | 59,920 | ||||||
Horace Mann Educators Corp. | 1,354 | 59,305 | ||||||
Selective Insurance Group, Inc. | 994 | 59,242 | ||||||
Banc of California, Inc.1 | 2,812 | 59,192 | ||||||
HCI Group, Inc. | 1,567 | 58,700 | ||||||
Third Point Reinsurance Ltd.*,1 | 3,500 | 58,450 | ||||||
INTL FCStone, Inc.* | 1,407 | 58,405 | ||||||
First Financial Bankshares, Inc.1 | 1,275 | 58,204 | ||||||
CVB Financial Corp. | 2,434 | 58,075 | ||||||
TrustCo Bank Corp. NY | 6,326 | 58,040 | ||||||
Bank Mutual Corp. | 5,479 | 57,940 | ||||||
Walker & Dunlop, Inc.*,1 | 1,054 | 57,854 | ||||||
AMERISAFE, Inc.1 | 892 | 57,712 | ||||||
Columbia Banking System, Inc. | 1,325 | 57,651 | ||||||
Hope Bancorp, Inc. | 3,123 | 57,619 | ||||||
HomeStreet, Inc.* | 1,980 | 57,519 | ||||||
First Commonwealth Financial Corp. | 3,941 | 57,381 | ||||||
Encore Capital Group, Inc.*,1 | 1,234 | 57,319 | ||||||
NBT Bancorp, Inc.1 | 1,501 | 57,248 | ||||||
Old National Bancorp1 | 3,132 | 57,002 | ||||||
Westamerica Bancorporation | 978 | 56,949 | ||||||
Dime Community Bancshares, Inc. | 2,581 | 56,911 | ||||||
Maiden Holdings Ltd. | 6,888 | 56,826 | ||||||
HFF, Inc. — Class A1 | 1,295 | 56,798 | ||||||
Tompkins Financial Corp.1 | 650 | 56,628 | ||||||
Employers Holdings, Inc.1 | 1,186 | 56,572 | ||||||
Great Western Bancorp, Inc. | 1,389 | 56,380 | ||||||
First Financial Bancorp | 2,065 | 56,375 | ||||||
Hanmi Financial Corp. | 1,830 | 56,273 | ||||||
Investment Technology Group, Inc. | 2,397 | 56,258 | ||||||
Glacier Bancorp, Inc. | 1,480 | 56,181 | ||||||
Safety Insurance Group, Inc. | 682 | 56,060 | ||||||
S&T Bancorp, Inc. | 1,368 | 55,938 | ||||||
Financial Engines, Inc.1 | 1,536 | 55,450 | ||||||
Provident Financial Services, Inc. | 2,035 | 55,352 | ||||||
City Holding Co.1 | 785 | 55,335 | ||||||
Evercore, Inc. — Class A | 689 | 55,189 | ||||||
Ameris Bancorp1 | 1,149 | 55,037 | ||||||
American Equity Investment Life Holding Co. | 1,859 | 54,859 | ||||||
United Fire Group, Inc.1 | 1,189 | 54,801 | ||||||
RLI Corp. | 925 | 54,658 | ||||||
United Insurance Holdings Corp. | 3,454 | 54,366 | ||||||
Simmons First National Corp. — Class A1 | 942 | 54,353 | ||||||
World Acceptance Corp.*,1 | 620 | 54,250 | ||||||
Southside Bancshares, Inc.1 | 1,527 | 54,071 | ||||||
Boston Private Financial Holdings, Inc. | 3,395 | 53,981 | ||||||
LegacyTexas Financial Group, Inc. | 1,353 | 53,971 | ||||||
NMI Holdings, Inc. — Class A* | 3,700 | 53,835 | ||||||
Virtus Investment Partners, Inc. | 461 | 53,660 | ||||||
United Community Banks, Inc. | 1,946 | 53,359 | ||||||
RE/MAX Holdings, Inc. — Class A1 | 801 | 53,267 | ||||||
Brookline Bancorp, Inc. | 3,456 | 53,222 | ||||||
Oritani Financial Corp. | 3,132 | 53,087 | ||||||
Northfield Bancorp, Inc. | 3,110 | 53,057 | ||||||
Infinity Property & Casualty Corp. | 560 | 52,836 | ||||||
BofI Holding, Inc.*,1 | 1,962 | 52,778 | ||||||
Northwest Bancshares, Inc. | 3,123 | 52,685 | ||||||
Chesapeake Lodging Trust REIT | 1,885 | 52,591 | ||||||
WageWorks, Inc.*,1 | 824 | 52,530 | ||||||
Central Pacific Financial Corp. | 1,687 | 52,499 | ||||||
Community Bank System, Inc. | 941 | 52,028 | ||||||
Chatham Lodging Trust REIT | 2,382 | 51,809 | ||||||
First Midwest Bancorp, Inc. | 2,239 | 51,699 | ||||||
Independent Bank Corp. | 716 | 51,624 | ||||||
National Bank Holdings Corp. — Class A | 1,570 | 51,527 | ||||||
Banner Corp.1 | 896 | 51,359 | ||||||
Cedar Realty Trust, Inc. REIT | 9,418 | 51,234 | ||||||
Summit Hotel Properties, Inc. REIT | 3,240 | 51,224 | ||||||
OFG Bancorp | 5,740 | 51,086 | ||||||
Stewart Information Services Corp. | 1,342 | 50,915 | ||||||
Fidelity Southern Corp. | 2,321 | 50,900 | ||||||
Armada Hoffler Properties, Inc. REIT1 | 3,556 | 50,745 | ||||||
ProAssurance Corp. | 900 | 50,445 | ||||||
National Storage Affiliates Trust REIT1 | 2,024 | 50,175 | ||||||
Urstadt Biddle Properties, Inc. — Class A REIT | 2,305 | 50,088 | ||||||
eHealth, Inc.* | 1,969 | 49,973 | ||||||
Whitestone REIT — Class B | 3,726 | 49,779 | ||||||
Navigators Group, Inc.1 | 854 | 49,532 | ||||||
Lexington Realty Trust REIT | 4,876 | 49,346 | ||||||
Customers Bancorp, Inc.*,1 | 1,803 | 49,294 | ||||||
Waddell & Reed Financial, Inc. — Class A1 | 2,626 | 49,080 | ||||||
Apollo Commercial Real Estate Finance, Inc. REIT1 | 2,716 | 49,078 | ||||||
DiamondRock Hospitality Co. REIT | 4,515 | 49,033 | ||||||
EastGroup Properties, Inc. REIT1 | 537 | 48,647 | ||||||
Getty Realty Corp. REIT | 1,704 | 48,411 | ||||||
Independence Realty Trust, Inc. REIT | 4,732 | 48,030 | ||||||
Franklin Street Properties Corp. REIT | 4,786 | 47,860 | ||||||
Government Properties Income Trust REIT1 | 2,625 | 47,696 | ||||||
Four Corners Property Trust, Inc. REIT | 1,928 | 47,583 | ||||||
PRA Group, Inc.*,1 | 1,704 | 47,542 | ||||||
PS Business Parks, Inc. REIT | 359 | 47,506 | ||||||
Hersha Hospitality Trust REIT | 2,679 | 47,392 | ||||||
Universal Health Realty Income Trust REIT | 647 | 47,367 | ||||||
Saul Centers, Inc. REIT | 774 | 47,307 | ||||||
CareTrust REIT, Inc.1 | 2,488 | 47,023 |
50 | GUGGENHEIM ETFs ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | October 31, 2017 |
GUGGENHEIM S&P SMALLCAP 600® EQUAL WEIGHT ETF |
Shares | Value | |||||||
Pennsylvania Real Estate Investment Trust1 | 4,830 | $ | 46,948 | |||||
ARMOUR Residential REIT, Inc. | 1,860 | 46,593 | ||||||
Acadia Realty Trust REIT1 | 1,643 | 46,250 | ||||||
First BanCorp* | 8,963 | 46,159 | ||||||
CBL & Associates Properties, Inc. REIT1 | 5,880 | 46,099 | ||||||
American Assets Trust, Inc. REIT | 1,184 | 45,927 | ||||||
LTC Properties, Inc. REIT | 982 | 45,673 | ||||||
Agree Realty Corp. REIT | 960 | 45,398 | ||||||
Ramco-Gershenson Properties Trust REIT | 3,561 | 44,975 | ||||||
Capstead Mortgage Corp. REIT | 5,027 | 44,338 | ||||||
Kite Realty Group Trust REIT1 | 2,371 | 44,314 | ||||||
Retail Opportunity Investments Corp. REIT | 2,402 | 43,188 | ||||||
Pacific Premier Bancorp, Inc.* | 1,030 | 41,612 | ||||||
Total Financial | 6,175,006 | |||||||
Consumer, Non-cyclical - 18.6% | ||||||||
Spectrum Pharmaceuticals, Inc.* | 4,560 | 89,330 | ||||||
Quorum Health Corp.* | 11,619 | 66,460 | ||||||
Heidrick & Struggles International, Inc. | 2,657 | 66,025 | ||||||
Resources Connection, Inc. | 4,025 | 63,393 | ||||||
TrueBlue, Inc.*,1 | 2,307 | 62,520 | ||||||
Natus Medical, Inc.*,1 | 1,466 | 62,158 | ||||||
On Assignment, Inc.* | 996 | 60,975 | ||||||
FTI Consulting, Inc.* | 1,417 | 60,577 | ||||||
Capella Education Co. | 732 | 59,622 | ||||||
Tivity Health, Inc.*,1 | 1,263 | 58,413 | ||||||
Andersons, Inc. | 1,555 | 58,235 | ||||||
Lantheus Holdings, Inc.* | 2,922 | 58,147 | ||||||
Cal-Maine Foods, Inc.*,1 | 1,289 | 58,005 | ||||||
Cantel Medical Corp. | 591 | 57,965 | ||||||
Korn/Ferry International | 1,377 | 57,600 | ||||||
Green Dot Corp. — Class A* | 1,015 | 57,469 | ||||||
Strayer Education, Inc.1 | 613 | 57,456 | ||||||
Kelly Services, Inc. — Class A | 2,180 | 57,356 | ||||||
AMN Healthcare Services, Inc.*,1 | 1,303 | 57,202 | ||||||
CorVel Corp.* | 953 | 57,180 | ||||||
Diplomat Pharmacy, Inc.*,1 | 2,713 | 57,109 | ||||||
Seneca Foods Corp. — Class A* | 1,586 | 57,096 | ||||||
LendingTree, Inc.*,1 | 212 | 56,827 | ||||||
Insperity, Inc. | 597 | 56,655 | ||||||
US Physical Therapy, Inc. | 831 | 56,466 | ||||||
Enanta Pharmaceuticals, Inc.*,1 | 1,136 | 56,426 | ||||||
ANI Pharmaceuticals, Inc.*,1 | 970 | 56,338 | ||||||
Inter Parfums, Inc. | 1,216 | 56,301 | ||||||
Bob Evans Farms, Inc. | 729 | 56,272 | ||||||
Acorda Therapeutics, Inc.*,1 | 2,115 | 56,205 | ||||||
Lannett Company, Inc.*,1 | 2,808 | 55,879 | ||||||
Chemed Corp. | 250 | 55,858 | ||||||
Neogen Corp.* | 696 | 55,819 | ||||||
Amphastar Pharmaceuticals, Inc.*,1 | 3,075 | 55,566 | ||||||
Medifast, Inc. | 876 | 54,663 | ||||||
Haemonetics Corp.* | 1,146 | 54,504 | ||||||
Career Education Corp.* | 5,091 | 54,372 | ||||||
Navigant Consulting, Inc.* | 3,129 | 54,163 | ||||||
Luminex Corp. | 2,519 | 53,781 | ||||||
Ensign Group, Inc. | 2,295 | 52,969 | ||||||
Emergent BioSolutions, Inc.*,1 | 1,287 | 52,754 | ||||||
Cross Country Healthcare, Inc.*,1 | 3,861 | 52,703 | ||||||
Calavo Growers, Inc. | 715 | 52,696 | ||||||
Surmodics, Inc.* | 1,771 | 52,687 | ||||||
HealthEquity, Inc.*,1 | 1,047 | 52,580 | ||||||
Orthofix International N.V.* | 976 | 52,440 | ||||||
Varex Imaging Corp.* | 1,525 | 52,414 | ||||||
Forrester Research, Inc. | 1,199 | 52,396 | ||||||
Nektar Therapeutics*,1 | 2,175 | 52,396 | ||||||
ICU Medical, Inc.*,1 | 274 | 52,361 | ||||||
Analogic Corp. | 652 | 52,356 | ||||||
Matthews International Corp. — Class A | 833 | 52,354 | ||||||
Meridian Bioscience, Inc.1 | 3,469 | 51,861 | ||||||
Ligand Pharmaceuticals, Inc. — Class B*,1 | 356 | 51,745 | ||||||
Select Medical Holdings Corp.* | 2,690 | 51,514 | ||||||
American Public Education, Inc.* | 2,572 | 51,440 | ||||||
Integer Holdings Corp.* | 1,055 | 51,273 | ||||||
Coca-Cola Bottling Company Consolidated | 227 | 51,202 | ||||||
Viad Corp. | 882 | 51,200 | ||||||
J&J Snack Foods Corp. | 384 | 51,137 | ||||||
Myriad Genetics, Inc.*,1 | 1,489 | 51,043 | ||||||
Providence Service Corp.* | 918 | 51,041 | ||||||
Healthcare Services Group, Inc. | 963 | 50,933 | ||||||
CONMED Corp. | 975 | 50,915 | ||||||
SpartanNash Co. | 2,073 | 50,892 | ||||||
HMS Holdings Corp.* | 2,643 | 50,851 | ||||||
Abaxis, Inc. | 1,048 | 50,723 | ||||||
Magellan Health, Inc.* | 592 | 50,498 | ||||||
Invacare Corp.1 | 3,247 | 50,329 | ||||||
ABM Industries, Inc.1 | 1,199 | 50,322 | ||||||
Phibro Animal Health Corp. — Class A | 1,335 | 50,263 | ||||||
Darling Ingredients, Inc.* | 2,720 | 49,640 | ||||||
LHC Group, Inc.* | 741 | 49,506 | ||||||
WD-40 Co.1 | 446 | 49,439 | ||||||
Universal Corp. | 859 | 49,264 | ||||||
PharMerica Corp.* | 1,663 | 48,726 | ||||||
RR Donnelley & Sons Co. | 5,293 | 48,696 | ||||||
Progenics Pharmaceuticals, Inc.*,1 | 7,854 | 48,616 | ||||||
B&G Foods, Inc.1 | 1,528 | 48,590 | ||||||
Monro, Inc.1 | 984 | 48,560 | ||||||
LSC Communications, Inc. | 2,945 | 47,650 | ||||||
Anika Therapeutics, Inc.*,1 | 871 | 47,583 | ||||||
Heska Corp.*,1 | 485 | 47,288 | ||||||
AngioDynamics, Inc.* | 2,772 | 47,041 | ||||||
Team, Inc.*,1 | 3,812 | 46,888 | ||||||
Inogen, Inc.*,1 | 471 | 46,596 | ||||||
NutriSystem, Inc. | 931 | 46,503 | ||||||
Cytokinetics, Inc.*,1 | 3,280 | 44,772 | ||||||
Amedisys, Inc.* | 930 | 44,742 | ||||||
Merit Medical Systems, Inc.*,1 | 1,170 | 44,519 | ||||||
John B Sanfilippo & Son, Inc.1 | 756 | 44,491 | ||||||
OraSure Technologies, Inc.* | 2,242 | 44,280 | ||||||
Eagle Pharmaceuticals, Inc.*,1 | 815 | 43,806 |
SEE NOTES TO FINANCIAL STATEMENTS. | GUGGENHEIM ETFs ANNUAL REPORT | 51 |
SCHEDULE OF INVESTMENTS (continued) | October 31, 2017 |
GUGGENHEIM S&P SMALLCAP 600® EQUAL WEIGHT ETF |
Shares | Value | |||||||
Almost Family, Inc.* | 988 | $ | 43,719 | |||||
Integra LifeSciences Holdings Corp.*,1 | 930 | 43,505 | ||||||
CryoLife, Inc.*,1 | 2,227 | 43,315 | ||||||
MiMedx Group, Inc.*,1 | 3,399 | 43,099 | ||||||
Innoviva, Inc.* | 3,509 | 42,950 | ||||||
Impax Laboratories, Inc.* | 2,295 | 41,654 | ||||||
Repligen Corp.*,1 | 1,115 | 41,478 | ||||||
Supernus Pharmaceuticals, Inc.*,1 | 997 | 41,475 | ||||||
LeMaitre Vascular, Inc.1 | 1,289 | 41,261 | ||||||
Cardtronics plc — Class A* | 1,786 | 40,899 | ||||||
Cambrex Corp.*,1 | 942 | 40,742 | ||||||
Momenta Pharmaceuticals, Inc.* | 2,857 | 40,284 | ||||||
SUPERVALU, Inc.* | 2,453 | 39,959 | ||||||
Central Garden & Pet Co. — Class A* | 1,082 | 39,937 | ||||||
Community Health Systems, Inc.*,1 | 6,763 | 39,902 | ||||||
Sucampo Pharmaceuticals, Inc. — Class A*,1 | 3,904 | 39,040 | ||||||
AMAG Pharmaceuticals, Inc.*,1 | 2,479 | 38,920 | ||||||
Kindred Healthcare, Inc.1 | 6,429 | 38,895 | ||||||
Rent-A-Center, Inc.1 | 3,889 | 38,657 | ||||||
Depomed, Inc.*,1 | 7,879 | 38,134 | ||||||
Medicines Co.*,1 | 1,321 | 37,966 | ||||||
BioTelemetry, Inc.*,1 | 1,260 | 36,603 | ||||||
Central Garden & Pet Co.*,1 | 324 | 12,370 | ||||||
Total Consumer, Non-cyclical | 5,880,636 | |||||||
Industrial - 17.9% | ||||||||
Echo Global Logistics, Inc.* | 3,111 | 74,820 | ||||||
FARO Technologies, Inc.*,1 | 1,440 | 74,592 | ||||||
Electro Scientific Industries, Inc.* | 3,992 | 71,417 | ||||||
KEMET Corp.*,1 | 2,700 | 69,363 | ||||||
Trex Company, Inc.*,1 | 603 | 65,998 | ||||||
Comfort Systems USA, Inc. | 1,418 | 62,817 | ||||||
Rogers Corp.* | 406 | 61,745 | ||||||
Universal Forest Products, Inc.1 | 546 | 61,643 | ||||||
Patrick Industries, Inc.* | 656 | 61,008 | ||||||
Methode Electronics, Inc. | 1,289 | 60,455 | ||||||
Cubic Corp. | 1,106 | 60,333 | ||||||
Lydall, Inc.* | 1,043 | 60,286 | ||||||
Orion Group Holdings, Inc.* | 8,371 | 60,271 | ||||||
Harsco Corp.* | 2,832 | 60,180 | ||||||
Chart Industries, Inc.*,1 | 1,380 | 60,030 | ||||||
II-VI, Inc.*,1 | 1,322 | 59,754 | ||||||
LSB Industries, Inc.*,1 | 7,905 | 59,683 | ||||||
Bel Fuse, Inc. — Class B | 1,831 | 59,234 | ||||||
SPX FLOW, Inc.* | 1,435 | 59,165 | ||||||
MYR Group, Inc.* | 1,853 | 59,092 | ||||||
Greenbrier Companies, Inc.1 | 1,132 | 59,090 | ||||||
CTS Corp.1 | 2,172 | 59,078 | ||||||
Simpson Manufacturing Company, Inc. | 1,051 | 58,583 | ||||||
EnPro Industries, Inc. | 693 | 58,032 | ||||||
Tredegar Corp. | 2,986 | 57,779 | ||||||
Triumph Group, Inc.1 | 1,858 | 57,691 | ||||||
Plexus Corp.* | 938 | 57,621 | ||||||
Proto Labs, Inc.*,1 | 659 | 57,498 | ||||||
SPX Corp.* | 1,958 | 57,349 | ||||||
National Presto Industries, Inc.1 | 490 | 57,281 | ||||||
Vicor Corp.*,1 | 2,658 | 57,280 | ||||||
Advanced Energy Industries, Inc.* | 675 | 57,186 | ||||||
General Cable Corp. | 2,728 | 57,151 | ||||||
Mueller Industries, Inc. | 1,643 | 57,094 | ||||||
Roadrunner Transportation Systems, Inc.* | 6,446 | 56,724 | ||||||
DXP Enterprises, Inc.* | 1,767 | 56,668 | ||||||
Franklin Electric Company, Inc. | 1,244 | 56,602 | ||||||
Alamo Group, Inc.1 | 535 | 56,442 | ||||||
Federal Signal Corp. | 2,640 | 56,364 | ||||||
Moog, Inc. — Class A* | 642 | 56,342 | ||||||
Raven Industries, Inc.1 | 1,674 | 56,330 | ||||||
John Bean Technologies Corp.1 | 526 | 56,229 | ||||||
Myers Industries, Inc. | 2,599 | 56,138 | ||||||
Gibraltar Industries, Inc.* | 1,683 | 55,960 | ||||||
Tennant Co.1 | 798 | 55,341 | ||||||
Albany International Corp. — Class A1 | 915 | 55,220 | ||||||
Kaman Corp.1 | 983 | 54,989 | ||||||
Briggs & Stratton Corp. | 2,182 | 54,986 | ||||||
Tetra Tech, Inc. | 1,111 | 54,717 | ||||||
AAR Corp. | 1,403 | 54,563 | ||||||
TopBuild Corp.*,1 | 820 | 54,112 | ||||||
Hillenbrand, Inc. | 1,367 | 54,065 | ||||||
Saia, Inc.*,1 | 832 | 53,914 | ||||||
Control4 Corp.*,1 | 1,826 | 53,776 | ||||||
Haynes International, Inc.1 | 1,505 | 53,698 | ||||||
Boise Cascade Co.* | 1,512 | 53,600 | ||||||
Aerojet Rocketdyne Holdings, Inc.*,1 | 1,697 | 53,591 | ||||||
Aegion Corp. — Class A* | 2,278 | 53,055 | ||||||
AAON, Inc.1 | 1,514 | 52,990 | ||||||
Standex International Corp. | 511 | 52,914 | ||||||
Applied Industrial Technologies, Inc. | 831 | 52,893 | ||||||
Griffon Corp. | 2,345 | 52,879 | ||||||
Hub Group, Inc. — Class A* | 1,218 | 52,739 | ||||||
American Woodmark Corp.*,1 | 545 | 52,647 | ||||||
Encore Wire Corp. | 1,166 | 52,645 | ||||||
ArcBest Corp. | 1,612 | 52,551 | ||||||
Itron, Inc.* | 671 | 52,439 | ||||||
Quanex Building Products Corp.1 | 2,381 | 52,263 | ||||||
Forward Air Corp. | 908 | 52,156 | ||||||
Watts Water Technologies, Inc. — Class A | 772 | 52,033 | ||||||
Exponent, Inc. | 701 | 51,769 | ||||||
Marten Transport Ltd. | 2,632 | 51,719 | ||||||
OSI Systems, Inc.*,1 | 585 | 51,702 | ||||||
Sturm Ruger & Company, Inc.1 | 1,043 | 51,681 | ||||||
Lindsay Corp. | 564 | 51,640 | ||||||
TTM Technologies, Inc.*,1 | 3,265 | 51,521 | ||||||
Astec Industries, Inc. | 991 | 51,482 | ||||||
Brady Corp. — Class A | 1,350 | 51,368 | ||||||
Axon Enterprise, Inc.*,1 | 2,233 | 51,292 | ||||||
Powell Industries, Inc. | 1,767 | 51,208 | ||||||
ESCO Technologies, Inc.1 | 882 | 51,112 | ||||||
Aerovironment, Inc.* | 995 | 50,904 | ||||||
Park Electrochemical Corp. | 2,694 | 50,863 | ||||||
Apogee Enterprises, Inc.1 | 1,064 | 50,785 | ||||||
Insteel Industries, Inc.1 | 1,983 | 50,666 |
52 | GUGGENHEIM ETFs ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | October 31, 2017 |
GUGGENHEIM S&P SMALLCAP 600® EQUAL WEIGHT ETF |
Shares | Value | |||||||
Matson, Inc. | 1,852 | $ | 50,430 | |||||
Actuant Corp. — Class A | 1,956 | 49,878 | ||||||
Olympic Steel, Inc. | 2,636 | 49,768 | ||||||
Multi-Color Corp. | 600 | 49,620 | ||||||
KapStone Paper and Packaging Corp. | 2,167 | 48,671 | ||||||
Barnes Group, Inc.1 | 747 | 48,622 | ||||||
Fabrinet*,1 | 1,295 | 48,148 | ||||||
AZZ, Inc. | 997 | 47,657 | ||||||
US Concrete, Inc.*,1 | 608 | 47,546 | ||||||
Badger Meter, Inc. | 1,078 | 47,216 | ||||||
PGT Innovations, Inc.* | 3,339 | 47,080 | ||||||
Benchmark Electronics, Inc.* | 1,513 | 46,827 | ||||||
US Ecology, Inc.1 | 977 | 46,456 | ||||||
TimkenSteel Corp.*,1 | 3,282 | 45,948 | ||||||
Atlas Air Worldwide Holdings, Inc.* | 740 | 45,399 | ||||||
Heartland Express, Inc.1 | 2,118 | 45,177 | ||||||
CIRCOR International, Inc.1 | 1,007 | 44,258 | ||||||
Sanmina Corp.* | 1,341 | 43,884 | ||||||
Applied Optoelectronics, Inc.*,1 | 840 | 34,222 | ||||||
Total Industrial | 5,681,693 | |||||||
Consumer, Cyclical - 17.6% | ||||||||
LGI Homes, Inc.*,1 | 1,111 | 67,026 | ||||||
M/I Homes, Inc.* | 1,952 | 65,197 | ||||||
Winnebago Industries, Inc.1 | 1,326 | 65,173 | ||||||
Scientific Games Corp. — Class A*,1 | 1,348 | 64,165 | ||||||
Monarch Casino & Resort, Inc.* | 1,413 | 63,034 | ||||||
SkyWest, Inc. | 1,317 | 62,030 | ||||||
RH*,1 | 686 | 61,685 | ||||||
Tailored Brands, Inc.1 | 3,956 | 61,121 | ||||||
DineEquity, Inc. | 1,266 | 60,275 | ||||||
Chuy’s Holdings, Inc.*,1 | 2,671 | 60,098 | ||||||
Core-Mark Holding Company, Inc.1 | 1,763 | 60,047 | ||||||
LCI Industries1 | 485 | 60,043 | ||||||
Meritage Homes Corp.*,1 | 1,231 | 59,950 | ||||||
Shake Shack, Inc. — Class A*,1 | 1,561 | 59,256 | ||||||
MDC Holdings, Inc. | 1,589 | 58,857 | ||||||
Installed Building Products, Inc.*,1 | 843 | 58,757 | ||||||
Group 1 Automotive, Inc.1 | 744 | 58,457 | ||||||
MarineMax, Inc.*,1 | 3,151 | 58,451 | ||||||
ScanSource, Inc.* | 1,353 | 58,111 | ||||||
American Axle & Manufacturing Holdings, Inc.*,1 | 3,223 | 57,337 | ||||||
Allegiant Travel Co. — Class A1 | 418 | 57,015 | ||||||
Biglari Holdings, Inc.*,1 | 159 | 56,833 | ||||||
Unifi, Inc.* | 1,492 | 56,770 | ||||||
Cavco Industries, Inc.*,1 | 361 | 56,641 | ||||||
Marriott Vacations Worldwide Corp.1 | 430 | 56,597 | ||||||
William Lyon Homes — Class A*,1 | 2,027 | 56,249 | ||||||
Regis Corp.* | 3,764 | 56,197 | ||||||
Interface, Inc. — Class A | 2,460 | 56,088 | ||||||
Penn National Gaming, Inc.* | 2,144 | 55,937 | ||||||
Red Robin Gourmet Burgers, Inc.*,1 | 815 | 55,746 | ||||||
Ruth’s Hospitality Group, Inc.1 | 2,628 | 55,451 | ||||||
Buckle, Inc.1 | 3,360 | 55,273 | ||||||
Ruby Tuesday, Inc.* | 23,025 | 54,569 | ||||||
Five Below, Inc.*,1 | 984 | 54,366 | ||||||
Motorcar Parts of America, Inc.*,1 | 1,878 | 54,293 | ||||||
BJ’s Restaurants, Inc.* | 1,710 | 54,207 | ||||||
Cooper-Standard Holdings, Inc.* | 485 | 54,067 | ||||||
UniFirst Corp.1 | 343 | 54,023 | ||||||
EZCORP, Inc. — Class A* | 5,263 | 53,945 | ||||||
Titan International, Inc.1 | 5,523 | 53,794 | ||||||
Sleep Number Corp.*,1 | 1,649 | 53,592 | ||||||
Sonic Corp. | 2,108 | 53,543 | ||||||
La-Z-Boy, Inc. | 1,983 | 53,442 | ||||||
Wabash National Corp.1 | 2,362 | 53,145 | ||||||
Boyd Gaming Corp.1 | 1,818 | 53,140 | ||||||
Sonic Automotive, Inc. — Class A1 | 2,671 | 53,019 | ||||||
FirstCash, Inc. | 830 | 52,996 | ||||||
Fox Factory Holding Corp.*,1 | 1,244 | 52,932 | ||||||
Asbury Automotive Group, Inc.* | 861 | 52,865 | ||||||
Veritiv Corp.* | 1,637 | 52,630 | ||||||
Crocs, Inc.*,1 | 5,146 | 52,489 | ||||||
Express, Inc.* | 7,730 | 52,332 | ||||||
Zumiez, Inc.*,1 | 2,958 | 52,209 | ||||||
Daktronics, Inc. | 5,049 | 51,853 | ||||||
Marcus Corp. | 1,906 | 51,748 | ||||||
Oxford Industries, Inc. | 800 | 51,680 | ||||||
Superior Industries International, Inc. | 3,303 | 51,362 | ||||||
Perry Ellis International, Inc.* | 2,195 | 51,122 | ||||||
Callaway Golf Co. | 3,527 | 50,895 | ||||||
Gentherm, Inc.*,1 | 1,516 | 50,786 | ||||||
Universal Electronics, Inc.* | 846 | 50,760 | ||||||
Belmond Ltd. — Class A*,1 | 3,856 | 50,706 | ||||||
Fiesta Restaurant Group, Inc.*,1 | 3,033 | 50,196 | ||||||
Shoe Carnival, Inc.1 | 2,673 | 50,172 | ||||||
Guess?, Inc.1 | 3,086 | 50,024 | ||||||
Hibbett Sports, Inc.*,1 | 3,904 | 49,971 | ||||||
Lithia Motors, Inc. — Class A | 440 | 49,799 | ||||||
Wingstop, Inc.1 | 1,466 | 49,653 | ||||||
Mobile Mini, Inc. | 1,500 | 49,650 | ||||||
Kirkland’s, Inc.* | 4,237 | 49,573 | ||||||
El Pollo Loco Holdings, Inc.*,1 | 4,305 | 49,508 | ||||||
Movado Group, Inc. | 1,779 | 49,278 | ||||||
Wolverine World Wide, Inc.1 | 1,804 | 49,249 | ||||||
Dorman Products, Inc.*,1 | 712 | 49,206 | ||||||
Vista Outdoor, Inc.*,1 | 2,353 | 49,201 | ||||||
DSW, Inc. — Class A1 | 2,540 | 48,641 | ||||||
Barnes & Noble, Inc. | 6,938 | 48,566 | ||||||
Children’s Place, Inc.1 | 444 | 48,307 | ||||||
Finish Line, Inc. — Class A1 | 5,185 | 48,065 | ||||||
Caleres, Inc.1 | 1,754 | 47,937 | ||||||
Ascena Retail Group, Inc.* | 24,699 | 47,916 | ||||||
Abercrombie & Fitch Co. — Class A1 | 3,566 | 47,891 | ||||||
Ollie’s Bargain Outlet Holdings, Inc.*,1 | 1,072 | 47,864 | ||||||
Fossil Group, Inc.*,1 | 6,027 | 47,493 | ||||||
PetMed Express, Inc. | 1,342 | 47,453 | ||||||
Genesco, Inc.* | 1,933 | 47,359 | ||||||
Ethan Allen Interiors, Inc. | 1,581 | 47,035 | ||||||
Cato Corp. — Class A | 3,656 | 47,016 | ||||||
Barnes & Noble Education, Inc.*,1 | 8,626 | 47,012 | ||||||
Standard Motor Products, Inc. | 1,076 | 46,989 |
SEE NOTES TO FINANCIAL STATEMENTS. | GUGGENHEIM ETFs ANNUAL REPORT | 53 |
SCHEDULE OF INVESTMENTS (continued) | October 31, 2017 |
GUGGENHEIM S&P SMALLCAP 600® EQUAL WEIGHT ETF |
Shares | Value | |||||||
Chico’s FAS, Inc. | 5,880 | $ | 46,981 | |||||
Haverty Furniture Companies, Inc.1 | 1,966 | 46,889 | ||||||
Anixter International, Inc.* | 677 | 46,510 | ||||||
Dave & Buster’s Entertainment, Inc.* | 946 | 45,597 | ||||||
Francesca’s Holdings Corp.* | 7,019 | 45,413 | ||||||
Steven Madden Ltd.* | 1,155 | 45,045 | ||||||
G-III Apparel Group Ltd.* | 1,646 | 41,710 | ||||||
Vitamin Shoppe, Inc.*,1 | 8,929 | 41,073 | ||||||
Vera Bradley, Inc.* | 5,699 | 41,033 | ||||||
Hawaiian Holdings, Inc.* | 1,221 | 40,904 | ||||||
Essendant, Inc. | 4,121 | 39,891 | ||||||
Nautilus, Inc.*,1 | 3,044 | 39,572 | ||||||
Big 5 Sporting Goods Corp.1 | 6,027 | 38,271 | ||||||
Lumber Liquidators Holdings, Inc.*,1 | 1,198 | 36,874 | ||||||
iRobot Corp.*,1 | 510 | 34,267 | ||||||
J.C. Penney Company, Inc.*,1 | 11,994 | 33,583 | ||||||
Fred’s, Inc. — Class A1 | 6,938 | 30,597 | ||||||
Tile Shop Holdings, Inc. | 3,081 | 26,343 | ||||||
Iconix Brand Group, Inc.*,1 | 8,815 | 14,457 | ||||||
Total Consumer, Cyclical | 5,572,411 | |||||||
Technology - 8.4% | ||||||||
Photronics, Inc.* | 7,200 | 69,839 | ||||||
Cohu, Inc. | 2,637 | 68,035 | ||||||
Cabot Microelectronics Corp. | 683 | 66,026 | ||||||
Brooks Automation, Inc. | 1,864 | 64,103 | ||||||
MKS Instruments, Inc. | 588 | 63,886 | ||||||
Diodes, Inc.* | 1,802 | 61,881 | ||||||
Progress Software Corp. | 1,438 | 60,871 | ||||||
Rudolph Technologies, Inc.* | 2,130 | 59,108 | ||||||
Kulicke & Soffa Industries, Inc.* | 2,609 | 59,094 | ||||||
CEVA, Inc.* | 1,205 | 58,202 | ||||||
Ebix, Inc.1 | 854 | 58,029 | ||||||
Monotype Imaging Holdings, Inc. | 2,479 | 57,141 | ||||||
ManTech International Corp. — Class A | 1,214 | 56,342 | ||||||
Insight Enterprises, Inc.* | 1,243 | 55,997 | ||||||
Agilysys, Inc.* | 4,557 | 55,914 | ||||||
Semtech Corp.* | 1,350 | 55,418 | ||||||
Rambus, Inc.* | 3,747 | 55,118 | ||||||
Digi International, Inc.* | 5,270 | 54,808 | ||||||
CACI International, Inc. — Class A* | 381 | 54,769 | ||||||
DSP Group, Inc.* | 4,083 | 54,712 | ||||||
ExlService Holdings, Inc.* | 872 | 54,430 | ||||||
MaxLinear, Inc. — Class A*,1 | 2,219 | 54,299 | ||||||
Lumentum Holdings, Inc.*,1 | 857 | 54,120 | ||||||
Nanometrics, Inc.* | 1,901 | 53,741 | ||||||
Engility Holdings, Inc.*,1 | 1,595 | 53,704 | ||||||
MTS Systems Corp.1 | 1,024 | 53,299 | ||||||
Cray, Inc.* | 2,578 | 53,236 | ||||||
CSG Systems International, Inc. | 1,257 | 53,221 | ||||||
Power Integrations, Inc.1 | 656 | 52,710 | ||||||
Sykes Enterprises, Inc.* | 1,819 | 52,642 | ||||||
LivePerson, Inc.* | 3,725 | 52,336 | ||||||
TeleTech Holdings, Inc.1 | 1,252 | 52,146 | ||||||
Virtusa Corp.*,1 | 1,358 | 51,821 | ||||||
Mercury Systems, Inc.*,1 | 1,018 | 51,378 | ||||||
Bottomline Technologies de, Inc.* | 1,570 | 51,119 | ||||||
Computer Programs & Systems, Inc.1 | 1,695 | 51,104 | ||||||
Axcelis Technologies, Inc.* | 1,550 | 50,995 | ||||||
Qualys, Inc.* | 949 | 50,202 | ||||||
MicroStrategy, Inc. — Class A* | 376 | 49,730 | ||||||
Donnelley Financial Solutions, Inc.* | 2,278 | 48,977 | ||||||
Omnicell, Inc.*,1 | 969 | 48,256 | ||||||
Barracuda Networks, Inc.* | 2,000 | 46,620 | ||||||
Veeco Instruments, Inc.* | 2,485 | 44,854 | ||||||
Quality Systems, Inc.* | 3,067 | 43,153 | ||||||
Xperi Corp. | 1,869 | 42,987 | ||||||
Kopin Corp.*,1 | 12,226 | 42,913 | ||||||
SPS Commerce, Inc.* | 819 | 40,262 | ||||||
Electronics for Imaging, Inc.*,1 | 1,262 | 38,945 | ||||||
Super Micro Computer, Inc.*,1 | 1,873 | 37,273 | ||||||
Synchronoss Technologies, Inc.* | 2,912 | 32,993 | ||||||
Total Technology | 2,652,759 | |||||||
Communications - 6.5% | ||||||||
QuinStreet, Inc.* | 9,310 | 82,859 | ||||||
Harmonic, Inc.*,1 | 16,627 | 61,520 | ||||||
Iridium Communications, Inc.*,1 | 4,992 | 59,904 | ||||||
ePlus, Inc.* | 622 | 59,463 | ||||||
World Wrestling Entertainment, Inc. — Class A1 | 2,231 | 59,188 | ||||||
Cogent Communications Holdings, Inc.1 | 1,091 | 58,805 | ||||||
CalAmp Corp.*,1 | 2,553 | 58,030 | ||||||
New Media Investment Group, Inc. | 3,585 | 57,252 | ||||||
Stamps.com, Inc.*,1 | 253 | 56,773 | ||||||
Shutterstock, Inc.*,1 | 1,435 | 55,951 | ||||||
Spok Holdings, Inc. | 3,247 | 55,037 | ||||||
VASCO Data Security International, Inc.* | 3,868 | 52,605 | ||||||
Black Box Corp.1 | 16,919 | 52,449 | ||||||
Comtech Telecommunications Corp. | 2,433 | 52,334 | ||||||
DHI Group, Inc.* | 23,521 | 51,746 | ||||||
Consolidated Communications Holdings, Inc.1 | 2,697 | 51,701 | ||||||
Perficient, Inc.* | 2,657 | 51,679 | ||||||
XO Group, Inc.* | 2,587 | 51,637 | ||||||
Gannett Company, Inc.1 | 5,761 | 50,121 | ||||||
HealthStream, Inc.* | 2,039 | 49,874 | ||||||
NIC, Inc. | 2,905 | 49,385 | ||||||
EW Scripps Co. — Class A*,1 | 2,818 | 48,864 | ||||||
Liquidity Services, Inc.* | 8,534 | 48,644 | ||||||
TiVo Corp. | 2,664 | 48,352 | ||||||
Lumos Networks Corp.*,1 | 2,689 | 48,294 | ||||||
Vonage Holdings Corp.*,1 | 5,895 | 47,926 | ||||||
ATN International, Inc. | 882 | 47,884 | ||||||
Cincinnati Bell, Inc.*,1 | 2,498 | 47,712 | ||||||
NETGEAR, Inc.*,1 | 1,019 | 47,536 | ||||||
ADTRAN, Inc. | 2,222 | 46,884 | ||||||
8x8, Inc.* | 3,507 | 46,818 | ||||||
General Communication, Inc. — Class A* | 1,143 | 46,737 | ||||||
Oclaro, Inc.*,1 | 5,643 | 46,668 | ||||||
Blucora, Inc.*,1 | 2,097 | 45,505 | ||||||
Viavi Solutions, Inc.* | 4,880 | 45,286 | ||||||
Scholastic Corp. | 1,220 | 45,067 | ||||||
Gigamon, Inc.* | 1,144 | 44,044 |
54 | GUGGENHEIM ETFs ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | October 31, 2017 |
GUGGENHEIM S&P SMALLCAP 600® EQUAL WEIGHT ETF |
Shares | Value | |||||||
Shutterfly, Inc.*,1 | 1,024 | $ | 43,724 | |||||
Time, Inc.1 | 3,695 | 42,862 | ||||||
FTD Companies, Inc.*,1 | 3,642 | 39,334 | ||||||
Total Communications | 2,056,454 | |||||||
Energy - 5.6% | ||||||||
Bill Barrett Corp.* | 15,861 | 78,195 | ||||||
Carrizo Oil & Gas, Inc.*,1 | 4,237 | 74,953 | ||||||
Cloud Peak Energy, Inc.* | 15,982 | 67,923 | ||||||
TETRA Technologies, Inc.* | 23,521 | 66,799 | ||||||
SolarEdge Technologies, Inc.* | 1,885 | 61,922 | ||||||
PDC Energy, Inc.*,1 | 1,209 | 61,574 | ||||||
SRC Energy, Inc.*,1 | 6,446 | 61,495 | ||||||
SunCoke Energy, Inc.*,1 | 5,299 | 58,766 | ||||||
SEACOR Holdings, Inc.*,1 | 1,245 | 58,764 | ||||||
Noble Corporation plc*,1 | 13,969 | 58,111 | ||||||
CARBO Ceramics, Inc.*,1 | 6,928 | 57,364 | ||||||
Unit Corp.*,1 | 3,006 | 56,272 | ||||||
Exterran Corp.*,1 | 1,715 | 55,343 | ||||||
Gulf Island Fabrication, Inc. | 4,157 | 54,665 | ||||||
Denbury Resources, Inc.* | 44,237 | 54,412 | ||||||
Archrock, Inc. | 4,525 | 54,300 | ||||||
Bristow Group, Inc.1 | 5,594 | 52,807 | ||||||
Era Group, Inc.* | 4,861 | 52,304 | ||||||
McDermott International, Inc.* | 7,790 | 51,570 | ||||||
FutureFuel Corp. | 3,391 | 51,475 | ||||||
Helix Energy Solutions Group, Inc.*,1 | 7,518 | 51,273 | ||||||
Newpark Resources, Inc.*,1 | 5,833 | 51,039 | ||||||
Oil States International, Inc.*,1 | 2,200 | 50,710 | ||||||
Flotek Industries, Inc.*,1 | 10,045 | 49,421 | ||||||
REX American Resources Corp.*,1 | 554 | 48,852 | ||||||
Geospace Technologies Corp.*,1 | 3,234 | 48,575 | ||||||
Pioneer Energy Services Corp.* | 25,274 | 48,021 | ||||||
Matrix Service Co.* | 3,396 | 47,884 | ||||||
Green Plains, Inc.1 | 2,585 | 47,564 | ||||||
Contango Oil & Gas Co.* | 11,591 | 46,248 | ||||||
Par Pacific Holdings, Inc.*,1 | 2,100 | 44,079 | ||||||
Tesco Corp.* | 11,085 | 42,677 | ||||||
Total Energy | 1,765,357 | |||||||
Basic Materials - 4.5% | ||||||||
Calgon Carbon Corp.1 | 3,738 | 81,116 | ||||||
Kraton Corp.* | 1,528 | 74,918 | ||||||
AdvanSix, Inc.* | 1,407 | 65,101 | ||||||
Materion Corp. | 1,264 | 64,906 | ||||||
A. Schulman, Inc. | 1,581 | 62,133 | ||||||
Koppers Holdings, Inc.* | 1,247 | 60,542 | ||||||
PH Glatfelter Co. | 2,846 | 59,653 | ||||||
Ingevity Corp.* | 792 | 56,414 | ||||||
Deltic Timber Corp. | 605 | 56,029 | ||||||
Balchem Corp. | 644 | 54,283 | ||||||
American Vanguard Corp. | 2,409 | 54,203 | ||||||
Quaker Chemical Corp. | 348 | 54,051 | ||||||
Schweitzer-Mauduit International, Inc. | 1,278 | 53,970 | ||||||
Innospec, Inc. | 870 | 53,810 | ||||||
US Silica Holdings, Inc.1 | 1,757 | 53,606 | ||||||
Neenah Paper, Inc.1 | 614 | 53,295 | ||||||
Innophos Holdings, Inc. | 1,073 | 52,502 | ||||||
HB Fuller Co.1 | 894 | 50,842 | ||||||
Hawkins, Inc. | 1,317 | 50,178 | ||||||
Rayonier Advanced Materials, Inc.1 | 3,452 | 49,605 | ||||||
Kaiser Aluminum Corp. | 500 | 49,590 | ||||||
Stepan Co. | 605 | 48,315 | ||||||
Clearwater Paper Corp.* | 1,043 | 48,134 | ||||||
Aceto Corp. | 4,690 | 47,228 | ||||||
AK Steel Holding Corp.*,1 | 8,214 | 37,702 | ||||||
Century Aluminum Co.*,1 | 2,562 | 35,868 | ||||||
Total Basic Materials | 1,427,994 | |||||||
Utilities - 1.2% | ||||||||
California Water Service Group | 1,285 | 53,970 | ||||||
American States Water Co.1 | 961 | 51,654 | ||||||
El Paso Electric Co. | 866 | 49,794 | ||||||
Spire, Inc.1 | 630 | 49,739 | ||||||
Avista Corp. | 937 | 48,949 | ||||||
ALLETE, Inc. | 613 | 48,029 | ||||||
Northwest Natural Gas Co. | 717 | 47,573 | ||||||
South Jersey Industries, Inc. | 1,363 | 46,301 | ||||||
Total Utilities | 396,009 | |||||||
Total Common Stocks | ||||||||
(Cost $28,225,412) | 31,608,319 | |||||||
RIGHTS††† - 0.0% | ||||||||
Dyax Corp. | ||||||||
Expires 01/25/18*,4 | 339 | — | ||||||
Total Rights | ||||||||
(Cost $—) | — | |||||||
MONEY MARKET FUND† - 0.2% | ||||||||
Federated U.S. Treasury Cash Reserve Fund — Institutional Shares, 0.89%2 | 51,680 | 51,680 | ||||||
Total Money Market Fund | ||||||||
(Cost $51,680) | 51,680 |
SEE NOTES TO FINANCIAL STATEMENTS. | GUGGENHEIM ETFs ANNUAL REPORT | 55 |
SCHEDULE OF INVESTMENTS (concluded) | October 31, 2017 |
GUGGENHEIM S&P SMALLCAP 600® EQUAL WEIGHT ETF |
Face Amount | Value | |||||||
SECURITIES LENDING COLLATERAL††,3 - 11.6% | ||||||||
Repurchase Agreements | ||||||||
HSBC Securities (USA), Inc. issued 10/31/17 at 1.04% due 11/01/17 | $ | 854,009 | $ | 854,009 | ||||
Nomura Securities International, Inc. issued 10/31/17 at 1.06% due 11/01/17 | 854,009 | 854,009 | ||||||
Daiwa Capital Markets America issued 10/31/17 at 1.08% due 11/01/17 | 854,009 | 854,009 | ||||||
Cantor Fitzgerald Securities issued 10/31/17 at 1.08% due 11/01/17 | 854,009 | 854,009 | ||||||
Jefferies LLC issued 10/31/17 at 1.14% due 11/01/17 | 253,069 | 253,069 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $3,669,105) | 3,669,105 | |||||||
Total Investments - 111.6% | ||||||||
(Cost $31,946,197) | $ | 35,329,104 | ||||||
Other Assets & Liabilities, net - (11.6)% | (3,663,554 | ) | ||||||
Total Net Assets - 100.0% | $ | 31,665,550 |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
††† | Value determined based on Level 3 inputs — See Note 4. |
1 | All or portion of this security is on loan at October 31, 2017 — See Note 5. |
2 | Rate indicated is the 7 day yield as of October 31, 2017. |
3 | Securities lending collateral — See Note 5. |
4 | This security was fair valued by the Valuation Committee at October 31, 2017. |
plc — Public Limited Company | |
REIT— Real Estate Investment Trust | |
See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at October 31, 2017 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | Total | ||||||||||||
Common Stocks | $ | 31,608,319 | $ | — | $ | — | $ | 31,608,319 | ||||||||
Rights | — | — | — | * | — | * | ||||||||||
Money Market Fund | 51,680 | — | — | 51,680 | ||||||||||||
Securities Lending Collateral | — | 3,669,105 | — | 3,669,105 | ||||||||||||
Total Assets | $ | 31,659,999 | $ | 3,669,105 | $ | — | $ | 35,329,104 |
* | Security has a market value of $0. |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
For the year ended October 31, 2017, there were no transfers between levels.
56 | GUGGENHEIM ETFs ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS | October 31, 2017 |
GUGGENHEIM S&P 100® EQUAL WEIGHT ETF |
Shares | Value | |||||||
COMMON STOCKS† - 99.7% | ||||||||
Consumer, Non-cyclical - 22.5% | ||||||||
PayPal Holdings, Inc.* | 741 | $ | 53,767 | |||||
UnitedHealth Group, Inc. | 230 | 48,351 | ||||||
Danaher Corp. | 523 | 48,258 | ||||||
AbbVie, Inc. | 532 | 48,012 | ||||||
Johnson & Johnson | 344 | 47,957 | ||||||
Abbott Laboratories | 871 | 47,234 | ||||||
Pfizer, Inc. | 1,328 | 46,560 | ||||||
Altria Group, Inc. | 725 | 46,560 | ||||||
Mondelez International, Inc. — Class A | 1,112 | 46,070 | ||||||
Coca-Cola Co. | 978 | 44,969 | ||||||
Eli Lilly & Co. | 547 | 44,821 | ||||||
Bristol-Myers Squibb Co. | 724 | 44,642 | ||||||
Medtronic plc | 550 | 44,286 | ||||||
Colgate-Palmolive Co. | 628 | 44,243 | ||||||
Amgen, Inc. | 252 | 44,156 | ||||||
Biogen, Inc.* | 140 | 43,632 | ||||||
PepsiCo, Inc. | 392 | 43,210 | ||||||
Kraft Heinz Co. | 552 | 42,686 | ||||||
Procter & Gamble Co. | 489 | 42,220 | ||||||
Philip Morris International, Inc. | 385 | 40,286 | ||||||
Gilead Sciences, Inc. | 533 | 39,954 | ||||||
Merck & Company, Inc. | 702 | 38,673 | ||||||
Allergan plc | 192 | 34,028 | ||||||
Celgene Corp.* | 323 | 32,613 | ||||||
Total Consumer, Non-cyclical | 1,057,188 | |||||||
Financial - 19.1% | ||||||||
Bank of America Corp. | 1,975 | 54,094 | ||||||
Capital One Financial Corp. | 577 | 53,187 | ||||||
JPMorgan Chase & Co. | 511 | 51,412 | ||||||
American Express Co. | 538 | 51,390 | ||||||
MetLife, Inc. | 958 | 51,330 | ||||||
Morgan Stanley | 1,026 | 51,300 | ||||||
Wells Fargo & Co. | 911 | 51,144 | ||||||
BlackRock, Inc. — Class A | 107 | 50,379 | ||||||
Citigroup, Inc. | 685 | 50,348 | ||||||
Goldman Sachs Group, Inc. | 207 | 50,193 | ||||||
Mastercard, Inc. — Class A | 331 | 49,243 | ||||||
U.S. Bancorp | 904 | 49,160 | ||||||
American International Group, Inc. | 755 | 48,781 | ||||||
Berkshire Hathaway, Inc. — Class B* | 259 | 48,417 | ||||||
Visa, Inc. — Class A | 435 | 47,841 | ||||||
Allstate Corp. | 506 | 47,493 | ||||||
Bank of New York Mellon Corp. | 898 | 46,202 | ||||||
Simon Property Group, Inc. REIT | 285 | 44,269 | ||||||
Total Financial | 896,183 | |||||||
Industrial - 13.1% | ||||||||
Caterpillar, Inc. | 385 | 52,283 | ||||||
3M Co. | 218 | 50,181 | ||||||
Boeing Co. | 191 | 49,275 | ||||||
United Technologies Corp. | 411 | 49,221 | ||||||
FedEx Corp. | 216 | 48,775 | ||||||
Union Pacific Corp. | 420 | 48,632 | ||||||
Emerson Electric Co. | 747 | 48,152 | ||||||
Honeywell International, Inc. | 330 | 47,573 | ||||||
Lockheed Martin Corp. | 151 | 46,532 | ||||||
United Parcel Service, Inc. — Class B | 395 | 46,424 | ||||||
General Dynamics Corp. | 227 | 46,076 | ||||||
Raytheon Co. | 250 | 45,050 | ||||||
General Electric Co. | 1,911 | 38,526 | ||||||
Total Industrial | 616,700 | |||||||
Consumer, Cyclical - 11.8% | ||||||||
General Motors Co. | 1,224 | 52,608 | ||||||
Wal-Mart Stores, Inc. | 572 | 49,942 | ||||||
Ford Motor Co. | 3,983 | 48,871 | ||||||
McDonald’s Corp. | 285 | 47,569 | ||||||
Nike, Inc. — Class B | 865 | 47,566 | ||||||
Home Depot, Inc. | 285 | 47,247 | ||||||
Target Corp. | 792 | 46,760 | ||||||
Starbucks Corp. | 844 | 46,285 | ||||||
Costco Wholesale Corp. | 286 | 46,069 | ||||||
Lowe’s Companies, Inc. | 574 | 45,891 | ||||||
CVS Health Corp. | 566 | 38,788 | ||||||
Walgreens Boots Alliance, Inc. | 554 | 36,714 | ||||||
Total Consumer, Cyclical | 554,310 | |||||||
Communications - 11.6% | ||||||||
Amazon.com, Inc.* | 46 | 50,843 | ||||||
Cisco Systems, Inc. | 1,435 | 49,005 | ||||||
Facebook, Inc. — Class A* | 266 | 47,896 | ||||||
Verizon Communications, Inc. | 980 | 46,913 | ||||||
Priceline Group, Inc.* | 24 | 45,887 | ||||||
Walt Disney Co. | 464 | 45,383 | ||||||
Time Warner, Inc. | 450 | 44,230 | ||||||
AT&T, Inc. | 1,269 | 42,702 | ||||||
Comcast Corp. — Class A | 1,182 | 42,587 | ||||||
Charter Communications, Inc. — Class A* | 115 | 38,430 | ||||||
Twenty-First Century Fox, Inc. — Class A | 1,204 | 31,485 | ||||||
Alphabet, Inc. — Class A* | 23 | 23,760 | ||||||
Alphabet, Inc. — Class C* | 23 | 23,383 | ||||||
Twenty-First Century Fox, Inc. — Class B | 556 | 14,150 | ||||||
Total Communications | 546,654 | |||||||
Technology - 8.5% | ||||||||
Intel Corp. | 1,284 | 58,409 | ||||||
Texas Instruments, Inc. | 554 | 53,566 | ||||||
Microsoft Corp. | 613 | 50,990 | ||||||
International Business Machines Corp. | 316 | 48,684 | ||||||
Apple, Inc. | 287 | 48,514 | ||||||
Accenture plc — Class A | 340 | 48,402 | ||||||
QUALCOMM, Inc. | 913 | 46,572 | ||||||
Oracle Corp. | 878 | 44,690 | ||||||
Total Technology | 399,827 | |||||||
Energy - 7.0% | ||||||||
ConocoPhillips | 1,016 | 51,968 | ||||||
Occidental Petroleum Corp. | 749 | 48,363 | ||||||
Halliburton Co. | 1,121 | 47,912 |
SEE NOTES TO FINANCIAL STATEMENTS. | GUGGENHEIM ETFs ANNUAL REPORT | 57 |
SCHEDULE OF INVESTMENTS (concluded) | October 31, 2017 |
GUGGENHEIM S&P 100® EQUAL WEIGHT ETF |
Shares | Value | |||||||
Exxon Mobil Corp. | 572 | $ | 47,676 | |||||
Chevron Corp. | 410 | 47,515 | ||||||
Schlumberger Ltd. | 696 | 44,544 | ||||||
Kinder Morgan, Inc. | 2,362 | 42,776 | ||||||
Total Energy | 330,754 | |||||||
Utilities - 4.0% | ||||||||
Exelon Corp. | 1,187 | 47,730 | ||||||
NextEra Energy, Inc. | 307 | 47,606 | ||||||
Southern Co. | 900 | 46,980 | ||||||
Duke Energy Corp. | 517 | 45,656 | ||||||
Total Utilities | 187,972 | |||||||
Basic Materials - 2.1% | ||||||||
DowDuPont, Inc. | 696 | 50,328 | ||||||
Monsanto Co. | 384 | 46,502 | ||||||
Total Basic Materials | 96,830 | |||||||
Total Common Stocks | ||||||||
(Cost $4,623,382) | 4,686,418 | |||||||
Total Investments - 99.7% | ||||||||
(Cost $4,623,382) | $ | 4,686,418 | ||||||
Other Assets & Liabilities, net - 0.3% | 14,807 | |||||||
Total Net Assets - 100.0% | $ | 4,701,225 |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
plc — Public Limited Company | |
REIT— Real Estate Investment Trust | |
See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at October 31, 2017 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | Total | ||||||||||||
Common Stocks | $ | 4,686,418 | $ | — | $ | — | $ | 4,686,418 |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
For the year ended October 31, 2017, there were no transfers between levels.
58 | GUGGENHEIM ETFs ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS | October 31, 2017 |
GUGGENHEIM S&P 500® EQUAL WEIGHT CONSUMER DISCRETIONARY ETF |
Shares | Value | |||||||
COMMON STOCKS† - 99.9% | ||||||||
Retail - 37.4% | ||||||||
L Brands, Inc.1 | 24,376 | $ | 1,049,143 | |||||
Dollar Tree, Inc.* | 10,918 | 996,267 | ||||||
CarMax, Inc.* | 13,207 | 991,846 | ||||||
AutoZone, Inc.* | 1,673 | 986,233 | ||||||
Ross Stores, Inc. | 15,453 | 981,111 | ||||||
Dollar General Corp. | 11,968 | 967,493 | ||||||
O’Reilly Automotive, Inc.* | 4,542 | 958,135 | ||||||
Darden Restaurants, Inc. | 11,513 | 947,174 | ||||||
McDonald’s Corp. | 5,662 | 945,044 | ||||||
Home Depot, Inc. | 5,664 | 938,978 | ||||||
Genuine Parts Co. | 10,595 | 934,797 | ||||||
Target Corp. | 15,791 | 932,301 | ||||||
Starbucks Corp. | 16,907 | 927,180 | ||||||
Lowe’s Companies, Inc. | 11,511 | 920,304 | ||||||
Tapestry, Inc. | 22,368 | 915,970 | ||||||
Gap, Inc. | 35,188 | 914,536 | ||||||
Best Buy Company, Inc. | 16,294 | 912,138 | ||||||
Tiffany & Co. | 9,707 | 908,769 | ||||||
Signet Jewelers Ltd.1 | 13,809 | 905,456 | ||||||
Tractor Supply Co. | 14,994 | 903,538 | ||||||
Kohl’s Corp.1 | 21,532 | 899,176 | ||||||
PVH Corp. | 7,078 | 897,561 | ||||||
Yum! Brands, Inc. | 11,824 | 880,297 | ||||||
TJX Companies, Inc. | 12,493 | 872,011 | ||||||
Chipotle Mexican Grill, Inc. — Class A*,1 | 3,014 | 819,507 | ||||||
Ulta Beauty, Inc.* | 3,984 | 803,931 | ||||||
Macy’s, Inc. | 42,417 | 795,743 | ||||||
Advance Auto Parts, Inc. | 9,617 | 786,094 | ||||||
Nordstrom, Inc.1 | 19,617 | 777,814 | ||||||
Foot Locker, Inc. | 25,310 | 761,325 | ||||||
Total Retail | 27,229,872 | |||||||
Media - 12.9% | ||||||||
Walt Disney Co. | 9,316 | 911,198 | ||||||
Time Warner, Inc. | 9,025 | 887,067 | ||||||
Scripps Networks Interactive, Inc. — Class A | 10,581 | 881,186 | ||||||
CBS Corp. — Class B | 15,219 | 854,090 | ||||||
Comcast Corp. — Class A | 23,668 | 852,758 | ||||||
DISH Network Corp. — Class A* | 16,563 | 803,968 | ||||||
Viacom, Inc. — Class B | 33,162 | 796,883 | ||||||
Charter Communications, Inc. — Class A* | 2,302 | 769,259 | ||||||
News Corp. — Class A | 52,154 | 712,424 | ||||||
Twenty-First Century Fox, Inc. — Class A | 24,091 | 629,980 | ||||||
Discovery Communications, Inc. — Class C* | 25,432 | 452,944 | ||||||
Discovery Communications, Inc. — Class A*,1 | 18,549 | 350,205 | ||||||
Twenty-First Century Fox, Inc. — Class B | 11,151 | 283,793 | ||||||
News Corp. — Class B | 16,346 | 227,209 | ||||||
Total Media | 9,412,964 | |||||||
Apparel - 7.3% | ||||||||
Michael Kors Holdings Ltd.* | 21,455 | 1,047,218 | ||||||
VF Corp. | 14,474 | 1,008,114 | ||||||
Nike, Inc. — Class B | 17,324 | 952,647 | ||||||
Ralph Lauren Corp. — Class A | 9,960 | 890,723 | ||||||
Hanesbrands, Inc.1 | 35,986 | 809,685 | ||||||
Under Armour, Inc. — Class A*,1 | 26,986 | 337,865 | ||||||
Under Armour, Inc. — Class C*,1 | 26,938 | 310,595 | ||||||
Total Apparel | 5,356,847 | |||||||
Lodging - 6.6% | ||||||||
Marriott International, Inc. — Class A | 8,743 | 1,044,614 | ||||||
Hilton Worldwide Holdings, Inc. | 13,883 | 1,003,463 | ||||||
Wyndham Worldwide Corp. | 9,184 | 981,310 | ||||||
Wynn Resorts Ltd. | 6,261 | 923,435 | ||||||
MGM Resorts International | 27,198 | 852,657 | ||||||
Total Lodging | 4,805,479 | |||||||
Internet - 6.2% | ||||||||
Amazon.com, Inc.* | 936 | 1,034,542 | ||||||
Netflix, Inc.* | 5,126 | 1,006,900 | ||||||
Priceline Group, Inc.* | 492 | 940,684 | ||||||
Expedia, Inc. | 6,395 | 797,201 | ||||||
TripAdvisor, Inc.*,1 | 20,070 | 752,625 | ||||||
Total Internet | 4,531,952 | |||||||
Leisure Time - 5.0% | ||||||||
Royal Caribbean Cruises Ltd. | 7,700 | 953,029 | ||||||
Carnival Corp. | 13,792 | 915,651 | ||||||
Harley-Davidson, Inc.1 | 19,087 | 903,579 | ||||||
Norwegian Cruise Line Holdings Ltd.* | 16,200 | 903,150 | ||||||
Total Leisure Time | 3,675,409 | |||||||
Home Builders - 4.3% | ||||||||
DR Horton, Inc. | 24,947 | 1,102,908 | ||||||
PulteGroup, Inc. | 35,106 | 1,061,254 | ||||||
Lennar Corp. — Class A | 17,893 | 996,103 | ||||||
Total Home Builders | 3,160,265 | |||||||
Auto Parts & Equipment - 3.9% | ||||||||
BorgWarner, Inc. | 19,574 | 1,031,942 | ||||||
Delphi Automotive plc | 9,356 | 929,799 | ||||||
Goodyear Tire & Rubber Co. | 29,836 | 912,683 | ||||||
Total Auto Parts & Equipment | 2,874,424 | |||||||
Auto Manufacturers - 2.8% | ||||||||
General Motors Co. | 24,442 | 1,050,517 | ||||||
Ford Motor Co. | 79,607 | 976,778 | ||||||
Total Auto Manufacturers | 2,027,295 | |||||||
Home Furnishings - 2.5% | ||||||||
Leggett & Platt, Inc. | 19,963 | 943,451 | ||||||
Whirlpool Corp. | 5,249 | 860,469 | ||||||
Total Home Furnishings | 1,803,920 | |||||||
Toys, Games & Hobbies - 2.4% | ||||||||
Hasbro, Inc. | 9,611 | 889,883 | ||||||
Mattel, Inc.1 | 59,185 | 835,692 | ||||||
Total Toys, Games & Hobbies | 1,725,575 |
SEE NOTES TO FINANCIAL STATEMENTS. | GUGGENHEIM ETFs ANNUAL REPORT | 59 |
SCHEDULE OF INVESTMENTS (concluded) | October 31, 2017 |
GUGGENHEIM S&P 500® EQUAL WEIGHT CONSUMER DISCRETIONARY ETF |
Shares | Value | |||||||
Advertising - 2.3% | ||||||||
Interpublic Group of Companies, Inc.1 | 44,374 | $ | 854,200 | |||||
Omnicom Group, Inc. | 12,417 | 834,298 | ||||||
Total Advertising | 1,688,498 | |||||||
Electronics - 1.3% | ||||||||
Garmin Ltd.1 | 17,305 | 979,636 | ||||||
Distribution & Wholesale - 1.3% | ||||||||
LKQ Corp.* | 25,979 | 979,149 | ||||||
Textiles - 1.3% | ||||||||
Mohawk Industries, Inc.* | 3,506 | 917,731 | ||||||
Commercial Services - 1.2% | ||||||||
H&R Block, Inc. | 34,676 | 857,884 | ||||||
Housewares - 1.2% | ||||||||
Newell Brands, Inc. | 20,534 | 837,377 | ||||||
Total Common Stocks | ||||||||
(Cost $78,323,072) | 72,864,277 | |||||||
MONEY MARKET FUND† - 0.1% | ||||||||
Federated U.S. Treasury Cash Reserve Fund — Institutional Shares, 0.89%2 | 79,651 | 79,651 | ||||||
Total Money Market Fund | ||||||||
(Cost $79,651) | 79,651 |
Face Amount | ||||||||
SECURITIES LENDING COLLATERAL††,3 - 8.5% | ||||||||
Repurchase Agreements | ||||||||
Nomura Securities International, Inc. issued 10/31/17 at 1.06% due 11/01/17 | $ | 1,449,494 | 1,449,494 | |||||
Jefferies LLC issued 10/31/17 at 1.18% due 11/01/17 | 1,449,494 | 1,449,494 | ||||||
HSBC Securities (USA), Inc. issued 10/31/17 at 1.04% due 11/01/17 | 1,449,494 | 1,449,494 | ||||||
Citigroup Global Markets, Inc. issued 10/31/17 at 1.07% due 11/01/17 | 1,449,494 | 1,449,494 | ||||||
Merrill Lynch, Pierce, Fenner & Smith, Inc. issued 10/31/17 at 1.05% due 11/01/17 | 429,504 | 429,504 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $6,227,480) | 6,227,480 | |||||||
Total Investments - 108.5% | ||||||||
(Cost $84,630,203) | $ | 79,171,408 | ||||||
Other Assets & Liabilities, net - (8.5)% | (6,206,184 | ) | ||||||
Total Net Assets - 100.0% | $ | 72,965,224 |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | All or portion of this security is on loan at October 31, 2017 — See Note 5. |
2 | Rate indicated is the 7 day yield as of October 31, 2017. |
3 | Securities lending collateral — See Note 5. |
plc — Public Limited Company | |
See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at October 31, 2017 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | Total | ||||||||||||
Common Stocks | $ | 72,864,277 | $ | — | $ | — | $ | 72,864,277 | ||||||||
Money Market Fund | 79,651 | — | — | 79,651 | ||||||||||||
Securities Lending Collateral | — | 6,227,480 | — | 6,227,480 | ||||||||||||
Total Assets | $ | 72,943,928 | $ | 6,227,480 | $ | — | $ | 79,171,408 |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
For the year ended October 31, 2017, there were no transfers between levels.
60 | GUGGENHEIM ETFs ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS | October 31, 2017 |
GUGGENHEIM S&P 500® EQUAL WEIGHT CONSUMER STAPLES ETF |
Shares | Value | |||||||
COMMON STOCKS† - 99.7% | ||||||||
Food - 38.7% | ||||||||
Tyson Foods, Inc. — Class A | 203,456 | $ | 14,833,977 | |||||
Sysco Corp. | 251,399 | 13,982,812 | ||||||
McCormick & Company, Inc.1 | 136,309 | 13,566,835 | ||||||
Mondelez International, Inc. — Class A | 327,446 | 13,566,088 | ||||||
Conagra Brands, Inc. | 385,634 | 13,173,257 | ||||||
JM Smucker Co. | 124,175 | 13,168,759 | ||||||
Campbell Soup Co.1 | 277,636 | 13,151,617 | ||||||
Hormel Foods Corp.1 | 421,021 | 13,119,014 | ||||||
Kroger Co. | 631,732 | 13,076,852 | ||||||
Hershey Co. | 123,011 | 13,061,308 | ||||||
Kraft Heinz Co. | 162,799 | 12,589,247 | ||||||
General Mills, Inc. | 240,363 | 12,479,647 | ||||||
Kellogg Co.1 | 194,364 | 12,153,581 | ||||||
Total Food | 171,922,994 | |||||||
Beverages - 20.9% | ||||||||
Constellation Brands, Inc. — Class A | 65,729 | 14,400,566 | ||||||
Brown-Forman Corp. — Class B1 | 244,879 | 13,963,001 | ||||||
Monster Beverage Corp.* | 236,226 | 13,684,572 | ||||||
Coca-Cola Co. | 287,348 | 13,212,261 | ||||||
PepsiCo, Inc. | 115,647 | 12,747,769 | ||||||
Dr Pepper Snapple Group, Inc. | 145,369 | 12,452,309 | ||||||
Molson Coors Brewing Co. — Class B | 150,753 | 12,191,395 | ||||||
Total Beverages | 92,651,873 | |||||||
Cosmetics & Personal Care - 11.6% | ||||||||
Estee Lauder Companies, Inc. — Class A | 122,269 | 13,670,897 | ||||||
Colgate-Palmolive Co. | 185,245 | 13,050,510 | ||||||
Coty, Inc. — Class A | 807,788 | 12,439,935 | ||||||
Procter & Gamble Co. | 143,302 | 12,372,695 | ||||||
Total Cosmetics & Personal Care | 51,534,037 | |||||||
Retail - 11.4% | ||||||||
Wal-Mart Stores, Inc. | 168,661 | 14,725,791 | ||||||
Costco Wholesale Corp. | 84,571 | 13,622,697 | ||||||
CVS Health Corp. | 166,883 | 11,436,492 | ||||||
Walgreens Boots Alliance, Inc. | 163,465 | 10,832,826 | ||||||
Total Retail | 50,617,806 | |||||||
Agriculture - 8.7% | ||||||||
Altria Group, Inc. | 213,788 | 13,729,465 | ||||||
Archer-Daniels-Midland Co. | 314,002 | 12,833,262 | ||||||
Philip Morris International, Inc. | 113,654 | 11,892,755 | ||||||
Total Agriculture | 38,455,482 | |||||||
Household Products & Housewares - 8.4% | ||||||||
Kimberly-Clark Corp. | 112,623 | 12,671,213 | ||||||
Clorox Co. | 99,252 | 12,558,356 | ||||||
Church & Dwight Company, Inc. | 270,850 | 12,234,295 | ||||||
Total Household Products & Housewares | 37,463,864 | |||||||
Total Common Stocks | ||||||||
(Cost $462,998,846) | 442,646,056 | |||||||
MONEY MARKET FUND† - 0.2% | ||||||||
Federated U.S. Treasury Cash Reserve Fund — Institutional Shares, 0.89%2 | 1,003,248 | 1,003,248 | ||||||
Total Money Market Fund | ||||||||
(Cost $1,003,248) | 1,003,248 | |||||||
Face Amount | ||||||||
SECURITIES LENDING COLLATERAL††,3 - 4.9% | ||||||||
Repurchase Agreements | ||||||||
Nomura Securities International, Inc. issued 10/31/17 at 1.06% due 11/01/17 | $ | 5,104,242 | 5,104,242 | |||||
Jefferies LLC issued 10/31/17 at 1.18% due 11/01/17 | 5,104,242 | 5,104,242 | ||||||
HSBC Securities (USA), Inc. issued 10/31/17 at 1.04% due 11/01/17 | 5,104,242 | 5,104,242 | ||||||
Citigroup Global Markets, Inc. issued 10/31/17 at 1.07% due 11/01/17 | 5,104,242 | 5,104,242 | ||||||
Merrill Lynch, Pierce, Fenner & Smith, Inc. issued 10/31/17 at 1.05% due 11/01/17 | 1,512,518 | 1,512,518 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $21,929,486) | 21,929,486 | |||||||
Total Investments - 104.8% | ||||||||
(Cost $485,931,580) | $ | 465,578,790 | ||||||
Other Assets & Liabilities, net - (4.8)% | (21,486,916 | ) | ||||||
Total Net Assets - 100.0% | $ | 444,091,874 |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | All or portion of this security is on loan at October 31, 2017 — See Note 5. |
2 | Rate indicated is the 7 day yield as of October 31, 2017. |
3 | Securities lending collateral — See Note 5. |
See Sector Classification in Other Information section. |
SEE NOTES TO FINANCIAL STATEMENTS. | GUGGENHEIM ETFs ANNUAL REPORT | 61 |
SCHEDULE OF INVESTMENTS (concluded) | October 31, 2017 |
GUGGENHEIM S&P 500® EQUAL WEIGHT CONSUMER STAPLES ETF |
The following table summarizes the inputs used to value the Fund’s investments at October 31, 2017 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | Total | ||||||||||||
Common Stocks | $ | 442,646,056 | $ | — | $ | — | $ | 442,646,056 | ||||||||
Money Market Fund | 1,003,248 | — | — | 1,003,248 | ||||||||||||
Securities Lending Collateral | — | 21,929,486 | — | 21,929,486 | ||||||||||||
Total Assets | $ | 443,649,304 | $ | 21,929,486 | $ | — | $ | 465,578,790 |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
For the year ended October 31, 2017, there were no transfers between levels.
62 | GUGGENHEIM ETFs ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS | October 31, 2017 |
GUGGENHEIM S&P 500® EQUAL WEIGHT ENERGY ETF |
Shares | Value | |||||||
COMMON STOCKS† - 99.8% | ||||||||
Oil & Gas - 77.0% | ||||||||
Marathon Oil Corp. | 581,927 | $ | 8,275,002 | |||||
Newfield Exploration Co.* | 265,392 | 8,171,419 | ||||||
Anadarko Petroleum Corp. | 160,842 | 7,940,769 | ||||||
Concho Resources, Inc.* | 58,728 | 7,881,885 | ||||||
Helmerich & Payne, Inc.1 | 144,725 | 7,860,015 | ||||||
Cimarex Energy Co. | 66,157 | 7,735,738 | ||||||
Devon Energy Corp. | 209,137 | 7,717,155 | ||||||
Pioneer Natural Resources Co. | 51,228 | 7,667,295 | ||||||
EOG Resources, Inc. | 75,839 | 7,574,041 | ||||||
ConocoPhillips | 148,005 | 7,570,456 | ||||||
Valero Energy Corp. | 94,656 | 7,467,412 | ||||||
Noble Energy, Inc. | 267,334 | 7,450,599 | ||||||
Marathon Petroleum Corp. | 123,202 | 7,360,087 | ||||||
Hess Corp.1 | 163,442 | 7,217,599 | ||||||
Range Resources Corp. | 396,964 | 7,189,018 | ||||||
Phillips 66 | 77,702 | 7,077,098 | ||||||
Occidental Petroleum Corp. | 109,254 | 7,054,531 | ||||||
Chesapeake Energy Corp.*,1 | 1,808,116 | 7,051,652 | ||||||
Cabot Oil & Gas Corp. — Class A | 253,426 | 7,019,900 | ||||||
Exxon Mobil Corp. | 83,500 | 6,959,725 | ||||||
Apache Corp.1 | 167,472 | 6,928,317 | ||||||
Chevron Corp. | 59,412 | 6,885,257 | ||||||
Andeavor | 64,792 | 6,883,502 | ||||||
Equities Corp. | 108,482 | 6,784,464 | ||||||
Total Oil & Gas | 177,722,936 | |||||||
Oil & Gas Services - 14.6% | ||||||||
National Oilwell Varco, Inc.1 | 207,305 | 7,087,758 | ||||||
TechnipFMC plc | 258,101 | 7,069,386 | ||||||
Halliburton Co. | 163,362 | 6,982,092 | ||||||
Schlumberger Ltd. | 101,479 | 6,494,656 | ||||||
Baker Hughes a GE Co. | 191,313 | 6,012,968 | ||||||
Total Oil & Gas Services | 33,646,860 | |||||||
Pipelines - 8.2% | ||||||||
ONEOK, Inc. | 117,069 | 6,353,335 | ||||||
Williams Companies, Inc. | 221,684 | 6,317,994 | ||||||
Kinder Morgan, Inc. | 343,882 | 6,227,703 | ||||||
Total Pipelines | 18,899,032 | |||||||
Total Common Stocks | ||||||||
(Cost $255,671,112) | 230,268,828 | |||||||
MONEY MARKET FUND† - 0.2% | ||||||||
Federated U.S. Treasury Cash Reserve Fund — Institutional Shares, 0.89%2 | 413,422 | 413,422 | ||||||
Total Money Market Fund | ||||||||
(Cost $413,422) | 413,422 | |||||||
Face Amount | ||||||||
SECURITIES LENDING COLLATERAL††,3 - 5.8% | ||||||||
Repurchase Agreements | ||||||||
Nomura Securities International, Inc. issued 10/31/17 at 1.06% due 11/01/17 | $ | 3,118,030 | 3,118,030 | |||||
Jefferies LLC issued 10/31/17 at 1.18% due 11/01/17 | 3,118,030 | 3,118,030 | ||||||
HSBC Securities (USA), Inc. issued 10/31/17 at 1.04% due 11/01/17 | 3,118,030 | 3,118,030 | ||||||
Citigroup Global Markets, Inc. issued 10/31/17 at 1.07% due 11/01/17 | 3,118,030 | 3,118,030 | ||||||
Merrill Lynch, Pierce, Fenner & Smith, Inc. issued 10/31/17 at 1.05% due 11/01/17 | 923,975 | 923,975 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $13,396,095) | 13,396,095 | |||||||
Total Investments - 105.8% | ||||||||
(Cost $269,480,629) | $ | 244,078,345 | ||||||
Other Assets & Liabilities, net - (5.8)% | (13,331,194 | ) | ||||||
Total Net Assets - 100.0% | $ | 230,747,151 |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | All or portion of this security is on loan at October 31, 2017 — See Note 5. |
2 | Rate indicated is the 7 day yield as of October 31, 2017. |
3 | Securities lending collateral — See Note 5. |
plc — Public Limited Company | |
See Sector Classification in Other Information section. |
SEE NOTES TO FINANCIAL STATEMENTS. | GUGGENHEIM ETFs ANNUAL REPORT | 63 |
SCHEDULE OF INVESTMENTS (concluded) | October 31, 2017 |
GUGGENHEIM S&P 500® EQUAL WEIGHT ENERGY ETF |
The following table summarizes the inputs used to value the Fund’s investments at October 31, 2017 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | Total | ||||||||||||
Common Stocks | $ | 230,268,828 | $ | — | $ | — | $ | 230,268,828 | ||||||||
Money Market Fund | 413,422 | — | — | 413,422 | ||||||||||||
Securities Lending Collateral | — | 13,396,095 | — | 13,396,095 | ||||||||||||
Total Assets | $ | 230,682,250 | $ | 13,396,095 | $ | — | $ | 244,078,345 |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
For the year ended October 31, 2017, there were no transfers between levels.
64 | GUGGENHEIM ETFs ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS | October 31, 2017 |
GUGGENHEIM S&P 500® EQUAL WEIGHT FINANCIALS ETF |
Shares | Value | |||||||
COMMON STOCKS† - 99.8% | ||||||||
Insurance - 35.0% | ||||||||
Lincoln National Corp. | 74,086 | $ | 5,614,237 | |||||
Brighthouse Financial, Inc.* | 89,430 | 5,560,757 | ||||||
MetLife, Inc. | 103,410 | 5,540,708 | ||||||
Prudential Financial, Inc. | 49,282 | 5,443,690 | ||||||
Assurant, Inc. | 53,704 | 5,405,308 | ||||||
Torchmark Corp. | 64,083 | 5,391,303 | ||||||
Travelers Companies, Inc. | 40,702 | 5,390,980 | ||||||
Unum Group | 103,472 | 5,384,683 | ||||||
Principal Financial Group, Inc. | 80,345 | 5,290,718 | ||||||
American International Group, Inc. | 81,541 | 5,268,364 | ||||||
Loews Corp. | 106,039 | 5,249,991 | ||||||
Progressive Corp. | 107,352 | 5,222,675 | ||||||
Chubb Ltd. | 34,613 | 5,220,333 | ||||||
Everest Re Group Ltd. | 21,915 | 5,203,717 | ||||||
Berkshire Hathaway, Inc. — Class B* | 27,778 | 5,192,819 | ||||||
Arthur J Gallagher & Co. | 81,665 | 5,171,844 | ||||||
Willis Towers Watson plc | 32,103 | 5,171,151 | ||||||
XL Group Ltd. | 126,254 | 5,109,499 | ||||||
Allstate Corp. | 54,398 | 5,105,796 | ||||||
Hartford Financial Services Group, Inc. | 91,680 | 5,046,984 | ||||||
Aflac, Inc. | 60,048 | 5,037,427 | ||||||
Aon plc | 34,174 | 4,901,577 | ||||||
Marsh & McLennan Companies, Inc. | 59,490 | 4,814,526 | ||||||
Cincinnati Financial Corp. | 64,336 | 4,514,457 | ||||||
Total Insurance | 125,253,544 | |||||||
Banks - 33.7% | ||||||||
Comerica, Inc. | 75,320 | 5,917,891 | ||||||
Bank of America Corp. | 212,949 | 5,832,673 | ||||||
Capital One Financial Corp. | 62,326 | 5,745,211 | ||||||
Regions Financial Corp. | 367,579 | 5,690,123 | ||||||
Citizens Financial Group, Inc. | 148,569 | 5,647,107 | ||||||
M&T Bank Corp. | 33,835 | 5,642,663 | ||||||
Fifth Third Bancorp | 194,202 | 5,612,438 | ||||||
SunTrust Banks, Inc. | 93,079 | 5,604,287 | ||||||
JPMorgan Chase & Co. | 55,128 | 5,546,428 | ||||||
Morgan Stanley | 110,768 | 5,538,400 | ||||||
Wells Fargo & Co. | 98,317 | 5,519,516 | ||||||
PNC Financial Services Group, Inc. | 40,121 | 5,488,152 | ||||||
Huntington Bancshares, Inc. | 395,627 | 5,459,653 | ||||||
BB&T Corp. | 110,862 | 5,458,845 | ||||||
Goldman Sachs Group, Inc. | 22,445 | 5,442,464 | ||||||
Zions Bancorporation | 117,064 | 5,438,793 | ||||||
Citigroup, Inc. | 73,668 | 5,414,598 | ||||||
KeyCorp | 293,272 | 5,352,214 | ||||||
U.S. Bancorp | 97,531 | 5,303,736 | ||||||
Northern Trust Corp. | 55,105 | 5,153,420 | ||||||
Bank of New York Mellon Corp. | 96,660 | 4,973,157 | ||||||
State Street Corp. | 52,698 | 4,848,216 | ||||||
Total Banks | 120,629,985 | |||||||
Diversified Financial Services - 25.2% | ||||||||
Ameriprise Financial, Inc. | 36,716 | 5,747,522 | ||||||
Charles Schwab Corp. | 126,027 | 5,651,051 | ||||||
Discover Financial Services | 84,544 | 5,624,712 | ||||||
Synchrony Financial | 170,733 | 5,569,310 | ||||||
American Express Co. | 57,856 | 5,526,405 | ||||||
BlackRock, Inc. — Class A | 11,717 | 5,516,715 | ||||||
T. Rowe Price Group, Inc. | 59,353 | 5,513,894 | ||||||
Invesco Ltd. | 153,818 | 5,505,146 | ||||||
Raymond James Financial, Inc. | 64,718 | 5,486,792 | ||||||
E*TRADE Financial Corp.* | 122,909 | 5,357,603 | ||||||
Cboe Global Markets, Inc. | 46,538 | 5,261,586 | ||||||
Affiliated Managers Group, Inc. | 28,129 | 5,246,059 | ||||||
CME Group, Inc. — Class A | 38,075 | 5,222,748 | ||||||
Franklin Resources, Inc. | 118,776 | 5,004,033 | ||||||
Intercontinental Exchange, Inc. | 74,607 | 4,931,523 | ||||||
Nasdaq, Inc. | 65,562 | 4,763,079 | ||||||
Navient Corp. | 360,778 | 4,495,294 | ||||||
Total Diversified Financial Services | 90,423,472 | |||||||
Commercial Services - 2.8% | ||||||||
Moody’s Corp. | 36,017 | 5,129,181 | ||||||
S&P Global, Inc. | 32,085 | 5,020,340 | ||||||
Total Commercial Services | 10,149,521 | |||||||
Savings & Loans - 1.6% | ||||||||
People’s United Financial, Inc. | 299,947 | 5,597,011 | ||||||
Holding Companies-Diversified - 1.5% | ||||||||
Leucadia National Corp. | 217,999 | 5,515,375 | ||||||
Total Common Stocks | ||||||||
(Cost $325,710,785) | 357,568,908 | |||||||
MONEY MARKET FUND† - 0.2% | ||||||||
Federated U.S. Treasury Cash Reserve Fund — Institutional Shares, 0.89%1 | 778,557 | 778,557 | ||||||
Total Money Market Fund | ||||||||
(Cost $778,557) | 778,557 | |||||||
Total Investments - 100.0% | ||||||||
(Cost $326,489,342) | $ | 358,347,465 | ||||||
Other Assets & Liabilities, net - 0.0% | 148,283 | |||||||
Total Net Assets - 100.0% | $ | 358,495,748 |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
1 | Rate indicated is the 7 day yield as of October 31, 2017. |
plc — Public Limited Company | |
See Sector Classification in Other Information section. |
SEE NOTES TO FINANCIAL STATEMENTS. | GUGGENHEIM ETFs ANNUAL REPORT | 65 |
SCHEDULE OF INVESTMENTS (concluded) | October 31, 2017 |
GUGGENHEIM S&P 500® EQUAL WEIGHT FINANCIALS ETF |
The following table summarizes the inputs used to value the Fund’s investments at October 31, 2017 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | Total | ||||||||||||
Common Stocks | $ | 357,568,908 | $ | — | $ | — | $ | 357,568,908 | ||||||||
Money Market Fund | 778,557 | — | — | 778,557 | ||||||||||||
Total Assets | $ | 358,347,465 | $ | — | $ | — | $ | 358,347,465 |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
For the year ended October 31, 2017, there were no transfers between levels.
66 | GUGGENHEIM ETFs ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS | October 31, 2017 |
GUGGENHEIM S&P 500® EQUAL WEIGHT HEALTH CARE ETF |
Shares | Value | |||||||
COMMON STOCKS† - 99.9% | ||||||||
Healthcare-Products - 35.0% | ||||||||
Align Technology, Inc.* | 58,436 | $ | 13,965,035 | |||||
Stryker Corp. | 74,410 | 11,523,877 | ||||||
Intuitive Surgical, Inc.* | 30,506 | 11,450,733 | ||||||
Danaher Corp. | 122,217 | 11,276,963 | ||||||
IDEXX Laboratories, Inc.* | 67,327 | 11,187,728 | ||||||
ResMed, Inc. | 132,809 | 11,179,862 | ||||||
Zimmer Biomet Holdings, Inc. | 91,647 | 11,146,108 | ||||||
Dentsply Sirona, Inc.1 | 181,442 | 11,080,663 | ||||||
Abbott Laboratories | 203,832 | 11,053,809 | ||||||
Becton Dickinson and Co. | 52,053 | 10,861,900 | ||||||
Baxter International, Inc. | 167,563 | 10,802,787 | ||||||
Thermo Fisher Scientific, Inc. | 55,329 | 10,724,420 | ||||||
CR Bard, Inc. | 32,733 | 10,705,982 | ||||||
Medtronic plc | 129,262 | 10,408,176 | ||||||
Varian Medical Systems, Inc.*,1 | 99,637 | 10,381,179 | ||||||
Boston Scientific Corp.* | 368,303 | 10,364,046 | ||||||
Hologic, Inc.* | 273,285 | 10,343,837 | ||||||
Cooper Companies, Inc. | 42,159 | 10,129,121 | ||||||
Patterson Companies, Inc.1 | 269,330 | 9,965,210 | ||||||
Edwards Lifesciences Corp.* | 93,677 | 9,576,600 | ||||||
Henry Schein, Inc.* | 120,944 | 9,506,198 | ||||||
Total Healthcare-Products | 227,634,234 | |||||||
Pharmaceuticals - 22.0% | ||||||||
Mylan N.V.* | 330,327 | 11,795,977 | ||||||
Johnson & Johnson | 80,953 | 11,285,658 | ||||||
AbbVie, Inc. | 124,247 | 11,213,292 | ||||||
Pfizer, Inc. | 310,954 | 10,902,047 | ||||||
Eli Lilly & Co. | 127,873 | 10,477,914 | ||||||
Zoetis, Inc. | 163,883 | 10,459,013 | ||||||
Bristol-Myers Squibb Co. | 169,328 | 10,440,764 | ||||||
Perrigo Company plc1 | 128,075 | 10,372,794 | ||||||
Express Scripts Holding Co.* | 168,575 | 10,331,962 | ||||||
AmerisourceBergen Corp. — Class A1 | 128,525 | 9,889,999 | ||||||
Cardinal Health, Inc. | 155,109 | 9,601,247 | ||||||
McKesson Corp. | 67,560 | 9,315,173 | ||||||
Merck & Company, Inc. | 164,981 | 9,088,803 | ||||||
Allergan plc | 45,400 | 8,046,242 | ||||||
Total Pharmaceuticals | 143,220,885 | |||||||
Healthcare-Services - 21.3% | ||||||||
Quintiles IMS Holdings, Inc.* | 109,312 | 11,816,627 | ||||||
Anthem, Inc. | 54,699 | 11,443,578 | ||||||
Cigna Corp. | 57,450 | 11,330,289 | ||||||
UnitedHealth Group, Inc. | 53,616 | 11,271,156 | ||||||
Centene Corp.* | 118,421 | 11,092,495 | ||||||
Aetna, Inc. | 65,116 | 11,071,673 | ||||||
DaVita, Inc.* | 181,846 | 11,045,326 | ||||||
Humana, Inc. | 41,328 | 10,553,105 | ||||||
HCA Healthcare, Inc.* | 137,618 | 10,410,802 | ||||||
Laboratory Corporation of America Holdings* | 67,301 | 10,344,836 | ||||||
Universal Health Services, Inc. — Class B | 95,956 | 9,854,681 | ||||||
Quest Diagnostics, Inc. | 98,597 | 9,246,427 | ||||||
Envision Healthcare Corp.*,1 | 215,300 | 9,171,780 | ||||||
Total Healthcare-Services | 138,652,775 | |||||||
Biotechnology - 13.0% | ||||||||
Illumina, Inc.* | 50,569 | 10,376,253 | ||||||
Amgen, Inc. | 58,696 | 10,284,713 | ||||||
Biogen, Inc.* | 32,489 | 10,125,522 | ||||||
Vertex Pharmaceuticals, Inc.* | 66,760 | 9,762,315 | ||||||
Gilead Sciences, Inc. | 124,597 | 9,339,791 | ||||||
Incyte Corp.* | 81,901 | 9,275,288 | ||||||
Regeneron Pharmaceuticals, Inc.* | 22,485 | 9,052,911 | ||||||
Alexion Pharmaceuticals, Inc.* | 75,099 | 8,986,346 | ||||||
Celgene Corp.* | 75,465 | 7,619,701 | ||||||
Total Biotechnology | 84,822,840 | |||||||
Electronics - 7.0% | ||||||||
Mettler-Toledo International, Inc.* | 17,305 | 11,812,912 | ||||||
PerkinElmer, Inc. | 156,736 | 11,335,148 | ||||||
Waters Corp.* | 56,835 | 11,142,502 | ||||||
Agilent Technologies, Inc. | 163,077 | 11,094,128 | ||||||
Total Electronics | 45,384,690 | |||||||
Software - 1.6% | ||||||||
Cerner Corp.*,1 | 152,898 | 10,323,673 | ||||||
Total Common Stocks | ||||||||
(Cost $593,452,602) | 650,039,097 | |||||||
MONEY MARKET FUND† - 0.1% | ||||||||
Federated U.S. Treasury Cash Reserve Fund — Institutional Shares, 0.89%2 | 584,955 | 584,955 | ||||||
Total Money Market Fund | ||||||||
(Cost $584,955) | 584,955 |
SEE NOTES TO FINANCIAL STATEMENTS. | GUGGENHEIM ETFs ANNUAL REPORT | 67 |
SCHEDULE OF INVESTMENTS (concluded) | October 31, 2017 |
GUGGENHEIM S&P 500® EQUAL WEIGHT HEALTH CARE ETF |
Face Amount | Value | |||||||
SECURITIES LENDING COLLATERAL††,3 - 1.0% | ||||||||
Repurchase Agreements | ||||||||
HSBC Securities (USA), Inc. issued 10/31/17 at 1.04% due 11/01/17 | $ | 1,442,209 | $ | 1,442,209 | ||||
Nomura Securities International, Inc. issued 10/31/17 at 1.06% due 11/01/17 | 1,442,209 | 1,442,209 | ||||||
Daiwa Capital Markets America issued 10/31/17 at 1.08% due 11/01/17 | 1,442,209 | 1,442,209 | ||||||
Cantor Fitzgerald Securities issued 10/31/17 at 1.08% due 11/01/17 | 1,442,209 | 1,442,209 | ||||||
Jefferies LLC issued 10/31/17 at 1.14% due 11/01/17 | 427,254 | 427,254 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $6,196,090) | 6,196,090 | |||||||
Total Investments - 101.0% | ||||||||
(Cost $600,233,647) | $ | 656,820,142 | ||||||
Other Assets & Liabilities, net - (1.0)% | (6,202,689 | ) | ||||||
Total Net Assets - 100.0% | $ | 650,617,453 |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | All or portion of this security is on loan at October 31, 2017 — See Note 5. |
2 | Rate indicated is the 7 day yield as of October 31, 2017. |
3 | Securities lending collateral — See Note 5. |
plc — Public Limited Company | |
See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at October 31, 2017 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | Total | ||||||||||||
Common Stocks | $ | 650,039,097 | $ | — | $ | — | $ | 650,039,097 | ||||||||
Money Market Fund | 584,955 | — | — | 584,955 | ||||||||||||
Securities Lending Collateral | — | 6,196,090 | — | 6,196,090 | ||||||||||||
Total Assets | $ | 650,624,052 | $ | 6,196,090 | $ | — | $ | 656,820,142 |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
For the year ended October 31, 2017, there were no transfers between levels.
68 | GUGGENHEIM ETFs ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS | October 31, 2017 |
GUGGENHEIM S&P 500® EQUAL WEIGHT INDUSTRIALS ETF |
Shares | Value | |||||||
COMMON STOCKS† - 99.8% | ||||||||
Miscellaneous Manufacturing - 14.9% | ||||||||
Pentair plc | 50,845 | $ | 3,582,539 | |||||
Parker-Hannifin Corp. | 19,544 | 3,568,930 | ||||||
3M Co. | 15,329 | 3,528,583 | ||||||
Illinois Tool Works, Inc. | 22,518 | 3,524,517 | ||||||
Eaton Corporation plc | 43,708 | 3,497,514 | ||||||
Dover Corp. | 36,122 | 3,449,290 | ||||||
Textron, Inc. | 64,040 | 3,377,470 | ||||||
AO Smith Corp. | 55,789 | 3,302,709 | ||||||
Ingersoll-Rand plc | 36,054 | 3,194,384 | ||||||
General Electric Co. | 132,382 | 2,668,821 | ||||||
Total Miscellaneous Manufacturing | 33,694,757 | |||||||
Aerospace & Defense - 14.6% | ||||||||
Northrop Grumman Corp. | 11,792 | 3,484,891 | ||||||
United Technologies Corp. | 28,782 | 3,446,932 | ||||||
TransDigm Group, Inc. | 12,412 | 3,444,330 | ||||||
Boeing Co. | 13,205 | 3,406,626 | ||||||
Rockwell Collins, Inc. | 24,082 | 3,265,519 | ||||||
Arconic, Inc. | 129,130 | 3,243,746 | ||||||
L3 Technologies, Inc. | 17,304 | 3,238,963 | ||||||
General Dynamics Corp. | 15,934 | 3,234,283 | ||||||
Lockheed Martin Corp. | 10,409 | 3,207,637 | ||||||
Raytheon Co. | 17,356 | 3,127,551 | ||||||
Total Aerospace & Defense | 33,100,478 | |||||||
Transportation - 13.0% | ||||||||
Union Pacific Corp. | 29,411 | 3,405,501 | ||||||
FedEx Corp. | 14,980 | 3,382,634 | ||||||
CH Robinson Worldwide, Inc.1 | 42,764 | 3,358,257 | ||||||
Norfolk Southern Corp. | 25,446 | 3,344,113 | ||||||
J.B. Hunt Transport Services, Inc. | 30,964 | 3,294,260 | ||||||
Expeditors International of Washington, Inc. | 55,350 | 3,231,333 | ||||||
United Parcel Service, Inc. — Class B | 27,408 | 3,221,262 | ||||||
Kansas City Southern | 30,197 | 3,147,131 | ||||||
CSX Corp. | 61,661 | 3,109,564 | ||||||
Total Transportation | 29,494,055 | |||||||
Commercial Services - 11.4% | ||||||||
Robert Half International, Inc. | 69,317 | 3,588,541 | ||||||
United Rentals, Inc.* | 24,889 | 3,521,296 | ||||||
Cintas Corp. | 23,579 | 3,514,214 | ||||||
Quanta Services, Inc.* | 87,276 | 3,292,923 | ||||||
Verisk Analytics, Inc. — Class A* | 38,231 | 3,251,547 | ||||||
Nielsen Holdings plc1 | 81,948 | 3,037,812 | ||||||
IHS Markit Ltd.* | 66,344 | 2,826,918 | ||||||
Equifax, Inc. | 25,591 | 2,777,391 | ||||||
Total Commercial Services | 25,810,642 | |||||||
Machinery-Diversified - 9.3% | ||||||||
Rockwell Automation, Inc. | 19,225 | 3,860,765 | ||||||
Deere & Co. | 26,883 | 3,572,213 | ||||||
Flowserve Corp.1 | 79,871 | 3,519,915 | ||||||
Roper Technologies, Inc. | 13,453 | 3,473,161 | ||||||
Cummins, Inc. | 19,366 | 3,425,458 | ||||||
Xylem, Inc. | 50,227 | 3,341,602 | ||||||
Total Machinery-Diversified | 21,193,114 | |||||||
Airlines - 7.0% | ||||||||
American Airlines Group, Inc. | 72,323 | 3,386,163 | ||||||
Delta Air Lines, Inc. | 66,457 | 3,324,844 | ||||||
Southwest Airlines Co. | 59,644 | 3,212,426 | ||||||
United Continental Holdings, Inc.* | 54,015 | 3,158,797 | ||||||
Alaska Air Group, Inc.1 | 42,441 | 2,802,379 | ||||||
Total Airlines | 15,884,609 | |||||||
Electronics - 4.4% | ||||||||
Fortive Corp. | 47,431 | 3,427,364 | ||||||
Honeywell International, Inc. | 22,923 | 3,304,580 | ||||||
Allegion plc | 39,020 | 3,253,878 | ||||||
Total Electronics | 9,985,822 | |||||||
Building Materials - 4.4% | ||||||||
Masco Corp. | 83,931 | 3,342,132 | ||||||
Johnson Controls International plc | 80,524 | 3,332,888 | ||||||
Fortune Brands Home & Security, Inc.1 | 48,941 | 3,233,042 | ||||||
Total Building Materials | 9,908,062 | |||||||
Environmental Control - 4.3% | ||||||||
Waste Management, Inc. | 40,889 | 3,359,849 | ||||||
Stericycle, Inc.* | 44,882 | 3,179,890 | ||||||
Republic Services, Inc. — Class A | 48,173 | 3,134,617 | ||||||
Total Environmental Control | 9,674,356 | |||||||
Electrical Components & Equipment - 4.2% | ||||||||
Emerson Electric Co. | 52,208 | 3,365,327 | ||||||
AMETEK, Inc. | 49,230 | 3,322,533 | ||||||
Acuity Brands, Inc.1 | 17,540 | 2,932,688 | ||||||
Total Electrical Components & Equipment | 9,620,548 | |||||||
Distribution & Wholesale - 3.2% | ||||||||
WW Grainger, Inc.1 | 19,116 | 3,779,233 | ||||||
Fastenal Co.1 | 73,866 | 3,469,486 | ||||||
Total Distribution & Wholesale | 7,248,719 | |||||||
Hand & Machine Tools - 3.0% | ||||||||
Stanley Black & Decker, Inc. | 21,443 | 3,464,117 | ||||||
Snap-on, Inc.1 | 21,450 | 3,384,381 | ||||||
Total Hand & Machine Tools | 6,848,498 | |||||||
Engineering & Construction - 3.0% | ||||||||
Fluor Corp. | 80,646 | 3,475,036 | ||||||
Jacobs Engineering Group, Inc. | 57,719 | 3,359,823 | ||||||
Total Engineering & Construction | 6,834,859 | |||||||
Machinery-Construction & Mining - 1.6% | ||||||||
Caterpillar, Inc. | 26,765 | 3,634,687 | ||||||
Auto Manufacturers - 1.5% | ||||||||
PACCAR, Inc. | 46,647 | 3,345,989 | ||||||
Total Common Stocks | ||||||||
(Cost $209,371,759) | 226,279,195 |
SEE NOTES TO FINANCIAL STATEMENTS. | GUGGENHEIM ETFs ANNUAL REPORT | 69 |
SCHEDULE OF INVESTMENTS (concluded) | October 31, 2017 |
GUGGENHEIM S&P 500® EQUAL WEIGHT INDUSTRIALS ETF |
Shares | Value | |||||||
MONEY MARKET FUND† - 0.1% | ||||||||
Federated U.S. Treasury Cash Reserve Fund — Institutional Shares, 0.89%2 | 248,060 | $ | 248,060 | |||||
Total Money Market Fund | ||||||||
(Cost $248,060) | 248,060 |
Face Amount | ||||||||
SECURITIES LENDING COLLATERAL††,3 - 2.2% | ||||||||
Repurchase Agreements | ||||||||
Nomura Securities International, Inc. issued 10/31/17 at 1.06% due 11/01/17 | $ | 1,138,472 | 1,138,472 | |||||
Jefferies LLC issued 10/31/17 at 1.18% due 11/01/17 | 1,138,472 | 1,138,472 | ||||||
HSBC Securities (USA), Inc. issued 10/31/17 at 1.04% due 11/01/17 | 1,138,472 | 1,138,472 |
Citigroup Global Markets, Inc. issued 10/31/17 at 1.07% due 11/01/17 | 1,138,472 | 1,138,472 | ||||||
Merrill Lynch, Pierce, Fenner & Smith, Inc. issued 10/31/17 at 1.05% due 11/01/17 | 337,358 | 337,358 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $4,891,246) | 4,891,246 | |||||||
Total Investments - 102.1% | ||||||||
(Cost $214,511,065) | $ | 231,418,501 | ||||||
Other Assets & Liabilities, net - (2.1)% | (4,834,496 | ) | ||||||
Total Net Assets - 100.0% | $ | 226,584,005 |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | All or portion of this security is on loan at October 31, 2017 — See Note 5. |
2 | Rate indicated is the 7 day yield as of October 31, 2017. |
3 | Securities lending collateral — See Note 5. |
plc — Public Limited Company | |
See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at October 31, 2017 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | Total | ||||||||||||
Common Stocks | $ | 226,279,195 | $ | — | $ | — | $ | 226,279,195 | ||||||||
Money Market Fund | 248,060 | — | — | 248,060 | ||||||||||||
Securities Lending Collateral | — | 4,891,246 | — | 4,891,246 | ||||||||||||
Total Assets | $ | 226,527,255 | $ | 4,891,246 | $ | — | $ | 231,418,501 |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
For the year ended October 31, 2017, there were no transfers between levels.
70 | GUGGENHEIM ETFs ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS | October 31, 2017 |
GUGGENHEIM S&P 500® EQUAL WEIGHT MATERIALS ETF |
Shares | Value | |||||||
COMMON STOCKS† - 99.8% | ||||||||
Chemicals - 53.8% | ||||||||
Albemarle Corp. | 61,059 | $ | 8,602,603 | |||||
CF Industries Holdings, Inc. | 225,410 | 8,561,073 | ||||||
Mosaic Co. | 372,469 | 8,320,957 | ||||||
Sherwin-Williams Co. | 20,958 | 8,281,554 | ||||||
LyondellBasell Industries N.V. — Class A | 78,843 | 8,162,615 | ||||||
PPG Industries, Inc. | 69,719 | 8,104,136 | ||||||
DowDuPont, Inc. | 111,367 | 8,052,947 | ||||||
Praxair, Inc. | 54,518 | 7,966,170 | ||||||
Air Products & Chemicals, Inc. | 49,819 | 7,942,643 | ||||||
Eastman Chemical Co. | 85,134 | 7,731,019 | ||||||
FMC Corp. | 82,881 | 7,696,330 | ||||||
International Flavors & Fragrances, Inc. | 50,917 | 7,506,184 | ||||||
Monsanto Co. | 61,504 | 7,448,134 | ||||||
Total Chemicals | 104,376,365 | |||||||
Packaging & Containers - 15.6% | ||||||||
WestRock Co. | 127,895 | 7,843,800 | ||||||
Ball Corp.1 | 179,300 | 7,697,349 | ||||||
Sealed Air Corp. | 167,881 | 7,425,377 | ||||||
Packaging Corporation of America | 63,468 | 7,379,424 | ||||||
Total Packaging & Containers | 30,345,950 | |||||||
Building Materials - 7.5% | ||||||||
Martin Marietta Materials, Inc. | 34,066 | 7,387,212 | ||||||
Vulcan Materials Co. | 59,433 | 7,235,968 | ||||||
Total Building Materials | 14,623,180 | |||||||
Mining - 7.1% | ||||||||
Freeport-McMoRan, Inc.* | 507,179 | 7,090,362 | ||||||
Newmont Mining Corp. | 183,722 | 6,643,388 | ||||||
Total Mining | 13,733,750 | |||||||
Household Products & Housewares - 4.2% | ||||||||
Avery Dennison Corp. | 77,498 | 8,227,963 | ||||||
Iron & Steel - 4.0% | ||||||||
Nucor Corp. | 132,396 | 7,656,461 | ||||||
Forest Products & Paper - 3.9% | ||||||||
International Paper Co. | 131,839 | 7,550,420 | ||||||
Commercial Services - 3.7% | ||||||||
Ecolab, Inc. | 55,081 | 7,196,883 | ||||||
Total Common Stocks | ||||||||
(Cost $177,726,417) | 193,710,972 | |||||||
MONEY MARKET FUND† - 0.2% | ||||||||
Federated U.S. Treasury Cash Reserve Fund — Institutional Shares, 0.89%2 | 288,084 | 288,084 | ||||||
Total Money Market Fund | ||||||||
(Cost $288,084) | 288,084 | |||||||
Total Investments - 100.0% | ||||||||
(Cost $178,014,501) | $ | 193,999,056 | ||||||
Other Assets & Liabilities, net - 0.0% | 21,013 | |||||||
Total Net Assets - 100.0% | $ | 194,020,069 |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
1 | All or portion of this security is on loan at October 31, 2017 — See Note 5. |
2 | Rate indicated is the 7 day yield as of October 31, 2017. |
See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at October 31, 2017 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | Total | ||||||||||||
Common Stocks | $ | 193,710,972 | $ | — | $ | — | $ | 193,710,972 | ||||||||
Money Market Fund | 288,084 | — | — | 288,084 | ||||||||||||
Total Assets | $ | 193,999,056 | $ | — | $ | — | $ | 193,999,056 |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
For the year ended October 31, 2017, there were no transfers between levels.
SEE NOTES TO FINANCIAL STATEMENTS. | GUGGENHEIM ETFs ANNUAL REPORT | 71 |
SCHEDULE OF INVESTMENTS | October 31, 2017 |
GUGGENHEIM S&P 500® EQUAL WEIGHT REAL ESTATE ETF |
Shares | Value | |||||||
COMMON STOCKS† - 99.7% | ||||||||
REITs - 96.4% | ||||||||
Host Hotels & Resorts, Inc. | 41,756 | $ | 816,747 | |||||
Weyerhaeuser Co. | 22,570 | 810,489 | ||||||
SBA Communications Corp.* | 5,071 | 797,060 | ||||||
Alexandria Real Estate Equities, Inc. | 6,350 | 787,146 | ||||||
Vornado Realty Trust | 10,255 | 767,689 | ||||||
Prologis, Inc. | 11,847 | 765,079 | ||||||
Boston Properties, Inc. | 6,306 | 764,161 | ||||||
Macerich Co. | 13,975 | 763,034 | ||||||
Crown Castle International Corp. | 7,117 | 762,088 | ||||||
Equinix, Inc. | 1,641 | 760,604 | ||||||
SL Green Realty Corp. | 7,940 | 759,699 | ||||||
Iron Mountain, Inc. | 18,927 | 757,080 | ||||||
Extra Space Storage, Inc. | 9,214 | 751,770 | ||||||
American Tower Corp. — Class A | 5,227 | 750,963 | ||||||
Equity Residential | 11,130 | 748,604 | ||||||
Essex Property Trust, Inc. | 2,843 | 746,088 | ||||||
Digital Realty Trust, Inc. | 6,283 | 744,159 | ||||||
UDR, Inc. | 19,163 | 743,333 | ||||||
Simon Property Group, Inc. | 4,750 | 737,818 | ||||||
Duke Realty Corp. | 25,839 | 735,895 | ||||||
AvalonBay Communities, Inc. | 4,057 | 735,656 | ||||||
Regency Centers Corp. | 11,808 | 726,783 | ||||||
Public Storage | 3,472 | 719,572 | ||||||
Mid-America Apartment Communities, Inc. | 7,021 | 718,599 | ||||||
Apartment Investment & Management Co. — Class A | 16,316 | 717,578 | ||||||
Federal Realty Investment Trust | 5,857 | 705,886 | ||||||
GGP, Inc. | 35,613 | 693,029 | ||||||
Realty Income Corp. | 12,774 | 685,581 | ||||||
Ventas, Inc. | 10,909 | 684,540 | ||||||
Kimco Realty Corp. | 37,578 | 682,416 | ||||||
Welltower, Inc. | 10,149 | 679,577 | ||||||
HCP, Inc. | 25,087 | 648,248 | ||||||
Total REITs | 23,666,971 | |||||||
Real Estate - 3.3% | ||||||||
CBRE Group, Inc. — Class A* | 20,912 | 822,260 | ||||||
Total Common Stocks | ||||||||
(Cost $24,927,767) | 24,489,231 | |||||||
MONEY MARKET FUND† - 0.3% | ||||||||
Federated U.S. Treasury Cash Reserve Fund — Institutional Shares, 0.89%1 | 77,022 | 77,022 | ||||||
Total Money Market Fund | ||||||||
(Cost $77,022) | 77,022 | |||||||
Total Investments - 100.0% | �� | |||||||
(Cost $25,004,789) | $ | 24,566,253 | ||||||
Other Assets & Liabilities, net - 0.0% | (4,964 | ) | ||||||
Total Net Assets - 100.0% | $ | 24,561,289 |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
1 | Rate indicated is the 7 day yield as of October 31, 2017. |
REIT— Real Estate Investment Trust | |
See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at October 31, 2017 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | Total | ||||||||||||
Common Stocks | $ | 24,489,231 | $ | — | $ | — | $ | 24,489,231 | ||||||||
Money Market Fund | 77,022 | — | — | 77,022 | ||||||||||||
Total Assets | $ | 24,566,253 | $ | — | $ | — | $ | 24,566,253 |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
For the year ended October 31, 2017, there were no transfers between levels.
72 | GUGGENHEIM ETFs ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS | October 31, 2017 |
GUGGENHEIM S&P 500® EQUAL WEIGHT TECHNOLOGY ETF |
Shares | Value | |||||||
COMMON STOCKS† - 99.9% | ||||||||
Software - 26.0% | ||||||||
Akamai Technologies, Inc.* | 442,129 | $ | 23,101,240 | |||||
Cadence Design Systems, Inc.* | 531,851 | 22,954,689 | ||||||
Red Hat, Inc.* | 189,856 | 22,940,300 | ||||||
Adobe Systems, Inc.* | 130,916 | 22,931,247 | ||||||
Microsoft Corp. | 274,910 | 22,867,014 | ||||||
Paychex, Inc. | 357,432 | 22,800,588 | ||||||
Citrix Systems, Inc.* | 270,660 | 22,359,223 | ||||||
Autodesk, Inc.* | 177,715 | 22,207,266 | ||||||
Synopsys, Inc.* | 255,690 | 22,122,299 | ||||||
Intuit, Inc. | 143,668 | 21,696,741 | ||||||
ANSYS, Inc.* | 158,341 | 21,646,798 | ||||||
salesforce.com, Inc.* | 210,905 | 21,584,018 | ||||||
Fiserv, Inc.* | 165,808 | 21,460,529 | ||||||
Electronic Arts, Inc.* | 171,948 | 20,564,981 | ||||||
Activision Blizzard, Inc. | 313,225 | 20,513,105 | ||||||
Fidelity National Information Services, Inc. | 220,344 | 20,439,109 | ||||||
Oracle Corp. | 394,296 | 20,069,666 | ||||||
CA, Inc. | 613,325 | 19,859,464 | ||||||
Total Software | 392,118,277 | |||||||
Semiconductors - 23.4% | ||||||||
Micron Technology, Inc.* | 626,747 | 27,771,159 | ||||||
Intel Corp. | 577,946 | 26,290,763 | ||||||
Applied Materials, Inc. | 458,572 | 25,877,219 | ||||||
NVIDIA Corp. | 124,246 | 25,695,315 | ||||||
Lam Research Corp. | 122,699 | 25,591,330 | ||||||
Texas Instruments, Inc. | 249,914 | 24,164,185 | ||||||
Xilinx, Inc. | 319,421 | 23,538,133 | ||||||
KLA-Tencor Corp. | 215,553 | 23,471,566 | ||||||
Analog Devices, Inc. | 252,833 | 23,083,653 | ||||||
Microchip Technology, Inc.1 | 234,924 | 22,270,795 | ||||||
Skyworks Solutions, Inc.1 | 194,360 | 22,129,830 | ||||||
Broadcom Ltd. | 83,316 | 21,987,926 | ||||||
Qorvo, Inc.*,1 | 284,012 | 21,530,950 | ||||||
QUALCOMM, Inc. | 409,710 | 20,899,307 | ||||||
Advanced Micro Devices, Inc.*,1 | 1,660,248 | 18,237,824 | ||||||
Total Semiconductors | 352,539,955 | |||||||
Computers - 16.0% | ||||||||
Seagate Technology plc1 | 635,759 | 23,504,010 | ||||||
NetApp, Inc. | 526,483 | 23,386,375 | ||||||
HP, Inc. | 1,063,702 | 22,922,779 | ||||||
DXC Technology Co. | 241,627 | 22,113,703 | ||||||
International Business Machines Corp. | 142,773 | 21,995,608 | ||||||
Apple, Inc. | 128,200 | 21,670,928 | ||||||
Accenture plc — Class A | 152,088 | 21,651,248 | ||||||
Cognizant Technology Solutions Corp. — Class A | 286,044 | 21,644,949 | ||||||
Hewlett Packard Enterprise Co. | 1,550,157 | 21,578,185 | ||||||
Western Digital Corp. | 233,766 | 20,868,291 | ||||||
CSRA, Inc. | 631,812 | 20,211,666 | ||||||
Total Computers | 241,547,742 | |||||||
Commercial Services - 8.7% | ||||||||
PayPal Holdings, Inc.* | 332,700 | 24,140,712 | ||||||
Global Payments, Inc. | 213,875 | 22,232,307 | ||||||
Automatic Data Processing, Inc. | 187,598 | 21,810,143 | ||||||
Western Union Co.1 | 1,088,178 | 21,611,215 | ||||||
Total System Services, Inc. | 292,716 | 21,090,188 | ||||||
Gartner, Inc.*,1 | 163,529 | 20,491,819 | ||||||
Total Commercial Services | 131,376,384 | |||||||
Internet - 8.4% | ||||||||
Facebook, Inc. — Class A* | 118,968 | 21,421,378 | ||||||
F5 Networks, Inc.* | 175,997 | 21,343,156 | ||||||
VeriSign, Inc.*,1 | 196,863 | 21,166,710 | ||||||
Symantec Corp. | 642,999 | 20,897,468 | ||||||
eBay, Inc.* | 538,187 | 20,257,359 | ||||||
Alphabet, Inc. — Class A* | 10,870 | 11,229,144 | ||||||
Alphabet, Inc. — Class C* | 10,900 | 11,081,376 | ||||||
Total Internet | 127,396,591 | |||||||
Electronics - 6.1% | ||||||||
FLIR Systems, Inc. | 534,363 | 25,018,876 | ||||||
TE Connectivity Ltd. | 257,664 | 23,439,693 | ||||||
Corning, Inc. | 712,616 | 22,312,007 | ||||||
Amphenol Corp. — Class A | 252,580 | 21,974,460 | ||||||
Total Electronics | 92,745,036 | |||||||
Diversified Financial Services - 4.3% | ||||||||
Mastercard, Inc. — Class A | 148,215 | 22,049,945 | ||||||
Visa, Inc. — Class A | 194,747 | 21,418,275 | ||||||
Alliance Data Systems Corp. | 94,886 | 21,228,845 | ||||||
Total Diversified Financial Services | 64,697,065 | |||||||
Telecommunications - 4.2% | ||||||||
Cisco Systems, Inc. | 646,058 | 22,062,881 | ||||||
Motorola Solutions, Inc. | 238,931 | 21,632,813 | ||||||
Juniper Networks, Inc. | 764,009 | 18,970,343 | ||||||
Total Telecommunications | 62,666,037 | |||||||
Aerospace & Defense - 1.5% | ||||||||
Harris Corp. | 166,011 | 23,128,653 | ||||||
Office & Business Equipment - 1.3% | ||||||||
Xerox Corp. | 644,421 | 19,532,401 | ||||||
Total Common Stocks | ||||||||
(Cost $1,219,614,892) | 1,507,748,141 | |||||||
MONEY MARKET FUND† - 0.1% | ||||||||
Federated U.S. Treasury Cash Reserve Fund — Institutional Shares, 0.89%2 | 1,988,839 | 1,988,839 | ||||||
Total Money Market Fund | ||||||||
(Cost $1,988,839) | 1,988,839 |
SEE NOTES TO FINANCIAL STATEMENTS. | GUGGENHEIM ETFs ANNUAL REPORT | 73 |
SCHEDULE OF INVESTMENTS (concluded) | October 31, 2017 |
GUGGENHEIM S&P 500® EQUAL WEIGHT TECHNOLOGY ETF |
Face Amount | Value | |||||||
SECURITIES LENDING COLLATERAL††,3 - 0.7% | ||||||||
Repurchase Agreements | ||||||||
Nomura Securities International, Inc. issued 10/31/17 at 1.06% due 11/01/17 | $ | 2,616,680 | $ | 2,616,680 | ||||
Jefferies LLC issued 10/31/17 at 1.18% due 11/01/17 | 2,616,680 | 2,616,680 | ||||||
HSBC Securities (USA), Inc. issued 10/31/17 at 1.04% due 11/01/17 | 2,616,680 | 2,616,680 | ||||||
Citigroup Global Markets, Inc. issued 10/31/17 at 1.07% due 11/01/17 | 2,616,680 | 2,616,680 | ||||||
Merrill Lynch, Pierce, Fenner & Smith, Inc. issued 10/31/17 at 1.05% due 11/01/17 | 775,396 | 775,396 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $11,242,116) | 11,242,116 | |||||||
Total Investments - 100.7% | ||||||||
(Cost $1,232,845,847) | $ | 1,520,979,096 | ||||||
Other Assets & Liabilities, net - (0.7)% | (11,146,350 | ) | ||||||
Total Net Assets - 100.0% | $ | 1,509,832,746 |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | All or portion of this security is on loan at October 31, 2017 — See Note 5. |
2 | Rate indicated is the 7 day yield as of October 31, 2017. |
3 | Securities lending collateral — See Note 5. |
plc — Public Limited Company | |
See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at October 31, 2017 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | Total | ||||||||||||
Common Stocks | $ | 1,507,748,141 | $ | — | $ | — | $ | 1,507,748,141 | ||||||||
Money Market Fund | 1,988,839 | — | — | 1,988,839 | ||||||||||||
Securities Lending Collateral | — | 11,242,116 | — | 11,242,116 | ||||||||||||
Total Assets | $ | 1,509,736,980 | $ | 11,242,116 | $ | — | $ | 1,520,979,096 |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
For the year ended October 31, 2017, there were no transfers between levels.
74 | GUGGENHEIM ETFs ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS | October 31, 2017 |
GUGGENHEIM S&P 500® EQUAL WEIGHT UTILITIES ETF |
Shares | Value | |||||||
COMMON STOCKS† - 99.7% | ||||||||
Electric - 80.2% | ||||||||
Entergy Corp. | 68,227 | $ | 5,885,260 | |||||
Public Service Enterprise Group, Inc. | 117,228 | 5,767,618 | ||||||
Exelon Corp. | 142,657 | 5,736,238 | ||||||
NextEra Energy, Inc. | 36,725 | 5,694,946 | ||||||
NRG Energy, Inc. | 227,644 | 5,691,100 | ||||||
Southern Co. | 108,470 | 5,662,134 | ||||||
Ameren Corp. | 90,617 | 5,617,348 | ||||||
Dominion Energy, Inc. | 68,717 | 5,575,697 | ||||||
FirstEnergy Corp. | 169,053 | 5,570,296 | ||||||
WEC Energy Group, Inc. | 81,712 | 5,506,572 | ||||||
Consolidated Edison, Inc. | 63,663 | 5,478,201 | ||||||
Duke Energy Corp. | 62,032 | 5,478,046 | ||||||
American Electric Power Company, Inc. | 73,394 | 5,461,248 | ||||||
Alliant Energy Corp. | 126,077 | 5,454,091 | ||||||
CMS Energy Corp. | 111,903 | 5,412,748 | ||||||
Edison International | 67,439 | 5,391,748 | ||||||
Eversource Energy | 85,766 | 5,372,382 | ||||||
Xcel Energy, Inc. | 108,405 | 5,368,216 | ||||||
CenterPoint Energy, Inc. | 181,446 | 5,367,172 | ||||||
DTE Energy Co. | 48,256 | 5,330,358 | ||||||
Pinnacle West Capital Corp. | 60,494 | 5,305,929 | ||||||
PPL Corp. | 137,678 | 5,171,186 | ||||||
AES Corp. | 485,749 | 5,163,512 | ||||||
PG&E Corp. | 77,083 | 4,453,085 | ||||||
SCANA Corp. | 91,933 | 3,965,990 | ||||||
Total Electric | 134,881,121 | |||||||
Telecommunications - 9.7% | ||||||||
Verizon Communications, Inc. | 118,092 | 5,653,064 | ||||||
CenturyLink, Inc.1 | 293,700 | 5,577,363 | ||||||
AT&T, Inc. | 152,998 | 5,148,383 | ||||||
Total Telecommunications | 16,378,810 | |||||||
Gas - 6.3% | ||||||||
Sempra Energy | 45,697 | 5,369,397 | ||||||
NiSource, Inc. | 200,856 | 5,296,573 | ||||||
Total Gas | 10,665,970 | |||||||
Water - 3.5% | ||||||||
American Water Works Company, Inc. | 66,437 | 5,830,511 | ||||||
Total Common Stocks | ||||||||
(Cost $162,596,180) | 167,756,412 | |||||||
MONEY MARKET FUND† - 0.1% | ||||||||
Federated U.S. Treasury Cash Reserve Fund — Institutional Shares, 0.89%2 | 148,951 | 148,951 | ||||||
Total Money Market Fund | ||||||||
(Cost $148,951) | 148,951 | |||||||
Face Amount | ||||||||
SECURITIES LENDING COLLATERAL††,3 - 3.3% | ||||||||
Repurchase Agreements | ||||||||
Citigroup Global Markets, Inc. issued 10/31/17 at 1.07% due 11/01/17 | $ | 1,282,535 | 1,282,535 | |||||
Nomura Securities International, Inc. issued 10/31/17 at 1.06% due 11/01/17 | 1,282,535 | 1,282,535 | ||||||
Daiwa Capital Markets America issued 10/31/17 at 1.08% due 11/01/17 | 1,282,535 | 1,282,535 | ||||||
HSBC Securities (USA), Inc. issued 10/31/17 at 1.04% due 11/01/17 | 1,282,535 | 1,282,535 | ||||||
Jefferies LLC issued 10/31/17 at 1.14% due 11/01/17 | 380,061 | 380,061 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $5,510,201) | 5,510,201 | |||||||
Total Investments - 103.1% | ||||||||
(Cost $168,255,332) | $ | 173,415,564 | ||||||
Other Assets & Liabilities, net - (3.1)% | (5,235,434 | ) | ||||||
Total Net Assets - 100.0% | $ | 168,180,130 |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | All or portion of this security is on loan at October 31, 2017 — See Note 5. |
2 | Rate indicated is the 7 day yield as of October 31, 2017. |
3 | Securities lending collateral — See Note 5. |
See Sector Classification in Other Information section. |
SEE NOTES TO FINANCIAL STATEMENTS. | GUGGENHEIM ETFs ANNUAL REPORT | 75 |
SCHEDULE OF INVESTMENTS (concluded) | October 31, 2017 |
GUGGENHEIM S&P 500® EQUAL WEIGHT UTILITIES ETF |
The following table summarizes the inputs used to value the Fund’s investments at October 31, 2017 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | Total | ||||||||||||
Common Stocks | $ | 167,756,412 | $ | — | $ | — | $ | 167,756,412 | ||||||||
Money Market Fund | 148,951 | — | — | 148,951 | ||||||||||||
Securities Lending Collateral | — | 5,510,201 | — | 5,510,201 | ||||||||||||
Total Assets | $ | 167,905,363 | $ | 5,510,201 | $ | — | $ | 173,415,564 |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
For the year ended October 31, 2017, there were no transfers between levels.
76 | GUGGENHEIM ETFs ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENTS OF ASSETS AND LIABILITIES | October 31, 2017 |
Guggenheim MSCI Emerging Markets Equal Country Weight ETF | Guggenheim Multi-Factor Large Cap ETF | Guggenheim S&P MidCap 400® Equal Weight ETF | Guggenheim S&P SmallCap 600® Equal Weight ETF | |||||||||||||
Assets: | ||||||||||||||||
Investments, at value — including $319,759, $24,458, $34,438,767 and $11,864,270 of securities loaned, respectively | $ | 13,418,007 | $ | 1,289,566 | $ | 114,671,331 | $ | 31,659,999 | ||||||||
Repurchase agreements, at value | 325,960 | 24,528 | 12,420,679 | 3,669,105 | ||||||||||||
Cash | 297 | — | — | — | ||||||||||||
Foreign currency, at value (cost $2, $—, $—, $—) | 2 | — | — | — | ||||||||||||
Receivables: | ||||||||||||||||
Tax reclaims | 15,352 | — | — | — | ||||||||||||
Dividends and interest | 6,522 | 1,071 | 48,102 | 10,663 | ||||||||||||
Securities lending | 807 | 3 | 11,944 | 5,659 | ||||||||||||
Total assets | 13,766,947 | 1,315,168 | 127,152,056 | 35,345,426 | ||||||||||||
Liabilities: | ||||||||||||||||
Payable upon return of securities loaned | 325,960 | 24,528 | 12,420,679 | 3,669,105 | ||||||||||||
Payable for: | ||||||||||||||||
Management fees | 7,287 | 279 | 39,435 | 10,771 | ||||||||||||
Total liabilities | 333,247 | 24,807 | 12,460,114 | 3,679,876 | ||||||||||||
Commitments and contingent liabilities (Note 8) | — | — | — | — | ||||||||||||
Net assets | $ | 13,433,700 | $ | 1,290,361 | $ | 114,691,942 | $ | 31,665,550 | ||||||||
Net assets consist of: | ||||||||||||||||
Paid-in capital | $ | 17,150,950 | $ | 1,303,207 | $ | 118,674,773 | $ | 42,307,490 | ||||||||
Undistributed net investment income | 9,156 | 1,799 | 157,069 | 47,101 | ||||||||||||
Accumulated net realized loss on investments and foreign currency | (4,779,430 | ) | (37,769 | ) | (14,856,077 | ) | (14,071,948 | ) | ||||||||
Net unrealized appreciation on investments and foreign currency | 1,053,024 | 23,124 | 10,716,177 | 3,382,907 | ||||||||||||
Net assets | $ | 13,433,700 | $ | 1,290,361 | $ | 114,691,942 | $ | 31,665,550 | ||||||||
Shares outstanding (unlimited shares authorized), no par value | 400,000 | 50,000 | 1,850,000 | 600,000 | ||||||||||||
Net asset value, offering price and repurchase price per share | $ | 33.58 | $ | 25.81 | $ | 62.00 | $ | 52.78 | ||||||||
Cost of investments | $ | 12,366,414 | $ | 1,266,442 | $ | 103,955,154 | $ | 28,277,092 | ||||||||
Cost of repurchase agreements | 325,960 | 24,528 | 12,420,679 | 3,669,105 |
SEE NOTES TO FINANCIAL STATEMENTS. | GUGGENHEIM ETFs ANNUAL REPORT | 77 |
STATEMENTS OF ASSETS AND LIABILITIES (continued) | October 31, 2017 |
Guggenheim S&P 100® Equal Weight ETF | Guggenheim S&P 500® Equal Weight Consumer Discretionary ETF | Guggenheim S&P 500® Equal Weight Consumer Staples ETF | Guggenheim S&P 500® Equal Weight Energy ETF | |||||||||||||
Assets: | ||||||||||||||||
Investments, at value — including $—, $9,178,723, $45,593,861 and $30,000,781 of securities loaned, respectively | $ | 4,686,418 | $ | 72,943,928 | $ | 443,649,304 | $ | 230,682,250 | ||||||||
Repurchase agreements, at value | — | 6,227,480 | 21,929,486 | 13,396,095 | ||||||||||||
Cash | 9,684 | — | — | — | ||||||||||||
Receivables: | ||||||||||||||||
Dividends and interest | 6,723 | 43,078 | 621,538 | 123,407 | ||||||||||||
Securities lending | — | 3,913 | 2,597 | 19,051 | ||||||||||||
Total assets | 4,702,825 | 79,218,399 | 466,202,925 | 244,220,803 | ||||||||||||
Liabilities: | ||||||||||||||||
Payable upon return of securities loaned | — | 6,227,480 | 21,929,486 | 13,396,095 | ||||||||||||
Payable for: | ||||||||||||||||
Management fees | 1,600 | 25,695 | 155,609 | 77,557 | ||||||||||||
Fund shares redeemed | — | — | 25,956 | — | ||||||||||||
Total liabilities | 1,600 | 6,253,175 | 22,111,051 | 13,473,652 | ||||||||||||
Commitments and contingent liabilities (Note 8) | — | — | — | — | ||||||||||||
Net assets | $ | 4,701,225 | $ | 72,965,224 | $ | 444,091,874 | $ | 230,747,151 | ||||||||
Net assets consist of: | ||||||||||||||||
Paid-in capital | $ | 4,642,130 | $ | 88,958,048 | $ | 473,319,364 | $ | 328,390,132 | ||||||||
Undistributed net investment income | 10,933 | 134,574 | 1,163,223 | 115,054 | ||||||||||||
Accumulated net realized loss on investments | (14,874 | ) | (10,668,603 | ) | (10,037,923 | ) | (72,355,751 | ) | ||||||||
Net unrealized appreciation (depreciation) on investments | 63,036 | (5,458,795 | ) | (20,352,790 | ) | (25,402,284 | ) | |||||||||
Net assets | $ | 4,701,225 | $ | 72,965,224 | $ | 444,091,874 | $ | 230,747,151 | ||||||||
Shares outstanding (unlimited shares authorized), no par value | 150,000 | 800,000 | 3,650,000 | 4,250,005 | ||||||||||||
Net asset value, offering price and repurchase price per share | $ | 31.34 | $ | 91.21 | $ | 121.67 | $ | 54.29 | ||||||||
Cost of investments | $ | 4,623,382 | $ | 78,402,723 | $ | 464,002,094 | $ | 256,084,534 | ||||||||
Cost of repurchase agreements | — | 6,227,480 | 21,929,486 | 13,396,095 |
78 | GUGGENHEIM ETFs ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENTS OF ASSETS AND LIABILITIES (continued) | October 31, 2017 |
Guggenheim S&P 500® Equal Weight Financials ETF | Guggenheim S&P 500® Equal Weight Health Care ETF | Guggenheim S&P 500® Equal Weight Industrials ETF | Guggenheim S&P 500® Equal Weight Materials ETF | |||||||||||||
Assets: | ||||||||||||||||
Investments, at value — including $—, $25,277,554, $16,026,703 and $4,574,921 of securities loaned, respectively | $ | 358,347,465 | $ | 650,624,052 | $ | 226,527,255 | $ | 193,999,056 | ||||||||
Repurchase agreements, at value | — | 6,196,090 | 4,891,246 | — | ||||||||||||
Receivables: | ||||||||||||||||
Dividends and interest | 267,627 | 213,487 | 131,287 | 81,100 | ||||||||||||
Securities lending | 170 | 4,199 | 1,526 | 493 | ||||||||||||
Total assets | 358,615,262 | 657,037,828 | 231,551,314 | 194,080,649 | ||||||||||||
Liabilities: | ||||||||||||||||
Payable upon return of securities loaned | — | 6,196,090 | 4,891,246 | — | ||||||||||||
Payable for: | ||||||||||||||||
Management fees | 119,514 | 224,285 | 76,063 | 60,580 | ||||||||||||
Total liabilities | 119,514 | 6,420,375 | 4,967,309 | 60,580 | ||||||||||||
Commitments and contingent liabilities (Note 8) | — | — | — | — | ||||||||||||
Net assets | $ | 358,495,748 | $ | 650,617,453 | $ | 226,584,005 | $ | 194,020,069 | ||||||||
Net assets consist of: | ||||||||||||||||
Paid-in capital | $ | 334,915,028 | $ | 626,569,105 | $ | 216,278,579 | $ | 188,832,624 | ||||||||
Undistributed net investment income | 479,289 | 427,255 | — | 169,491 | ||||||||||||
Accumulated net realized loss on investments | (8,756,692 | ) | (32,965,402 | ) | (6,602,010 | ) | (10,966,601 | ) | ||||||||
Net unrealized appreciation on investments | 31,858,123 | 56,586,495 | 16,907,436 | 15,984,555 | ||||||||||||
Net assets | $ | 358,495,748 | $ | 650,617,453 | $ | 226,584,005 | $ | 194,020,069 | ||||||||
Shares outstanding (unlimited shares authorized), no par value | 8,550,000 | 3,700,000 | 2,000,000 | 1,800,000 | ||||||||||||
Net asset value, offering price and repurchase price per share | $ | 41.93 | $ | 175.84 | $ | 113.29 | $ | 107.79 | ||||||||
Cost of investments | $ | 326,489,342 | $ | 594,037,557 | $ | 209,619,819 | $ | 178,014,501 | ||||||||
Cost of repurchase agreements | — | 6,196,090 | 4,891,246 | — |
SEE NOTES TO FINANCIAL STATEMENTS. | GUGGENHEIM ETFs ANNUAL REPORT | 79 |
STATEMENTS OF ASSETS AND LIABILITIES (concluded) | October 31, 2017 |
Guggenheim S&P 500® Equal Weight Real Estate ETF | Guggenheim S&P 500® Equal Weight Technology ETF | Guggenheim S&P 500® Equal Weight Utilities ETF | ||||||||||
Assets: | ||||||||||||
Investments, at value — including $—, $109,843,504 and $5,521,589 of securities loaned, respectively | $ | 24,566,253 | $ | 1,509,736,980 | $ | 167,905,363 | ||||||
Repurchase agreements, at value | — | 11,242,116 | 5,510,201 | |||||||||
Receivables: | ||||||||||||
Dividends and interest | 3,593 | 579,024 | 331,016 | |||||||||
Securities lending | — | 13,789 | 3,040 | |||||||||
Total assets | 24,569,846 | 1,521,571,909 | 173,749,620 | |||||||||
Liabilities: | ||||||||||||
Payable upon return of securities loaned | — | 11,242,116 | 5,510,201 | |||||||||
Payable for: | ||||||||||||
Management fees | 8,557 | 497,047 | 59,289 | |||||||||
Total liabilities | 8,557 | 11,739,163 | 5,569,490 | |||||||||
Commitments and contingent liabilities (Note 8) | — | — | — | |||||||||
Net assets | $ | 24,561,289 | $ | 1,509,832,746 | $ | 168,180,130 | ||||||
Net assets consist of: | ||||||||||||
Paid-in capital | $ | 24,822,974 | $ | 1,258,329,282 | $ | 171,274,452 | ||||||
Undistributed net investment income | 109,209 | 1,726,783 | 432,883 | |||||||||
Accumulated net realized gain (loss) on investments | 67,642 | (38,356,568 | ) | (8,687,437 | ) | |||||||
Net unrealized appreciation (depreciation) on investments | (438,536 | ) | 288,133,249 | 5,160,232 | ||||||||
Net assets | $ | 24,561,289 | $ | 1,509,832,746 | $ | 168,180,130 | ||||||
Shares outstanding (unlimited shares authorized), no par value | 900,000 | 10,600,000 | 1,900,000 | |||||||||
Net asset value, offering price and repurchase price per share | $ | 27.29 | $ | 142.44 | $ | 88.52 | ||||||
Cost of investments | $ | 25,004,789 | $ | 1,221,603,731 | $ | 162,745,131 | ||||||
Cost of repurchase agreements | — | 11,242,116 | 5,510,201 |
80 | GUGGENHEIM ETFs ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENTS OF OPERATIONS |
For the Year Ended October 31, 2017
Guggenheim MSCI Emerging Markets Equal Country Weight ETF | Guggenheim Multi-Factor Large Cap ETFa | Guggenheim S&P MidCap 400® Equal Weight ETF | Guggenheim S&P SmallCap 600® Equal Weight ETF | |||||||||||||
Investment Income: | ||||||||||||||||
Dividends, net of foreign taxes withheld* | $ | 308,910 | $ | 25,701 | $ | 1,589,801 | $ | 412,194 | ||||||||
Income from securities lending | 12,257 | 3 | 74,945 | 46,099 | ||||||||||||
Interest | 215 | 28 | 1,732 | 274 | ||||||||||||
Total investment income | 321,382 | 25,732 | 1,666,478 | 458,567 | ||||||||||||
Expenses: | ||||||||||||||||
Management fees | 89,371 | 1,917 | 466,856 | 134,080 | ||||||||||||
Trustee fees | 1,215 | 46 | 10,513 | 3,472 | ||||||||||||
Total expenses | 90,586 | 1,963 | 477,369 | 137,552 | ||||||||||||
Less: | ||||||||||||||||
Expenses waived by Adviser | (6,455 | ) | — | — | — | |||||||||||
Net expenses | 84,131 | — | — | — | ||||||||||||
Net investment income | 237,251 | 23,769 | 1,189,109 | 321,015 | ||||||||||||
Net Realized and Unrealized Gain (Loss): | ||||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||
Investments | (288,586 | ) | (45,423 | ) | (52,924 | ) | (820,955 | ) | ||||||||
In-kind redemptions | 477,290 | 58,523 | 15,543,063 | 7,526,725 | ||||||||||||
Foreign currency transactions | 2,238 | — | — | — | ||||||||||||
Net realized gain | 190,942 | 13,100 | 15,490,139 | 6,705,770 | ||||||||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||||||
Investments | 1,538,603 | 23,124 | 3,665,557 | 908,558 | ||||||||||||
Foreign currency translations | 1,623 | — | — | — | ||||||||||||
Net change in unrealized appreciation (depreciation) | 1,540,226 | 23,124 | 3,665,557 | 908,558 | ||||||||||||
Net realized and unrealized gain | 1,731,168 | 36,224 | 19,155,696 | 7,614,328 | ||||||||||||
Net increase in net assets resulting from operations | $ | 1,968,419 | $ | 59,993 | $ | 20,344,805 | $ | 7,935,343 | ||||||||
* Foreign taxes withheld | $ | 40,459 | $ | — | $ | 487 | $ | 117 |
a | Since commencement of operations: June 20, 2017. |
SEE NOTES TO FINANCIAL STATEMENTS. | GUGGENHEIM ETFs ANNUAL REPORT | 81 |
STATEMENTS OF OPERATIONS (continued) |
For the Year Ended October 31, 2017
Guggenheim S&P 100® Equal Weight ETF | Guggenheim S&P 500® Equal Weight Consumer Discretionary ETF | Guggenheim S&P 500® Equal Weight Consumer Staples ETF | Guggenheim S&P 500® Equal Weight Energy ETF | |||||||||||||
Investment Income: | ||||||||||||||||
Dividends | $ | 101,634 | $ | 1,414,207 | $ | 11,554,550 | $ | 6,007,541 | ||||||||
Income from securities lending | — | 47,009 | 17,234 | 98,845 | ||||||||||||
Interest | — | 1,014 | 8,524 | 2,870 | ||||||||||||
Total investment income | 101,634 | 1,462,230 | 11,580,308 | 6,109,256 | ||||||||||||
Expenses: | ||||||||||||||||
Management fees | 17,340 | 326,757 | 2,046,449 | 932,187 | ||||||||||||
Trustee fees | 370 | — | — | — | ||||||||||||
Total expenses | 17,710 | 326,757 | 2,046,449 | 932,187 | ||||||||||||
Net investment income | 83,924 | 1,135,473 | 9,533,859 | 5,177,069 | ||||||||||||
Net Realized and Unrealized Gain (Loss): | ||||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||
Investments | (16,304 | ) | (4,554,329 | ) | (5,256,854 | ) | (13,136,312 | ) | ||||||||
In-kind redemptions | 645,431 | 2,933,896 | 25,558,299 | 14,962,654 | ||||||||||||
Net realized gain (loss) | 629,127 | (1,620,433 | ) | 20,301,445 | 1,826,342 | |||||||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||||||
Investments | 52,814 | 6,533,651 | (22,537,500 | ) | (18,258,580 | ) | ||||||||||
Net realized and unrealized gain (loss) | 681,941 | 4,913,218 | (2,236,055 | ) | (16,432,238 | ) | ||||||||||
Net increase (decrease) in net assets resulting from operations | $ | 765,865 | $ | 6,048,691 | $ | 7,297,804 | $ | (11,255,169 | ) |
82 | GUGGENHEIM ETFs ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENTS OF OPERATIONS (continued) |
For the Year Ended October 31, 2017
Guggenheim S&P 500® Equal Weight Financials ETF | Guggenheim S&P 500® Equal Weight Health Care ETF | Guggenheim S&P 500® Equal Weight Industrials ETF | Guggenheim S&P 500® Equal Weight Materials ETF | |||||||||||||
Investment Income: | ||||||||||||||||
Dividends | $ | 5,935,357 | $ | 5,041,387 | $ | 3,004,247 | $ | 2,756,622 | ||||||||
Income from securities lending | 2,102 | 26,772 | 15,427 | 4,410 | ||||||||||||
Interest | 3,205 | 3,984 | 1,740 | 1,410 | ||||||||||||
Total investment income | 5,940,664 | 5,072,143 | 3,021,414 | 2,762,442 | ||||||||||||
Expenses: | ||||||||||||||||
Management fees | 1,291,374 | 2,308,638 | 765,664 | 570,523 | ||||||||||||
Total expenses | 1,291,374 | 2,308,638 | 765,664 | 570,523 | ||||||||||||
Net investment income | 4,649,290 | 2,763,505 | 2,255,750 | 2,191,919 | ||||||||||||
Net Realized and Unrealized Gain (Loss): | ||||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||
Investments | (1,451,568 | ) | (15,546,092 | ) | (3,115,645 | ) | (4,325,781 | ) | ||||||||
In-kind redemptions | 31,125,127 | 29,981,117 | 18,421,716 | 14,026,321 | ||||||||||||
Net realized gain | 29,673,559 | 14,435,025 | 15,306,071 | 9,700,540 | ||||||||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||||||
Investments | 34,101,728 | 94,082,455 | 19,430,465 | 21,833,761 | ||||||||||||
Net realized and unrealized gain | 63,775,287 | 108,517,480 | 34,736,536 | 31,534,301 | ||||||||||||
Net increase in net assets resulting from operations | $ | 68,424,577 | $ | 111,280,985 | $ | 36,992,286 | $ | 33,726,220 |
SEE NOTES TO FINANCIAL STATEMENTS. | GUGGENHEIM ETFs ANNUAL REPORT | 83 |
STATEMENTS OF OPERATIONS (concluded) |
For the Year Ended October 31, 2017
Guggenheim S&P 500® Equal Weight Real Estate ETF | Guggenheim S&P 500® Equal Weight Technology ETF | Guggenheim S&P 500® Equal Weight Utilities ETF | ||||||||||
Investment Income: | ||||||||||||
Dividends | $ | 682,581 | $ | 16,173,428 | $ | 6,318,401 | ||||||
Income from securities lending | 646 | 124,600 | 20,214 | |||||||||
Interest | 383 | 9,970 | 2,405 | |||||||||
Total investment income | 683,610 | 16,307,998 | 6,341,020 | |||||||||
Expenses: | ||||||||||||
Management fees | 113,289 | 4,846,243 | 744,610 | |||||||||
Trustee fees | 2,496 | — | — | |||||||||
Total expenses | 115,785 | 4,846,243 | 744,610 | |||||||||
Net investment income | 567,825 | 11,461,755 | 5,596,410 | |||||||||
Net Realized and Unrealized Gain (Loss): | ||||||||||||
Net realized gain (loss) on: | ||||||||||||
Investments | (143,155 | ) | (15,241,955 | ) | (4,403,866 | ) | ||||||
In-kind redemptions | 574,275 | 141,971,874 | 7,633,462 | |||||||||
Net realized gain | 431,120 | 126,729,919 | 3,229,596 | |||||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||
Investments | 1,214,032 | 241,071,754 | 10,680,671 | |||||||||
Net realized and unrealized gain | 1,645,152 | 367,801,673 | 13,910,267 | |||||||||
Net increase in net assets resulting from operations | $ | 2,212,977 | $ | 379,263,428 | $ | 19,506,677 |
84 | GUGGENHEIM ETFs ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENTS OF CHANGES IN NET ASSETS |
Guggenheim MSCI Emerging Markets Equal Country Weight ETF | Guggenheim Multi-Factor Large Cap ETF | |||||||||||
Year Ended October 31, 2017 | Year Ended October 31, 2016 | Period ended October 31, 2017a | ||||||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||||||
Net investment income | $ | 237,251 | $ | 225,317 | $ | 23,769 | ||||||
Net realized gain (loss) on investments | 190,942 | (759,726 | ) | 13,100 | ||||||||
Net change in unrealized appreciation (depreciation) on investments | 1,540,226 | 1,385,465 | 23,124 | |||||||||
Net increase in net assets resulting from operations | 1,968,419 | 851,056 | 59,993 | |||||||||
Distributions to shareholders from: | ||||||||||||
Net investment income | (243,235 | ) | (257,333 | ) | (21,970 | ) | ||||||
Shareholder transactions: | ||||||||||||
Proceeds from shares purchased | 3,222,756 | — | 7,516,347 | |||||||||
Cost of shares redeemed | (3,180,105 | ) | — | (6,264,009 | ) | |||||||
Net increase in net assets resulting from share transactions | 42,651 | — | 1,252,338 | |||||||||
Net increase in net assets | 1,767,835 | 593,723 | 1,290,361 | |||||||||
Net assets: | ||||||||||||
Beginning of period | 11,665,865 | 11,072,142 | — | |||||||||
End of period | $ | 13,433,700 | $ | 11,665,865 | $ | 1,290,361 | ||||||
Undistributed net investment income at end of period | $ | 9,156 | $ | 12,202 | $ | 1,799 | ||||||
Changes in shares outstanding: | ||||||||||||
Shares sold | 100,000 | — | 300,000 | |||||||||
Shares redeemed | (100,000 | ) | — | (250,000 | ) | |||||||
Net increase in shares | — | — | 50,000 |
a | Since commencement of operations: June 20, 2017. |
SEE NOTES TO FINANCIAL STATEMENTS. | GUGGENHEIM ETFs ANNUAL REPORT | 85 |
STATEMENTS OF CHANGES IN NET ASSETS (continued) |
Guggenheim S&P MidCap 400® Equal Weight ETF | Guggenheim S&P SmallCap 600® Equal Weight ETF | |||||||||||||||
Year Ended October 31, 2017 | Year Ended October 31, 2016 | Year Ended October 31, 2017 | Year Ended October 31, 2016 | |||||||||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||||||||||
Net investment income | $ | 1,189,109 | $ | 1,320,360 | $ | 321,015 | $ | 308,220 | ||||||||
Net realized gain (loss) on investments | 15,490,139 | (1,716,154 | ) | 6,705,770 | (2,975,150 | ) | ||||||||||
Net change in unrealized appreciation (depreciation) on investments | 3,665,557 | 1,522,297 | 908,558 | 3,224,307 | ||||||||||||
Net increase in net assets resulting from operations | 20,344,805 | 1,126,503 | 7,935,343 | 557,377 | ||||||||||||
Distributions to shareholders from: | ||||||||||||||||
Net investment income | (1,246,531 | ) | (1,282,647 | ) | (296,001 | ) | (343,398 | ) | ||||||||
Shareholder transactions: | ||||||||||||||||
Proceeds from shares purchased | 55,894,493 | 20,399,624 | 12,419,932 | 9,474,203 | ||||||||||||
Cost of shares redeemed | (50,244,574 | ) | (62,831,320 | ) | (22,371,710 | ) | (19,640,274 | ) | ||||||||
Net increase (decrease) in net assets resulting from share transactions | 5,649,919 | (42,431,696 | ) | (9,951,778 | ) | (10,166,071 | ) | |||||||||
Net increase (decrease) in net assets | 24,748,193 | (42,587,840 | ) | (2,312,436 | ) | (9,952,092 | ) | |||||||||
Net assets: | ||||||||||||||||
Beginning of year | 89,943,749 | 132,531,589 | 33,977,986 | 43,930,078 | ||||||||||||
End of year | $ | 114,691,942 | $ | 89,943,749 | $ | 31,665,550 | $ | 33,977,986 | ||||||||
Undistributed net investment income at end of year | $ | 157,069 | $ | 152,420 | $ | 47,101 | $ | 21,321 | ||||||||
Changes in shares outstanding: | ||||||||||||||||
Shares sold | 950,000 | 450,000 | 250,000 | 250,000 | ||||||||||||
Shares redeemed | (850,000 | ) | (1,400,000 | ) | (450,000 | ) | (500,000 | ) | ||||||||
Net increase (decrease) in shares | 100,000 | (950,000 | ) | (200,000 | ) | (250,000 | ) |
86 | GUGGENHEIM ETFs ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENTS OF CHANGES IN NET ASSETS (continued) |
Guggenheim S&P 100® Equal Weight ETF | Guggenheim S&P 500® Equal Weight Consumer Discretionary ETF | |||||||||||||||
Year Ended October 31, 2017 | Period ended October 31, 2016a | Year Ended October 31, 2017 | Year Ended October 31, 2016 | |||||||||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||||||||||
Net investment income | $ | 83,924 | $ | 16,152 | $ | 1,135,473 | $ | 1,549,965 | ||||||||
Net realized gain (loss) on investments | 629,127 | 63,961 | (1,620,433 | ) | (6,897,777 | ) | ||||||||||
Net change in unrealized appreciation (depreciation) on investments | 52,814 | 10,222 | 6,533,651 | (7,038,042 | ) | |||||||||||
Net increase (decrease) in net assets resulting from operations | 765,865 | 90,335 | 6,048,691 | (12,385,854 | ) | |||||||||||
Distributions to shareholders from: | ||||||||||||||||
Net investment income | (81,197 | ) | (11,925 | ) | (1,160,323 | ) | (1,560,723 | ) | ||||||||
Shareholder transactions: | ||||||||||||||||
Proceeds from shares purchased | 7,284,392 | 3,867,706 | 27,144,099 | 8,720,472 | ||||||||||||
Cost of shares redeemed | (5,900,033 | ) | (1,313,918 | ) | (27,390,480 | ) | (102,451,705 | ) | ||||||||
Net increase (decrease) in net assets resulting from share transactions | 1,384,359 | 2,553,788 | (246,381 | ) | (93,731,233 | ) | ||||||||||
Net increase (decrease) in net assets | 2,069,027 | 2,632,198 | 4,641,987 | (107,677,810 | ) | |||||||||||
Net assets: | ||||||||||||||||
Beginning of period | 2,632,198 | — | 68,323,237 | 176,001,047 | ||||||||||||
End of period | $ | 4,701,225 | $ | 2,632,198 | $ | 72,965,224 | $ | 68,323,237 | ||||||||
Undistributed net investment income at end of period | $ | 10,933 | $ | 6,244 | $ | 134,574 | $ | 156,494 | ||||||||
Changes in shares outstanding: | ||||||||||||||||
Shares sold | 250,000 | 150,000 | 300,000 | 100,000 | ||||||||||||
Shares redeemed | (200,000 | ) | (50,000 | ) | (300,000 | ) | (1,250,000 | ) | ||||||||
Net increase (decrease) in shares | 50,000 | 100,000 | — | (1,150,000 | ) |
a | Since commencement of operations: June 30, 2016. |
SEE NOTES TO FINANCIAL STATEMENTS. | GUGGENHEIM ETFs ANNUAL REPORT | 87 |
STATEMENTS OF CHANGES IN NET ASSETS (continued) |
Guggenheim S&P 500® Equal Weight Consumer Staples ETF | Guggenheim S&P 500® Equal Weight Energy ETF | |||||||||||||||
Year Ended October 31, 2017 | Year Ended October 31, 2016 | Year Ended October 31, 2017 | Year Ended October 31, 2016 | |||||||||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||||||||||
Net investment income | $ | 9,533,859 | $ | 11,830,640 | $ | 5,177,069 | $ | 3,344,310 | ||||||||
Net realized gain (loss) on investments | 20,301,445 | 64,392,147 | 1,826,342 | (26,613,503 | ) | |||||||||||
Net change in unrealized appreciation (depreciation) on investments | (22,537,500 | ) | (19,573,047 | ) | (18,258,580 | ) | 43,196,210 | |||||||||
Net increase (decrease) in net assets resulting from operations | 7,297,804 | 56,649,740 | (11,255,169 | ) | 19,927,017 | |||||||||||
Distributions to shareholders from: | ||||||||||||||||
Net investment income | (9,494,388 | ) | (11,421,201 | ) | (5,194,156 | ) | (3,414,412 | ) | ||||||||
Shareholder transactions: | ||||||||||||||||
Proceeds from shares purchased | 149,237,362 | 569,506,862 | 166,387,004 | 82,525,656 | ||||||||||||
Cost of shares redeemed | (316,609,508 | ) | (531,947,193 | ) | (118,354,186 | ) | (76,647,251 | ) | ||||||||
Net increase (decrease) in net assets resulting from share transactions | (167,372,146 | ) | 37,559,669 | 48,032,818 | 5,878,405 | |||||||||||
Net increase (decrease) in net assets | (169,568,730 | ) | 82,788,208 | 31,583,493 | 22,391,010 | |||||||||||
Net assets: | ||||||||||||||||
Beginning of year | 613,660,604 | 530,872,396 | 199,163,658 | 176,772,648 | ||||||||||||
End of year | $ | 444,091,874 | $ | 613,660,604 | $ | 230,747,151 | $ | 199,163,658 | ||||||||
Undistributed net investment income at end of year | $ | 1,163,223 | $ | 1,123,753 | $ | 115,054 | $ | 100,794 | ||||||||
Changes in shares outstanding: | ||||||||||||||||
Shares sold | 1,200,000 | 4,800,000 | 2,800,000 | 1,600,000 | ||||||||||||
Shares redeemed | (2,600,000 | ) | (4,500,000 | ) | (2,050,000 | ) | (1,350,000 | ) | ||||||||
Net increase (decrease) in shares | (1,400,000 | ) | 300,000 | 750,000 | 250,000 |
88 | GUGGENHEIM ETFs ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENTS OF CHANGES IN NET ASSETS (continued) |
Guggenheim S&P 500® Equal Weight Financials ETF | Guggenheim S&P 500® Equal Weight Health Care ETF | |||||||||||||||
Year Ended October 31, 2017 | Year Ended October 31, 2016 | Year Ended October 31, 2017 | Year Ended October 31, 2016 | |||||||||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||||||||||
Net investment income | $ | 4,649,290 | $ | 3,087,492 | $ | 2,763,505 | $ | 2,694,826 | ||||||||
Net realized gain (loss) on investments | 29,673,559 | (6,127,650 | ) | 14,435,025 | (4,697,313 | ) | ||||||||||
Net change in unrealized appreciation (depreciation) on investments | 34,101,728 | 2,466,708 | 94,082,455 | (20,086,726 | ) | |||||||||||
Net increase (decrease) in net assets resulting from operations | 68,424,577 | (573,450 | ) | 111,280,985 | (22,089,213 | ) | ||||||||||
Distributions to shareholders from: | ||||||||||||||||
Net investment income | (4,369,545 | ) | (3,197,168 | ) | (2,631,245 | ) | (2,529,726 | ) | ||||||||
Return of capital | — | (44,777,358 | )a | — | — | |||||||||||
Total distributions to shareholders | (4,369,545 | ) | (47,974,526 | ) | (2,631,245 | ) | (2,529,726 | ) | ||||||||
Shareholder transactions: | ||||||||||||||||
Proceeds from shares purchased | 396,942,732 | 101,995,202 | 216,349,448 | 194,817,565 | ||||||||||||
Cost of shares redeemed | (217,151,515 | ) | (122,418,077 | ) | (148,875,500 | ) | (265,597,969 | ) | ||||||||
Net increase (decrease) in net assets resulting from share transactions | 179,791,217 | (20,422,875 | ) | 67,473,948 | (70,780,404 | ) | ||||||||||
Net increase (decrease) in net assets | 243,846,249 | (68,970,851 | ) | 176,123,688 | (95,399,343 | ) | ||||||||||
Net assets: | ||||||||||||||||
Beginning of year | 114,649,499 | 183,620,350 | 474,493,765 | 569,893,108 | ||||||||||||
End of year | $ | 358,495,748 | $ | 114,649,499 | $ | 650,617,453 | $ | 474,493,765 | ||||||||
Undistributed net investment income at end of year | $ | 479,289 | $ | — | $ | 427,255 | $ | 292,295 | ||||||||
Changes in shares outstanding: | ||||||||||||||||
Shares sold | 10,650,000 | 2,400,000 | 1,300,000 | 1,300,000 | ||||||||||||
Shares redeemed | (5,750,000 | ) | (2,950,000 | ) | (900,000 | ) | (1,800,000 | ) | ||||||||
Net increase (decrease) in shares | 4,900,000 | (550,000 | ) | 400,000 | (500,000 | ) |
a | Special Distribution — See Note 9. |
SEE NOTES TO FINANCIAL STATEMENTS. | GUGGENHEIM ETFs ANNUAL REPORT | 89 |
STATEMENTS OF CHANGES IN NET ASSETS (continued) |
Guggenheim S&P 500® Equal Weight Industrials ETF | Guggenheim S&P 500® Equal Weight Materials ETF | |||||||||||||||
Year Ended October 31, 2017 | Year Ended October 31, 2016 | Year Ended October 31, 2017 | Year Ended October 31, 2016 | |||||||||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||||||||||
Net investment income | $ | 2,255,750 | $ | 1,621,856 | $ | 2,191,919 | $ | 1,159,563 | ||||||||
Net realized gain on investments | 15,306,071 | 2,689,421 | 9,700,540 | 287,706 | ||||||||||||
Net change in unrealized appreciation (depreciation) on investments | 19,430,465 | 1,123,759 | 21,833,761 | 3,034,814 | ||||||||||||
Net increase in net assets resulting from operations | 36,992,286 | 5,435,036 | 33,726,220 | 4,482,083 | ||||||||||||
Distributions to shareholders from: | ||||||||||||||||
Net investment income | (2,570,293 | ) | (1,434,252 | ) | (2,126,922 | ) | (1,136,509 | ) | ||||||||
Shareholder transactions: | ||||||||||||||||
Proceeds from shares purchased | 172,708,806 | 98,402,755 | 174,633,878 | 66,623,002 | ||||||||||||
Cost of shares redeemed | (107,834,685 | ) | (68,946,182 | ) | (96,676,433 | ) | (41,487,373 | ) | ||||||||
Net increase in net assets resulting from share transactions | 64,874,121 | 29,456,573 | 77,957,445 | 25,135,629 | ||||||||||||
Net increase in net assets | 99,296,114 | 33,457,357 | 109,556,743 | 28,481,203 | ||||||||||||
Net assets: | ||||||||||||||||
Beginning of year | 127,287,891 | 93,830,534 | 84,463,326 | 55,982,123 | ||||||||||||
End of year | $ | 226,584,005 | $ | 127,287,891 | $ | 194,020,069 | $ | 84,463,326 | ||||||||
Undistributed net investment income at end of year | $ | — | $ | 235,634 | $ | 169,491 | $ | 94,609 | ||||||||
Changes in shares outstanding: | ||||||||||||||||
Shares sold | 1,650,000 | 1,100,000 | 1,800,000 | 800,000 | ||||||||||||
Shares redeemed | (1,050,000 | ) | (800,000 | ) | (1,000,000 | ) | (500,000 | ) | ||||||||
Net increase in shares | 600,000 | 300,000 | 800,000 | 300,000 |
90 | GUGGENHEIM ETFs ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENTS OF CHANGES IN NET ASSETS (continued) |
Guggenheim S&P 500® Equal Weight Real Estate ETF | Guggenheim S&P 500® Equal Weight Technology ETF | |||||||||||||||
Year Ended October 31, 2017 | Year Ended October 31, 2016 | Year Ended October 31, 2017 | Year Ended October 31, 2016 | |||||||||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||||||||||
Net investment income | $ | 567,825 | $ | 191,989 | $ | 11,461,755 | $ | 11,551,073 | ||||||||
Net realized gain on investments | 431,120 | 267,436 | 126,729,919 | 45,741,023 | ||||||||||||
Net change in unrealized appreciation (depreciation) on investments | 1,214,032 | (1,678,281 | ) | 241,071,754 | 16,659,550 | |||||||||||
Net increase (decrease) in net assets resulting from operations | 2,212,977 | (1,218,856 | ) | 379,263,428 | 73,951,646 | |||||||||||
Distributions to shareholders from: | ||||||||||||||||
Net investment income | (723,609 | ) | (66,011 | ) | (10,382,861 | ) | (11,574,847 | ) | ||||||||
Shareholder transactions: | ||||||||||||||||
Proceeds from shares purchased | 8,142,625 | 48,179,615 | 720,005,127 | 547,497,519 | ||||||||||||
Cost of shares redeemed | (21,205,756 | ) | (13,322,327 | ) | (494,931,647 | ) | (434,624,288 | ) | ||||||||
Net increase (decrease) in net assets resulting from share transactions | (13,063,131 | ) | 34,857,288 | 225,073,480 | 112,873,231 | |||||||||||
Net increase (decrease) in net assets | (11,573,763 | ) | 33,572,421 | 593,954,047 | 175,250,030 | |||||||||||
Net assets: | ||||||||||||||||
Beginning of year | 36,135,052 | 2,562,631 | 915,878,699 | 740,628,669 | ||||||||||||
End of year | $ | 24,561,289 | $ | 36,135,052 | $ | 1,509,832,746 | $ | 915,878,699 | ||||||||
Undistributed net investment income at end of year | $ | 109,209 | $ | 193,328 | $ | 1,726,783 | $ | 634,073 | ||||||||
Changes in shares outstanding: | ||||||||||||||||
Shares sold | 300,000 | 1,800,000 | 5,950,000 | 5,550,000 | ||||||||||||
Shares redeemed | (800,000 | ) | (500,000 | ) | (4,100,000 | ) | (4,750,000 | ) | ||||||||
Net increase (decrease) in shares | (500,000 | ) | 1,300,000 | 1,850,000 | 800,000 |
SEE NOTES TO FINANCIAL STATEMENTS. | GUGGENHEIM ETFs ANNUAL REPORT | 91 |
STATEMENTS OF CHANGES IN NET ASSETS (concluded) |
Guggenheim S&P 500® Equal Weight Utilities ETF | ||||||||
Year Ended October 31, 2017 | Year Ended October 31, 2016 | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 5,596,410 | $ | 6,435,980 | ||||
Net realized gain on investments | 3,229,596 | 8,109,619 | ||||||
Net change in unrealized appreciation (depreciation) on investments | 10,680,671 | 5,981,382 | ||||||
Net increase in net assets resulting from operations | 19,506,677 | 20,526,981 | ||||||
Distributions to shareholders from: | ||||||||
Net investment income | (5,692,156 | ) | (6,269,737 | ) | ||||
Shareholder transactions: | ||||||||
Proceeds from shares purchased | 55,463,449 | 182,433,708 | ||||||
Cost of shares redeemed | (111,962,567 | ) | (114,084,544 | ) | ||||
Net increase (decrease) in net assets resulting from share transactions | (56,499,118 | ) | 68,349,164 | |||||
Net increase (decrease) in net assets | (42,684,597 | ) | 82,606,408 | |||||
Net assets: | ||||||||
Beginning of year | 210,864,727 | 128,258,319 | ||||||
End of year | $ | 168,180,130 | $ | 210,864,727 | ||||
Undistributed net investment income at end of year | $ | 432,883 | $ | 528,629 | ||||
Changes in shares outstanding: | ||||||||
Shares sold | 650,000 | 2,250,000 | ||||||
Shares redeemed | (1,350,000 | ) | (1,400,000 | ) | ||||
Net increase (decrease) in shares | (700,000 | ) | 850,000 |
92 | GUGGENHEIM ETFs ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
GUGGENHEIM MSCI EMERGING MARKETS EQUAL COUNTRY WEIGHT ETF |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating the Fund’s performance for the periods presented.
Year Ended October 31, 2017 | Year Ended October 31, 2016 | Year Ended October 31, 2015 | Year Ended October 31, 2014 | Year Ended October 31, 2013 | ||||||||||||||||
Per Share Data: | ||||||||||||||||||||
Net asset value, beginning of period | $ | 29.16 | $ | 27.68 | $ | 34.14 | $ | 34.43 | $ | 33.31 | ||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | 0.58 | 0.56 | 0.71 | 0.64 | 0.50 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 4.39 | 1.56 | (6.53 | ) | (0.31 | ) | 1.06 | |||||||||||||
Total from investment operations | 4.97 | 2.12 | (5.82 | ) | 0.33 | 1.56 | ||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (0.55 | ) | (0.64 | ) | (0.64 | ) | (0.62 | ) | (0.44 | ) | ||||||||||
Total distributions to shareholders | (0.55 | ) | (0.64 | ) | (0.64 | ) | (0.62 | ) | (0.44 | ) | ||||||||||
Net asset value, end of period | $ | 33.58 | $ | 29.16 | $ | 27.68 | $ | 34.14 | $ | 34.43 | ||||||||||
Total Returnb | 17.14 | % | 7.80 | % | (17.21 | %) | 0.99 | % | 4.76 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 13,434 | $ | 11,666 | $ | 11,072 | $ | 13,654 | $ | 10,328 | ||||||||||
Ratio to average net assets of: | ||||||||||||||||||||
Net investment income (loss) | 1.86 | % | 2.07 | % | 2.26 | % | 1.86 | % | 1.47 | % | ||||||||||
Total expensese | 0.71 | % | 0.71 | % | 0.70 | % | 0.70 | % | 0.71 | % | ||||||||||
Net expensesc | 0.66 | % | 0.66 | % | 0.64 | % | 0.60 | % | 0.60 | % | ||||||||||
Portfolio turnover rated | 23 | % | 11 | % | 99 | % | 25 | % | 38 | % |
a | Based on average shares outstanding. |
b | Total investment return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distribution at net asset value during the period, and redemption on the last day of the period. Transaction fees are not reflected in the calculation of total investment return. |
c | Net expense information reflects the expense ratios after expense waivers. |
d | Portfolio turnover does not include securities received or delivered from processing creations or redemptions. |
e | Excludes expenses of the underlying funds in which the Fund invests. |
SEE NOTES TO FINANCIAL STATEMENTS. | GUGGENHEIM ETFs ANNUAL REPORT | 93 |
GUGGENHEIM MULTI-FACTOR LARGE CAP ETF |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating the Fund’s performance for the periods presented.
Period Ended October 31, 2017a | ||||
Per Share Data: | ||||
Net asset value, beginning of period | $ | 25.11 | ||
Income from investment operations: | ||||
Net investment income (loss)b | 0.29 | |||
Net gain (loss) on investments (realized and unrealized) | 0.85 | |||
Total from investment operations | 1.14 | |||
Less distributions from: | ||||
Net investment income | (0.44 | ) | ||
Total distributions to shareholders | (0.44 | ) | ||
Net asset value, end of period | $ | 25.81 | ||
Total Returnc | 4.58 | % | ||
Ratios/Supplemental Data: | ||||
Net assets, end of period (in thousands) | $ | 1,290 | ||
Ratio to average net assets of: | ||||
Net investment income (loss) | 3.08 | %d | ||
Total expenses | 0.25 | %d | ||
Portfolio turnover ratee | 94 | % |
a | The Fund commenced operations on June 20, 2017. |
b | Based on average shares outstanding. |
c | Total investment return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distribution at net asset value during the period, and redemption on the last day of the period. Transaction fees are not reflected in the calculation of total investment return. |
d | Annualized. |
e | Portfolio turnover does not include securities received or delivered from processing creations or redemptions. |
94 | GUGGENHEIM ETFs ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
GUGGENHEIM S&P MIDCAP 400® EQUAL WEIGHT ETF |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating the Fund’s performance for the periods presented.
Year Ended October 31, 2017 | Year Ended October 31, 2016 | Year Ended October 31, 2015 | Year Ended October 31, 2014 | Year Ended October 31, 2013 | ||||||||||||||||
Per Share Data: | ||||||||||||||||||||
Net asset value, beginning of period | $ | 51.40 | $ | 49.09 | $ | 50.39 | $ | 45.24 | $ | 33.95 | ||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | 0.60 | 0.66 | 0.62 | 0.62 | 0.57 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 10.59 | 2.30 | (1.21 | ) | 5.48 | 11.28 | ||||||||||||||
Total from investment operations | 11.19 | 2.96 | (0.59 | ) | 6.10 | 11.85 | ||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (0.59 | ) | (0.65 | ) | (0.67 | ) | (0.59 | ) | (0.56 | ) | ||||||||||
Capital gains | — | — | — | (0.36 | ) | — | ||||||||||||||
Return of capital | — | — | (0.04 | ) | — | — | ||||||||||||||
Total distributions to shareholders | (0.59 | ) | (0.65 | ) | (0.71 | ) | (0.95 | ) | (0.56 | ) | ||||||||||
Net asset value, end of period | $ | 62.00 | $ | 51.40 | $ | 49.09 | $ | 50.39 | $ | 45.24 | ||||||||||
Total Returnb | 21.82 | % | 6.08 | % | (1.19 | %) | 13.61 | % | 35.21 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 114,692 | $ | 89,944 | $ | 132,532 | $ | 146,125 | $ | 76,904 | ||||||||||
Ratio to average net assets of: | ||||||||||||||||||||
Net investment income (loss) | 1.02 | % | 1.35 | % | 1.22 | % | 1.27 | % | 1.44 | % | ||||||||||
Total expenses | 0.41 | % | 0.41 | % | 0.41 | % | 0.41 | % | 0.41 | % | ||||||||||
Portfolio turnover ratec | 26 | % | 101 | % | 31 | % | 29 | % | 29 | % |
a | Based on average shares outstanding. |
b | Total investment return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distribution at net asset value during the period, and redemption on the last day of the period. Transaction fees are not reflected in the calculation of total investment return. |
c | Portfolio turnover does not include securities received or delivered from processing creations or redemptions. |
SEE NOTES TO FINANCIAL STATEMENTS. | GUGGENHEIM ETFs ANNUAL REPORT | 95 |
GUGGENHEIM S&P SMALLCAP 600® EQUAL WEIGHT ETF |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating the Fund’s performance for the periods presented.
Year Ended October 31, 2017 | Year Ended October 31, 2016 | Year Ended October 31, 2015 | Year Ended October 31, 2014 | Year Ended October 31, 2013 | ||||||||||||||||
Per Share Data: | ||||||||||||||||||||
Net asset value, beginning of period | $ | 42.47 | $ | 41.84 | $ | 44.87 | $ | 42.89 | $ | 31.82 | ||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | 0.47 | 0.32 | 0.49 | 0.43 | 0.54 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 10.27 | 0.67 | (2.97 | ) | 1.97 | 11.12 | ||||||||||||||
Total from investment operations | 10.74 | 0.99 | (2.48 | ) | 2.40 | 11.66 | ||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (0.43 | ) | (0.36 | ) | (0.52 | ) | (0.42 | ) | (0.59 | ) | ||||||||||
Return of capital | — | — | (0.03 | ) | — | — | ||||||||||||||
Total distributions to shareholders | (0.43 | ) | (0.36 | ) | (0.55 | ) | (0.42 | ) | (0.59 | ) | ||||||||||
Net asset value, end of period | $ | 52.78 | $ | 42.47 | $ | 41.84 | $ | 44.87 | $ | 42.89 | ||||||||||
Total Returnb | 25.32 | % | 2.39 | % | (5.59 | %) | 5.58 | % | 37.07 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 31,666 | $ | 33,978 | $ | 43,930 | $ | 40,380 | $ | 25,736 | ||||||||||
Ratio to average net assets of: | ||||||||||||||||||||
Net investment income (loss) | 0.96 | % | 0.80 | % | 1.11 | % | 0.96 | % | 1.46 | % | ||||||||||
Total expenses | 0.41 | % | 0.41 | % | 0.41 | % | 0.42 | % | 0.41 | % | ||||||||||
Portfolio turnover ratec | 24 | % | 96 | % | 47 | % | 43 | % | 42 | % |
a | Based on average shares outstanding. |
b | Total investment return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distribution at net asset value during the period, and redemption on the last day of the period. Transaction fees are not reflected in the calculation of total investment return. |
c | Portfolio turnover does not include securities received or delivered from processing creations or redemptions. |
96 | GUGGENHEIM ETFs ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
GUGGENHEIM S&P 100® EQUAL WEIGHT ETF |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating the Fund’s performance for the periods presented.
Year Ended October 31, 2017 | Period Ended October 31, 2016a | |||||||
Per Share Data: | ||||||||
Net asset value, beginning of period | $ | 26.32 | $ | 25.45 | ||||
Income from investment operations: | ||||||||
Net investment income (loss)b | 0.56 | 0.16 | ||||||
Net gain (loss) on investments (realized and unrealized) | 4.87 | 0.79 | ||||||
Total from investment operations | 5.43 | 0.95 | ||||||
Less distributions from: | ||||||||
Net investment income | (0.41 | ) | (0.08 | ) | ||||
Total distributions to shareholders | (0.41 | ) | (0.08 | ) | ||||
Net asset value, end of period | $ | 31.34 | $ | 26.32 | ||||
Total Returnc | 20.71 | % | 3.73 | % | ||||
Ratios/Supplemental Data: | ||||||||
Net assets, end of period (in thousands) | $ | 4,701 | $ | 2,632 | ||||
Ratio to average net assets of: | ||||||||
Net investment income (loss) | 1.94 | % | 1.77 | %d | ||||
Total expenses | 0.41 | % | 0.40 | %d | ||||
Portfolio turnover ratee | 2 | % | 3 | % |
a | The Fund commenced operations on June 30, 2016. |
b | Based on average shares outstanding. |
c | Total investment return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distribution at net asset value during the period, and redemption on the last day of the period. Transaction fees are not reflected in the calculation of total investment return. |
d | Annualized. |
e | Portfolio turnover does not include securities received or delivered from processing creations or redemptions. |
SEE NOTES TO FINANCIAL STATEMENTS. | GUGGENHEIM ETFs ANNUAL REPORT | 97 |
GUGGENHEIM S&P 500® EQUAL WEIGHT CONSUMER DISCRETIONARY ETF |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating the Fund’s performance for the periods presented.
Year Ended October 31, 2017 | Year Ended October 31, 2016 | Year Ended October 31, 2015 | Year Ended October 31, 2014 | Year Ended October 31, 2013 | ||||||||||||||||
Per Share Data: | ||||||||||||||||||||
Net asset value, beginning of period | $ | 85.40 | $ | 90.26 | $ | 82.76 | $ | 76.06 | $ | 55.09 | ||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | 1.27 | 1.29 | 1.15 | 0.95 | 0.79 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 5.84 | (4.96 | ) | 7.39 | 6.67 | 21.02 | ||||||||||||||
Total from investment operations | 7.11 | (3.67 | ) | 8.54 | 7.62 | 21.81 | ||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (1.30 | ) | (1.19 | ) | (1.04 | ) | (0.92 | ) | (0.84 | ) | ||||||||||
Total distributions to shareholders | (1.30 | ) | (1.19 | ) | (1.04 | ) | (0.92 | ) | (0.84 | ) | ||||||||||
Net asset value, end of period | $ | 91.21 | $ | 85.40 | $ | 90.26 | $ | 82.76 | $ | 76.06 | ||||||||||
Total Returnb | 8.32 | % | (4.07 | %) | 10.35 | % | 10.07 | % | 39.91 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 72,965 | $ | 68,323 | $ | 176,001 | $ | 86,897 | $ | 125,497 | ||||||||||
Ratio to average net assets of: | ||||||||||||||||||||
Net investment income (loss) | 1.39 | % | 1.49 | % | 1.29 | % | 1.20 | % | 1.19 | % | ||||||||||
Total expenses | 0.40 | % | 0.40 | % | 0.40 | % | 0.40 | % | 0.50 | % | ||||||||||
Portfolio turnover ratec | 29 | % | 30 | % | 23 | % | 22 | % | 20 | % |
a | Based on average shares outstanding. |
b | Total investment return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distribution at net asset value during the period, and redemption on the last day of the period. Transaction fees are not reflected in the calculation of total investment return. |
c | Portfolio turnover does not include securities received or delivered from processing creations or redemptions. |
98 | GUGGENHEIM ETFs ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
GUGGENHEIM S&P 500® EQUAL WEIGHT CONSUMER STAPLES ETF |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating the Fund’s performance for the periods presented.
Year Ended October 31, 2017 | Year Ended October 31, 2016 | Year Ended October 31, 2015 | Year Ended October 31, 2014 | Year Ended October 31, 2013 | ||||||||||||||||
Per Share Data: | ||||||||||||||||||||
Net asset value, beginning of period | $ | 121.52 | $ | 111.76 | $ | 100.75 | $ | 88.48 | $ | 68.24 | ||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | 2.30 | 2.19 | 2.08 | 2.04 | 1.73 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 0.13 | 9.69 | 10.86 | 12.03 | 20.22 | |||||||||||||||
Total from investment operations | 2.43 | 11.88 | 12.94 | 14.07 | 21.95 | |||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (2.28 | ) | (2.12 | ) | (1.93 | ) | (1.80 | ) | (1.71 | ) | ||||||||||
Total distributions to shareholders | (2.28 | ) | (2.12 | ) | (1.93 | ) | (1.80 | ) | (1.71 | ) | ||||||||||
Net asset value, end of period | $ | 121.67 | $ | 121.52 | $ | 111.76 | $ | 100.75 | $ | 88.48 | ||||||||||
Total Returnb | 1.99 | % | 10.63 | % | 12.95 | % | 16.04 | % | 32.59 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 444,092 | $ | 613,661 | $ | 530,872 | $ | 186,382 | $ | 84,054 | ||||||||||
Ratio to average net assets of: | ||||||||||||||||||||
Net investment income (loss) | 1.86 | % | 1.81 | % | 1.94 | % | 2.18 | % | 2.15 | % | ||||||||||
Total expenses | 0.40 | % | 0.40 | % | 0.40 | % | 0.40 | % | 0.50 | % | ||||||||||
Portfolio turnover ratec | 20 | % | 17 | % | 16 | % | 20 | % | 17 | % |
a | Based on average shares outstanding. |
b | Total investment return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distribution at net asset value during the period, and redemption on the last day of the period. Transaction fees are not reflected in the calculation of total investment return. |
c | Portfolio turnover does not include securities received or delivered from processing creations or redemptions. |
SEE NOTES TO FINANCIAL STATEMENTS. | GUGGENHEIM ETFs ANNUAL REPORT | 99 |
GUGGENHEIM S&P 500® EQUAL WEIGHT ENERGY ETF |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating the Fund’s performance for the periods presented.
Year Ended October 31, 2017 | Year Ended October 31, 2016 | Year Ended October 31, 2015 | Year Ended October 31, 2014 | Year Ended October 31, 2013 | ||||||||||||||||
Per Share Data: | ||||||||||||||||||||
Net asset value, beginning of period | $ | 56.90 | $ | 54.39 | $ | 77.16 | $ | 79.86 | $ | 64.01 | ||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | 1.28 | 0.90 | 1.35 | 1.40 | 0.78 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (2.50 | ) | 2.53 | (22.73 | ) | (2.91 | ) | 15.87 | ||||||||||||
Total from investment operations | (1.22 | ) | 3.43 | (21.38 | ) | (1.51 | ) | 16.65 | ||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (1.39 | ) | (0.92 | ) | (1.39 | ) | (1.19 | ) | (0.80 | ) | ||||||||||
Total distributions to shareholders | (1.39 | ) | (0.92 | ) | (1.39 | ) | (1.19 | ) | (0.80 | ) | ||||||||||
Net asset value, end of period | $ | 54.29 | $ | 56.90 | $ | 54.39 | $ | 77.16 | $ | 79.86 | ||||||||||
Total Returnb | (2.20 | %) | 6.50 | % | (27.93 | %) | (2.02 | %) | 26.19 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 230,747 | $ | 199,164 | $ | 176,773 | $ | 100,307 | $ | 43,924 | ||||||||||
Ratio to average net assets of: | ||||||||||||||||||||
Net investment income (loss) | 2.22 | % | 1.72 | % | 2.16 | % | 1.64 | % | 1.09 | % | ||||||||||
Total expenses | 0.40 | % | 0.40 | % | 0.40 | % | 0.40 | % | 0.50 | % | ||||||||||
Portfolio turnover ratec | 34 | % | 41 | % | 34 | % | 25 | % | 17 | % |
a | Based on average shares outstanding. |
b | Total investment return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distribution at net asset value during the period, and redemption on the last day of the period. Transaction fees are not reflected in the calculation of total investment return. |
c | Portfolio turnover does not include securities received or delivered from processing creations or redemptions. |
100 | GUGGENHEIM ETFs ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
GUGGENHEIM S&P 500® EQUAL WEIGHT FINANCIALS ETF |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating the Fund’s performance for the periods presented.
Year Ended October 31, 2017 | Year Ended October 31, 2016 | Year Ended October 31, 2015 | Year Ended October 31, 2014 | Year Ended October 31, 2013 | ||||||||||||||||
Per Share Data: | ||||||||||||||||||||
Net asset value, beginning of period | $ | 31.41 | $ | 43.72 | $ | 43.27 | $ | 37.64 | $ | 28.68 | ||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | 0.55 | 0.81 | 0.72 | 0.53 | 0.57 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 10.45 | 1.03 | 0.58 | 5.76 | 9.08 | |||||||||||||||
Total from investment operations | 11.00 | 1.84 | 1.30 | 6.29 | 9.65 | |||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (0.48 | ) | (0.78 | ) | (0.80 | ) | (0.66 | ) | (0.58 | ) | ||||||||||
Return of capital | — | (13.37 | )d | (0.05 | ) | — | (0.11 | ) | ||||||||||||
Total distributions to shareholders | (0.48 | ) | (14.15 | ) | (0.85 | ) | (0.66 | ) | (0.69 | ) | ||||||||||
Net asset value, end of period | $ | 41.93 | $ | 31.41 | $ | 43.72 | $ | 43.27 | $ | 37.64 | ||||||||||
Total Returnb | 35.15 | % | 4.33 | % | 3.04 | % | 16.84 | % | 34.05 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 358,496 | $ | 114,649 | $ | 183,620 | $ | 136,316 | $ | 58,337 | ||||||||||
Ratio to average net assets of: | ||||||||||||||||||||
Net investment income (loss) | 1.44 | % | 1.96 | % | 1.64 | % | 1.30 | % | 1.65 | % | ||||||||||
Total expenses | 0.40 | % | 0.40 | % | 0.40 | % | 0.40 | % | 0.50 | % | ||||||||||
Portfolio turnover ratec | 15 | % | 53 | % | 13 | % | 19 | % | 14 | % |
a | Based on average shares outstanding. |
b | Total investment return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distribution at net asset value during the period, and redemption on the last day of the period. Transaction fees are not reflected in the calculation of total investment return. |
c | Portfolio turnover does not include securities received or delivered from processing creations or redemptions. |
d | Special Distribution — See Note 9. |
SEE NOTES TO FINANCIAL STATEMENTS. | GUGGENHEIM ETFs ANNUAL REPORT | 101 |
GUGGENHEIM S&P 500® EQUAL WEIGHT HEALTH CARE ETF |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating the Fund’s performance for the periods presented.
Year Ended October 31, 2017 | Year Ended October 31, 2016 | Year Ended October 31, 2015 | Year Ended October 31, 2014 | Year Ended October 31, 2013 | ||||||||||||||||
Per Share Data: | ||||||||||||||||||||
Net asset value, beginning of period | $ | 143.79 | $ | 149.97 | $ | 137.44 | $ | 104.50 | $ | 76.84 | ||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | 0.78 | 0.78 | 0.75 | 0.66 | 0.55 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 32.02 | (6.22 | ) | 12.46 | 32.89 | 27.63 | ||||||||||||||
Total from investment operations | 32.80 | (5.44 | ) | 13.21 | 33.55 | 28.18 | ||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (0.75 | ) | (0.74 | ) | (0.68 | ) | (0.61 | ) | (0.52 | ) | ||||||||||
Total distributions to shareholders | (0.75 | ) | (0.74 | ) | (0.68 | ) | (0.61 | ) | (0.52 | ) | ||||||||||
Net asset value, end of period | $ | 175.84 | $ | 143.79 | $ | 149.97 | $ | 137.44 | $ | 104.50 | ||||||||||
Total Returnb | 22.85 | % | (3.65 | %) | 9.61 | % | 32.20 | % | 36.81 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 650,617 | $ | 474,494 | $ | 569,893 | $ | 391,714 | $ | 130,627 | ||||||||||
Ratio to average net assets of: | ||||||||||||||||||||
Net investment income (loss) | 0.48 | % | 0.52 | % | 0.49 | % | 0.55 | % | 0.60 | % | ||||||||||
Total expenses | 0.40 | % | 0.40 | % | 0.40 | % | 0.40 | % | 0.50 | % | ||||||||||
Portfolio turnover ratec | 24 | % | 28 | % | 22 | % | 23 | % | 24 | % |
a | Based on average shares outstanding. |
b | Total investment return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distribution at net asset value during the period, and redemption on the last day of the period. Transaction fees are not reflected in the calculation of total investment return. |
c | Portfolio turnover does not include securities received or delivered from processing creations or redemptions. |
102 | GUGGENHEIM ETFs ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
GUGGENHEIM S&P 500® EQUAL WEIGHT INDUSTRIALS ETF |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating the Fund’s performance for the periods presented.
Year Ended October 31, 2017 | Year Ended October 31, 2016 | Year Ended October 31, 2015 | Year Ended October 31, 2014 | Year Ended October 31, 2013 | ||||||||||||||||
Per Share Data: | ||||||||||||||||||||
Net asset value, beginning of period | $ | 90.92 | $ | 85.30 | $ | 88.18 | $ | 76.33 | $ | 56.94 | ||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | 1.24 | 1.40 | 1.13 | 1.22 | 0.95 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 22.50 | 5.57 | (2.69 | ) | 11.59 | 19.41 | ||||||||||||||
Total from investment operations | 23.74 | 6.97 | (1.56 | ) | 12.81 | 20.36 | ||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (1.37 | ) | (1.35 | ) | (1.29 | ) | (0.96 | ) | (0.97 | ) | ||||||||||
Return of capital | — | — | (0.03 | ) | — | — | ||||||||||||||
Total distributions to shareholders | (1.37 | ) | (1.35 | ) | (1.32 | ) | (0.96 | ) | (0.97 | ) | ||||||||||
Net asset value, end of period | $ | 113.29 | $ | 90.92 | $ | 85.30 | $ | 88.18 | $ | 76.33 | ||||||||||
Total Returnb | 26.21 | % | 8.25 | % | (1.78 | %) | 16.85 | % | 36.10 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 226,584 | $ | 127,288 | $ | 93,831 | $ | 123,447 | $ | 57,251 | ||||||||||
Ratio to average net assets of: | ||||||||||||||||||||
Net investment income (loss) | 1.18 | % | 1.60 | % | 1.29 | % | 1.47 | % | 1.41 | % | ||||||||||
Total expenses | 0.40 | % | 0.40 | % | 0.40 | % | 0.40 | % | 0.50 | % | ||||||||||
Portfolio turnover ratec | 18 | % | 23 | % | 22 | % | 15 | % | 24 | % |
a | Based on average shares outstanding. |
b | Total investment return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distribution at net asset value during the period, and redemption on the last day of the period. Transaction fees are not reflected in the calculation of total investment return. |
c | Portfolio turnover does not include securities received or delivered from processing creations or redemptions. |
SEE NOTES TO FINANCIAL STATEMENTS. | GUGGENHEIM ETFs ANNUAL REPORT | 103 |
GUGGENHEIM S&P 500® EQUAL WEIGHT MATERIALS ETF |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating the Fund’s performance for the periods presented.
Year Ended October 31, 2017 | Year Ended October 31, 2016 | Year Ended October 31, 2015 | Year Ended October 31, 2014 | Year Ended October 31, 2013 | ||||||||||||||||
Per Share Data: | ||||||||||||||||||||
Net asset value, beginning of period | $ | 84.46 | $ | 79.97 | $ | 82.38 | $ | 75.49 | $ | 60.71 | ||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | 1.49 | 1.29 | 1.23 | 1.21 | 1.25 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 23.28 | 4.49 | (2.41 | ) | 6.85 | 14.73 | ||||||||||||||
Total from investment operations | 24.77 | 5.78 | (1.18 | ) | 8.06 | 15.98 | ||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (1.44 | ) | (1.29 | ) | (1.23 | ) | (1.17 | ) | (1.20 | ) | ||||||||||
Total distributions to shareholders | (1.44 | ) | (1.29 | ) | (1.23 | ) | (1.17 | ) | (1.20 | ) | ||||||||||
Net asset value, end of period | $ | 107.79 | $ | 84.46 | $ | 79.97 | $ | 82.38 | $ | 75.49 | ||||||||||
Total Returnb | 29.52 | % | 7.29 | % | (1.44 | %) | 10.68 | % | 26.59 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 194,020 | $ | 84,463 | $ | 55,982 | $ | 74,138 | $ | 49,069 | ||||||||||
Ratio to average net assets of: | ||||||||||||||||||||
Net investment income (loss) | 1.54 | % | 1.57 | % | 1.46 | % | 1.48 | % | 1.84 | % | ||||||||||
Total expenses | 0.40 | % | 0.40 | % | 0.40 | % | 0.40 | % | 0.50 | % | ||||||||||
Portfolio turnover ratec | 22 | % | 25 | % | 27 | % | 22 | % | 18 | % |
a | Based on average shares outstanding. |
b | Total investment return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distribution at net asset value during the period, and redemption on the last day of the period. Transaction fees are not reflected in the calculation of total investment return. |
c | Portfolio turnover does not include securities received or delivered from processing creations or redemptions. |
104 | GUGGENHEIM ETFs ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
GUGGENHEIM S&P 500® EQUAL WEIGHT REAL ESTATE ETF |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating the Fund’s performance for the periods presented.
Year Ended October 31, 2017 | Year Ended October 31, 2016 | Period Ended October 31, 2015a | ||||||||||
Per Share Data: | ||||||||||||
Net asset value, beginning of period | $ | 25.81 | $ | 25.63 | $ | 25.31 | ||||||
Income from investment operations: | ||||||||||||
Net investment income (loss)b | 0.54 | 0.70 | 0.13 | |||||||||
Net gain (loss) on investments (realized and unrealized) | 1.59 | (0.08 | ) | 0.27 | ||||||||
Total from investment operations | 2.13 | 0.62 | 0.40 | |||||||||
Less distributions from: | ||||||||||||
Net investment income | (0.65 | ) | (0.44 | ) | (0.08 | ) | ||||||
Total distributions to shareholders | (0.65 | ) | (0.44 | ) | (0.08 | ) | ||||||
Net asset value, end of period | $ | 27.29 | $ | 25.81 | $ | 25.63 | ||||||
Total Returnc | 8.33 | % | 2.39 | % | 1.61 | % | ||||||
Ratios/Supplemental Data: | ||||||||||||
Net assets, end of period (in thousands) | $ | 24,561 | $ | 36,135 | $ | 2,563 | ||||||
Ratio to average net assets of: | ||||||||||||
Net investment income (loss) | 2.00 | % | 2.70 | % | 2.49 | %d | ||||||
Total expenses | 0.41 | % | 0.37 | % | 0.40 | %d | ||||||
Portfolio turnover ratee | 24 | % | 10 | % | 5 | % |
a | The Fund commenced operations on August 13, 2015. |
b | Based on average shares outstanding. |
c | Total investment return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distribution at net asset value during the period, and redemption on the last day of the period. Transaction fees are not reflected in the calculation of total investment return. |
d | Annualized. |
e | Portfolio turnover does not include securities received or delivered from processing creations or redemptions. |
SEE NOTES TO FINANCIAL STATEMENTS. | GUGGENHEIM ETFs ANNUAL REPORT | 105 |
GUGGENHEIM S&P 500® EQUAL WEIGHT TECHNOLOGY ETF |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating the Fund’s performance for the periods presented.
Year Ended October 31, 2017 | Year Ended October 31, 2016 | Year Ended October 31, 2015 | Year Ended October 31, 2014 | Year Ended October 31, 2013 | ||||||||||||||||
Per Share Data: | ||||||||||||||||||||
Net asset value, beginning of period | $ | 104.67 | $ | 93.16 | $ | 87.17 | $ | 70.98 | $ | 51.53 | ||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | 1.16 | 1.47 | 1.09 | 0.78 | 0.68 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 37.61 | 11.48 | 6.09 | 16.15 | 19.43 | |||||||||||||||
Total from investment operations | 38.77 | 12.95 | 7.18 | 16.93 | 20.11 | |||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (1.00 | ) | (1.44 | ) | (1.12 | ) | (0.74 | ) | (0.66 | ) | ||||||||||
Return of capital | — | — | (0.07 | ) | — | — | ||||||||||||||
Total distributions to shareholders | (1.00 | ) | (1.44 | ) | (1.19 | ) | (0.74 | ) | (0.66 | ) | ||||||||||
Net asset value, end of period | $ | 142.44 | $ | 104.67 | $ | 93.16 | $ | 87.17 | $ | 70.98 | ||||||||||
Total Returnb | 37.19 | % | 14.06 | % | 8.30 | % | 23.92 | % | 39.23 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 1,509,833 | $ | 915,879 | $ | 740,629 | $ | 671,221 | $ | 273,275 | ||||||||||
Ratio to average net assets of: | ||||||||||||||||||||
Net investment income (loss) | 0.95 | % | 1.55 | % | 1.20 | % | 0.97 | % | 1.07 | % | ||||||||||
Total expenses | 0.40 | % | 0.40 | % | 0.40 | % | 0.40 | % | 0.50 | % | ||||||||||
Portfolio turnover ratec | 19 | % | 24 | % | 21 | % | 22 | % | 24 | % |
a | Based on average shares outstanding. |
b | Total investment return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distribution at net asset value during the period, and redemption on the last day of the period. Transaction fees are not reflected in the calculation of total investment return. |
c | Portfolio turnover does not include securities received or delivered from processing creations or redemptions. |
106 | GUGGENHEIM ETFs ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
GUGGENHEIM S&P 500® EQUAL WEIGHT UTILITIES ETF |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating the Fund’s performance for the periods presented.
Year Ended October 31, 2017 | Year Ended October 31, 2016 | Year Ended October 31, 2015 | Year Ended October 31, 2014 | Year Ended October 31, 2013 | ||||||||||||||||
Per Share Data: | ||||||||||||||||||||
Net asset value, beginning of period | $ | 81.10 | $ | 73.29 | $ | 76.69 | $ | 64.67 | $ | 60.52 | ||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | 2.54 | 2.49 | 2.48 | 2.59 | 2.36 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 7.44 | 7.81 | (2.97 | ) | 11.75 | 4.11 | ||||||||||||||
Total from investment operations | 9.98 | 10.30 | (0.49 | ) | 14.34 | 6.47 | ||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (2.56 | ) | (2.49 | ) | (2.91 | ) | (2.32 | ) | (2.32 | ) | ||||||||||
Total distributions to shareholders | (2.56 | ) | (2.49 | ) | (2.91 | ) | (2.32 | ) | (2.32 | ) | ||||||||||
Net asset value, end of period | $ | 88.52 | $ | 81.10 | $ | 73.29 | $ | 76.69 | $ | 64.67 | ||||||||||
Total Returnb | 12.51 | % | 14.13 | % | (0.56 | %) | 22.61 | % | 10.95 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 168,180 | $ | 210,865 | $ | 128,258 | $ | 141,875 | $ | 51,738 | ||||||||||
Ratio to average net assets of: | ||||||||||||||||||||
Net investment income (loss) | 3.01 | % | 3.09 | % | 3.30 | % | 3.72 | % | 3.78 | % | ||||||||||
Total expenses | 0.40 | % | 0.40 | % | 0.40 | % | 0.40 | % | 0.50 | % | ||||||||||
Portfolio turnover ratec | 11 | % | 22 | % | 20 | % | 31 | % | 22 | % |
a | Based on average shares outstanding. |
b | Total investment return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distribution at net asset value during the period, and redemption on the last day of the period. Transaction fees are not reflected in the calculation of total investment return. |
c | Portfolio turnover does not include securities received or delivered from processing creations or redemptions. |
SEE NOTES TO FINANCIAL STATEMENTS. | GUGGENHEIM ETFs ANNUAL REPORT | 107 |
NOTES TO FINANCIAL STATEMENTS |
Note 1 - Organization and Significant Accounting Policies
Organization
Rydex ETF Trust (the “Trust”) is registered with the SEC under the Investment Company Act of 1940 (the “1940 Act”), as an open-ended investment company of the series type, and is authorized to issue an unlimited number of no par value shares. Each portfolio represents a separate series of beneficial interest in the Trust (each a “Fund”, and collectively, the “Funds”), each a non-diversified investment company. The Trust was organized as a Delaware statutory trust on November 22, 2002. At October 31, 2017, the Trust consisted of twenty-three funds.
The financial statements herein relate to the following Funds, whose investment objective is to replicate as closely as possible, before fees and expenses, the daily performance of an index representing publicly traded equity securities (the “Underlying Index”) as follows:
Fund | Underlying Index |
Guggenheim MSCI Emerging Markets Equal Country Weight ETF | MSCI Emerging Markets Equal Country Weighted Index |
Guggeneheim Multi-Factor Large Cap ETF | Guggenheim Multi-Factor Large Cap Index |
Guggenheim S&P MidCap 400® Equal Weight ETF | S&P MidCap 400® Equal Weight Index |
Guggenheim S&P SmallCap 600® Equal Weight ETF | S&P SmallCap 600® Equal Weight Index |
Guggenheim S&P 100® Equal Weight ETF | S&P 100® Equal Weight Index |
Guggenheim S&P 500® Equal Weight Consumer Discretionary ETF | S&P 500® Equal Weight Index Consumer Discretionary |
Guggenheim S&P 500® Equal Weight Consumer Staples ETF | S&P 500® Equal Weight Index Consumer Staples |
Guggenheim S&P 500® Equal Weight Energy ETF | S&P 500® Equal Weight Index Energy |
Guggenheim S&P 500® Equal Weight Financials ETF | S&P 500® Equal Weight Index Financials |
Guggenheim S&P 500® Equal Weight Health Care ETF | S&P 500® Equal Weight Index Health Care |
Guggenheim S&P 500® Equal Weight Industrials ETF | S&P 500® Equal Weight Index Industrials |
Guggenheim S&P 500® Equal Weight Materials ETF | S&P 500® Equal Weight Index Materials |
Guggenheim S&P 500® Equal Weight Real Estate ETF | S&P 500® Equal Weight Real Estate Index |
Guggenheim S&P 500® Equal Weight Technology ETF | S&P 500® Equal Weight Index Information Technology |
Guggenheim S&P 500® Equal Weight Utilities ETF | S&P 500® Equal Weight Index Telecommunication Services & Utilities |
The Funds seek to achieve their objective by investing in common stocks or exchange-traded funds (“ETFs”), where applicable, that comprise the Underlying Index. The Funds use a “replication” strategy to track the Underlying Index. Replication refers to investing in substantially all of the securities in the Underlying Index in approximately the same proportions as in the Underlying Index.
The Funds operate as index funds and are not actively managed. Adverse performance of a security in the Funds’ portfolio will ordinarily not result in the elimination of the security from the Funds’ portfolio.
The Funds issue and redeem shares on a continuous basis, at net asset value per share (“NAV”), only in aggregation of 50,000 shares (100,000 shares for the Guggenheim MSCI Emerging Markets Equal Country Weight ETF) called a “Creation Unit”. Creation Units are issued and redeemed principally in-kind for securities included in the Underlying Index.
The Funds invest in various investments which are exposed to risk, such as market risk. Due to the level of risk associated with certain investments it is at least reasonably possible that changes in the values of investment securities will occur in the near term and that such changes could materially affect amounts reported in the financial statements.
Security Investors, LLC, which operates under the name Guggenheim Investments (“GI”), provides advisory services to the Trust. Guggenheim Funds Distributors, LLC (“GFD”) acts as principal underwriter for the Trust. GI and GFD are affiliated entities.
Significant Accounting Policies
The Funds operate as investment companies and, accordingly, follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 Financial Services – Investment Companies.
The following significant accounting policies are in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) and are consistently followed by the Trust. This requires management to make estimates and assumptions that affect the reported amount of assets and liabilities, contingent assets and liabilities at the date of the financial statements, and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from these estimates. All time references are based on Eastern Time.
The NAV of a fund is calculated by dividing the market value of the fund’s securities and other assets, less all liabilities, by the number of outstanding shares of the fund.
(a) Valuation of Investments
The Board of Trustees of the Funds (the “Board”) has adopted policies and procedures for the valuation of the Funds’ investments (the “Valuation Procedures”). Pursuant to the Valuation Procedures, the Board has delegated to a valuation committee, consisting of representatives from Guggenheim’s investment management, fund administration, legal and
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NOTES TO FINANCIAL STATEMENTS (continued) |
compliance departments (the “Valuation Committee”), the day-to-day responsibility for implementing the Valuation Procedures, including, under most circumstances, the responsibility for determining the fair value of the Funds’ securities and/or other assets.
Valuations of the Funds’ securities are supplied primarily by pricing services appointed pursuant to the processes set forth in the Valuation Procedures. The Valuation Committee convenes monthly, or more frequently as needed, to review the valuation of all assets which have been fair valued for reasonableness. The Funds’ officers, through the Valuation Committee and consistent with the monitoring and review responsibilities set forth in the Valuation Procedures, regularly review procedures used and valuations provided by the pricing services.
If the pricing service cannot or does not provide a valuation for a particular investment or such valuation is deemed unreliable, such investment is fair valued by the Valuation Committee.
Equity securities listed on an exchange (New York Stock Exchange (“NYSE”) or American Stock Exchange) are valued at the last quoted sale price as of the close of business on the NYSE, usually 4:00 p.m. on the valuation date. Equity securities listed on the NASDAQ market system are valued at the NASDAQ Official Closing Price on the valuation date, which may not necessarily represent the last sale price. If there has been no sale on such exchange or NASDAQ on a given day, the security is valued at the closing bid price on that day.
Generally, trading in foreign securities markets is substantially completed each day at various times prior to the close of the NYSE. The values of foreign securities are determined as of the close of such foreign markets or the close of the NYSE, if earlier. All investments quoted in foreign currencies are valued in U.S. dollars on the basis of the foreign currency exchange rates prevailing at the close of U.S. business at 4:00 p.m. Investments in foreign securities may involve risks not present in domestic investments. The Valuation Committee will determine the current value of such foreign securities by taking into consideration certain factors which may include those discussed above, as well as the following factors, among others: the value of the securities traded on other foreign markets, ADR trading, closed-end fund trading, foreign currency exchange activity, and the trading prices of financial products that are tied to foreign securities. In addition, the Board has authorized the Valuation Committee and GI to use prices and other information supplied by a third party pricing vendor in valuing foreign securities.
The Funds invest in money market mutual funds, which are valued at their NAV.
ETFs are valued at the last quoted sale price.
Investments for which market quotations are not readily available are fair-valued as determined in good faith by GI under the direction of the Board using methods established or ratified by the Board. Valuations in accordance with these methods are intended to reflect each security’s (or asset’s) “fair value”. Each such determination is based on a consideration of all relevant factors, which are likely to vary from one pricing context to another. Examples of such factors may include, but are not limited to market prices; sale prices; broker quotes; and models which derive prices based on inputs such as prices of securities with comparable maturities and characteristics, or based on inputs such as anticipated cash flows or collateral, spread over Treasuries, and other information analysis.
(b) Currency Translations
The accounting records of the Funds are maintained in U.S. dollars. All assets and liabilities initially expressed in foreign currencies are converted into U.S. dollars at prevailing exchange rates. Purchases and sales of investment securities, dividend and interest income, and certain expenses are translated at the rates of exchange prevailing on the respective dates of such transactions. Changes in the relationship of these foreign currencies to the U.S. dollar can significantly affect the value of the investments and earnings of the Funds. Foreign investments may also subject the Funds to foreign government exchange restrictions, expropriation, taxation, or other political, social or economic developments, all of which could affect the market and/or credit risk of the investments.
The Funds do not isolate that portion of the results of operations resulting from changes in the foreign exchange rates on investments from the fluctuations arising from changes in the market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss on investments.
Reported net realized foreign exchange gains or losses arise from sales of foreign currencies and currency gains or losses realized between the trade and settlement dates on investment transactions. Net unrealized exchange gains and losses arise from changes in the fair values of assets and liabilities other than investments in securities at the fiscal period end, resulting from changes in exchange rates.
(c) Foreign Taxes
The Funds may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, capital gains on investments or certain foreign currency transactions. All foreign taxes are recorded in accordance with the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the Funds invest. These foreign taxes, if any, are paid by the Funds and reflected in their Statement of Operations as follows: foreign taxes withheld at source are presented as a reduction of income and foreign taxes on capital gains from sales of investments are included with the net realized gain (loss) on investments. Foreign taxes payable or deferred as of October 31, 2017, if any, are disclosed in the Funds’ Statements of Assets and Liabilities.
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(d) Repurchase Agreements
The Funds may enter into repurchase agreements with financial institutions. In a repurchase agreement, a Fund buys a security and the seller simultaneously agrees to repurchase the security on a specified future date at an agreed-upon price. The repurchase price reflects an agreed-upon interest rate during the time the Fund’s money is invested in the security. Because the security constitutes collateral for the repurchase obligation, a repurchase agreement can be considered a collateralized loan. The Funds follow certain procedures designed to minimize the risks inherent in such agreements. These procedures include effecting repurchase transactions only with large, well capitalized and well-established financial institutions whose condition will be continually monitored by GI. In addition, the value of the collateral underlying the repurchase agreement will always be at least equal to the repurchase price, including any accrued interest earned on the repurchase agreement. In the event of a default or bankruptcy by a selling financial institution, the Funds will seek to liquidate such collateral. However, the exercising of the Funds right to liquidate such collateral could involve certain costs or delays and, to the extent that proceeds from any sale upon a default of the obligation to repurchase were less than the repurchase price, the Funds could suffer a loss. It is the current policy of the Funds not to invest in repurchase agreements that do not mature within seven days if any such investment, together with any other illiquid assets held by the Funds, amounts to more than 15% of a Fund’s net assets. The investments of the Funds in repurchase agreements, at times, may be substantial when, in the view of GI, liquidity or other considerations so warrant.
(e) Security Transactions
Security transactions are recorded on the trade date for financial reporting purposes. Realized gains and losses from securities transactions are recorded using the identified cost basis. Proceeds from lawsuits related to investment holdings are recorded as realized gains in the respective Fund. Dividend income is recorded on the ex-dividend date, net of applicable taxes withheld by foreign countries. Taxable non-cash dividends are recorded as dividend income. Interest income, including amortization of premiums and accretion of discounts, is accrued on a daily basis. Dividend income from REITs is recorded based on the income included in the distributions received from the REIT investments using published REIT classifications, including some management estimates when actual amounts are not available. Distributions received in excess of this estimated amount are recorded as a reduction of the cost of investments or reclassified to capital gains. The actual amounts of income, return of capital, and capital gains are only determined by each REIT after its fiscal year-end, and may differ from the estimated amounts.
(f) Distributions
Distributions of net investment income and net realized gains, if any, are declared and paid at least annually. Distributions are recorded on the ex-dividend date and are determined in accordance with income tax regulations which may differ from U.S. GAAP.
(g) Cash
The Funds may leave cash overnight in their cash account with the custodian. Periodically, a Fund may have cash due to the custodian bank as an overdraft balance. A fee is incurred on this overdraft, calculated by multiplying the overdraft by a rate based on the federal funds rate, which was 1.07% at October 31, 2017.
(h) Indemnifications
Under the Funds’ organizational documents, the Trustees and Officers are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In addition, throughout the normal course of business, the Funds enter into contracts that contain a variety of representations and warranties which provide general indemnifications. The Funds’ maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds and/or their affiliates that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.
Note 2 - Capital
There is a minimum transaction fee per transaction to those persons purchasing or redeeming Creation Units. An additional charge of up to three times the standard transaction fee may be imposed for purchases and redemptions effected outside the National Securities Clearing Corporation usual clearing process or for cash. Such transactions are generally permitted on an in-kind basis, with a balancing cash component to equate the transaction to the NAV of the Fund on the transaction date. Transaction fees are not charged to or paid by the Funds.
The minimum transaction fees are:
Fund | Minimum Transaction Fee |
Guggenheim MSCI Emerging Markets Equal Country Weight ETF | $ 6,000 |
Guggenheim Multi-Factor Large Cap ETF | 500 |
Guggenheim S&P MidCap 400® Equal Weight ETF | 2,000 |
Guggenheim S&P SmallCap 600® Equal Weight ETF | 3,000 |
Guggenheim S&P 100® Equal Weight ETF | 500 |
Guggenheim S&P 500® Equal Weight Consumer Discretionary ETF | 750 |
Guggenheim S&P 500® Equal Weight Consumer Staples ETF | 500 |
Guggenheim S&P 500® Equal Weight Energy ETF | 500 |
Guggenheim S&P 500® Equal Weight Financials ETF | 750 |
Guggenheim S&P 500® Equal Weight Health Care ETF | 500 |
Guggenheim S&P 500® Equal Weight Industrials ETF | 500 |
Guggenheim S&P 500® Equal Weight Materials ETF | 500 |
Guggenheim S&P 500® Equal Weight Real Estate ETF | 500 |
Guggenheim S&P 500® Equal Weight Technology ETF | 750 |
Guggenheim S&P 500® Equal Weight Utilities ETF | 500 |
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NOTES TO FINANCIAL STATEMENTS (continued) |
Note 3 - Fees and Other Transactions with Affiliates
GI determines the composition of the portfolio of securities that must be delivered in exchange for the issuance of Creation Units and periodically adjusts the composition of the portfolio of the Funds to conform to changes in the composition of the relevant index. For these services, GI receives a management fee at the annual rate shown below as a percentage of the average daily net assets of the Funds.
Fund | Advisory Fee |
Guggenheim MSCI Emerging Markets Equal Country Weight ETF | 0.70% |
Guggenheim Multi-Factor Large Cap ETF | 0.25% |
Guggenheim S&P MidCap 400® Equal Weight ETF | 0.40% |
Guggenheim S&P SmallCap 600® Equal Weight ETF | 0.40% |
Guggenheim S&P 100® Equal Weight ETF | 0.40% |
Guggenheim S&P 500® Equal Weight Consumer Discretionary ETF | 0.40% |
Guggenheim S&P 500® Equal Weight Consumer Staples ETF | 0.40% |
Guggenheim S&P 500® Equal Weight Energy ETF | 0.40% |
Guggenheim S&P 500® Equal Weight Financials ETF | 0.40% |
Guggenheim S&P 500® Equal Weight Health Care ETF | 0.40% |
Guggenheim S&P 500® Equal Weight Industrials ETF | 0.40% |
Guggenheim S&P 500® Equal Weight Materials ETF | 0.40% |
Guggenheim S&P 500® Equal Weight Real Estate ETF | 0.40% |
Guggenheim S&P 500® Equal Weight Technology ETF | 0.40% |
Guggenheim S&P 500® Equal Weight Utilities ETF | 0.40% |
GI pays all expenses of the Funds, including the cost of transfer agency, custody, fund administration, fund accounting, legal, audit and other services, except: interest, taxes, distribution fees or expenses, trustee fees (where applicable) and extraordinary expenses.
Under a Fund Administration Agreement with the Trust, MUFG Investor Services (US), LLC (“MUIS”) provides various administrative and financial reporting services for the Funds. GI compensates MUIS directly for this service.
Under a Fund Accounting Agreement with the Trust, BNYMellon maintains the books and records of the Funds. Under a Custodian Agreement with the Trust, BNYMellon maintains cash, securities and other assets of the Funds in a separate account for the Funds, keeps all necessary accounts and records, and provides other services. BNYMellon is required, upon the order of the Trust, to deliver securities held by the custodian and to make payments for securities purchased by the Trust for the Funds. Pursuant to a Transfer Agency and Service Agreement with the Trust, BNYMellon acts as a transfer agent for the Trust’s authorized and issued shares of beneficial interest, and as dividend disbursing agent of the Trust. GI compensates BNYMellon directly for the foregoing services.
For the Guggenheim MSCI Emerging Markets Equal Country Weight ETF, GI has contractually agreed to reduce fees and/or reimburse expenses to the extent necessary to keep the Fund’s net operating expenses (excluding interest, taxes, brokerage commissions, dividends on securities sold short, distribution fees and expenses, and extraordinary expenses (“Excluded Expenses”)) plus Acquired Fund Fees and Expense borne indirectly, from exceeding 0.70% of the Fund’s average daily net assets until February 28, 2018. This agreement may be terminated only with the approval of the Fund’s Board. In any event, this undertaking will continue until at least February 28, 2018.
The Funds have adopted a Distribution Plan (the “Plan”) that allows the Funds to pay distribution fees to GFD and other firms that provide distribution services (“Service Providers”). If a Service Provider provides distribution services, the Funds will pay distribution fees to GFD at an annual rate not to exceed 0.25% of average daily net assets, pursuant to Rule 12b-1 of the 1940 Act. GFD will, in turn, pay the Service Provider out of its fees. No such fee is currently charged to the Funds.
Certain trustees and officers of the Trust are also officers of GI and GFD.
Note 4 - Fair Value Measurement
In accordance with U.S. GAAP, fair value is defined as the price that the Funds would receive to sell an investment or pay to transfer a liability in an orderly transaction with an independent buyer in the principal market, or in the absence of a principal market, the most advantageous market for the investment or liability. U.S. GAAP establishes a three-tier fair value hierarchy based on the types of inputs used to value assets and liabilities and requires corresponding disclosure. The hierarchy and the corresponding inputs are summarized below:
Level 1 — quoted prices in active markets for identical securities.
Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3 — significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
The types of inputs available depend on a variety of factors, such as the type of security and the characteristics of the markets in which it trades, if any. Fair valuation determinations that rely on fewer or no observable inputs require greater judgment. Accordingly, fair value determinations for Level 3 securities require the greatest amount of judgment.
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The suitability of the techniques and sources employed to determine fair valuation are regularly monitored and subject to change.
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Note 5 - Portfolio Securities Loaned
Each Fund may lend portfolio securities to certain creditworthy borrowers, including the Funds’ securities lending agent to earn additional income. The Funds receive cash collateral and/or high grade debt obligations valued at 102% of the market value of domestic securities on loan and 105% of foreign securities on loan. Collateral is maintained over the life of the loan in an amount not less than the value of loaned securities, as determined at the close of fund business on the preceding business day; any additional collateral required due to changes in security values is delivered to the Funds the next business day. The cash collateral received is held in a separately managed account established for each respective Fund and maintained by the lending agent exclusively for the investment of securities lending cash collateral on behalf of each Fund. The lending agent aggregates the available collateral in all the separately managed accounts to invest in short-term investments valued at amortized cost, which approximates market value. Each separately managed account is allocated a percentage of the aggregated repurchase agreement and the related collateral. Although the collateral mitigates the risk, the Funds could experience a delay in recovering its securities and a possible loss of income or value if the borrower fails to return the securities. The Funds have the right under the securities lending agreement to recover the securities from the borrower on demand. Securities lending transactions are accounted for as secured borrowings. The remaining contractual maturity of the securities lending agreement is overnight and continuous.
Each Fund separately receives compensation for lending securities from interest or dividends earned on the cash, cash equivalents, repurchase agreements, or U.S. government securities held as collateral, net of fee rebates paid to the borrower plus reasonable administrative and custody fees paid to the lending agent. Such compensation is accrued daily and payable to the Fund monthly. The dividend and interest income earned on the securities loaned is accounted for in the same manner as other dividend and interest income. The borrower pays to the Funds an amount equal to any dividends or interest received on loaned securities. These payments from the borrower are not eligible for reduced tax rates as “qualified dividend income” under the Jobs and Growth Tax Reconciliation Act of 2003. The Funds retain all or a portion of the interest received on investment of cash collateral or receives a fee from the borrower. The securities lending income earned by the Funds are disclosed on the Statements of Operations.
At October 31, 2017, the Funds participated in securities lending transactions, which are subject to enforceable netting arrangements, as follows:
Gross Amounts Not Offset in the Statements of Assets and Liabilities | Securities Lending Collateral | |||||||||||||||||||||||
Fund | Value of Securities Loaned | Collateral Receiveda | Net Amount | Cash Collateral | Non-Cash Collateral | Total Collateral | ||||||||||||||||||
Guggenheim MSCI Emerging Markets Equal Country Weight ETF | $ | 319,759 | $ | (319,759 | ) | $ | — | $ | 325,960 | $ | 3,395 | $ | 329,355 | |||||||||||
Guggenheim Multi-Factor Large Cap ETF | 24,458 | (24,458 | ) | — | 24,528 | — | 24,528 | |||||||||||||||||
Guggenheim S&P MidCap 400® Equal Weight ETF | 34,438,767 | (34,438,767 | ) | — | 12,420,679 | 22,639,478 | 35,060,157 | |||||||||||||||||
Guggenheim S&P SmallCap 600® Equal Weight ETF | 11,864,270 | (11,864,270 | ) | — | 3,669,105 | 8,407,225 | 12,076,330 | |||||||||||||||||
Guggenheim S&P 500® Equal Weight Consumer Discretionary ETF | 9,178,723 | (9,178,723 | ) | — | 6,227,480 | 3,407,832 | 9,635,312 | |||||||||||||||||
Guggenheim S&P 500® Equal Weight Consumer Staples ETF | 45,593,861 | (45,321,901 | )* | 271,960 | 21,929,486 | 23,392,415 | 45,321,901 | |||||||||||||||||
Guggenheim S&P 500® Equal Weight Energy ETF | 30,000,781 | (30,000,781 | ) | — | 13,396,095 | 17,149,895 | 30,545,990 | |||||||||||||||||
Guggenheim S&P 500® Equal Weight Health Care ETF | 25,277,554 | (25,277,554 | ) | — | 6,196,090 | 19,419,555 | 25,615,645 | |||||||||||||||||
Guggenheim S&P 500® Equal Weight Industrials ETF | 16,026,703 | (16,026,703 | ) | — | 4,891,246 | 11,483,024 | 16,374,270 | |||||||||||||||||
Guggenheim S&P 500® Equal Weight Materials ETF | 4,574,921 | (4,574,921 | ) | — | — | 4,652,308 | 4,652,308 | |||||||||||||||||
Guggenheim S&P 500® Equal Weight Technology ETF | 109,843,504 | (109,843,504 | ) | — | 11,242,116 | 100,622,801 | 111,864,917 | |||||||||||||||||
Guggenheim S&P 500® Equal Weight Utilities ETF | 5,521,589 | (5,521,589 | ) | — | 5,510,201 | 16,800 | 5,527,001 |
a | Actual collateral received by the Funds are greater than the amount shown due to over collateralization. |
* | Subsequent to October 31, 2017, additional collateral was received. |
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NOTES TO FINANCIAL STATEMENTS (continued) |
In the event of counterparty default, the Funds have the right to collect the collateral to offset losses incurred. There is potential loss to the Funds in the event the Funds are delayed or prevented from exercising their rights to dispose of the collateral securities, including the risk of a possible decline in the value of the underlying securities during the period while the Funds seek to assert their rights. GI, acting under the supervision of the Board, reviews the value of the collateral and the creditworthiness of those banks and dealers to evaluate potential risks.
The following represents the aggregate collateral balances reinvested by the lending agent on behalf of the Funds with each counterparty for the repurchase agreements at October 31, 2017:
Counterparty and Terms of Agreement | Face Value | Repurchase Price | Collateral | Par Value | Fair Value | |||||||||||||
Nomura Securities International, Inc. | Various U.S. Government obligations and | |||||||||||||||||
1.06% | U.S. Government | |||||||||||||||||
Due 11/01/17 | $ | 19,896,667 | $ | 19,897,253 | agency securities | $ | 21,002,674 | $ | 20,294,600 | |||||||||
HSBC Securities (USA), Inc. | Various U.S. Government obligations and | |||||||||||||||||
1.04% | U.S. Government | |||||||||||||||||
Due 11/01/17 | 19,896,667 | 19,897,243 | agency securities | 39,679,181 | 20,294,697 | |||||||||||||
Jefferies LLC | Various U.S. Government obligations and | |||||||||||||||||
1.14% - 1.18% | U.S. Government | |||||||||||||||||
Due 11/01/17 | 15,343,997 | 15,344,498 | agency securities | 15,830,152 | 15,650,878 | |||||||||||||
Citigroup Global Markets, Inc. | Various U.S. Government obligations and | |||||||||||||||||
1.07% | U.S. Government | |||||||||||||||||
Due 11/01/17 | 14,709,453 | 14,709,891 | agency securities | 85,396,885 | 15,003,642 | |||||||||||||
Daiwa Capital Markets America | Various U.S. Government obligations and | |||||||||||||||||
1.08% | U.S. Government | |||||||||||||||||
Due 11/01/17 | 6,545,709 | 6,545,905 | agency securities | 13,391,702 | 6,675,126 | |||||||||||||
Cantor Fitzgerald Securities | Various U.S. Government obligations and | |||||||||||||||||
1.08% | U.S. Government | |||||||||||||||||
Due 11/01/17 | 5,437,214 | 5,437,378 | agency securities | 27,131,061 | 5,547,102 | |||||||||||||
Merrill Lynch, Pierce, Fenner & Smith, Inc. | Various U.S. Government obligations and | |||||||||||||||||
1.05% | U.S. Government | |||||||||||||||||
Due 11/01/17 | 3,978,751 | 3,978,868 | agency securities | 4,067,948 | 4,058,326 | |||||||||||||
Citibank | Various U.S. Government obligations and | |||||||||||||||||
1.06% | U.S. Government | |||||||||||||||||
Due 11/01/17 | 24,528 | 24,529 | agency securities | 23,155 | 25,019 |
Each Fund’s exposure to each respective counterparty is identified in the Schedule of Investments. Under the terms of the agreement, each Fund participates in the earnings generated by each security it has exposure to on a pro rata basis.
Note 6 - Federal Income Tax Information
The Funds intend to comply with the provisions of Subchapter M of the Internal Revenue Code applicable to regulated investment companies and will distribute substantially all taxable net investment income and capital gains sufficient to relieve the Funds from all, or substantially all, federal income, excise and state income taxes. Therefore, no provision for federal or state income tax or federal excise tax is required.
Tax positions taken or expected to be taken in the course of preparing the Funds’ tax returns are evaluated to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. Management has analyzed the Funds’ tax positions taken, or to be
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NOTES TO FINANCIAL STATEMENTS (continued) |
taken, on federal income tax returns for all open tax years, and has concluded that no provision for income tax is required in the Funds’ financial statements. The Funds’ federal tax returns are subject to examination by the Internal Revenue Service for a period of three years after they are filed.
The tax character of distributions paid during the year ended October 31, 2017 was as follows:
Fund | Ordinary Income | Long-Term Capital Gain | Total Distributions | |||||||||
Guggenheim MSCI Emerging Markets Equal Country Weight ETF | $ | 243,235 | $ | — | $ | 243,235 | ||||||
Guggenheim Multi-Factor Large Cap ETF1 | 21,970 | — | 21,970 | |||||||||
Guggenheim S&P MidCap 400® Equal Weight ETF | 1,246,531 | — | 1,246,531 | |||||||||
Guggenheim S&P SmallCap 600® Equal Weight ETF | 296,001 | — | 296,001 | |||||||||
Guggenheim S&P 100® Equal Weight ETF | 81,192 | 5 | 81,197 | |||||||||
Guggenheim S&P 500® Equal Weight Consumer Discretionary ETF | 1,160,323 | — | 1,160,323 | |||||||||
Guggenheim S&P 500® Equal Weight Consumer Staples ETF | 9,494,388 | — | 9,494,388 | |||||||||
Guggenheim S&P 500® Equal Weight Energy ETF | 5,194,156 | — | 5,194,156 | |||||||||
Guggenheim S&P 500® Equal Weight Financials ETF | 4,369,545 | — | 4,369,545 | |||||||||
Guggenheim S&P 500® Equal Weight Health Care ETF | 2,631,245 | — | 2,631,245 | |||||||||
Guggenheim S&P 500® Equal Weight Industrials ETF | 2,570,293 | — | 2,570,293 | |||||||||
Guggenheim S&P 500® Equal Weight Materials ETF | 2,126,922 | — | 2,126,922 | |||||||||
Guggenheim S&P 500® Equal Weight Real Estate ETF | 723,609 | — | 723,609 | |||||||||
Guggenheim S&P 500® Equal Weight Technology ETF | 10,382,861 | — | 10,382,861 | |||||||||
Guggenheim S&P 500® Equal Weight Utilities ETF | 5,692,156 | — | 5,692,156 |
1 | Guggenheim Multi-Factor Large Cap ETF commenced operations on June 20, 2017. |
The tax character of distributions paid during the year ended October 31, 2016 was as follows:
Fund | Ordinary Income | Return of Capital | Total Distributions | |||||||||
Guggenheim MSCI Emerging Markets Equal Country Weight ETF | $ | 257,333 | $ | — | $ | 257,333 | ||||||
Guggenheim S&P MidCap 400® Equal Weight ETF | 1,282,647 | — | 1,282,647 | |||||||||
Guggenheim S&P SmallCap 600® Equal Weight ETF | 343,398 | — | 343,398 | |||||||||
Guggenheim S&P 100® Equal Weight ETF | 11,925 | — | 11,925 | |||||||||
Guggenheim S&P 500® Equal Weight Consumer Discretionary ETF | 1,560,723 | — | 1,560,723 | |||||||||
Guggenheim S&P 500® Equal Weight Consumer Staples ETF | 11,421,201 | — | 11,421,201 | |||||||||
Guggenheim S&P 500® Equal Weight Energy ETF | 3,414,412 | — | 3,414,412 | |||||||||
Guggenheim S&P 500® Equal Weight Financials ETF | 3,197,168 | 44,777,358 | 47,974,526 | |||||||||
Guggenheim S&P 500® Equal Weight Health Care ETF | 2,529,726 | — | 2,529,726 | |||||||||
Guggenheim S&P 500® Equal Weight Industrials ETF | 1,434,252 | — | 1,434,252 | |||||||||
Guggenheim S&P 500® Equal Weight Materials ETF | 1,136,509 | — | 1,136,509 | |||||||||
Guggenheim S&P 500® Equal Weight Real Estate ETF | 66,011 | — | 66,011 | |||||||||
Guggenheim S&P 500® Equal Weight Technology ETF | 11,574,847 | — | 11,574,847 | |||||||||
Guggenheim S&P 500® Equal Weight Utilities ETF | 6,269,737 | — | 6,269,737 |
Note: For federal income tax purposes, short-term capital gain distributions are treated as ordinary income distributions.
114 | GUGGENHEIM ETFs ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued) |
The tax components of accumulated earnings/(deficit) as of October 31, 2017 were as follows:
Fund | Undistributed Ordinary Income | Undistributed Long-Term Capital Gain | Net Unrealized Appreciation (Depreciation) | Accumulated Capital and Other Losses | Total | |||||||||||||||
Guggenheim MSCI Emerging Markets Equal Country Weight ETF | $ | 15,177 | $ | — | $ | 980,571 | $ | (4,712,998 | ) | $ | (3,717,250 | ) | ||||||||
Guggenheim Multi-Factor Large Cap ETF | 1,799 | — | 15,680 | (30,325 | ) | (12,846 | ) | |||||||||||||
Guggenheim S&P MidCap 400® Equal Weight ETF | 157,069 | — | 10,697,009 | (14,836,909 | ) | (3,982,831 | ) | |||||||||||||
Guggenheim S&P SmallCap 600® Equal Weight ETF | 47,101 | — | 3,379,265 | (14,068,306 | ) | (10,641,940 | ) | |||||||||||||
Guggenheim S&P 100® Equal Weight ETF | 10,933 | — | 48,162 | — | 59,095 | |||||||||||||||
Guggenheim S&P 500® Equal Weight Consumer Discretionary ETF | 134,574 | — | (6,055,615 | ) | (10,071,783 | ) | (15,992,824 | ) | ||||||||||||
Guggenheim S&P 500® Equal Weight Consumer Staples ETF | 1,163,223 | — | (22,996,063 | ) | (7,394,650 | ) | (29,227,490 | ) | ||||||||||||
Guggenheim S&P 500® Equal Weight Energy ETF | 115,054 | — | (29,813,122 | ) | (67,944,913 | ) | (97,642,981 | ) | ||||||||||||
Guggenheim S&P 500® Equal Weight Financials ETF | 479,289 | — | 31,764,643 | (8,663,212 | ) | 23,580,720 | ||||||||||||||
Guggenheim S&P 500® Equal Weight Health Care ETF | 427,255 | — | 53,673,344 | (30,052,251 | ) | 24,048,348 | ||||||||||||||
Guggenheim S&P 500® Equal Weight Industrials ETF | — | — | 16,701,831 | (6,396,405 | ) | 10,305,426 | ||||||||||||||
Guggenheim S&P 500® Equal Weight Materials ETF | 169,491 | — | 15,045,270 | (10,027,316 | ) | 5,187,445 | ||||||||||||||
Guggenheim S&P 500® Equal Weight Real Estate ETF | 37,544 | 204,526 | (503,755 | ) | — | (261,685 | ) | |||||||||||||
Guggenheim S&P 500® Equal Weight Technology ETF | 1,726,783 | — | 286,368,796 | (36,592,115 | ) | 251,503,464 | ||||||||||||||
Guggenheim S&P 500® Equal Weight Utilities ETF | 432,883 | — | 4,654,983 | (8,182,188 | ) | (3,094,322 | ) |
For Federal income tax purposes, capital loss carryforwards represent realized losses of the Funds that may be carried forward and applied against future capital gains. For taxable years beginning on or before December 22, 2010, such capital losses may be carried forward for a maximum of eight years. Under the RIC Modernization Act of 2010, the Funds are permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. However, any losses incurred during those taxable years must be utilized prior to the losses incurred in pre-enactment taxable years. As a result of this ordering rule, pre-enactment capital loss carryforwards may be more likely to expire unused. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under previous law. As of October 31, 2017, capital loss carryforwards for the Funds were as follows:
Unlimited | ||||||||||||||||||||
Fund | Expires in 2018 | Expires in 2019 | Short-Term | Long-Term | Total Capital Loss Carryforward | |||||||||||||||
Guggenheim MSCI Emerging Markets Equal Country Weight ETF | $ | — | $ | (18,800 | ) | $ | (1,289,034 | ) | $ | (3,405,164 | ) | $ | (4,712,998 | ) | ||||||
Guggenheim Multi-Factor Large Cap ETF | — | — | (30,325 | ) | — | (30,325 | ) | |||||||||||||
Guggenheim S&P MidCap 400® Equal Weight ETF | — | — | (7,226,981 | ) | (7,609,928 | ) | (14,836,909 | ) | ||||||||||||
Guggenheim S&P SmallCap 600® Equal Weight ETF | — | (259,648 | ) | (7,387,433 | ) | (6,421,225 | ) | (14,068,306 | ) | |||||||||||
Guggenheim S&P 500® Equal Weight Consumer Discretionary ETF | — | — | (1,309,999 | ) | (8,761,784 | ) | (10,071,783 | ) | ||||||||||||
Guggenheim S&P 500® Equal Weight Consumer Staples ETF | — | (61,000 | ) | (2,728,477 | ) | (4,605,173 | ) | (7,394,650 | ) | |||||||||||
Guggenheim S&P 500® Equal Weight Energy ETF | (393,314 | ) | (128,371 | ) | (17,928,601 | ) | (49,494,627 | ) | (67,944,913 | ) | ||||||||||
Guggenheim S&P 500® Equal Weight Financials ETF | (376,840 | ) | — | (2,468,884 | ) | (5,817,488 | ) | (8,663,212 | ) | |||||||||||
Guggenheim S&P 500® Equal Weight Health Care ETF | — | — | (4,109,675 | ) | (25,942,576 | ) | (30,052,251 | ) | ||||||||||||
Guggenheim S&P 500® Equal Weight Industrials ETF | — | — | (1,686,568 | ) | (4,709,837 | ) | (6,396,405 | ) | ||||||||||||
Guggenheim S&P 500® Equal Weight Materials ETF | — | — | (1,007,005 | ) | (9,020,311 | ) | (10,027,316 | ) | ||||||||||||
Guggenheim S&P 500® Equal Weight Technology ETF | — | — | (7,329,397 | ) | (29,262,718 | ) | (36,592,115 | ) | ||||||||||||
Guggenheim S&P 500® Equal Weight Utilities ETF | — | — | (2,928,839 | ) | (5,253,349 | ) | (8,182,188 | ) |
GUGGENHEIM ETFs ANNUAL REPORT | 115 |
NOTES TO FINANCIAL STATEMENTS (continued) |
For the year ended October 31, 2017, the following capital loss carryforward amounts expired:
Fund | Amount | |||
Guggenheim S&P 500® Equal Weight Consumer Discretionary ETF | $ | 1,981,333 | ||
Guggenheim S&P 500® Equal Weight Consumer Staples ETF | 195,890 | |||
Guggenheim S&P 500® Equal Weight Energy ETF | 1,743,348 | |||
Guggenheim S&P 500® Equal Weight Financials ETF | 4,062,086 | |||
Guggenheim S&P 500® Equal Weight Industrials ETF | 1,121,641 | |||
Guggenheim S&P 500® Equal Weight Materials ETF | 576,552 | |||
Guggenheim S&P 500® Equal Weight Technology ETF | 2,331,453 |
Net investment income and net realized gains (losses) may differ for financial statement and tax purposes because of temporary or permanent book/tax differences. These differences are primarily due to investments in real estate investment trusts, foreign currency gains and losses, dividend reclasses, losses deferred due to wash sales, redemption in-kind transactions, distributions in connection with redemption of fund shares, return of capital distributions received, and the “mark-to-market” or disposition of certain Passive Foreign Investment Companies (PFICs). Additional differences may result from the tax treatment of the expiration of capital loss carryforward amounts, distributions in excess of income, and excise tax paid. To the extent these differences are permanent, reclassifications are made to the appropriate capital accounts in the period that the differences arise. These reclassifications have no effect on net assets or NAV per share.
The following adjustments were made on the Statements of Assets and Liabilities as of October 31, 2017 for permanent book/tax differences:
Fund | Paid-In Capital | Undistributed Net Investment Income/(Loss) | Accumulated Net Realized Gain/(Loss) | |||||||||
Guggenheim MSCI Emerging Markets Equal Country Weight ETF | $ | 470,440 | $ | 2,938 | $ | (473,378 | ) | |||||
Guggenheim Multi-Factor Large Cap ETF | 50,869 | — | (50,869 | ) | ||||||||
Guggenheim S&P MidCap 400® Equal Weight ETF | 15,498,586 | 62,071 | (15,560,657 | ) | ||||||||
Guggenheim S&P SmallCap 600® Equal Weight ETF | 7,527,063 | 766 | (7,527,829 | ) | ||||||||
Guggenheim S&P 100® Equal Weight ETF | 636,394 | 1,962 | (638,356 | ) | ||||||||
Guggenheim S&P 500® Equal Weight Consumer Discretionary ETF | 802,482 | 2,930 | (805,412 | ) | ||||||||
Guggenheim S&P 500® Equal Weight Consumer Staples ETF | 23,543,684 | (1 | ) | (23,543,683 | ) | |||||||
Guggenheim S&P 500® Equal Weight Energy ETF | 8,316,329 | 31,347 | (8,347,676 | ) | ||||||||
Guggenheim S&P 500® Equal Weight Financials ETF | 26,556,391 | 199,544 | (26,755,935 | ) | ||||||||
Guggenheim S&P 500® Equal Weight Health Care ETF | 27,723,854 | 2,700 | (27,726,554 | ) | ||||||||
Guggenheim S&P 500® Equal Weight Industrials ETF | 16,952,645 | 78,909 | (17,031,554 | ) | ||||||||
Guggenheim S&P 500® Equal Weight Materials ETF | 13,287,118 | 9,885 | (13,297,003 | ) | ||||||||
Guggenheim S&P 500® Equal Weight Real Estate ETF | 254,470 | 71,665 | (326,135 | ) | ||||||||
Guggenheim S&P 500® Equal Weight Technology ETF | 138,898,428 | 13,816 | (138,912,244 | ) | ||||||||
Guggenheim S&P 500® Equal Weight Utilities ETF | 7,299,141 | — | (7,299,141 | ) |
116 | GUGGENHEIM ETFs ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued) |
At October 31, 2017, the cost of securities for Federal income tax purposes, the aggregate gross unrealized gain for all securities for which there was an excess of value over tax cost and the aggregate gross unrealized loss for all securities for which there was an excess of tax cost over value, were as follows:
Fund | Tax Cost | Tax Unrealized Gain | Tax Unrealized (Loss) | Net Unrealized Gain/(Loss) | ||||||||||||
Guggenheim MSCI Emerging Markets Equal Country Weight ETF | $ | 12,764,827 | $ | 2,024,479 | $ | (1,045,339 | ) | $ | 979,140 | |||||||
Guggenheim Multi-Factor Large Cap ETF | 1,298,414 | 33,779 | (18,099 | ) | 15,680 | |||||||||||
Guggenheim S&P MidCap 400® Equal Weight ETF | 116,395,001 | 16,512,738 | (5,815,729 | ) | 10,697,009 | |||||||||||
Guggenheim S&P SmallCap 600® Equal Weight ETF | 31,949,839 | 5,571,948 | (2,192,683 | ) | 3,379,265 | |||||||||||
Guggenheim S&P 100® Equal Weight ETF | 4,638,256 | 250,595 | (202,433 | ) | 48,162 | |||||||||||
Guggenheim S&P 500® Equal Weight Consumer Discretionary ETF | 85,227,023 | 6,765,252 | (12,820,867 | ) | (6,055,615 | ) | ||||||||||
Guggenheim S&P 500® Equal Weight Consumer Staples ETF | 488,574,853 | 19,241,022 | (42,237,085 | ) | (22,996,063 | ) | ||||||||||
Guggenheim S&P 500® Equal Weight Energy ETF | 273,891,467 | 6,886,049 | (36,699,171 | ) | (29,813,122 | ) | ||||||||||
Guggenheim S&P 500® Equal Weight Financials ETF | 326,582,822 | 34,115,138 | (2,350,495 | ) | 31,764,643 | |||||||||||
Guggenheim S&P 500® Equal Weight Health Care ETF | 603,146,798 | 91,124,366 | (37,451,022 | ) | 53,673,344 | |||||||||||
Guggenheim S&P 500® Equal Weight Industrials ETF | 214,716,670 | 23,562,262 | (6,860,431 | ) | 16,701,831 | |||||||||||
Guggenheim S&P 500® Equal Weight Materials ETF | 178,953,786 | 16,874,956 | (1,829,686 | ) | 15,045,270 | |||||||||||
Guggenheim S&P 500® Equal Weight Real Estate ETF | 25,070,008 | 1,672,098 | (2,175,853 | ) | (503,755 | ) | ||||||||||
Guggenheim S&P 500® Equal Weight Technology ETF | 1,234,610,300 | 303,982,448 | (17,613,652 | ) | 286,368,796 | |||||||||||
Guggenheim S&P 500® Equal Weight Utilities ETF | 168,760,581 | 13,028,394 | (8,373,411 | ) | 4,654,983 |
Note 7 - Investment Transactions
For the year ended October 31, 2017, the Funds had investments transactions in-kind associated with subscriptions and redemptions as follows:
Fund | Subscriptions | Redemptions | ||||||
Guggenheim MSCI Emerging Markets Equal Country Weight ETF | $ | 2,463,827 | $ | 2,484,720 | ||||
Guggenheim Multi-Factor Large Cap ETF | 7,447,836 | 6,193,185 | ||||||
Guggenheim S&P MidCap 400® Equal Weight ETF | 55,485,559 | 50,160,350 | ||||||
Guggenheim S&P SmallCap 600® Equal Weight ETF | 12,324,494 | 22,287,426 | ||||||
Guggenheim S&P 100® Equal Weight ETF | 7,249,508 | 5,824,397 | ||||||
Guggenheim S&P 500® Equal Weight Consumer Discretionary ETF | 27,020,401 | 27,278,084 | ||||||
Guggenheim S&P 500® Equal Weight Consumer Staples ETF | 148,217,222 | 315,305,012 | ||||||
Guggenheim S&P 500® Equal Weight Energy ETF | 165,907,632 | 117,787,224 | ||||||
Guggenheim S&P 500® Equal Weight Financials ETF | 392,857,067 | 216,082,589 | ||||||
Guggenheim S&P 500® Equal Weight Health Care ETF | 216,007,317 | 148,994,796 | ||||||
Guggenheim S&P 500® Equal Weight Industrials ETF | 172,119,716 | 107,699,272 | ||||||
Guggenheim S&P 500® Equal Weight Materials ETF | 173,589,615 | 96,610,040 | ||||||
Guggenheim S&P 500® Equal Weight Real Estate ETF | 7,986,364 | 20,982,885 | ||||||
Guggenheim S&P 500® Equal Weight Technology ETF | 715,840,553 | 493,965,952 | ||||||
Guggenheim S&P 500® Equal Weight Utilities ETF | 54,848,181 | 111,016,580 |
GUGGENHEIM ETFs ANNUAL REPORT | 117 |
NOTES TO FINANCIAL STATEMENTS (continued) |
For the year ended October 31, 2017, the cost of purchases and proceeds from sales of investment securities, excluding government securities, short-term investments and in-kind transactions, were as follows:
Fund | Purchases | Sales | ||||||
Guggenheim MSCI Emerging Markets Equal Country Weight ETF | $ | 2,984,465 | $ | 2,944,693 | ||||
Guggenheim Multi-Factor Large Cap ETF | 1,878,532 | 1,883,028 | ||||||
Guggenheim S&P MidCap 400® Equal Weight ETF | 30,020,929 | 29,513,642 | ||||||
Guggenheim S&P SmallCap 600® Equal Weight ETF | 8,218,735 | 8,129,408 | ||||||
Guggenheim S&P 100® Equal Weight ETF | 73,737 | 121,905 | ||||||
Guggenheim S&P 500® Equal Weight Consumer Discretionary ETF | 24,016,368 | 24,018,267 | ||||||
Guggenheim S&P 500® Equal Weight Consumer Staples ETF | 102,765,042 | 102,203,704 | ||||||
Guggenheim S&P 500® Equal Weight Energy ETF | 79,424,487 | 79,692,336 | ||||||
Guggenheim S&P 500® Equal Weight Financials ETF | 50,482,924 | 47,431,524 | ||||||
Guggenheim S&P 500® Equal Weight Health Care ETF | 140,148,691 | 139,465,650 | ||||||
Guggenheim S&P 500® Equal Weight Industrials ETF | 34,971,665 | 34,458,258 | ||||||
Guggenheim S&P 500® Equal Weight Materials ETF | 31,573,801 | 30,708,266 | ||||||
Guggenheim S&P 500® Equal Weight Real Estate ETF | 7,052,570 | 6,722,980 | ||||||
Guggenheim S&P 500® Equal Weight Technology ETF | 238,457,707 | 234,457,401 | ||||||
Guggenheim S&P 500® Equal Weight Utilities ETF | 21,036,805 | 20,757,371 |
Note 8 - Legal Proceedings
Tribune Company
Rydex ETF Trust has been named as a defendant and a putative member of the proposed defendant class of shareholders in the case entitled Kirschner v. FitzSimons, No. 12-2652 (S.D.N.Y.) (formerly Official Committee of Unsecured Creditors of Tribune Co. v. FitzSimons, Adv. Pro. No. 10-54010 (Bankr. D. Del.)) (the “FitzSimons action”), as a result of ownership by certain series of the Rydex ETF Trust of shares in the Tribune Company (“Tribune”) in 2007, when Tribune effected a leveraged buyout transaction (“LBO”) by which Tribune converted to a privately-held company. In his complaint, the plaintiff has alleged that, in connection with the LBO, Tribune insiders and shareholders were overpaid for their Tribune stock using financing that the insiders knew would, and ultimately did, leave Tribune insolvent. The plaintiff has asserted claims against certain insiders, major shareholders, professional advisers, and others involved in the LBO. The plaintiff is also attempting to obtain from former Tribune shareholders, including Rydex ETF Trust, the proceeds they received in connection with the LBO.
In June 2011, a group of Tribune creditors filed multiple actions against former Tribune shareholders involving state law constructive fraudulent conveyance claims arising out of the 2007 LBO (the “SLCFC actions”). Rydex ETF Trust has been named as a defendant in one of the SLCFC actions: Deutsche Bank Trust Co. Americas v. McGurn, No. 12-0063 (S.D.N.Y.). In the SLCFC actions, the creditors seek to recover from Tribune’s former shareholders the proceeds received in connection with the 2007 LBO.
The FitzSimons action and the SLCFC actions have been consolidated with the majority of the other Tribune LBO-related lawsuits in a multidistrict litigation proceeding captioned In re Tribune Company Fraudulent Conveyance Litig., No. 11-md-2696 (S.D.N.Y.) (the “MDL Proceeding”).
On September 23, 2013, the District Court granted the defendants’ omnibus motion to dismiss the SLCFC actions, on the basis that the creditors lacked standing. On September 30, 2013, the creditors filed a notice of appeal of the September 23 order. On October 28, 2013, the defendants filed a joint notice of cross-appeal of that same order.
On March 29, 2016, the U.S. Court of Appeals for the Second Circuit issued its opinion on the appeal of the SLCFC actions. The appeals court affirmed the district court’s dismissal of those lawsuits, but on different grounds than the district court. The appeals court held that while the plaintiffs have standing under the U.S. Bankruptcy Code, their claims were preempted by Section 546(e) of the Bankruptcy Code—the statutory safe harbor for settlement payments. On April 12, 2016, the plaintiffs in the SLCFC actions filed a petition seeking rehearing en banc before the appeals court. On July 22, 2016, the appeals court denied the petition. On September 9, 2016, the plaintiffs filed a petition for writ of certiorari in the U.S. Supreme Court challenging the Second Circuit’s decision that the safe harbor of Section 546(e) applied to their claims. The shareholder defendants, including the Rydex ETF Trust, filed a joint brief in opposition to the petition for writ of certiorari on October 24, 2016. The plaintiffs filed a reply in support of the petition on November 4, 2016. The Supreme Court has not yet granted or denied the petition for certiorari.
118 | GUGGENHEIM ETFs ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (concluded) |
On May 23, 2014, the defendants filed motions to dismiss the FitzSimons action, including a global motion to dismiss Count I, which is the claim brought against former Tribune shareholders for intentional fraudulent conveyance under U.S. federal law. On January 6, 2017, the United States District Court for the Southern District of New York granted the shareholder defendants’ motion to dismiss the intentional fraudulent conveyance claim in the FitzSimons action. In dismissing the intentional fraudulent conveyance claim, the Court denied the plaintiff’s request to amend the complaint. The plaintiff requested that the Court direct entry of a final judgment in order to make the order immediately appealable. On February 23, 2017, the Court issued an order stating that it intends to permit an interlocutory appeal of the dismissal order, but will wait to do so until it has resolved outstanding motions to dismiss filed by other defendants. Accordingly, the timing of the appeal is uncertain.
On July 18, 2017, the plaintiff submitted a letter to the District Court seeking leave to amend its complaint to add a constructive fraudulent transfer claim. The shareholder defendants opposed that request. On August 24, 2017, the Court denied the plaintiff’s request without prejudice to renewal of the request in the event of an intervening change in the law.
None of these lawsuits alleges any wrongdoing on the part of Rydex ETF Trust. The following series of Rydex ETF Trust held shares of Tribune and tendered these shares as part of Tribune’s LBO: Guggenheim S&P 500 Equal Weight Consumer Discretionary Fund (the “Fund”). The value of the proceeds received by the foregoing Fund was $249,481. At this stage of the proceedings, Rydex ETF Trust is not able to make a reliable prediction as to the outcome of these lawsuits or the effect, if any, on the Fund’s net asset value.
Note 9 - Special In-Kind Distribution
After the close of business on September 16, 2016 (the “Rebalance Date”), the S&P Dow Jones Indices reconstituted the S&P 500® Equal Weight Index Financials (the “Index”), the underlying index for the Guggenheim S&P 500® Equal Weight Financials ETF (“RYF”), by eliminating the stocks of companies involved in the real estate industry (including real estate investment trusts (“REITs”) other than mortgage REITs) (“Real Estate Stocks”). To effectuate a corresponding change to RYF’s portfolio, RYF replaced its Real Estate Stock holdings with shares of the Guggenheim S&P 500® Equal Weight Real Estate ETF (“EWRE”) on the Rebalance Date. After market close on the Rebalance Date (and effective at market open on September 19, 2016, ex-dividend date), RYF made an in-kind distribution of its shares of EWRE (0.50 shares of EWRE for each share of RYF owned, with a value of $13.402661 per share of RYF owned), plus a small amount of cash for fractional shares, to shareholders of RYF such that, following the distribution, RYF continued to hold stocks included in the reconstituted Index in accordance with its principal investment strategies.
Note 10 - Subsequent Event
Guggenheim Investments announced on September 28, 2017, that its parent company, Guggenheim Capital, LLC, had entered into a definitive agreement to sell its exchange-traded funds business to Invesco Ltd. (“Invesco”), a leading global investment management company (the “Transaction”). On November 16, 2017, the Board approved an Agreement and Plan of Reorganization (the “Plan of Reorganization”) providing for the reorganization (each, a “Reorganization” and collectively, the “Reorganizations”) of each Fund into a corresponding newly-created exchange-traded fund of the PowerShares by Invesco family of funds (each, an “Acquiring Fund”). Each Acquiring Fund will have the same investment objective and will track the same underlying index as its corresponding Fund, and will be subject to substantially the same principal investment strategies, policies and risks as the corresponding Fund, but as part of an Invesco-structured platform. Each Reorganization is subject to shareholder approval of the applicable Fund. Fund shareholders of record as of December 20, 2017 will be asked to vote on the proposed Reorganizations at the joint special meeting of shareholders to be held on or about February 16, 2018. If approved by shareholders, each Reorganization is expected to close shortly after the joint special meeting of shareholders. However, the closing of the Transaction is subject to various terms and conditions and, therefore, may be delayed or even terminated due to unforeseen circumstances.
The Funds evaluated subsequent events through the date the financial statements were available for issue and determined there were no additional material events that would require adjustment to or disclosure in the Funds’ financial statements.
GUGGENHEIM ETFs ANNUAL REPORT | 119 |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM |
The Board of Trustees and Shareholders
of Rydex ETF Trust
We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of Guggenheim MSCI Emerging Markets Equal Country Weight ETF, Guggenheim Multi Factor Large Cap ETF, Guggenheim S&P MidCap 400® Equal Weight ETF, Guggenheim S&P SmallCap 600® Equal Weight ETF, Guggenheim S&P 100® Equal Weight ETF, Guggenheim S&P 500® Equal Weight Consumer Discretionary ETF, Guggenheim S&P 500® Equal Weight Consumer Staples ETF, Guggenheim S&P 500® Equal Weight Energy ETF, Guggenheim S&P 500® Equal Weight Financials ETF, Guggenheim S&P 500® Equal Weight Health Care ETF, Guggenheim S&P 500® Equal Weight Industrials ETF, Guggenheim S&P 500® Equal Weight Materials ETF, Guggenheim S&P 500® Equal Weight Real Estate ETF, Guggenheim S&P 500® Equal Weight Technology ETF and Guggenheim S&P 500® Equal Weight Utilities ETF (fifteen of the series constituting the Rydex ETF Trust) (the “Funds”) as of October 31, 2017, and the related statements of operations, the statements of changes in net assets, and the financial highlights for each of the years or periods indicated therein. These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Funds’ internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of October 31, 2017, by correspondence with the custodian and brokers. We believe that our audits provide a reasonable basis for our opinion
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of each of the above listed Funds (fifteen of the series constituting the Rydex ETF Trust) at October 31, 2017, the results of their operations, the changes in their net assets, and their financial highlights for each of the years or periods indicated therein, in conformity with U.S. generally accepted accounting principles.
Tysons, Virginia
December 21, 2017
120 | GUGGENHEIM ETFs ANNUAL REPORT |
OTHER INFORMATION (Unaudited) |
Federal Income Tax Information
This information is being provided as required by the Internal Revenue Code. Amounts shown may differ from those elsewhere in the report because of differences in tax and financial reporting practice.
In January 2018, shareholders will be advised on IRS Form 1099 DIV or substitute 1099 DIV as to the federal tax status of the distributions received by shareholders in the calendar year 2017.
The Funds’ investment income (dividend income plus short-term gains, if any) qualifies as follows:
Guggenheim MSCI Emerging Markets Equal Country Weight ETF intends to designate $17,828 of foreign tax withholding on foreign source income of $344,174.
Of the taxable ordinary income distributions paid during the fiscal year ending October 31, 2017, the following funds had the corresponding percentages qualify for the reduced tax rate pursuant to the Jobs and Growth Tax Relief and Reconciliation Act of 2003 or for the dividends received deduction for corporations. See the qualified dividend income and dividend received deduction columns, respectively, in the table below.
Fund | Qualified Dividend Income | Dividend Received Deduction |
Guggenheim MSCI Emerging Markets Equal Country Weight ETF | 87.18% | 2.07% |
Guggenheim Multi-Factor Large Cap ETF | 89.28% | 91.64% |
Guggenheim S&P MidCap 400® Equal Weight ETF | 99.76% | 98.90% |
Guggenheim S&P SmallCap 600® Equal Weight ETF | 100.00% | 98.63% |
Guggenheim S&P 100® Equal Weight ETF | 99.67% | 99.41% |
Guggenheim S&P 500® Equal Weight Consumer Discretionary ETF | 100.00% | 100.00% |
Guggenheim S&P 500® Equal Weight Consumer Staples ETF | 100.00% | 100.00% |
Guggenheim S&P 500® Equal Weight Energy ETF | 100.00% | 100.00% |
Guggenheim S&P 500® Equal Weight Financials ETF | 100.00% | 100.00% |
Guggenheim S&P 500® Equal Weight Health Care ETF | 100.00% | 100.00% |
Guggenheim S&P 500® Equal Weight Industrials ETF | 100.00% | 100.00% |
Guggenheim S&P 500® Equal Weight Materials ETF | 100.00% | 100.00% |
Guggenheim S&P 500® Equal Weight Real Estate ETF | 4.81% | 0.00% |
Guggenheim S&P 500® Equal Weight Technology ETF | 100.00% | 99.75% |
Guggenheim S&P 500® Equal Weight Utilities ETF | 100.00% | 100.00% |
With respect to the taxable year ended October 31, 2017, the Funds hereby designate as capital gain dividends the amounts listed below, or, if subsequently determined to be different, the net capital gain of such year:
Fund | From long-term capital gain: | From long-term capital gain, using proceeds from shareholder redemptions: | ||||||
Guggenheim S&P 100® Equal Weight ETF | $ | 5 | $ | — | ||||
Guggenheim S&P 500® Equal Weight Real Estate ETF | — | 87,235 |
Proxy Voting Information
A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to securities held in the Funds’ portfolios is available, without charge and upon request, by calling 800.820.0888. This information is also available from the EDGAR database on the SEC’s website at https://www.sec.gov.
Information regarding how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available without charge, upon request, by calling 800.820.0888. This information is also available from the EDGAR database on the SEC’s website at https://www.sec.gov.
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OTHER INFORMATION (Unaudited)(continued) |
Sector Classification
Information in the Schedule of Investments is categorized by sectors using sector-level Classifications defined by the Bloomberg Industry Classification System, a widely recognized industry classification system provider. Each Fund’s registration statement has investment policies relating to concentration in specific sectors/industries. For purposes of these investment policies, the Funds usually classify sectors/industries based on industry-level Classifications used by widely recognized industry classification system providers such as Bloomberg Industry Classification System, Global Industry Classification Standards and Barclays Global Classification Scheme.
Quarterly Portfolio Schedules Information
The Trust files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q, which are available on the SEC’s website at https://www.sec.gov. The Funds’ Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC, and that information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330. Copies of the portfolio holdings are also available to shareholders, without charge and upon request, by calling 800.820.0888.
Board Considerations in Approving the Continuation of the Investment Advisory Agreement
The Board of Trustees (the “Board”) of Rydex ETF Trust (the “Trust”), including the Trustees who are not “interested persons,” as defined by the Investment Company Act of 1940, of the Trust (“Independent Trustees”), attended an in-person meeting held on May 25, 2017, called for the purpose of, among other things, the consideration of, and voting on, the approval and continuation of the investment advisory agreement (the “Investment Advisory Agreement”) between the Trust and Security Investors, LLC (the “Advisor”) applicable to the Guggenheim MSCI Emerging Markets Equal Country Weight ETF, Guggenheim S&P MidCap 400® Equal Weight ETF, Guggenheim S&P SmallCap 600® Equal Weight ETF, Guggenheim S&P 100® Equal Weight ETF, Guggenheim S&P 500® Equal Weight Consumer Discretionary ETF, Guggenheim S&P 500® Equal Weight Consumer Staples ETF, Guggenheim S&P 500® Equal Weight Energy ETF, Guggenheim S&P 500® Equal Weight Financials ETF, Guggenheim S&P 500® Equal Weight Health Care ETF, Guggenheim S&P 500® Equal Weight Industrials ETF, Guggenheim S&P 500® Equal Weight Materials ETF, Guggenheim S&P 500® Equal Weight Real Estate ETF, Guggenheim S&P 500® Equal Weight Technology ETF, and Guggenheim S&P 500® Equal Weight Utilities ETF, each a series of the Trust (each, a “Fund” and, collectively, the “Funds”). The Board unanimously approved the continuation of the Investment Advisory Agreement for an additional one-year period based on the Board’s review of qualitative and quantitative information provided by the Advisor. The Board had previously considered information pertaining to the renewal of the Investment Advisory Agreement at an in-person meeting held on April 26, 2017 (together, with the May 25 meeting, the “Meetings”). The Board considered the materials provided by the Advisor and the review conducted at the April 26 meeting to be an integral part of the Trustees’ deliberations and their process in considering the renewal of the Investment Advisory Agreement.
Prior to reaching the conclusion to approve the continuation of the Investment Advisory Agreement, the Independent Trustees requested and obtained from the Advisor such information as the Independent Trustees deemed reasonably necessary to evaluate the Investment Advisory Agreement. In addition, the Board received a memorandum from the independent legal counsel to the Independent Trustees regarding the Board’s fiduciary responsibilities under state and federal law with respect to the Board’s consideration of the renewal or approval of investment advisory agreements and participated in question and answer sessions with representatives of the Advisor. The Independent Trustees also carefully considered information they received throughout the year as part of their regular oversight of the Funds. At the Meetings, the Board obtained and reviewed a wide variety of information, including certain comparative information regarding the Funds’ fees, expenses, and performance relative to the fees, expenses, and performance of other comparable funds (the “FUSE reports”). The Independent Trustees carefully evaluated this information, met in executive session outside the presence of fund management, and were advised by independent legal counsel with respect to their deliberations.
At the Meetings, the Board, including the Independent Trustees, evaluated a number of factors, including among others: (a) the nature, extent and quality of the Advisor’s investment advisory and other services; (b) the Advisor’s substantial commitment to the recruitment and retention of high quality personnel; (c) a comparison of the Funds’ advisory fees to the advisory fees charged to comparable funds or accounts, giving special attention to the existence of economies of scale and the absence of breakpoints in these fees and the Advisor’s rationale for not providing for breakpoints at this point in time; (d) each Fund’s overall fees and operating expenses compared with those of similar funds; (e) the level of the Advisor’s profitability from its Fund-related operations; (f) the Advisor’s compliance processes and systems; (g) the Advisor’s compliance policies and procedures; (h) the Advisor’s reputation, expertise and resources in the financial markets; (i) Fund performance compared with that of similar funds and/or appropriate benchmarks; (j) other benefits to the Advisor and/or its affiliates from their relationship to the Funds; and (k) the Advisor’s maintenance of operational resources necessary to manage the Funds in a professional manner consistent with the best interests of the Funds and their shareholders. In their deliberations, the Trustees did not identify any particular factor or factors that was controlling, noting that each Trustee could attribute different weights to the various factors considered.
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OTHER INFORMATION (Unaudited)(continued) |
Based on the Board’s deliberations at the Meetings, the Board, including all of the Independent Trustees, unanimously: (a) concluded that the terms of the Investment Advisory Agreement are fair and reasonable; (b) concluded that the Advisor’s fees for each Fund are reasonable in light of, and not so disproportionately large as to bear no reasonable relationship to, the services that it provides to such Fund; and (c) agreed to approve and continue the Investment Advisory Agreement based upon the following considerations, among others:
Nature, Extent and Quality of Services Provided by the Advisor. The Board evaluated, among other things, the Advisor’s business, financial resources, quality and quantity of personnel, experience, past performance, the variety and complexity of its investment strategies (including the extent to which the Funds use derivatives), Fund risk management process, brokerage practices, and the adequacy of its compliance systems and processes, proxy voting policies and practices, and cybersecurity programs. The Board reviewed the scope of services to be provided by the Advisor under the Investment Advisory Agreement and noted that there would be no significant differences between the scope of services required to be provided by the Advisor for the past year and the scope of services required to be provided during the upcoming year. The Board also considered the Advisor’s representations to the Board that the Advisor would continue to provide investment and related services that were of materially the same quality and quantity as services provided to the Funds in the past, and whether these services are appropriate in scope and extent in light of the Funds’ operations, the competitive landscape of the investment company business and investor needs. Based on the foregoing, the Trustees determined that the approval of the Investment Advisory Agreement would enable shareholders of the Funds to receive high quality services at a cost that was appropriate and reasonable.
Fund Expenses and Performance of the Funds and the Advisor. The Board reviewed statistical information provided by the Advisor regarding the expense ratio components and performance of each Fund. The Advisor engaged FUSE Research Network LLC (“FUSE”), an independent, third party research provider, to prepare reports to help the Board compare the Funds’ fees, expenses, and total return performance with those of a peer group and peer universe of funds selected by FUSE. In the reports, each Fund’s expense ratio components, including actual advisory fees, waivers/reimbursements, and gross and net total expenses, are compared to those of other funds with shared key characteristics (e.g., asset size, fee structure, sector or industry investment focus) determined by FUSE to comprise a Fund’s applicable peer group. The Board considered the Advisor’s representation that it found the peer groups compiled by FUSE to be appropriate, but also acknowledged the existence of certain differences between the Funds and their peer funds (e.g., specific differences in principal investment strategies and index rebalance frequency) that should be reviewed in context. The statistical information related to the performance of each Fund included three-month and one-, three-, and five-year performance for the Fund compared to that of its peers. The Board also discussed the correlation between a Fund’s assets under management and tracking error, noting that a Fund’s ability to replicate an underlying index rather than employ representative sampling depends, in part, upon the Fund’s size. Based on the foregoing, the Board determined that the proposed advisory fees paid by the Funds are reasonable in relation to the nature and quality of the services provided by the Advisor.
Costs of Services Provided to the Funds and Profits Realized by the Advisor and its Affiliates. The Board reviewed information about the profitability of the Funds to the Advisor based on the advisory fees payable under the current Investment Advisory Agreement for the last calendar year. The Board analyzed the Funds’ expenses, including the investment advisory fees paid to the Advisor, and reviewed the FUSE reports. The Board noted that the Advisor had contractually agreed to pay all operating expenses of the Funds, including the cost of index licensing fees, transfer agency, custody, fund administration, legal, audit and other services, except management fees, interest expense, taxes (expected to be de minimis), brokerage commissions and other expenses connected with the execution of portfolio transactions, extraordinary expenses, distribution fees, and expenses paid by the Trust under any distribution plan adopted pursuant to Rule 12b-1 under the 1940 Act. In addition to those expenses listed above, the Board noted that for each Fund (with the exception of the Guggenheim S&P MidCap 400® Equal Weight ETF, Guggenheim S&P SmallCap 600® Equal Weight ETF, Guggenheim MSCI Emerging Markets Equal Country Weight ETF, and Guggenheim S&P 500® Equal Weight Real Estate ETF), the Advisor also had contractually agreed to pay expenses of the Independent Trustees, including any Trustees’ counsel fees. The Board also reviewed information regarding the direct revenue received by the Advisor and ancillary revenue, if any, received by the Advisor and/or its affiliates in connection with the services provided to the Funds by the Advisor and/or its affiliates. The Board also discussed the Advisor’s profit margin, including the expense allocation methodology used in the Advisor’s profitability analysis. Based on the foregoing, the Board determined that the profit to the Advisor on the fees paid by the Funds is not excessive in view of the nature and quality of the services provided by the Advisor.
Economies of Scale. The Board considered the absence of breakpoints in the Advisor’s fee schedule and reviewed information regarding the extent to which economies of scale or other efficiencies may result from increases in the Funds’ asset levels. The Board noted that the Funds’ advisory fee rates are not subject to breakpoints as Fund assets increase, but the Board also considered the Advisor’s assertion that future economies of scale had been taken into consideration initially by fixing low advisory fees for the Funds, effectively sharing the benefits of lower fees with the Funds from inception. The Board noted that it intends to continue to monitor fees as each Fund grows in size and assess whether fee breakpoints may be warranted.
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OTHER INFORMATION (Unaudited)(continued) |
Other Benefits to the Advisor and/or its Affiliates. In addition to evaluating the Advisor’s services, the Board considered the nature and amount of other benefits to be received by the Advisor and its affiliates as a result of their relationship with the Funds, including any intangible benefits to the Advisor. In particular, the Board considered the nature, extent, quality, and cost of certain distribution and shareholder services performed by the Advisor’s affiliate, Guggenheim Funds Distributors, LLC, under the distribution agreement and Distribution Plan pursuant to Rule 12b-1 of the 1940 Act. In light of the costs of providing services pursuant to the separate agreements as well as the Advisor’s and its affiliate’s commitment to the Funds, the Board concluded the ancillary benefits the Advisor and its affiliates received were reasonable.
On the basis of the information provided to it and its evaluation of that information, the Board, including the Independent Trustees, concluded that the terms of the Investment Advisory Agreement were reasonable, and that approval of the continuation of the Investment Advisory Agreement was in the best interests of the Funds and their shareholders.
Board Considerations in Approving the Investment Advisory Agreement for the Guggenheim Multi-Factor Large Cap ETF
The Board of Trustees (the “Board”) of Rydex ETF Trust (the “Trust”), including the Trustees who are not “interested persons,” as defined by the Investment Company Act of 1940, of the Trust (“Independent Trustees”), attended an in-person meeting held on March 2, 2017 (the “March Meeting”), called for the purpose of, among other things, the consideration of, and voting on, the approval of the investment advisory agreement (the “Investment Advisory Agreement”) between the Trust and Security Investors, LLC (the “Advisor”) applicable to the Guggenheim Multi-Factor Large Cap ETF, a new series of the Trust (the “Fund”). The Board unanimously approved the Investment Advisory Agreement based on the Board’s review of qualitative and quantitative information provided by the Advisor.
Prior to reaching the conclusion to approve the Investment Advisory Agreement, the Independent Trustees requested and obtained from the Advisor such information as the Independent Trustees deemed reasonably necessary to evaluate the Investment Advisory Agreement. In addition, the Board received a memorandum from the independent legal counsel to the Independent Trustees regarding the Board’s fiduciary responsibilities under state and federal law with respect to the Board’s consideration of the approval of investment advisory agreements and participated in question and answer sessions with representatives of the Advisor. The Independent Trustees also carefully considered information they received about the Advisor throughout the year as part of their regular oversight of the other series of the Trust. At the March Meeting, the Board obtained and reviewed a wide variety of information, including certain comparative information regarding the Fund’s fees and expenses relative to the fees and expenses of other comparable funds (the “FUSE reports”). The Independent Trustees carefully evaluated this information, met in executive session outside the presence of fund management, and were advised by independent legal counsel with respect to their deliberations.
At the March Meeting, the Board, including the Independent Trustees, evaluated a number of factors, including among others: (a) the nature, extent and quality of the investment advisory and other services to be provided by the Advisor; (b) the Advisor’s substantial commitment to the recruitment and retention of high quality personnel; (c) a comparison of the Fund’s projected advisory fees to the advisory fees charged to comparable funds or accounts, giving special attention to the existence of economies of scale and the absence of breakpoints in these fees and the Advisor’s rationale for not providing for breakpoints at this point in time; (d) the Fund’s expected overall fees and operating expenses compared with those of similar funds; (e) the level of the Advisor’s anticipated profitability from its Fund related operations; (f) the Advisor’s compliance processes and systems; (g) the Advisor’s compliance policies and procedures; (h) the Advisor’s reputation, expertise and resources in the financial markets; (i) the Advisor’s performance with respect to other existing series of the Trust; (j) other expected benefits to the Advisor and/or its affiliates from their relationship to the Fund; and (k) the Advisor’s maintenance of operational resources necessary to manage the Fund in a professional manner consistent with the best interests of the Fund and its shareholders. In their deliberations, the Trustees did not identify any particular factor or factors that was controlling, noting that each Trustee could attribute different weights to the various factors considered.
Based on the Board’s deliberations at the March Meeting, the Board, including all of the Independent Trustees, unanimously: (a) concluded that the terms of the Investment Advisory Agreement are fair and reasonable; (b) concluded that the Advisor’s fees for the Fund are reasonable in light of, and not so disproportionately large as to bear no reasonable relationship to, the services that it provides to such Fund; and (c) agreed to approve the Investment Advisory Agreement based upon the following considerations, among others:
Nature, Extent and Quality of Services to Be Provided by the Advisor. The Board evaluated, among other things, the Advisor’s business, financial resources, quality and quantity of personnel, experience, past performance, the variety and complexity of its investment strategies (including the extent to which the Fund uses derivatives), Fund risk management process, brokerage practices, and the adequacy of its compliance systems and processes, proxy voting policies and practices, and cybersecurity programs. The Board reviewed the scope of services to be provided by the Advisor under the Investment Advisory Agreement and determined that the Advisor was capable of providing high quality advisory services
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OTHER INFORMATION (Unaudited)(concluded) |
to the Fund, as indicated by the nature and quality of services provided by the Advisor in the past for other existing series of the Trust, the firm’s management capabilities, the professional qualifications and experience of its portfolio managers, and its investment and management oversight processes. Based on the foregoing, the Trustees determined that the approval of the Investment Advisory Agreement would enable shareholders of the Fund to receive high quality services at a cost that was appropriate and reasonable.
Fund Expenses and Performance of the Advisor. As the Fund had not yet commenced operations, the Board was not able to consider the Fund’s performance. However, the Board considered the Advisor’s track record of successfully managing funds that seek to track the performance of a benchmark and determined that the Advisor would have the capabilities, resources, and personnel necessary to provide the Fund with a reasonable potential for positive performance. In addition, the Board considered information related to the performance of the Fund’s underlying index as well as the Advisor’s and its affiliates’ experience managing self-indexed funds. The Board also reviewed statistical information provided by the Advisor regarding the Fund’s proposed expense ratio components. The Advisor engaged FUSE Research Network LLC (“FUSE”), an independent, third party research provider, to prepare a report to help the Board compare the Fund’s fees and expenses to those of comparable funds in the Fund’s peer group, and the broader peer universe, as determined by FUSE. In the report, the Fund’s proposed expense ratio components, including advisory fees, waivers/reimbursements, and gross and net total expenses, are compared to those of other funds with shared key characteristics (e.g., asset size, fee structure, sector or industry investment focus) determined by FUSE to comprise the Fund’s applicable peer group. The Board considered the Advisor’s representation that it found the peer groups compiled by FUSE to be appropriate, but also acknowledged the existence of certain differences between the Fund and its peer funds (e.g., specific differences in principal investment strategies and index rebalance frequency) that should be reviewed in context. The Board also discussed the correlation between assets under management and tracking error, noting that the Fund’s ability to replicate its underlying index rather than employ representative sampling will depend, in part, upon the Fund’s size. Based on the foregoing, the Board determined that the proposed advisory fee to be paid by the Fund is reasonable in relation to the nature and quality of the services to be provided by the Advisor.
Costs of Services to Be Provided to the Fund and Expected Profitability of the Advisor and its Affiliates. The Board considered information about the Fund’s expected profitability based on the Fund’s expected expenses, including the investment advisory fees to be paid to the Advisor, described in the Fund’s FUSE report. The Board noted that the Advisor had contractually agreed to pay all operating expenses of the Fund, including the cost of transfer agency, custody, fund administration, legal, audit and other services, except management fees, interest expense, taxes (expected to be de minimis), brokerage commissions and other expenses connected with the execution of portfolio transactions, extraordinary expenses, distribution fees and expenses paid by the Trust under any distribution plan adopted pursuant to Rule 12b-1 under the 1940 Act, and expenses of the Independent Trustees, including any Trustees’ counsel fees. With respect to the cost of advisory services provided and the Advisor’s profitability, the Board concluded that it was too early to predict the profitability of the Fund to the Advisor, but noted that they would monitor the Advisor’s profitability with respect to the Fund after the Fund commenced operations.
Economies of Scale. The Board considered the absence of breakpoints in the Advisor’s fee schedule and reviewed information regarding the extent to which economies of scale or other efficiencies may result from increases in the Fund’s asset levels. The Board noted that the Fund’s advisory fee rates are not subject to breakpoints as Fund assets increase, but the Board also considered the Advisor’s assertion that future economies of scale had been taken into consideration initially by fixing low advisory fees for the Fund, effectively sharing the benefits of lower fees with the Fund from inception. The Board noted that it intends to monitor fees as the Fund grows in size and assess whether fee breakpoints may be warranted.
Other Benefits to the Advisor and/or its Affiliates. In addition to evaluating the Advisor’s services, the Board considered the nature and amount of other benefits to be received by the Advisor and its affiliates as a result of their relationship with the Fund, including any intangible benefits to the Advisor. In particular, the Board considered the nature, extent, quality, and cost of certain distribution and shareholder services to be performed by the Advisor’s affiliate, Guggenheim Funds Distributors, LLC, under the distribution agreement and Distribution Plan pursuant to Rule 12b-1 of the 1940 Act. In light of the expected costs of providing services pursuant to the separate agreements as well as the Advisor’s and its affiliate’s commitment to the Fund, the Board concluded the expected ancillary benefits to be received by the Advisor and its affiliates were reasonable.
On the basis of the information provided to it and its evaluation of that information, the Board, including the Independent Trustees, concluded that the terms of the Investment Advisory Agreement were reasonable, and that approval of the Investment Advisory Agreement was in the best interests of the Fund and its shareholders.
GUGGENHEIM ETFs ANNUAL REPORT | 125 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited) |
A Board of Trustees oversees the Trust, as well as other trusts of GI, in which its members have no stated term of service, and continue to serve after election until resignation. The Statement of Additional Information includes further information about Fund Trustees and Officers, and can be obtained without charge by visiting guggenheiminvestments.com or by calling 800.820.0888.
Name, Address* and Year of Birth of Trustee | Position(s) Held with the Trust, Term of Office and Length of Time Served | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee*** | Other Directorships Held by Trustee**** |
INTERESTED TRUSTEE | ||||
Donald C. Cacciapaglia** | Trustee from 2012 to present. | Current: Vice Chairman, Guggenheim Investments (2010-present).
Former: President and CEO, certain other funds in the Fund Complex (2012-November 2017); Chairman and CEO, Channel Capital Group, Inc. (2002-2010). | 226 | Clear Spring Life Insurance Company (2015-present); Guggenheim Partners Japan, Ltd. (2014-present); Guggenheim Partners Investment Management Holdings, LLC (2014-present); Delaware Life (2013-present); Guggenheim Life and Annuity Company (2011-present); Paragon Life Insurance Company of Indiana (2011-present). |
INDEPENDENT TRUSTEES | ||||
Angela Brock-Kyle | Trustee, Member of the Audit Committee, Chairwoman and Member of the Compliance and Risk Oversight Committee, and Member of the Nominating and Governance Committee from 2016 to present. | Current: Founder and Chief Executive Officer, B.O.A.R.D.S (consulting firm)
Former: Senior Leader, TIAA (financial services firm) (1987-2012). | 133 | Infinity Property & Casualty Corporation (2014-present). |
Corey A. Colehour | Trustee and Member of the Audit Committee from 2003 to present; Member of the Nominating and Governance Committee from 2005 to present; and Member of the Investment and Performance Committee from 2014 to present. | Retired. | 133 | None. |
J. Kenneth Dalton | Trustee from 2003 to present; Chairman and Member of the Audit Committee from 2003 to present; and Member of the Compliance and Risk Oversight Committee from 2010 to present. | Retired. | 133 | Epiphany Funds (3) (2009-present). |
126 | GUGGENHEIM ETFs ANNUAL REPORT |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* and Year of Birth of Trustee | Position(s) Held with the Trust, Term of Office and Length of Time Served | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee*** | Other Directorships Held by Trustee**** |
INDEPENDENT TRUSTEES - concluded | ||||
John O. Demaret | Trustee and Member of the Audit Committee from 2003 to present; Chairman of the Board from 2006 to 2014; Member of the Compliance and Risk Oversight Committee from 2010 to present; Member of the Investment and Performance Committee and Nominating Committee from 2014 to present. | Retired. | 133 | None. |
Werner E. Keller | Chairman and Trustee of the Board from 2014 to present; Member of the Audit Committee and Governance and Nominating Committee from 2005 to present; Member of the Compliance and Risk Oversight Committee from 2010 to present; and Member of the Investment and Performance Committee from 2014 to present. | Current: Founder and President, Keller Partners, LLC (investment research firm) (2005-present). | 133 | None. |
Thomas F. Lydon, Jr. | Trustee, Member of the Audit Committee, and Chairman and Member of the Nominating and Governance Committee from 2005 to present. | Current: President, Global Trends Investments (registered investment adviser) (1996-present). | 133 | US Global Investors (GROW) (1995-present). |
Patrick T. McCarville | Trustee and Member of the Audit Committee from 2003 to present; Member of the Nominating and Governance Committee, and Member of the Compliance and Risk Oversight Committee from 2005 to present. | Retired.
Former: Chief Executive Officer, Par Industries, Inc., d/b/a Par Leasing (1977-2010). | 133 | None. |
Sandra G. Sponem | Trustee, Member of the Audit Committee, and Chairwoman and Member of the Investment and Performance Committee from 2016 to present. | Retired.
Former: Senior Vice President and Chief Financial Officer, M.A. Mortenson Companies, Inc. (general contracting firm) (2007-2017). | 133 | None. |
GUGGENHEIM ETFs ANNUAL REPORT | 127 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* and Year of Birth | Position(s) Held with the Trust, Term of Office and Length of Time Served | Principal Occupation(s) During Past 5 Years |
OFFICERS | ||
Michael P. Byrum (1970) | Vice President (1999-present) | Current: Senior Vice President, Security Investors, LLC (2010-present); President and Chief Investment Officer, Rydex Holdings, LLC (2008-present); Director and Chairman, Advisory Research Center, Inc. (2006-present); Manager, Guggenheim Specialized Products, LLC (2005-present).
Former: Vice President, Guggenheim Distributors, LLC (2009); Director (2009-2010) and Secretary (2002-2010), Rydex Fund Services, LLC; Director (2008-2010), Chief Investment Officer (2006-2010), President (2004-2010) and Secretary (2002-2010), Rydex Advisors, LLC; Director (2008-2010), Chief Investment Officer (2006-2010), President (2004-2010) and Secretary (2002-2010), Rydex Advisors II, LLC. |
Joanna M. Catalucci (1966) | AML Officer (2016-present) | Current: Chief Compliance Officer, certain funds in the Fund Complex (2012-present); Senior Managing Director, Guggenheim Investments (2014-present); AML Officer, certain funds in the Fund Complex (2016-present).
Former: Chief Compliance Officer and Secretary, certain other funds in the Fund Complex (2008-2012); Senior Vice President & Chief Compliance Officer, Security Investors, LLC and certain affiliates (2010-2012); Chief Compliance Officer and Senior Vice President, Rydex Advisors, LLC and certain affiliates (2010-2011). |
James M. Howley (1972) | Assistant Treasurer (2016-present) | Current: Managing Director, Guggenheim Investments (2004-present); Assistant Treasurer, certain other funds in the Fund Complex (2006-present).
Former: Manager of Mutual Fund Administration, Van Kampen Investments, Inc. (1996-2004). |
Keith D. Kemp (1960) | Assistant Treasurer (2016-present) | Current: Treasurer and Assistant Treasurer, certain other funds in the Fund Complex (2010-present); Managing Director, Guggenheim Investments (2015-present); Chief Financial Officer, Guggenheim Specialized Products, LLC (2016-present).
Former: Managing Director and Director, Transparent Value, LLC (2010-2016); Director, Guggenheim Partners Investment Management, LLC (2010-2015); Chief Operating Officer, Macquarie Capital Investment Management (2007-2009). |
Amy J. Lee (1961) | President (November 2017-present) | Current: President and Chief Executive Officer, certain other funds in the Fund Complex (November 2017-present); Chief Legal Officer, certain other funds in the Fund Complex (2013-present); Senior Managing Director, Guggenheim Investments (2012-present).
Former: Vice President, Associate General Counsel and Assistant Secretary, Security Benefit Life Insurance Company and Security Benefit Corporation (2004-2012). |
Mark E. Mathiasen (1978) | Secretary (November 2017-present) | Current: Secretary, certain other funds in the Fund Complex (2007-present); Managing Director, Guggenheim Investments (2007-present). |
Glenn McWhinnie (1969) | Assistant Treasurer (2016-present) | Current: Vice President, Guggenheim Investments (2009-present).
Former: Tax Compliance Manager, Ernst & Young LLP (1996-2009). |
Elisabeth Miller (1968) | Chief Compliance Officer (2012-present) | Current: CCO, certain other funds in the Fund Complex (2012-present); CCO, Security Investors, LLC (2012-present); CCO, Guggenheim Funds Investment Advisors, LLC (2012-present); Managing Director, Guggenheim Investments (2012-present); Vice President, Guggenheim Funds Distributors, LLC (2014-present).
Former: CCO, Guggenheim Distributors, LLC (2009-2014); Senior Manager, Security Investors, LLC (2004-2009); Senior Manager, Guggenheim Distributors, LLC (2004-2009). |
128 | GUGGENHEIM ETFs ANNUAL REPORT |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(concluded) |
Name, Address* and Year of Birth | Position(s) Held with the Trust, Term of Office and Length of Time Served | Principal Occupation(s) During Past 5 Years |
OFFICERS - concluded | ||
Adam J. Nelson (1979) | Assistant Treasurer (2016-present) | Current: Vice President, Guggenheim Investments (2015-present); Assistant Treasurer, certain other funds in the Fund Complex (2015-present).
Former: Assistant Vice President and Fund Administration Director, State Street Corporation (2013-2015); Fund Administration Assistant Director, State Street (2011-2013); Fund Administration Manager, State Street (2009-2011). |
Kimberly J. Scott (1974) | Assistant Treasurer (2016-present) | Current: Director, Guggenheim Investments (2012-present); Assistant Treasurer, certain other funds in the Fund Complex (2012-present).
Former: Financial Reporting Manager, Invesco, Ltd. (2010-2011); Vice President/Assistant Treasurer of Mutual Fund Administration, Van Kampen Investments, Inc./Morgan Stanley Investment Management (2009-2010); Manager of Mutual Fund Administration, Van Kampen Investments, Inc./Morgan Stanley Investment Management (2005-2009). |
John L. Sullivan (1955) | Chief Financial Officer and Treasurer (2016-present) | Current: CFO, Chief Accounting Officer and Treasurer, certain other funds in the Fund Complex (2010-present); Senior Managing Director, Guggenheim Investments (2010-present).
Former: Managing Director and CCO, each of the funds in the Van Kampen Investments fund complex (2004-2010); Managing Director and Head of Fund Accounting and Administration, Morgan Stanley Investment Management (2002-2004); CFO and Treasurer, Van Kampen Funds (1996-2004). |
Jon Szafran (1989) | Assistant Treasurer (November 2017-present) | Current: Vice President, Guggenheim Investments (July 2017-present); Assistant Treasurer, certain other funds in the Fund Complex (November 2017-present).
Former: Assistant Treasurer of Henderson Global Funds and Manager of US Fund Administration, Henderson Global Investors (North America) Inc. (“HGINA”), (February-June 2017); Senior Analyst of US Fund Administration, HGINA (2014-January 2017); Senior Associate of Fund Administration, Cortland Capital Market Services, LLC (2013-2014); Experienced Associate, PricewaterhouseCoopers LLP (2012-2013). |
* | All Trustees and Officers may be reached c/o Guggenheim Investments, 227 West Monroe Street, Chicago, Illinois 60606. |
** | Mr. Cacciapaglia is an “interested” person of the Trust, as that term is defined in the 1940 Act by virtue of his affiliation with the Adviser’s parent company. |
*** | The “Fund Complex” includes all closed-end and open-end funds (including all of their portfolios) advised by the Adviser and any funds that have an investment adviser or servicing agent that is an affiliated person of the Adviser. Information provided is as of the date of this report. |
**** | Certain of the Trustees may serve as directors on the boards of companies not required to be disclosed above, including certain non-profit companies and charitable foundations. |
GUGGENHEIM ETFs ANNUAL REPORT | 129 |
GUGGENHEIM INVESTMENTS PRIVACY POLICIES (Unaudited) |
Guggenheim Investments as used herein refers to Guggenheim Partners, LLC, Guggenheim Funds Investment Advisors, LLC, Guggenheim Partners Investment Management, LLC, Guggenheim Funds Distributors, LLC and Security Investors, LLC as well as the funds in the Guggenheim Funds complex (the “funds”).
Our Commitment to You
When you become a Guggenheim Investments investor, you entrust us with not only your hard-earned money but also with personal and financial information about you. We recognize that your relationship with us is based on trust and that you expect us to act responsibly and in your best interests. Because we have access to personal information about you, we hold ourselves to high standards in its safekeeping and use. This means, most importantly, that we do not sell client or account information to anyone—whether you are a current or former Guggenheim Investments client.
The Information We Collect About You and How We Collect It
In the course of doing business with shareholders and investors, we collect nonpublic personal information about you. You typically provide personal information when you complete a Guggenheim Investments account application or when you request a transaction that involves Rydex and Guggenheim Funds or one of the Guggenheim affiliated companies. “Nonpublic personal information” is personally identifiable information about you. For example it includes your name and address, Social Security or taxpayer identification number, assets, income, account balance, bank account information and investment activity (e.g. purchase and redemption history).
How We Share Your Personal Information
As a matter of policy, we do not disclose your nonpublic personal information to nonaffiliated third parties except as required or permitted by law. As emphasized above, we do not sell information about current or former clients or their accounts to third parties. Nor do we share such information, except when necessary to complete transactions at your request or to make you aware of related investment products and services that we offer. Additional details about how we handle your personal information are provided below.
To complete certain transactions or account changes that you direct, it may be necessary to provide your personal information to companies, individuals or groups that are not affiliated with Guggenheim Investments. For example if you ask to transfer assets from another financial institution to Guggenheim Investments, we will need to provide certain information about you to that company to complete the transaction. In connection with servicing your accounts or to alert you to other Guggenheim Investments investment products and services, we may share your information within the Guggenheim Investments family of affiliated companies. This would include, for example, sharing your information within Guggenheim Investments so we can make you aware of new funds or the services offered through another Guggenheim Investments affiliated company. In certain instances, we may contract with nonaffiliated companies to perform services for us. Where necessary, we will disclose information we have about you to these third parties. In all such cases, we provide the third party with only the information necessary to carry out its assigned responsibilities and only for that purpose. And we require these third parties to treat your personal information with the same high degree of confidentiality that we do. In certain instances, we may share information with other financial institutions regarding individuals and entities in response to the U.S.A. Patriot Act. Finally we will share personal information about you if we are compelled by law to do so, if you direct us to do so with your consent, or in other circumstances as permitted by law.
How We Safeguard Your Personal Information
We maintain physical, electronic and procedural safeguards to protect your personal information. Within Guggenheim Investments, access to such information is limited to those who need it to perform their jobs such as servicing your account, resolving problems or informing you of new products and services.
130 | GUGGENHEIM ETFs ANNUAL REPORT |
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10.31.2017
Guggenheim ETFs Funds Annual Report
XLG | Guggenheim S&P 500® Top 50 ETF | ||
RPV | Guggenheim S&P 500® Pure Value ETF | ||
RPG | Guggenheim S&P 500® Pure Growth ETF | ||
RFV | Guggenheim S&P MidCap 400® Pure Value ETF | ||
RFG | Guggenheim S&P MidCap 400® Pure Growth ETF | ||
RZV | Guggenheim S&P SmallCap 600® Pure Value ETF | ||
RZG | Guggenheim S&P SmallCap 600® Pure Growth ETF |
GuggenheimInvestments.com | ETF2-ANN-1017x1018 |
TABLE OF CONTENTS |
DEAR SHAREHOLDER | 2 |
ECONOMIC AND MARKET OVERVIEW | 3 |
ABOUT SHAREHOLDERS’ FUND EXPENSES | 5 |
MANAGER’S ANALYSIS | 6 |
PORTFOLIO SUMMARY | 7 |
SCHEDULES OF INVESTMENTS | 20 |
STATEMENTS OF ASSETS AND LIABILITIES | 38 |
STATEMENTS OF OPERATIONS | 40 |
STATEMENTS OF CHANGES IN NET ASSETS | 42 |
FINANCIAL HIGHLIGHTS | 46 |
NOTES TO FINANCIAL STATEMENTS | 53 |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM | 64 |
OTHER INFORMATION | 65 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS | 68 |
GUGGENHEIM INVESTMENTS PRIVACY POLICIES | 72 |
GUGGENHEIM ETFs ANNUAL REPORT | 1 |
October 31, 2017 |
Dear Shareholder:
Security Investors, LLC (the “Investment Adviser”) is pleased to present the annual shareholder report for a selection of our exchange-traded funds (“ETFs”) for the annual fiscal period ended October 31, 2017.
The Investment Adviser is 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 affiliated with Guggenheim and the Investment Adviser.
We encourage you to read the Economic and Market Overview, which follows this letter, followed by the Manager’s Analysis for each ETF.
We are committed to providing investors with innovative investment solutions and appreciate the trust you place in us.
Sincerely,
Security Investors, LLC
November 30, 2017
This material is not intended as a recommendation or as investment advice of any kind, including in connection with rollovers, transfers, and distributions. Such material is not provided in a fiduciary capacity, may not be relied upon for or in connection with the making of investment decisions, and does not constitute a solicitation of an offer to buy or sell securities. All content has been provided for informational or educational purposes only and is not intended to be and should not be construed as legal or tax advice and/or a legal opinion. Always consult a financial, tax and/or legal professional regarding your specific situation.
Read a prospectus and summary prospectus (if available) carefully before investing. It contains the investment objectives, risks, charges, expenses and other information, which should be considered carefully before investing. Obtain a prospectus and summary prospectus (if available) at guggenheiminvestments.com or call 800.820.0888.
Guggenheim S&P 500 Top 50® ETF may not be suitable for all investors. ● The Fund is subject to the risk that unanticipated early closings of securities exchanges and other financial markets may result in the Fund’s inability to buy or sell securities or other financial instruments on that day. ● In certain circumstances, it may be difficult for the Fund to purchase and sell particular investments within a reasonable time at a fair price. ● Investments in securities and derivatives, in general, are subject to market risks that may cause their prices to fluctuate over time. An investment in the Fund may lose money. ● Unlike many investment companies, the Fund is not actively “managed.” This means that, based on market and economic conditions, the Fund’s performance could be lower than other types of mutual funds that may actively shift their portfolio assets to take advantage of market opportunities or to lessen the impact of a market decline.● Tracking error risk refers to the risk that the Advisor may not be able to cause the Fund’s performance to match or correlate to that of the Fund’s Underlying Index, either on a daily or aggregate basis. Tracking error risk may cause the Fund’s performance to be less than you expect. ● Shares may trade below their net asset value (“NAV”). The NAV of shares will fluctuate with changes in the market value of the Fund’s holdings. In addition, although the Fund’s shares are currently listed on NYSE Arca, Inc. (the “Exchange”), there can be no assurance that an active trading market for shares will develop or be maintained. ● The Fund is subject to the risk that large-capitalization stocks may underperform other segments of the equity market or the equity market as a whole. ● Please read the prospectus for more detailed information regarding these and other risks.
Pure style ETFs may not be suitable for all investors. The ETFs are subject to the risk that large-, medium-, and small-capitalization stocks may under-perform other segments of the equity market or the equity market as a whole ● Value stocks are subject to the risk that the intrinsic value of the stock may never be realized by the market or that the price goes down. Growth stocks typically invest a high portion of their earnings back into their business and may lack the dividend yield that could cushion their decline in a market downturn. Growth stocks may be more volatile than other stocks because they are more sensitive to investor perceptions regarding the growth potential of the issuing company. ● The Funds are subject to the risk that unanticipated early closings of securities exchanges and other financial markets may result in the Fund’s inability to buy or sell securities or other financial instruments on that day. ● In certain circumstances, it may be difficult for the Funds to purchase and sell particular investments within a reasonable time at a fair price. ● Investments in securities, in general, are subject to market risks that may cause their prices to fluctuate over time. An investment in the Funds may lose money. ● Unlike many investment companies, the Funds are not actively “managed.” This means that based on market and economic conditions, the Funds’ performance could be lower than other types of funds that may actively shift their portfolio assets to take advantage of market opportunities or to lessen the impact of a market decline. ● Tracking error risk refers to the risk that the Advisor may not be able to cause the Funds’ performance to match or correlate to that of the Funds’ Underlying Index, either on a daily or aggregate basis. Tracking error risk may cause the Funds’ performance to be less than you expect. ● Shares may trade below their net asset value (“NAV”). The NAV of shares will fluctuate with changes in the market value of the Funds’ holdings. In addition, although the Funds’ shares are currently listed on NYSE Arca, Inc. (the “Exchange”), there can be no assurance that an active trading market for shares will develop or be maintained. ● Each Fund is considered nondiversified and can invest a greater portion of its assets in securities of individual issuers than a diversified Fund. As a result, changes in the market value of a single security could cause greater fluctuations in the value of fund shares than would occur in a more diversified Fund. ● Please read the prospectus for more detailed information regarding these and other risks.
2 | GUGGENHEIM ETFs ANNUAL REPORT |
ECONOMIC AND MARKET OVERVIEW (Unaudited) | October 31, 2017 |
The performance of the global economy exceeded expectations in 2017—for the first time in several years—with growth accelerating and the expansion becoming more synchronized across countries. We expect U.S. real gross domestic product (“GDP”) growth to come in at 2.5% in 2017, supported by strong global momentum and favorable financial conditions. Tax cuts are also likely to provide a modest boost as Republicans scrambled to pass a bill before next year’s midterm elections in an effort to save their House and Senate majorities.
While growth has been tepid during this expansion, it has been above potential and there is a growing risk of running too hot. The labor market is already in the early stages of overheating, with the unemployment rate falling to a cycle low of 4.1% in October, underscoring the robust—and unsustainable—trend in job growth. Inflation remains below the Federal Reserve’s (“Fed”) 2% goal as of September.
In this context, the Fed has been emboldened to steadily “normalize” monetary policy in 2017. With two rate hikes and the start of balance sheet runoff already in the books, the last item on the Fed’s to-do list for this year is a third hike, which it is all but certain to deliver in December.
We currently expect 2018 to be a year of overshooting, meaning that the Fed may take short-term rates into restrictive territory in order to cool growth to a more sustainable pace and arrest the drop in the unemployment rate. We see four hikes as opposed to the Fed’s baseline of three, reflecting our expectation for a steeper drop in unemployment, financial conditions that are easing in spite of Fed tightening, and the effects of the tax cuts.
For risk assets, the combination of strong growth and mild inflation was a catalyst for heady gains over the past year. Stocks, particularly interest-rate sensitive sectors like financials, should continue to benefit. But there is limited room to run in this bull market; our analysis of several key economic and market indicators suggests that the current expansion may end as soon as late 2019.
For the 12 months ended October 31, 2017, the Standard & Poor’s 500® (“S&P 500®”) Index* returned 23.63%. The MSCI Europe-Australasia-Far East (“EAFE”) Index* returned 23.44%. The return of the MSCI Emerging Markets Index* was 26.45%.
In the bond market, the Bloomberg Barclays U.S. Aggregate Bond Index* posted a 0.9% return for the period, while the Bloomberg Barclays U.S. Corporate High Yield Index* returned 8.92%. The return of the Bank of America (“BofA”) Merrill Lynch 3-Month U.S. Treasury Bill Index* was 0.72% for the 12-month period.
The opinions and forecasts expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.
*Index Definitions:
The following indices are referenced throughout this report. Indices are unmanaged and not available for direct investment. Index performance does not reflect transaction costs, fees, or expenses.
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.
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).
GUGGENHEIM ETFs ANNUAL REPORT | 3 |
ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) | October 31, 2017 |
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.
MSCI EAFE Index is a capitalization-weighted measure of stock markets in Europe, Australasia, and the Far East.
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.
Russell Top 50® Mega Cap Index measures the performance of the largest companies in the Russell 3000® Index, which measures the performance of the largest 3,000 U.S. companies and represents approximately 98% of the investable U.S. equity market. The Mega Cap Index includes approximately 50 of the largest securities based on a combination of their market cap and current index membership and represents approximately 40% of the total market capitalization of the Russell 3000.
S&P 100® Index is an unmanaged capitalization-weighted index composed of a subset of 100 common stocks of the S&P 500® Index, representing major blue-chip companies across multiple industry groups.
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.
S&P 500® Top 50 ETF Index measures the cap-weighted performance of 50 of the largest companies in the S& P500® Index, reflecting U.S. mega-cap performance. Index constituents are weighted by float-adjusted market capitalization.
S&P 500® Pure Value Index is narrow in focus, containing only those stocks from the S&P (Standard & Poor’s) 500® Index (S&P 500), as selected by S&P, that exhibit strong value characteristics, and weights them by style score. It is a complement to the S&P 500® Value Index, which consists of all value companies in the S&P 500 and measures value across several risk factors, including book value to price ratio, earnings to price ratio, and sales to price ratio. The S&P 500 itself measures the performance of the large-capitalization sector of the U.S. equity market and includes 500 widely held common stocks chosen for market size, liquidity and industry group representation.
S&P 500® Pure Growth Index is narrow in focus, containing only those stocks from the S&P (Standard & Poor’s) 500® Index (S&P 500), as selected by S&P, that exhibit strong growth characteristics, and weights them by style score. It is a complement to the S&P 500® Growth Index, which consists of all growth companies in the S&P 500 and measures growth across several risk factors, including sales growth, earnings change to price and momentum. The S&P 500 itself measures the performance of the large-capitalization sector of the U.S. equity market and includes 500 widely held common stocks chosen for market size, liquidity and industry group representation.
S&P MidCap 400® Index is a capitalization-weighted index that measures the performance of the mid-cap segment of the U.S. equity universe and includes 400 domestic mid-cap stocks chosen for market capitalization, liquidity, and industry group representation.
S&P MidCap 400® Pure Value Index is narrow in focus, containing only those S&P (Standard & Poor’s) MidCap 400® Index (S&P 400) companies with strong value characteristics as selected by S&P. It is a complement to the S&P MidCap 400® Value Index, which consists of all value companies in the S&P 400 and measures value across several risk factors, including book value to price ratio, earnings to price ratio, and sales to price ratio. The S&P 400 itself measures the performance of the mid-capitalization sector of the U.S. equity market.
S&P MidCap 400® Pure Growth Index is narrow in focus, containing only those S&P (Standard & Poor’s) MidCap 400® Index (S&P 400) companies with strong growth characteristics as selected by S&P. It is a complement to the S&P MidCap 400® Growth Index, which consists of all growth companies in the S&P 400 and measures growth across several risk factors, including sales growth, earnings change to price and momentum. The S&P 400 itself measures the performance of the mid-capitalization sector of the U.S. equity market.
S&P SmallCap 600® Index is a capitalization-weighted index that measures the performance of the small-cap segment of the U.S. equity universe and includes 600 domestic small-cap stocks chosen for market capitalization, liquidity, and industry group representation.
S&P SmallCap 600® Pure Value Index is narrow in focus, containing only those S&P (Standard & Poor’s) SmallCap 600® Index (S&P 600) companies with strong value characteristics as selected by S&P. It is a complement to the S&P SmallCap 600® Value Index, which consists of all value companies in the S&P 600 and measures value across several risk factors, including book value to price ratio, earnings to price ratio, and sales to price ratio. The S&P 600 itself measures the performance of the small-capitalization sector of the U.S. equity market.
S&P SmallCap 600® Pure Growth Index is narrow in focus, containing only those S&P (Standard & Poor’s) SmallCap 600® Index (S&P 400) companies with strong growth characteristics as selected by S&P. It is a complement to the S&P SmallCap 600® Growth Index, which consists of all growth companies in the S&P 600 and measures growth across several risk factors, including sales growth, earnings change to price and momentum. The S&P 600 itself measures the performance of the mid-capitalization sector of the U.S. equity market.
4 | GUGGENHEIM ETFs ANNUAL REPORT |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) |
Shareholder Expense Example
As a shareholder of the Rydex ETF Trust, 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 Adviser. 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 April 30, 2017 and held for the six months ended October 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 April 30, 2017 | Ending Account Value October 31, 2017 | Expenses Paid During Period2 | |
Table 1. Based on actual Fund return3 | |||||
Guggenheim S&P 500® Top 50 ETF | 0.20% | 9.51% | $ 1,000.00 | $ 1,095.10 | $ 1.06 |
Guggenheim S&P 500® Pure Value ETF | 0.35% | 7.08% | 1,000.00 | 1,070.80 | 1.83 |
Guggenheim S&P 500® Pure Growth ETF | 0.35% | 13.59% | 1,000.00 | 1,135.90 | 1.88 |
Guggenheim S&P MidCap 400® Pure Value ETF | 0.35% | 6.14% | 1,000.00 | 1,061.40 | 1.82 |
Guggenheim S&P MidCap 400® Pure Growth ETF | 0.35% | 8.96% | 1,000.00 | 1,089.60 | 1.84 |
Guggenheim S&P SmallCap 600® Pure Value ETF | 0.35% | 4.39% | 1,000.00 | 1,043.90 | 1.80 |
Guggenheim S&P SmallCap 600® Pure Growth ETF | 0.35% | 8.88% | 1,000.00 | 1,088.80 | 1.84 |
Table 2. Based on hypothetical 5% return (before expenses) | |||||
Guggenheim S&P 500® Top 50 ETF | 0.20% | 5.00% | $ 1,000.00 | $ 1,024.20 | $ 1.02 |
Guggenheim S&P 500® Pure Value ETF | 0.35% | 5.00% | 1,000.00 | 1,023.44 | 1.79 |
Guggenheim S&P 500® Pure Growth ETF | 0.35% | 5.00% | 1,000.00 | 1,023.44 | 1.79 |
Guggenheim S&P MidCap 400® Pure Value ETF | 0.35% | 5.00% | 1,000.00 | 1,023.44 | 1.79 |
Guggenheim S&P MidCap 400® Pure Growth ETF | 0.35% | 5.00% | 1,000.00 | 1,023.44 | 1.79 |
Guggenheim S&P SmallCap 600® Pure Value ETF | 0.35% | 5.00% | 1,000.00 | 1,023.44 | 1.79 |
Guggenheim S&P SmallCap 600® Pure Growth ETF | 0.35% | 5.00% | 1,000.00 | 1,023.44 | 1.79 |
1 | Annualized. |
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 April 30, 2017 to October 31, 2017. |
GUGGENHEIM ETFs ANNUAL REPORT | 5 |
MANAGER’S ANALYSIS (Unaudited) | October 31, 2017 |
GUGGENHEIM S&P 500® TOP 50 ETF
Guggenheim S&P 500® Top 50 ETF (“XLG”) returned 24.40% for the one-year period ended October 31, 2017. For the year, its benchmark, the S&P 500® Top 50 Index, posted a return of 24.72%.
The Information Technology sector was the largest contributor to the Fund’s performance, followed by Financials and Health Care. No sector detracted from the Fund’s performance. The Telecommunications Services sector contributed least, followed by the Energy and Consumer Staples sectors.
The top contributors to Fund return were Apple, Inc., Microsoft Corp., and JPMorgan Chase & Co. The largest detractors were General Electric Co., Qualcomm, Inc., and Schlumberger NV.
Mega-cap stocks, as represented by the S&P 500® Top 50 Index, outpaced performance of large-cap stocks and mid-cap stocks, but underperformed small-cap stocks. Returns for the S&P 500®, the S&P MidCap 400®, and the S&P SmallCap 600® were 23.63%, 23.48%, and 27.92%, respectively.
Cumulative Fund Performance: October 31, 2007 – October 31, 2017
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED OCTOBER 31, 2017 | ||||
One Year | Three Year | Five Year | 10 Year | |
Guggenheim S&P 500® Top 50 ETF | 24.40% | 11.41% | 14.36% | 6.95% |
S&P 500 Top 50 Index | 24.72% | N/A | N/A | N/A |
S&P 500 Top 50 Blended Index1 | 16.62% | 7.65% | 11.91% | 6.25% |
Russell Top 50 Mega Cap Index | 23.95% | 11.11% | 14.30% | 7.00% |
S&P 100 Index | 23.17% | 10.76% | 14.55% | 7.11% |
The S&P 500 Top 50 Index incepted on 11/30/15. Therefore, the index returns for the time periods listed above are not available.
1 | Benchmark returns reflect the blended return of the Russell Top 50 Mega Cap Index from 05/04/05 to 01/26/16 and the return of the S&P 500 Top 50 Index from 01/27/16 to 10/31/17. |
The returns presented above do not reflect the effect of taxes. Index returns represent total returns. Performance displayed represents past performance, which is no guarantee of future results.
6 | GUGGENHEIM ETFs ANNUAL REPORT |
PORTFOLIO SUMMARY (Unaudited) | October 31, 2017 |
GUGGENHEIM S&P 500® TOP 50 ETF
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Ten Largest Holdings | (% of Total Net Assets) |
Apple, Inc. | 8.1% |
Microsoft Corp. | 6.0% |
Amazon.com, Inc. | 4.1% |
Facebook, Inc. — Class A | 4.0% |
Johnson & Johnson | 3.5% |
Berkshire Hathaway, Inc. — Class B | 3.3% |
JPMorgan Chase & Co. | 3.3% |
Exxon Mobil Corp. | 3.3% |
Alphabet, Inc. — Class A | 2.9% |
Alphabet, Inc. — Class C | 2.9% |
Top Ten Total | 41.4% |
“Ten Largest Holdings” excludes any temporary cash investments. |
GUGGENHEIM ETFs ANNUAL REPORT | 7 |
MANAGER’S ANALYSIS (Unaudited) | October 31, 2017 |
GUGGENHEIM S&P 500® PURE VALUE ETF
For the one-year period ended October 31, 2017, Guggenheim S&P 500® Pure Value ETF (“RPV”) returned 21.44%. Over the year, its benchmark, the S&P 500® Pure Value Index, posted a return of 21.97%.
For comparison, the S&P 500® Value Index returned 19.59% for the year.
For the period, RPV achieved a correlation of over 99% to its benchmark of the daily price movement of the S&P 500® Pure Value Index.
The Financials sector was the largest contributor to the Fund’s performance during the period, followed by Consumer Discretionary and Energy sectors. The Telecommunications Services sector was the only detractor from performance. The Consumer Staples and Materials sectors contributed least to performance.
Stocks contributing the most to the Fund’s return were Centene Corp., Anthem, Inc., and NRG Energy, Inc. Stocks detracting most from performance were Kroger Co., Frontier Communications Corp. Class B, and Endo International Plc.
Cumulative Fund Performance: October 31, 2007 �� October 31, 2017
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED OCTOBER 31, 2017 | ||||
One Year | Three Year | Five Year | 10 Year | |
Guggenheim S&P 500® Pure Value ETF | 21.44% | 7.00% | 16.20% | 8.37% |
S&P 500 Pure Value Index | 21.97% | 7.34% | 16.62% | 8.83% |
S&P 500 Value Index | 19.59% | 8.67% | 13.63% | 5.58% |
The returns presented above do not reflect the effect of taxes. Index returns represent total returns. Performance displayed represents past performance, which is no guarantee of future results.
8 | GUGGENHEIM ETFs ANNUAL REPORT |
PORTFOLIO SUMMARY (Unaudited) | October 31, 2017 |
GUGGENHEIM S&P 500® PURE VALUE ETF
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Ten Largest Holdings | (% of Total Net Assets) |
Berkshire Hathaway, Inc. — Class B | 2.6% |
Centene Corp. | 2.5% |
General Motors Co. | 2.3% |
Arconic, Inc. | 2.3% |
Anthem, Inc. | 2.2% |
Valero Energy Corp. | 2.1% |
Andeavor | 1.8% |
Prudential Financial, Inc. | 1.8% |
Assurant, Inc. | 1.6% |
PulteGroup, Inc. | 1.6% |
Top Ten Total | 20.8% |
“Ten Largest Holdings” excludes any temporary cash investments. |
GUGGENHEIM ETFs ANNUAL REPORT | 9 |
MANAGER’S ANALYSIS (Unaudited) | October 31, 2017 |
GUGGENHEIM S&P 500® PURE GROWTH ETF
For the one-year period ended October 31, 2017, Guggenheim S&P 500® Pure Growth ETF (“RPG”) returned 26.87%. Over the year, its benchmark, the S&P 500® Pure Growth Index, produced a return of 27.34%. For the period, RPG achieved over 99% correlation to its benchmark on a daily basis.
For comparison, the S&P 500® Growth Index returned 26.50% for the year.
The Information Technology, Health Care and Industrials sectors contributed the most to the Fund’s performance. The Energy and Consumer Staples sectors were the only detractors from the Fund’s performance. The Utilities sector contributed least.
Stocks contributing the most to the Fund’s return were NVIDIA Corp., Applied Materials, Inc., and Lam Research Corp. Stocks detracting most from performance were TripAdvisor, Inc., Urban Outfitters, Inc., and Akamai Technologies, Inc.
Cumulative Fund Performance: October 31, 2007 – October 31, 2017
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED OCTOBER 31, 2017 | ||||
One Year | Three Year | Five Year | 10 Year | |
Guggenheim S&P 500® Pure Growth ETF | 26.87% | 10.10% | 17.48% | 10.77% |
S&P 500 Growth Index | 26.50% | 12.37% | 16.40% | 9.25% |
S&P 500 Pure Growth Index | 27.34% | 10.49% | 17.91% | 11.16% |
The returns presented above do not reflect the effect of taxes. Index returns represent total returns. Performance displayed represents past performance, which is no guarantee of future results.
10 | GUGGENHEIM ETFs ANNUAL REPORT |
PORTFOLIO SUMMARY (Unaudited) | October 31, 2017 |
GUGGENHEIM S&P 500® PURE GROWTH ETF
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Ten Largest Holdings | (% of Total Net Assets) |
Applied Materials, Inc. | 3.5% |
NVIDIA Corp. | 3.4% |
Lam Research Corp. | 2.6% |
Align Technology, Inc. | 2.5% |
Broadcom Ltd. | 1.9% |
IDEXX Laboratories, Inc. | 1.7% |
Facebook, Inc. — Class A | 1.7% |
UnitedHealth Group, Inc. | 1.6% |
Prologis, Inc. | 1.5% |
Amazon.com, Inc. | 1.5% |
Top Ten Total | 21.9% |
“Ten Largest Holdings” excludes any temporary cash investments. |
GUGGENHEIM ETFs ANNUAL REPORT | 11 |
MANAGER’S ANALYSIS (Unaudited) | October 31, 2017 |
GUGGENHEIM S&P MIDCAP 400® PURE VALUE ETF
For the one-year period ended October 31, 2017, Guggenheim S&P MidCap 400® Pure Value ETF (“RFV”) returned 23.93%. Over the year, its benchmark, the S&P MidCap 400® Pure Value Index, posted a 24.30% return. RFV achieved over 99% correlation to its benchmark on a daily basis.
For comparison, the S&P MidCap 400® Value Index returned 20.74% for the year.
The Materials, Industrials, and Financials sectors were the largest contributors to the Fund’s performance. The Health Care, Consumer Staples, and Telecommunications Services sectors were the largest detractors from the Fund’s performance.
Stocks contributing the most to the Fund’s return were United States Steel Corp., KB Home, Inc., and Terex Corp. Frontier Communications Corp. Class B, Endo International Plc, and Dean Foods Co. detracted the most from the Fund’s return.
Cumulative Fund Performance: October 31, 2007 – October 31, 2017
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED OCTOBER 31, 2017 | ||||
One Year | Three Year | Five Year | 10 Year | |
Guggenheim S&P MidCap 400® Pure Value ETF | 23.93% | 8.96% | 14.85% | 8.00% |
S&P MidCap 400 Pure Value Index | 24.30% | 9.31% | 15.24% | 8.42% |
S&P MidCap 400 Value Index | 20.74% | 9.31% | 14.97% | 8.30% |
The returns presented above do not reflect the effect of taxes. Index returns represent total returns. Performance displayed represents past performance, which is no guarantee of future results.
12 | GUGGENHEIM ETFs ANNUAL REPORT |
PORTFOLIO SUMMARY (Unaudited) | October 31, 2017 |
GUGGENHEIM S&P MIDCAP 400® PURE VALUE ETF
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Ten Largest Holdings | (% of Total Net Assets) |
KB Home | 3.6% |
First Solar, Inc. | 2.6% |
CalAtlantic Group, Inc. | 2.2% |
Domtar Corp. | 2.2% |
Arrow Electronics, Inc. | 2.0% |
Jabil, Inc. | 1.9% |
CNO Financial Group, Inc. | 1.9% |
TRI Pointe Group, Inc. | 1.9% |
PBF Energy, Inc. — Class A | 1.8% |
AutoNation, Inc. | 1.8% |
Top Ten Total | 21.9% |
“Ten Largest Holdings” excludes any temporary cash investments. |
GUGGENHEIM ETFs ANNUAL REPORT | 13 |
MANAGER’S ANALYSIS (Unaudited) | October 31, 2017 |
GUGGENHEIM S&P MIDCAP 400® PURE GROWTH ETF
For the one-year period ended October 31, 2017, Guggenheim S&P MidCap 400® Pure Growth ETF (“RFG”) returned 26.59%. Over the year, its benchmark, the S&P MidCap 400® Pure Growth Index, returned 27.02%. RFG achieved over 99% correlation to its benchmark on a daily basis.
For comparison, the S&P MidCap 400® Growth Index returned 25.50% for the year.
The Information Technology, Health Care, and Consumer Discretionary sectors contributed the most to the Fund’s performance. No sector detracted from performance. The Utilities, Energy and Consumer Staples sectors contributed least to the Fund’s performance.
Stocks contributing the most to return were Cognex Corp., Abiomed, Inc., and Take-Two Interactive Software, Inc. Stocks detracting the most from return were Dick’s Sporting Goods, Inc., Uniti Group, Inc., and InterDigital, Inc.
Cumulative Fund Performance: October 31, 2007 – October 31, 2017
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED OCTOBER 31, 2017 | ||||
One Year | Three Year | Five Year | 10 Year | |
Guggenheim S&P MidCap 400® Pure Growth ETF | 26.59% | 7.36% | 11.94% | 10.08% |
S&P MidCap 400 Growth Index | 25.50% | 11.68% | 15.02% | 9.50% |
S&P MidCap 400 Pure Growth Index | 27.02% | 7.72% | 12.28% | 10.43% |
The returns presented above do not reflect the effect of taxes. Index returns represent total returns. Performance displayed represents past performance, which is no guarantee of future results.
14 | GUGGENHEIM ETFs ANNUAL REPORT |
PORTFOLIO SUMMARY (Unaudited) | October 31, 2017 |
GUGGENHEIM S&P MIDCAP 400® PURE GROWTH ETF
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Ten Largest Holdings | (% of Total Net Assets) |
Cognex Corp. | 3.1% |
ABIOMED, Inc. | 3.1% |
Take-Two Interactive Software, Inc. | 2.8% |
Thor Industries, Inc. | 2.2% |
WellCare Health Plans, Inc. | 2.2% |
LogMeIn, Inc. | 2.0% |
InterDigital, Inc. | 1.9% |
Royal Gold, Inc. | 1.7% |
MarketAxess Holdings, Inc. | 1.7% |
Domino’s Pizza, Inc. | 1.6% |
Top Ten Total | 22.3% |
“Ten Largest Holdings” excludes any temporary cash investments. |
GUGGENHEIM ETFs ANNUAL REPORT | 15 |
MANAGER’S ANALYSIS (Unaudited) | October 31, 2017 |
GUGGENHEIM S&P SMALLCAP 600® PURE VALUE ETF
For the one-year period ended October 31, 2017, Guggenheim S&P SmallCap 600® Pure Value ETF (“RZV”) returned 17.88%. Over the year, its benchmark, the S&P SmallCap 600® Pure Value Index, returned 18.13%. RZV achieved over 99% correlation to its benchmark on a daily basis.
For comparison, the S&P SmallCap 600® Value Index returned 26.16% for the year.
The largest contributors to the Fund’s performance were the Information Technology, Industrials, and Materials sectors. The Consumer Discretionary and Telecommunications Services sectors were the only ones to detract from performance. The Real Estate sector contributed least to performance.
RH, Inc., Century Aluminum Co., and Exterran Corp. contributed the most to the Fund’s return. Adeptus Health, Inc. Class A, Tuesday Morning Corp., and Vitamin Shoppe, Inc. were the largest detractors from the Fund’s return.
Cumulative Fund Performance: October 31, 2007 – October 31, 2017
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED OCTOBER 31, 2017 | ||||
One Year | Three Year | Five Year | 10 Year | |
Guggenheim S&P SmallCap 600® Pure Value ETF | 17.88% | 5.12% | 13.10% | 7.72% |
S&P SmallCap 600 Pure Value Index | 18.13% | 5.40% | 13.44% | 7.95% |
S&P SmallCap 600 Value Index | 26.16% | 10.85% | 15.92% | 8.71% |
The returns presented above do not reflect the effect of taxes. Index returns represent total returns. Performance displayed represents past performance, which is no guarantee of future results.
16 | GUGGENHEIM ETFs ANNUAL REPORT |
PORTFOLIO SUMMARY (Unaudited) | October 31, 2017 |
GUGGENHEIM S&P SMALLCAP 600® PURE VALUE ETF
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Ten Largest Holdings | (% of Total Net Assets) |
Comtech Telecommunications Corp. | 1.7% |
RH | 1.7% |
M/I Homes, Inc. | 1.7% |
Kelly Services, Inc. — Class A | 1.7% |
Exterran Corp. | 1.6% |
QuinStreet, Inc. | 1.5% |
Select Medical Holdings Corp. | 1.4% |
AdvanSix, Inc. | 1.4% |
Meritage Homes Corp. | 1.4% |
Diplomat Pharmacy, Inc. | 1.3% |
Top Ten Total | 15.4% |
“Ten Largest Holdings” excludes any temporary cash investments. |
GUGGENHEIM ETFs ANNUAL REPORT | 17 |
MANAGER’S ANALYSIS (Unaudited) | October 31, 2017 |
GUGGENHEIM S&P SMALLCAP 600® PURE GROWTH ETF
For the one-year period ended October 31, 2017, Guggenheim S&P SmallCap 600® Pure Growth ETF (“RZG”) returned 35.01%. Over the year, its benchmark, the S&P SmallCap 600® Pure Growth Index, returned 35.39%. RZG achieved over 99% correlation to its benchmark on a daily basis.
For comparison, the S&P SmallCap 600® Growth Index returned 29.44% for the year.
The largest contributors to the Fund’s performance were the Health Care, Financials, and Consumer Discretionary sectors. The Consumer Staples sector was the only detractor from performance. The Utilities and Telecommunications Services sector contributed least.
LendingTree, Inc., Supernus Pharmaceuticals, Inc., and Installed Building Products, Inc. were the holdings contributing the most to the Fund’s return. Progenics Pharmaceuticals, Inc., AMAG Pharmaceuticals, Inc., and Orion Group Holdings, Inc. were the largest detractors.
Cumulative Fund Performance: October 31, 2007 – October 31, 2017
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED OCTOBER 31, 2017 | ||||
One Year | Three Year | Five Year | 10 Year | |
Guggenheim S&P SmallCap 600® Pure Growth ETF | 35.01% | 12.00% | 16.12% | 9.99% |
S&P SmallCap 600 Growth Index | 29.44% | 12.76% | 16.61% | 9.58% |
S&P SmallCap 600 Pure Growth Index | 35.39% | 12.32% | 16.44% | 10.26% |
The returns presented above do not reflect the effect of taxes. Index returns represent total returns. Performance displayed represents past performance, which is no guarantee of future results.
18 | GUGGENHEIM ETFs ANNUAL REPORT |
PORTFOLIO SUMMARY (Unaudited) | October 31, 2017 |
GUGGENHEIM S&P SMALLCAP 600® PURE GROWTH ETF
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Ten Largest Holdings | (% of Total Net Assets) |
LendingTree, Inc. | 2.6% |
Installed Building Products, Inc. | 2.0% |
MKS Instruments, Inc. | 1.9% |
NutriSystem, Inc. | 1.7% |
Supernus Pharmaceuticals, Inc. | 1.6% |
Trex Company, Inc. | 1.6% |
OraSure Technologies, Inc. | 1.6% |
MiMedx Group, Inc. | 1.4% |
BioTelemetry, Inc. | 1.4% |
National Storage Affiliates Trust | 1.4% |
Top Ten Total | 17.2% |
“Ten Largest Holdings” excludes any temporary cash investments. |
GUGGENHEIM ETFs ANNUAL REPORT | 19 |
SCHEDULE OF INVESTMENTS | October 31, 2017 |
GUGGENHEIM S&P 500® TOP 50 ETF |
Shares | Value | |||||||
COMMON STOCKS† - 99.7% | ||||||||
Communications - 22.9% | ||||||||
Amazon.com, Inc.* | 25,414 | $ | 28,089,586 | |||||
Facebook, Inc. — Class A* | 151,086 | 27,204,545 | ||||||
Alphabet, Inc. — Class A* | 18,998 | 19,625,694 | ||||||
Alphabet, Inc. — Class C* | 19,242 | 19,562,187 | ||||||
AT&T, Inc. | 391,366 | 13,169,466 | ||||||
Verizon Communications, Inc. | 260,021 | 12,447,205 | ||||||
Cisco Systems, Inc. | 318,705 | 10,883,776 | ||||||
Comcast Corp. — Class A | 299,831 | 10,802,911 | ||||||
Walt Disney Co. | 98,382 | 9,622,743 | ||||||
Priceline Group, Inc.* | 3,126 | 5,976,787 | ||||||
Total Communications | 157,384,900 | |||||||
Consumer, Non-cyclical - 22.6% | ||||||||
Johnson & Johnson | 171,079 | 23,850,123 | ||||||
Procter & Gamble Co. | 162,539 | 14,033,617 | ||||||
Pfizer, Inc. | 380,393 | 13,336,579 | ||||||
UnitedHealth Group, Inc. | 61,628 | 12,955,438 | ||||||
Coca-Cola Co. | 244,684 | 11,250,571 | ||||||
Philip Morris International, Inc. | 98,999 | 10,359,255 | ||||||
PepsiCo, Inc. | 91,053 | 10,036,772 | ||||||
Merck & Company, Inc. | 174,341 | 9,604,446 | ||||||
AbbVie, Inc. | 101,609 | 9,170,212 | ||||||
Amgen, Inc. | 46,510 | 8,149,483 | ||||||
Altria Group, Inc. | 122,290 | 7,853,464 | ||||||
Medtronic plc | 86,341 | 6,952,177 | ||||||
Bristol-Myers Squibb Co. | 104,530 | 6,445,320 | ||||||
Gilead Sciences, Inc. | 83,241 | 6,239,745 | ||||||
Celgene Corp.* | 49,868 | 5,035,172 | ||||||
Total Consumer, Non-cyclical | 155,272,374 | |||||||
Technology - 19.7% | ||||||||
Apple, Inc. | 329,235 | 55,653,883 | ||||||
Microsoft Corp. | 490,945 | 40,836,805 | ||||||
Intel Corp. | 299,516 | 13,624,983 | ||||||
Oracle Corp. | 192,482 | 9,797,334 | ||||||
International Business Machines Corp. | 55,244 | 8,510,891 | ||||||
Broadcom Ltd. | 25,916 | 6,839,492 | ||||||
Total Technology | 135,263,388 | |||||||
Financial - 16.5% | ||||||||
Berkshire Hathaway, Inc. — Class B* | 122,646 | 22,927,443 | ||||||
JPMorgan Chase & Co. | 224,300 | 22,566,823 | ||||||
Bank of America Corp. | 625,426 | 17,130,418 | ||||||
Wells Fargo & Co. | 284,764 | 15,986,651 | ||||||
Visa, Inc. — Class A | 116,605 | 12,824,218 | ||||||
Citigroup, Inc. | 173,666 | 12,764,451 | ||||||
Mastercard, Inc. — Class A | 59,518 | 8,854,493 | ||||||
Total Financial | 113,054,497 | |||||||
Industrial - 6.9% | ||||||||
General Electric Co. | 551,862 | 11,125,538 | ||||||
Boeing Co. | 35,416 | 9,136,620 | ||||||
3M Co. | 38,039 | 8,756,197 | ||||||
Honeywell International, Inc. | 48,592 | 7,005,023 | ||||||
Union Pacific Corp. | 51,016 | 5,907,143 | ||||||
United Technologies Corp. | 47,349 | 5,670,516 | ||||||
Total Industrial | 47,601,037 | |||||||
Energy - 6.1% | ||||||||
Exxon Mobil Corp. | 270,085 | 22,511,585 | ||||||
Chevron Corp. | 120,788 | 13,998,121 | ||||||
Schlumberger Ltd. | 88,566 | 5,668,224 | ||||||
Total Energy | 42,177,930 | |||||||
Consumer, Cyclical - 5.0% | ||||||||
Home Depot, Inc. | 75,139 | 12,456,543 | ||||||
McDonald’s Corp. | 51,629 | 8,617,396 | ||||||
Wal-Mart Stores, Inc. | 93,299 | 8,145,936 | ||||||
Starbucks Corp. | 92,034 | 5,047,145 | ||||||
Total Consumer, Cyclical | 34,267,020 | |||||||
Total Common Stocks | ||||||||
(Cost $511,569,607) | 685,021,146 | |||||||
MONEY MARKET FUND† - 0.2% | ||||||||
Federated U.S. Treasury Cash Reserve Fund — Institutional Shares, 0.89%1 | 1,222,781 | 1,222,781 | ||||||
Total Money Market Fund | ||||||||
(Cost $1,222,781) | 1,222,781 | |||||||
Total Investments - 99.9% | ||||||||
(Cost $512,792,388) | $ | 686,243,927 | ||||||
Other Assets & Liabilities, net - 0.1% | 467,191 | |||||||
Total Net Assets - 100.0% | $ | 686,711,118 |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
1 | Rate indicated is the 7 day yield as of October 31, 2017. |
plc — Public Limited Company | |
See Sector Classification in Other Information section. |
20 | GUGGENHEIM ETFs ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (concluded) | October 31, 2017 |
GUGGENHEIM S&P 500® TOP 50 ETF |
The following table summarizes the inputs used to value the Fund’s investments at October 31, 2017 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | Total | ||||||||||||
Common Stocks | $ | 685,021,146 | $ | — | $ | — | $ | 685,021,146 | ||||||||
Money Market Fund | 1,222,781 | — | — | 1,222,781 | ||||||||||||
Total Assets | $ | 686,243,927 | $ | — | $ | — | $ | 686,243,927 |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
For the year ended October 31, 2017, there were no transfers between levels.
SEE NOTES TO FINANCIAL STATEMENTS. | GUGGENHEIM ETFs ANNUAL REPORT | 21 |
SCHEDULE OF INVESTMENTS | October 31, 2017 |
GUGGENHEIM S&P 500® PURE VALUE ETF |
Shares | Value | |||||||
COMMON STOCKS† - 99.8% | ||||||||
Financial - 35.8% | ||||||||
Berkshire Hathaway, Inc. — Class B* | 114,820 | $ | 21,464,451 | |||||
Prudential Financial, Inc. | 131,577 | 14,533,996 | ||||||
Assurant, Inc. | 135,478 | 13,635,861 | ||||||
Hartford Financial Services Group, Inc. | 236,285 | 13,007,489 | ||||||
Unum Group | 247,610 | 12,885,625 | ||||||
Lincoln National Corp. | 165,438 | 12,536,893 | ||||||
Allstate Corp. | 127,624 | 11,978,789 | ||||||
XL Group Ltd. | 294,235 | 11,907,690 | ||||||
MetLife, Inc. | 210,510 | 11,279,126 | ||||||
Citigroup, Inc. | 148,223 | 10,894,391 | ||||||
Bank of America Corp. | 374,585 | 10,259,883 | ||||||
Loews Corp. | 202,974 | 10,049,243 | ||||||
Capital One Financial Corp. | 100,532 | 9,267,041 | ||||||
American International Group, Inc. | 133,554 | 8,628,924 | ||||||
Aflac, Inc. | 101,688 | 8,530,606 | ||||||
Travelers Companies, Inc. | 60,524 | 8,016,403 | ||||||
Morgan Stanley | 151,611 | 7,580,550 | ||||||
Regions Financial Corp. | 479,781 | 7,427,010 | ||||||
Everest Re Group Ltd. | 29,467 | 6,996,939 | ||||||
SunTrust Banks, Inc. | 111,628 | 6,721,122 | ||||||
Chubb Ltd. | 44,022 | 6,639,398 | ||||||
Progressive Corp. | 127,210 | 6,188,767 | ||||||
JPMorgan Chase & Co. | 59,051 | 5,941,121 | ||||||
Principal Financial Group, Inc. | 86,917 | 5,723,484 | ||||||
PNC Financial Services Group, Inc. | 39,397 | 5,389,116 | ||||||
Fifth Third Bancorp | 184,417 | 5,329,651 | ||||||
Zions Bancorporation | 114,528 | 5,320,971 | ||||||
Goldman Sachs Group, Inc. | 20,939 | 5,077,289 | ||||||
People’s United Financial, Inc. | 233,896 | 4,364,499 | ||||||
BB&T Corp. | 81,463 | 4,011,238 | ||||||
Bank of New York Mellon Corp. | 77,656 | 3,995,401 | ||||||
Torchmark Corp. | 45,219 | 3,804,274 | ||||||
Wells Fargo & Co. | 64,431 | 3,617,156 | ||||||
Huntington Bancshares, Inc. | 248,679 | 3,431,770 | ||||||
State Street Corp. | 35,188 | 3,237,296 | ||||||
Navient Corp. | 252,527 | 3,146,486 | ||||||
Invesco Ltd. | 87,013 | 3,114,195 | ||||||
Brighthouse Financial, Inc.* | 19,135 | 1,189,814 | ||||||
Total Financial | 297,123,958 | |||||||
Consumer, Cyclical - 18.7% | ||||||||
General Motors Co. | 450,882 | 19,378,908 | ||||||
PulteGroup, Inc. | 437,354 | 13,221,212 | ||||||
Ford Motor Co. | 1,075,065 | 13,191,048 | ||||||
DR Horton, Inc. | 270,252 | 11,947,841 | ||||||
Wal-Mart Stores, Inc. | 129,523 | 11,308,654 | ||||||
Lennar Corp. — Class A | 175,926 | 9,793,800 | ||||||
Goodyear Tire & Rubber Co. | 296,555 | 9,071,617 | ||||||
CVS Health Corp. | 115,702 | 7,929,059 | ||||||
Kohl’s Corp.1 | 169,711 | 7,087,131 | ||||||
BorgWarner, Inc.1 | 133,768 | 7,052,249 | ||||||
Whirlpool Corp. | 41,220 | 6,757,195 | ||||||
PVH Corp. | 49,012 | 6,215,212 | ||||||
Gap, Inc.1 | 188,577 | 4,901,116 | ||||||
Costco Wholesale Corp. | 28,802 | 4,639,426 | ||||||
Carnival Corp. | 58,198 | 3,863,765 | ||||||
Target Corp. | 62,761 | 3,705,409 | ||||||
American Airlines Group, Inc. | 77,827 | 3,643,860 | ||||||
Delta Air Lines, Inc. | 72,777 | 3,641,033 | ||||||
Macy’s, Inc.1 | 163,062 | 3,059,043 | ||||||
Walgreens Boots Alliance, Inc. | 42,924 | 2,844,573 | ||||||
Signet Jewelers Ltd.1 | 32,592 | 2,137,057 | ||||||
Total Consumer, Cyclical | 155,389,208 | |||||||
Consumer, Non-cyclical - 14.2% | ||||||||
Centene Corp.* | 218,524 | 20,469,143 | ||||||
Anthem, Inc. | 87,126 | 18,227,630 | ||||||
Archer-Daniels-Midland Co. | 312,767 | 12,782,787 | ||||||
Tyson Foods, Inc. — Class A | 134,586 | 9,812,665 | ||||||
McKesson Corp. | 66,437 | 9,160,333 | ||||||
Cardinal Health, Inc. | 131,313 | 8,128,275 | ||||||
AmerisourceBergen Corp. — Class A1 | 102,181 | 7,862,828 | ||||||
Express Scripts Holding Co.* | 105,538 | 6,468,424 | ||||||
Cigna Corp. | 30,195 | 5,955,058 | ||||||
Kroger Co. | 257,538 | 5,331,037 | ||||||
Patterson Companies, Inc.1 | 143,805 | 5,320,785 | ||||||
Allergan plc | 27,955 | 4,954,465 | ||||||
DaVita, Inc.* | 59,377 | 3,606,559 | ||||||
Total Consumer, Non-cyclical | 118,079,989 | |||||||
Utilities - 8.8% | ||||||||
Exelon Corp. | 251,904 | 10,129,059 | ||||||
Entergy Corp. | 114,889 | 9,910,325 | ||||||
NRG Energy, Inc. | 357,168 | 8,929,200 | ||||||
FirstEnergy Corp. | 216,329 | 7,128,041 | ||||||
Duke Energy Corp. | 69,560 | 6,142,844 | ||||||
AES Corp. | 546,957 | 5,814,153 | ||||||
Consolidated Edison, Inc. | 64,021 | 5,509,007 | ||||||
Public Service Enterprise Group, Inc. | 87,058 | 4,283,254 | ||||||
Eversource Energy | 67,252 | 4,212,665 | ||||||
Ameren Corp. | 63,535 | 3,938,535 | ||||||
Xcel Energy, Inc. | 74,862 | 3,707,166 | ||||||
DTE Energy Co. | 30,838 | 3,406,365 | ||||||
Total Utilities | 73,110,614 | |||||||
Energy - 6.7% | ||||||||
Valero Energy Corp. | 219,331 | 17,303,023 | ||||||
Andeavor | 140,376 | 14,913,546 | ||||||
Marathon Petroleum Corp. | 214,379 | 12,807,001 | ||||||
Phillips 66 | 85,790 | 7,813,753 | ||||||
Marathon Oil Corp. | 184,744 | 2,627,060 | ||||||
Total Energy | 55,464,383 | |||||||
Industrial - 6.5% | ||||||||
Arconic, Inc. | 744,803 | 18,709,452 | ||||||
WestRock Co. | 130,891 | 8,027,545 | ||||||
Fluor Corp. | 179,198 | 7,721,642 | ||||||
Jacobs Engineering Group, Inc. | 115,669 | 6,733,092 | ||||||
Textron, Inc. | 101,010 | 5,327,268 | ||||||
Johnson Controls International plc | 100,596 | 4,163,668 |
22 | GUGGENHEIM ETFs ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | October 31, 2017 |
GUGGENHEIM S&P 500® PURE VALUE ETF |
Shares | Value | |||||||
Eaton Corporation plc | 46,308 | $ | 3,705,566 | |||||
Total Industrial | 54,388,233 | |||||||
Technology - 3.2% | ||||||||
Xerox Corp. | 384,160 | 11,643,890 | ||||||
HP, Inc. | 256,418 | 5,525,808 | ||||||
Hewlett Packard Enterprise Co. | 388,211 | 5,403,897 | ||||||
Western Digital Corp. | 42,994 | 3,838,074 | ||||||
Total Technology | 26,411,669 | |||||||
Communications - 3.2% | ||||||||
CenturyLink, Inc.1 | 562,256 | 10,677,241 | ||||||
News Corp. — Class A | 707,146 | 9,659,615 | ||||||
News Corp. — Class B1 | 220,997 | 3,071,858 | ||||||
AT&T, Inc. | 83,439 | 2,807,722 | ||||||
Total Communications | 26,216,436 | |||||||
Diversified - 1.5% | ||||||||
Leucadia National Corp. | 489,379 | 12,381,289 | ||||||
Basic Materials - 1.2% | ||||||||
Mosaic Co. | 286,433 | 6,398,913 | ||||||
Eastman Chemical Co. | 39,032 | 3,544,496 | ||||||
Total Basic Materials | 9,943,409 | |||||||
Total Common Stocks | ||||||||
(Cost $761,893,923) | 828,509,188 | |||||||
MONEY MARKET FUND† - 0.2% | ||||||||
Federated U.S. Treasury Cash Reserve Fund — Institutional Shares, 0.89%2 | 1,587,127 | 1,587,127 | ||||||
Total Money Market Fund | ||||||||
(Cost $1,587,127) | 1,587,127 |
Face Amount | ||||||||
SECURITIES LENDING COLLATERAL††,3 - 1.7% | ||||||||
Repurchase Agreements | ||||||||
Nomura Securities International, Inc. issued 10/31/17 at 1.06% due 11/01/17 | $ | 3,324,228 | 3,324,228 | |||||
Jefferies LLC issued 10/31/17 at 1.18% due 11/01/17 | 3,324,228 | 3,324,228 | ||||||
HSBC Securities (USA), Inc. issued 10/31/17 at 1.04% due 11/01/17 | 3,324,228 | 3,324,228 | ||||||
Citigroup Global Markets, Inc. issued 10/31/17 at 1.07% due 11/01/17 | 3,324,228 | 3,324,228 | ||||||
Merrill Lynch, Pierce, Fenner & Smith, Inc. issued 10/31/17 at 1.05% due 11/01/17 | 985,082 | 985,082 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $14,281,994) | 14,281,994 | |||||||
Total Investments - 101.7% | ||||||||
(Cost $777,763,044) | $ | 844,378,309 | ||||||
Other Assets & Liabilities, net - (1.7)% | (13,871,609 | ) | ||||||
Total Net Assets - 100.0% | $ | 830,506,700 |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | All or a portion of this security is on loan at October 31, 2017 — See Note 5. |
2 | Rate indicated is the 7 day yield as of October 31, 2017. |
3 | Securities lending collateral — See Note 5. |
plc — Public Limited Company | |
See Sector Classification in Other Information section. |
SEE NOTES TO FINANCIAL STATEMENTS. | GUGGENHEIM ETFs ANNUAL REPORT | 23 |
SCHEDULE OF INVESTMENTS (concluded) | October 31, 2017 |
GUGGENHEIM S&P 500® PURE VALUE ETF |
The following table summarizes the inputs used to value the Fund’s investments at October 31, 2017 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | Total | ||||||||||||
Common Stocks | $ | 828,509,188 | $ | — | $ | — | $ | 828,509,188 | ||||||||
Money Market Fund | 1,587,127 | — | — | 1,587,127 | ||||||||||||
Securities Lending Collateral | — | 14,281,994 | — | 14,281,994 | ||||||||||||
Total Assets | $ | 830,096,315 | $ | 14,281,994 | $ | — | $ | 844,378,309 |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
For the year ended October 31, 2017, there were no transfers between levels.
24 | GUGGENHEIM ETFs ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS | October 31, 2017 |
GUGGENHEIM S&P 500® PURE GROWTH ETF |
Shares | Value | |||||||
COMMON STOCKS† - 99.8% | ||||||||
Technology - 22.9% | ||||||||
Applied Materials, Inc. | 1,384,379 | $ | 78,120,508 | |||||
NVIDIA Corp. | 358,615 | 74,165,169 | ||||||
Lam Research Corp. | 273,481 | 57,039,932 | ||||||
Broadcom Ltd. | 157,437 | 41,549,199 | ||||||
Microchip Technology, Inc.1 | 310,235 | 29,410,278 | ||||||
Activision Blizzard, Inc. | 405,644 | 26,565,625 | ||||||
Skyworks Solutions, Inc.1 | 205,236 | 23,368,171 | ||||||
salesforce.com, Inc.* | 208,296 | 21,317,013 | ||||||
Adobe Systems, Inc.* | 114,003 | 19,968,765 | ||||||
Red Hat, Inc.* | 159,503 | 19,272,747 | ||||||
Electronic Arts, Inc.* | 143,351 | 17,144,780 | ||||||
Texas Instruments, Inc. | 151,315 | 14,630,647 | ||||||
Fidelity National Information Services, Inc. | 151,565 | 14,059,169 | ||||||
Analog Devices, Inc. | 148,653 | 13,572,018 | ||||||
Cerner Corp.* | 191,575 | 12,935,144 | ||||||
Akamai Technologies, Inc.* | 237,999 | 12,435,448 | ||||||
Citrix Systems, Inc.* | 145,207 | 11,995,550 | ||||||
Fiserv, Inc.* | 86,704 | 11,222,099 | ||||||
QUALCOMM, Inc. | 173,853 | 8,868,242 | ||||||
Total Technology | 507,640,504 | |||||||
Consumer, Non-cyclical - 22.4% | ||||||||
Align Technology, Inc.* | 235,821 | 56,356,503 | ||||||
IDEXX Laboratories, Inc.* | 231,778 | 38,514,550 | ||||||
UnitedHealth Group, Inc. | 168,652 | 35,454,022 | ||||||
Quanta Services, Inc.* | 808,538 | 30,506,139 | ||||||
PayPal Holdings, Inc.* | 393,159 | 28,527,617 | ||||||
Constellation Brands, Inc. — Class A | 124,333 | 27,240,117 | ||||||
Aetna, Inc. | 128,360 | 21,825,051 | ||||||
Humana, Inc. | 80,959 | 20,672,881 | ||||||
Biogen, Inc.* | 60,602 | 18,887,220 | ||||||
Total System Services, Inc. | 249,775 | 17,996,289 | ||||||
Celgene Corp.* | 172,096 | 17,376,533 | ||||||
Cintas Corp. | 112,520 | 16,769,981 | ||||||
United Rentals, Inc.* | 117,065 | 16,562,356 | ||||||
Intuitive Surgical, Inc.* | 42,426 | 15,925,024 | ||||||
S&P Global, Inc. | 96,733 | 15,135,813 | ||||||
Gartner, Inc.* | 119,738 | 15,004,369 | ||||||
Incyte Corp.* | 131,961 | 14,944,583 | ||||||
Verisk Analytics, Inc. — Class A*,1 | 172,699 | 14,688,050 | ||||||
Becton Dickinson and Co. | 68,487 | 14,291,182 | ||||||
CR Bard, Inc. | 41,735 | 13,650,266 | ||||||
Edwards Lifesciences Corp.* | 118,832 | 12,148,195 | ||||||
Stryker Corp. | 75,984 | 11,767,642 | ||||||
Boston Scientific Corp.* | 416,009 | 11,706,493 | ||||||
Gilead Sciences, Inc. | 131,421 | 9,851,318 | ||||||
Total Consumer, Non-cyclical | 495,802,194 | |||||||
Industrial - 14.7% | ||||||||
Corning, Inc. | 970,067 | 30,372,798 | ||||||
Packaging Corporation of America | 254,816 | 29,627,456 | ||||||
Vulcan Materials Co. | 203,592 | 24,787,326 | ||||||
Ingersoll-Rand plc | 252,978 | 22,413,851 | ||||||
Amphenol Corp. — Class A | 220,716 | 19,202,292 | ||||||
Martin Marietta Materials, Inc. | 80,755 | 17,511,722 | ||||||
TransDigm Group, Inc.1 | 62,130 | 17,241,074 | ||||||
Northrop Grumman Corp. | 57,523 | 16,999,772 | ||||||
Cummins, Inc. | 95,427 | 16,879,128 | ||||||
Illinois Tool Works, Inc. | 100,223 | 15,686,904 | ||||||
Harris Corp. | 110,226 | 15,356,686 | ||||||
FedEx Corp. | 66,848 | 15,094,947 | ||||||
AO Smith Corp. | 236,636 | 14,008,851 | ||||||
Garmin Ltd.1 | 245,623 | 13,904,718 | ||||||
General Dynamics Corp. | 68,407 | 13,885,253 | ||||||
Xylem, Inc. | 184,394 | 12,267,733 | ||||||
Republic Services, Inc. — Class A | 174,126 | 11,330,379 | ||||||
J.B. Hunt Transport Services, Inc. | 95,339 | 10,143,116 | ||||||
Acuity Brands, Inc.1 | 52,499 | 8,777,833 | ||||||
Total Industrial | 325,491,839 | |||||||
Financial - 13.5% | ||||||||
Prologis, Inc. REIT | 501,110 | 32,361,684 | ||||||
E*TRADE Financial Corp.* | 577,084 | 25,155,092 | ||||||
Intercontinental Exchange, Inc. | 326,676 | 21,593,284 | ||||||
UDR, Inc. REIT | 549,565 | 21,317,625 | ||||||
American Tower Corp. — Class A REIT | 131,506 | 18,893,467 | ||||||
Apartment Investment & Management Co. — Class A REIT | 428,605 | 18,850,048 | ||||||
Host Hotels & Resorts, Inc. REIT | 819,274 | 16,024,999 | ||||||
AvalonBay Communities, Inc. REIT | 86,785 | 15,736,724 | ||||||
Digital Realty Trust, Inc. REIT | 122,635 | 14,524,889 | ||||||
Welltower, Inc. REIT | 208,669 | 13,972,476 | ||||||
Duke Realty Corp. REIT | 468,904 | 13,354,386 | ||||||
Charles Schwab Corp. | 281,661 | 12,629,679 | ||||||
Arthur J Gallagher & Co. | 199,324 | 12,623,189 | ||||||
Mastercard, Inc. — Class A | 83,470 | 12,417,832 | ||||||
GGP, Inc. REIT | 581,784 | 11,321,517 | ||||||
Extra Space Storage, Inc. REIT | 124,142 | 10,128,746 | ||||||
Marsh & McLennan Companies, Inc. | 120,946 | 9,788,160 | ||||||
Discover Financial Services | 143,507 | 9,547,521 | ||||||
Kimco Realty Corp. REIT | 500,742 | 9,093,475 | ||||||
Total Financial | 299,334,793 | |||||||
Communications - 13.4% | ||||||||
Facebook, Inc. — Class A* | 208,390 | 37,522,703 | ||||||
Amazon.com, Inc.* | 28,960 | 32,008,909 | ||||||
Charter Communications, Inc. — Class A* | 80,654 | 26,952,147 | ||||||
Priceline Group, Inc.* | 13,436 | 25,689,095 | ||||||
Netflix, Inc.* | 118,133 | 23,204,865 | ||||||
Motorola Solutions, Inc. | 246,935 | 22,357,495 | ||||||
Scripps Networks Interactive, Inc. — Class A | 261,260 | 21,757,733 | ||||||
F5 Networks, Inc.* | 175,444 | 21,276,094 | ||||||
Expedia, Inc.1 | 120,607 | 15,034,869 | ||||||
Time Warner, Inc. | 144,419 | 14,194,944 | ||||||
VeriSign, Inc.*,1 | 111,370 | 11,974,502 | ||||||
CBS Corp. — Class B | 211,605 | 11,875,273 | ||||||
Comcast Corp. — Class A | 288,758 | 10,403,951 | ||||||
Alphabet, Inc. — Class A* | 6,558 | 6,774,676 |
SEE NOTES TO FINANCIAL STATEMENTS. | GUGGENHEIM ETFs ANNUAL REPORT | 25 |
SCHEDULE OF INVESTMENTS (continued) | October 31, 2017 |
GUGGENHEIM S&P 500® PURE GROWTH ETF |
Shares | Value | |||||||
Alphabet, Inc. — Class C* | 6,583 | $ | 6,692,541 | |||||
Discovery Communications, Inc. — Class C* | 292,609 | 5,211,366 | ||||||
Discovery Communications, Inc. — Class A*,1 | 202,380 | 3,820,934 | ||||||
Total Communications | 296,752,097 | |||||||
Consumer, Cyclical - 10.7% | ||||||||
Ulta Beauty, Inc.* | 136,721 | 27,588,931 | ||||||
Starbucks Corp. | 431,136 | 23,643,499 | ||||||
LKQ Corp.* | 619,863 | 23,362,636 | ||||||
Dollar Tree, Inc.* | 255,464 | 23,311,090 | ||||||
Darden Restaurants, Inc. | 261,881 | 21,544,950 | ||||||
Michael Kors Holdings Ltd.* | 415,508 | 20,280,945 | ||||||
United Continental Holdings, Inc.* | 273,698 | 16,005,859 | ||||||
Ross Stores, Inc. | 230,595 | 14,640,477 | ||||||
Dollar General Corp. | 174,441 | 14,101,810 | ||||||
Marriott International, Inc. — Class A1 | 111,606 | 13,334,685 | ||||||
Southwest Airlines Co. | 193,138 | 10,402,413 | ||||||
Hasbro, Inc. | 95,778 | 8,868,085 | ||||||
Harley-Davidson, Inc.1 | 182,559 | 8,642,343 | ||||||
O’Reilly Automotive, Inc.* | 36,005 | 7,595,254 | ||||||
Advance Auto Parts, Inc. | 55,213 | 4,513,111 | ||||||
Total Consumer, Cyclical | 237,836,088 | |||||||
Basic Materials - 1.7% | ||||||||
Albemarle Corp.1 | 184,719 | 26,025,060 | ||||||
Newmont Mining Corp. | 349,357 | 12,632,749 | ||||||
Total Basic Materials | 38,657,809 | |||||||
Utilities - 0.5% | ||||||||
American Water Works Company, Inc. | 115,829 | 10,165,153 | ||||||
Total Common Stocks | ||||||||
(Cost $1,683,668,144) | 2,211,680,477 | |||||||
MONEY MARKET FUND† - 0.2% | ||||||||
Federated U.S. Treasury Cash Reserve Fund — Institutional Shares, 0.89%2 | 3,373,453 | 3,373,453 | ||||||
Total Money Market Fund | ||||||||
(Cost $3,373,453) | 3,373,453 |
Face Amount | ||||||||
SECURITIES LENDING COLLATERAL††,3 - 1.9% | ||||||||
Repurchase Agreements | ||||||||
Jefferies LLC issued 10/31/17 at 1.14% due 11/01/17 | $ | 9,923,728 | 9,923,728 | |||||
Cantor Fitzgerald Securities issued 10/31/17 at 1.08% due 11/01/17 | 9,923,728 | 9,923,728 | ||||||
Daiwa Capital Markets America issued 10/31/17 at 1.08% due 11/01/17 | 9,923,728 | 9,923,728 | ||||||
Citigroup Global Markets, Inc. issued 10/31/17 at 1.07% due 11/01/17 | 6,561,499 | 6,561,499 | ||||||
State of Wisconsin Investment Board issued 10/31/17 at 1.21% due 11/01/17 | 5,538,023 | 5,538,023 | ||||||
Citibank issued 10/31/17 at 1.05% due 11/01/17 | 764,885 | 764,885 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $42,635,591) | 42,635,591 | |||||||
Total Investments - 101.9% | ||||||||
(Cost $1,729,677,188) | $ | 2,257,689,521 | ||||||
Other Assets & Liabilities, net - (1.9)% | (42,733,044 | ) | ||||||
Total Net Assets - 100.0% | $ | 2,214,956,477 |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | All or portion of this security is on loan at October 31, 2017 — See Note 5. |
2 | Rate indicated is the 7 day yield as of October 31, 2017. |
3 | Securities lending collateral — See Note 5. |
plc — Public Limited Company | |
REIT — Real Estate Investment Trust | |
See Sector Classification in Other Information section. |
26 | GUGGENHEIM ETFs ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (concluded) | October 31, 2017 |
GUGGENHEIM S&P 500® PURE GROWTH ETF |
The following table summarizes the inputs used to value the Fund’s investments at October 31, 2017 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | Total | ||||||||||||
Common Stocks | $ | 2,211,680,477 | $ | — | $ | — | $ | 2,211,680,477 | ||||||||
Money Market Fund | 3,373,453 | — | — | 3,373,453 | ||||||||||||
Securities Lending Collateral | — | 42,635,591 | — | 42,635,591 | ||||||||||||
Total Assets | $ | 2,215,053,930 | $ | 42,635,591 | $ | — | $ | 2,257,689,521 |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
For the year ended October 31, 2017, there were no transfers between levels.
SEE NOTES TO FINANCIAL STATEMENTS. | GUGGENHEIM ETFs ANNUAL REPORT | 27 |
SCHEDULE OF INVESTMENTS | October 31, 2017 |
GUGGENHEIM S&P MIDCAP 400® PURE VALUE ETF |
Shares | Value | |||||||
COMMON STOCKS† - 99.8% | ||||||||
Financial - 22.1% | ||||||||
CNO Financial Group, Inc. | 83,521 | $ | 2,001,998 | |||||
Reinsurance Group of America, Inc. — Class A | 12,454 | 1,860,379 | ||||||
Kemper Corp.1 | 25,387 | 1,627,307 | ||||||
First American Financial Corp. | 29,244 | 1,591,459 | ||||||
Old Republic International Corp.1 | 75,470 | 1,531,286 | ||||||
Hanover Insurance Group, Inc. | 13,308 | 1,309,241 | ||||||
Jones Lang LaSalle, Inc. | 9,353 | 1,211,120 | ||||||
Genworth Financial, Inc. — Class A* | 352,369 | 1,166,341 | ||||||
Legg Mason, Inc.1 | 28,687 | 1,095,270 | ||||||
Aspen Insurance Holdings Ltd. | 23,967 | 1,028,184 | ||||||
Quality Care Properties, Inc. REIT* | 60,440 | 956,765 | ||||||
Medical Properties Trust, Inc. REIT1 | 70,247 | 929,368 | ||||||
American Financial Group, Inc. | 8,344 | 880,209 | ||||||
Alleghany Corp.* | 1,543 | 873,677 | ||||||
Umpqua Holdings Corp. | 39,837 | 815,065 | ||||||
WR Berkley Corp. | 11,612 | 796,351 | ||||||
Cousins Properties, Inc. REIT | 85,366 | 770,001 | ||||||
Stifel Financial Corp. | 11,007 | 583,701 | ||||||
Associated Banc-Corp. | 21,718 | 549,465 | ||||||
LaSalle Hotel Properties REIT1 | 19,282 | 543,945 | ||||||
TCF Financial Corp. | 26,723 | 486,893 | ||||||
Mercury General Corp.1 | 8,384 | 469,252 | ||||||
Janus Henderson Group plc1 | 13,281 | 461,515 | ||||||
CoreCivic, Inc. REIT | 15,815 | 389,998 | ||||||
Total Financial | 23,928,790 | |||||||
Industrial - 21.5% | ||||||||
Arrow Electronics, Inc.* | 25,227 | 2,108,726 | ||||||
Jabil, Inc.1 | 74,051 | 2,094,162 | ||||||
Tech Data Corp.*,1 | 19,610 | 1,819,219 | ||||||
Terex Corp. | 34,494 | 1,625,012 | ||||||
Avnet, Inc. | 40,538 | 1,613,412 | ||||||
Trinity Industries, Inc. | 43,926 | 1,428,474 | ||||||
SYNNEX Corp. | 9,829 | 1,325,736 | ||||||
KLX, Inc.* | 23,264 | 1,276,263 | ||||||
Ryder System, Inc. | 15,632 | 1,267,443 | ||||||
AECOM* | 35,913 | 1,259,110 | ||||||
AGCO Corp. | 16,401 | 1,124,617 | ||||||
Owens-Illinois, Inc.* | 42,150 | 1,006,964 | ||||||
KBR, Inc.1 | 46,653 | 915,798 | ||||||
Vishay Intertechnology, Inc.1 | 40,892 | 909,847 | ||||||
Cree, Inc.*,1 | 24,313 | 867,974 | ||||||
Regal Beloit Corp. | 8,215 | 666,647 | ||||||
Werner Enterprises, Inc.1 | 16,222 | 578,314 | ||||||
Esterline Technologies Corp.* | 4,797 | 454,995 | ||||||
Greif, Inc. — Class A1 | 8,033 | 446,072 | ||||||
Kirby Corp.*,1 | 6,286 | 445,363 | ||||||
Total Industrial | 23,234,148 | |||||||
Consumer, Cyclical - 20.8% | ||||||||
KB Home | 140,081 | 3,842,422 | ||||||
CalAtlantic Group, Inc.1 | 48,581 | 2,396,987 | ||||||
TRI Pointe Group, Inc.*,1 | 112,704 | 1,993,734 | ||||||
AutoNation, Inc.*,1 | 40,435 | 1,916,619 | ||||||
Dillard’s, Inc. — Class A1 | 32,334 | 1,642,567 | ||||||
Toll Brothers, Inc. | 33,760 | 1,554,310 | ||||||
Dana, Inc. | 47,924 | 1,461,203 | ||||||
GameStop Corp. — Class A1 | 75,233 | 1,406,105 | ||||||
Office Depot, Inc. | 350,828 | 1,087,567 | ||||||
World Fuel Services Corp.1 | 35,053 | 974,473 | ||||||
Big Lots, Inc.1 | 16,368 | 839,842 | ||||||
Cooper Tire & Rubber Co.1 | 22,409 | 735,015 | ||||||
Bed Bath & Beyond, Inc. | 35,902 | 714,450 | ||||||
JetBlue Airways Corp.* | 30,695 | 587,809 | ||||||
International Speedway Corp. — Class A1 | 13,817 | 536,790 | ||||||
HSN, Inc. | 10,755 | 405,464 | ||||||
American Eagle Outfitters, Inc.1 | 27,039 | 352,048 | ||||||
Total Consumer, Cyclical | 22,447,405 | |||||||
Consumer, Non-cyclical - 15.3% | ||||||||
LifePoint Health, Inc.*,1 | 37,808 | 1,820,455 | ||||||
Molina Healthcare, Inc.*,1 | 26,715 | 1,812,078 | ||||||
ManpowerGroup, Inc. | 14,501 | 1,787,683 | ||||||
Aaron’s, Inc. | 35,521 | 1,307,173 | ||||||
United Natural Foods, Inc.*,1 | 32,576 | 1,262,972 | ||||||
Graham Holdings Co. — Class B | 2,115 | 1,176,892 | ||||||
Adtalem Global Education, Inc.1 | 26,139 | 965,836 | ||||||
Owens & Minor, Inc. | 38,875 | 955,159 | ||||||
TreeHouse Foods, Inc.*,1 | 13,311 | 883,584 | ||||||
Sanderson Farms, Inc.1 | 5,558 | 831,310 | ||||||
Endo International plc* | 125,806 | 802,642 | ||||||
Mallinckrodt plc*,1 | 23,050 | 729,994 | ||||||
Halyard Health, Inc.* | 13,135 | 553,640 | ||||||
Dean Foods Co.1 | 56,018 | 546,176 | ||||||
Tenet Healthcare Corp.*,1 | 33,273 | 475,138 | ||||||
Flowers Foods, Inc.1 | 23,517 | 447,529 | ||||||
Avon Products, Inc.* | 72,804 | 165,993 | ||||||
Total Consumer, Non-cyclical | 16,524,254 | |||||||
Energy - 9.9% | ||||||||
First Solar, Inc.* | 50,559 | 2,771,644 | ||||||
PBF Energy, Inc. — Class A1 | 67,820 | 1,964,746 | ||||||
Transocean Ltd.*,1 | 178,245 | 1,871,572 | ||||||
HollyFrontier Corp.1 | 40,880 | 1,510,516 | ||||||
Murphy USA, Inc.*,1 | 16,322 | 1,213,704 | ||||||
Rowan Companies plc — Class A* | 71,933 | 1,030,800 | ||||||
Oceaneering International, Inc. | 17,186 | 347,501 | ||||||
Total Energy | 10,710,483 | |||||||
Basic Materials - 5.0% | ||||||||
Domtar Corp. | 49,912 | 2,361,836 | ||||||
Reliance Steel & Aluminum Co. | 12,175 | 935,527 | ||||||
Commercial Metals Co. | 39,317 | 765,895 | ||||||
Carpenter Technology Corp. | 14,570 | 725,440 | ||||||
Olin Corp. | 15,792 | 576,882 | ||||||
Total Basic Materials | 5,365,580 | |||||||
Communications - 2.6% | ||||||||
Telephone & Data Systems, Inc.1 | 57,674 | 1,681,198 | ||||||
Frontier Communications Corp.1 | 36,592 | 443,129 |
28 | GUGGENHEIM ETFs ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (concluded) | October 31, 2017 |
GUGGENHEIM S&P MIDCAP 400® PURE VALUE ETF |
Shares | Value | |||||||
Cars.com, Inc.*,1 | 13,970 | $ | 332,765 | |||||
TEGNA, Inc.1 | 24,828 | 303,646 | ||||||
Total Communications | 2,760,738 | |||||||
Utilities - 1.5% | ||||||||
Great Plains Energy, Inc. | 31,422 | 1,031,584 | ||||||
Hawaiian Electric Industries, Inc. | 16,506 | 601,809 | ||||||
Total Utilities | 1,633,393 | |||||||
Technology - 1.1% | ||||||||
Leidos Holdings, Inc. | 12,060 | 753,991 | ||||||
Diebold Nixdorf, Inc.1 | 21,165 | 408,485 | ||||||
Total Technology | 1,162,476 | |||||||
Total Common Stocks | ||||||||
(Cost $100,262,314) | 107,767,267 | |||||||
MONEY MARKET FUND† - 0.2% | ||||||||
Federated U.S. Treasury Cash Reserve Fund — Institutional Shares, 0.89%2 | 252,223 | 252,223 | ||||||
Total Money Market Fund | ||||||||
(Cost $252,223) | 252,223 |
Face Amount | ||||||||
SECURITIES LENDING COLLATERAL††,3 - 12.0% | ||||||||
Repurchase Agreements | ||||||||
HSBC Securities (USA), Inc. issued 10/31/17 at 1.04% due 11/01/17 | $ | 3,017,250 | 3,017,250 | |||||
Nomura Securities International, Inc. issued 10/31/17 at 1.06% due 11/01/17 | 3,017,250 | 3,017,250 | ||||||
Daiwa Capital Markets America issued 10/31/17 at 1.08% due 11/01/17 | 3,017,250 | 3,017,250 | ||||||
Cantor Fitzgerald Securities issued 10/31/17 at 1.08% due 11/01/17 | 3,017,250 | 3,017,250 | ||||||
Jefferies LLC issued 10/31/17 at 1.14% due 11/01/17 | 894,088 | 894,088 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $12,963,088) | 12,963,088 | |||||||
Total Investments - 112.0% | ||||||||
(Cost $113,477,625) | $ | 120,982,578 | ||||||
Other Assets & Liabilities, net - (12.0)% | (12,967,514 | ) | ||||||
Total Net Assets - 100.0% | $ | 108,015,064 |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | All or portion of this security is on loan at October 31, 2017 — See Note 5. |
2 | Rate indicated is the 7 day yield as of October 31, 2017. |
3 | Securities lending collateral — See Note 5. |
plc — Public Limited Company | |
REIT — Real Estate Investment Trust | |
See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at October 31, 2017 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | Total | ||||||||||||
Common Stocks | $ | 107,767,267 | $ | — | $ | — | $ | 107,767,267 | ||||||||
Money Market Fund | 252,223 | — | — | 252,223 | ||||||||||||
Securities Lending Collateral | — | 12,963,088 | — | 12,963,088 | ||||||||||||
Total Assets | $ | 108,019,490 | $ | 12,963,088 | $ | — | $ | 120,982,578 |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
For the year ended October 31, 2017, there were no transfers between levels.
SEE NOTES TO FINANCIAL STATEMENTS. | GUGGENHEIM ETFs ANNUAL REPORT | 29 |
SCHEDULE OF INVESTMENTS | October 31, 2017 |
GUGGENHEIM S&P MIDCAP 400® PURE GROWTH ETF |
Shares | Value | |||||||
COMMON STOCKS† - 99.9% | ||||||||
Consumer, Cyclical - 20.1% | ||||||||
Thor Industries, Inc. | 92,929 | $ | 12,658,788 | |||||
Domino’s Pizza, Inc. | 52,236 | 9,559,188 | ||||||
Skechers U.S.A., Inc. — Class A*,1 | 271,271 | 8,658,970 | ||||||
Copart, Inc.*,1 | 231,022 | 8,383,788 | ||||||
NVR, Inc.* | 2,505 | 8,219,832 | ||||||
Urban Outfitters, Inc.*,1 | 334,389 | 8,199,218 | ||||||
Churchill Downs, Inc.1 | 34,091 | 7,109,678 | ||||||
Wendy’s Co.1 | 430,285 | 6,544,635 | ||||||
Texas Roadhouse, Inc. — Class A | 127,628 | 6,382,676 | ||||||
Jack in the Box, Inc.1 | 57,484 | 5,950,169 | ||||||
Papa John’s International, Inc.1 | 86,719 | 5,901,228 | ||||||
Toro Co.1 | 86,830 | 5,457,266 | ||||||
Dunkin’ Brands Group, Inc.1 | 83,585 | 4,937,366 | ||||||
Pool Corp. | 38,715 | 4,675,998 | ||||||
MSC Industrial Direct Company, Inc. — Class A | 53,959 | 4,473,201 | ||||||
Dick’s Sporting Goods, Inc.1 | 120,676 | 2,952,942 | ||||||
Buffalo Wild Wings, Inc.*,1 | 24,110 | 2,849,802 | ||||||
Cheesecake Factory, Inc.1 | 55,978 | 2,504,456 | ||||||
Brinker International, Inc.1 | 70,613 | 2,169,231 | ||||||
Total Consumer, Cyclical | 117,588,432 | |||||||
Consumer, Non-cyclical - 19.4% | ||||||||
ABIOMED, Inc.* | 92,674 | 17,878,668 | ||||||
WellCare Health Plans, Inc.* | 63,668 | 12,589,710 | ||||||
MarketAxess Holdings, Inc. | 55,573 | 9,669,702 | ||||||
Incorporated Research Holdings, Inc. — Class A* | 151,035 | 8,631,650 | ||||||
Masimo Corp.* | 91,673 | 8,045,222 | ||||||
NuVasive, Inc.*,1 | 138,611 | 7,863,402 | ||||||
Bioverativ, Inc.*,1 | 128,729 | 7,273,189 | ||||||
Avis Budget Group, Inc.*,1 | 169,849 | 7,006,271 | ||||||
CoreLogic, Inc.* | 147,594 | 6,922,159 | ||||||
Bio-Techne Corp. | 48,029 | 6,292,760 | ||||||
HealthSouth Corp. | 135,296 | 6,242,557 | ||||||
Akorn, Inc.*,1 | 169,282 | 5,513,515 | ||||||
Post Holdings, Inc.*,1 | 65,419 | 5,425,198 | ||||||
Sotheby’s*,1 | 79,851 | 4,137,879 | ||||||
Total Consumer, Non-cyclical | 113,491,882 | |||||||
Industrial - 18.4% | ||||||||
Cognex Corp. | 145,734 | 17,947,142 | ||||||
Old Dominion Freight Line, Inc. | 61,841 | 7,490,800 | ||||||
Eagle Materials, Inc.1 | 70,563 | 7,449,336 | ||||||
Littelfuse, Inc.1 | 35,141 | 7,344,469 | ||||||
Granite Construction, Inc.1 | 111,403 | 7,095,257 | ||||||
Nordson Corp. | 54,532 | 6,908,659 | ||||||
Carlisle Companies, Inc. | 56,758 | 6,233,731 | ||||||
Coherent, Inc.* | 23,266 | 6,112,211 | ||||||
Zebra Technologies Corp. — Class A* | 44,634 | 5,177,098 | ||||||
Landstar System, Inc. | 47,361 | 4,676,899 | ||||||
Gentex Corp. | 237,738 | 4,614,495 | ||||||
Worthington Industries, Inc.1 | 96,527 | 4,391,979 | ||||||
Huntington Ingalls Industries, Inc. | 18,195 | 4,236,342 | ||||||
Knight-Swift Transportation Holdings, Inc.*,1 | 101,322 | 4,199,797 | ||||||
Curtiss-Wright Corp. | 32,369 | 3,827,634 | ||||||
Woodward, Inc. | 48,056 | 3,716,170 | ||||||
Crane Co. | 43,319 | 3,600,675 | ||||||
EnerSys | 37,916 | 2,630,233 | ||||||
Total Industrial | 107,652,927 | |||||||
Financial - 16.7% | ||||||||
Primerica, Inc.1 | 95,072 | 8,413,872 | ||||||
SLM Corp.* | 790,551 | 8,371,935 | ||||||
First Horizon National Corp.1 | 413,467 | 7,760,776 | ||||||
First Industrial Realty Trust, Inc. REIT | 250,428 | 7,733,217 | ||||||
Home BancShares, Inc. | 331,472 | 7,451,491 | ||||||
DCT Industrial Trust, Inc. REIT | 118,023 | 6,847,694 | ||||||
Kilroy Realty Corp. REIT | 86,919 | 6,191,240 | ||||||
Brown & Brown, Inc. | 119,788 | 5,970,234 | ||||||
Pinnacle Financial Partners, Inc. | 89,342 | 5,914,440 | ||||||
Uniti Group, Inc. REIT1 | 303,547 | 5,312,073 | ||||||
Education Realty Trust, Inc. REIT | 129,339 | 4,513,931 | ||||||
Washington Federal, Inc. | 128,052 | 4,456,210 | ||||||
Sterling Bancorp | 161,203 | 4,038,135 | ||||||
Lamar Advertising Co. — Class A REIT1 | 54,562 | 3,843,347 | ||||||
Bank of the Ozarks1 | 77,637 | 3,619,437 | ||||||
Weingarten Realty Investors REIT | 117,744 | 3,585,305 | ||||||
Liberty Property Trust REIT | 82,397 | 3,533,183 | ||||||
Total Financial | 97,556,520 | |||||||
Technology - 15.8% | ||||||||
Take-Two Interactive Software, Inc.* | 149,579 | 16,550,916 | ||||||
Monolithic Power Systems, Inc.1 | 70,856 | 8,621,050 | ||||||
Cirrus Logic, Inc.*,1 | 152,084 | 8,516,704 | ||||||
Microsemi Corp.* | 124,154 | 6,626,099 | ||||||
IPG Photonics Corp.* | 28,800 | 6,131,808 | ||||||
MSCI, Inc. — Class A | 50,186 | 5,889,829 | ||||||
MAXIMUS, Inc. | 85,547 | 5,682,887 | ||||||
Ultimate Software Group, Inc.*,1 | 26,527 | 5,374,105 | ||||||
Medidata Solutions, Inc.*,1 | 71,220 | 5,357,881 | ||||||
Integrated Device Technology, Inc.*,1 | 155,950 | 4,845,367 | ||||||
Science Applications International Corp.1 | 59,547 | 4,367,177 | ||||||
NCR Corp.* | 128,749 | 4,131,555 | ||||||
Fair Isaac Corp. | 27,778 | 4,032,254 | ||||||
Broadridge Financial Solutions, Inc. | 43,932 | 3,774,637 | ||||||
CommVault Systems, Inc.* | 54,173 | 2,819,705 | ||||||
Total Technology | 92,721,974 | |||||||
Communications - 4.0% | ||||||||
LogMeIn, Inc. | 98,902 | 11,972,087 | ||||||
InterDigital, Inc. | 152,303 | 11,171,425 | ||||||
Total Communications | 23,143,512 | |||||||
Basic Materials - 2.9% | ||||||||
Royal Gold, Inc. | 121,251 | 10,198,421 | ||||||
Minerals Technologies, Inc. | 97,332 | 6,998,171 | ||||||
Total Basic Materials | 17,196,592 |
30 | GUGGENHEIM ETFs ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (concluded) | October 31, 2017 |
GUGGENHEIM S&P MIDCAP 400® PURE GROWTH ETF |
Shares | Value | |||||||
Utilities - 1.4% | ||||||||
Southwest Gas Holdings, Inc. | 56,900 | $ | 4,687,991 | |||||
MDU Resources Group, Inc. | 131,009 | 3,583,096 | ||||||
Total Utilities | 8,271,087 | |||||||
Energy - 1.2% | ||||||||
Murphy Oil Corp. | 253,852 | 6,790,541 | ||||||
Total Common Stocks | ||||||||
(Cost $504,728,550) | 584,413,467 | |||||||
MONEY MARKET FUND† - 0.1% | ||||||||
Federated U.S. Treasury Cash Reserve Fund — Institutional Shares, 0.89%2 | 802,762 | 802,762 | ||||||
Total Money Market Fund | ||||||||
(Cost $802,762) | 802,762 |
Face Amount | ||||||||
SECURITIES LENDING COLLATERAL††,3 - 5.4% | ||||||||
Repurchase Agreements | ||||||||
Jefferies LLC issued 10/31/17 at 1.18% due 11/01/17 | $ | 7,327,093 | 7,327,093 | |||||
Nomura Securities International, Inc. issued 10/31/17 at 1.06% due 11/01/17 | 7,327,093 | 7,327,093 | ||||||
Citigroup Global Markets, Inc. issued 10/31/17 at 1.07% due 11/01/17 | 7,327,093 | 7,327,093 | ||||||
HSBC Securities (USA), Inc. issued 10/31/17 at 1.03% due 11/01/17 | 5,409,502 | 5,409,502 | ||||||
State of Wisconsin Investment Board issued 10/31/17 at 1.21% due 11/01/17 | 4,088,872 | 4,088,872 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $31,479,653) | 31,479,653 | |||||||
Total Investments - 105.4% | ||||||||
(Cost $537,010,965) | $ | 616,695,882 | ||||||
Other Assets & Liabilities, net - (5.4)% | (31,525,996 | ) | ||||||
Total Net Assets - 100.0% | $ | 585,169,886 |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | All or portion of this security is on loan at October 31, 2017 — See Note 5. |
2 | Rate indicated is the 7 day yield as of October 31, 2017. |
3 | Securities lending collateral — See Note 5. |
REIT — Real Estate Investment Trust | |
See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at October 31, 2017 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | Total | ||||||||||||
Common Stocks | $ | 584,413,467 | $ | — | $ | — | $ | 584,413,467 | ||||||||
Money Market Fund | 802,762 | — | — | 802,762 | ||||||||||||
Securities Lending Collateral | — | 31,479,653 | — | 31,479,653 | ||||||||||||
Total Assets | $ | 585,216,229 | $ | 31,479,653 | $ | — | $ | 616,695,882 |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
For the year ended October 31, 2017, there were no transfers between levels.
SEE NOTES TO FINANCIAL STATEMENTS. | GUGGENHEIM ETFs ANNUAL REPORT | 31 |
SCHEDULE OF INVESTMENTS | October 31, 2017 |
GUGGENHEIM S&P SMALLCAP 600® PURE VALUE ETF |
Shares | Value | |||||||
COMMON STOCKS† - 99.9% | ||||||||
Consumer, Cyclical - 30.0% | ||||||||
RH*,1 | 44,308 | $ | 3,984,175 | |||||
M/I Homes, Inc.* | 117,647 | 3,929,410 | ||||||
Meritage Homes Corp.*,1 | 66,832 | 3,254,718 | ||||||
MDC Holdings, Inc. | 80,816 | 2,993,425 | ||||||
ScanSource, Inc.* | 64,742 | 2,780,669 | ||||||
Wabash National Corp.1 | 122,699 | 2,760,728 | ||||||
Abercrombie & Fitch Co. — Class A1 | 182,779 | 2,454,721 | ||||||
SkyWest, Inc. | 51,856 | 2,442,418 | ||||||
Regis Corp.* | 154,220 | 2,302,505 | ||||||
Sonic Automotive, Inc. — Class A1 | 103,436 | 2,053,205 | ||||||
Guess?, Inc.1 | 124,007 | 2,010,153 | ||||||
Group 1 Automotive, Inc.1 | 24,524 | 1,926,851 | ||||||
Lithia Motors, Inc. — Class A | 16,280 | 1,842,570 | ||||||
American Axle & Manufacturing Holdings, Inc.*,1 | 100,076 | 1,780,352 | ||||||
Red Robin Gourmet Burgers, Inc.*,1 | 24,898 | 1,703,023 | ||||||
Perry Ellis International, Inc.* | 69,892 | 1,627,784 | ||||||
Penn National Gaming, Inc.* | 61,308 | 1,599,526 | ||||||
MarineMax, Inc.*,1 | 85,675 | 1,589,271 | ||||||
G-III Apparel Group Ltd.*,1 | 61,639 | 1,561,932 | ||||||
Haverty Furniture Companies, Inc. | 65,427 | 1,560,434 | ||||||
Cooper-Standard Holdings, Inc.* | 13,790 | 1,537,310 | ||||||
Veritiv Corp.* | 44,032 | 1,415,629 | ||||||
Anixter International, Inc.* | 20,234 | 1,390,076 | ||||||
Barnes & Noble Education, Inc.*,1 | 252,746 | 1,377,466 | ||||||
Kirkland’s, Inc.* | 114,520 | 1,339,884 | ||||||
Essendant, Inc. | 127,403 | 1,233,261 | ||||||
Shoe Carnival, Inc.1 | 64,593 | 1,212,411 | ||||||
Asbury Automotive Group, Inc.* | 19,470 | 1,195,458 | ||||||
EZCORP, Inc. — Class A* | 108,405 | 1,111,151 | ||||||
Core-Mark Holding Company, Inc.1 | 32,086 | 1,092,849 | ||||||
Express, Inc.* | 154,195 | 1,043,900 | ||||||
Unifi, Inc.*,1 | 25,390 | 966,090 | ||||||
Barnes & Noble, Inc. | 137,705 | 963,935 | ||||||
Caleres, Inc.1 | 32,699 | 893,664 | ||||||
Crocs, Inc.*,1 | 82,508 | 841,582 | ||||||
Fossil Group, Inc.*,1 | 102,888 | 810,757 | ||||||
Fred’s, Inc. — Class A1 | 178,313 | 786,360 | ||||||
Movado Group, Inc. | 27,378 | 758,371 | ||||||
Genesco, Inc.* | 29,977 | 734,437 | ||||||
Ascena Retail Group, Inc.* | 375,891 | 729,229 | ||||||
Ruby Tuesday, Inc.* | 258,042 | 611,560 | ||||||
Big 5 Sporting Goods Corp.1 | 87,575 | 556,101 | ||||||
Superior Industries International, Inc. | 34,179 | 531,483 | ||||||
J.C. Penney Company, Inc.*,1 | 187,123 | 523,944 | ||||||
Finish Line, Inc. — Class A1 | 56,319 | 522,077 | ||||||
Vitamin Shoppe, Inc.*,1 | 84,084 | 386,786 | ||||||
Cato Corp. — Class A | 26,836 | 345,111 | ||||||
Total Consumer, Cyclical | 71,068,752 | |||||||
Consumer, Non-cyclical - 19.2% | ||||||||
Kelly Services, Inc. — Class A | 148,911 | 3,917,847 | ||||||
Select Medical Holdings Corp.* | 173,334 | 3,319,346 | ||||||
Diplomat Pharmacy, Inc.*,1 | 151,614 | 3,191,475 | ||||||
Invacare Corp.1 | 198,970 | 3,084,035 | ||||||
Seneca Foods Corp. — Class A* | 81,890 | 2,948,040 | ||||||
PharMerica Corp.* | 90,878 | 2,662,725 | ||||||
Darling Ingredients, Inc.* | 129,908 | 2,370,821 | ||||||
Integer Holdings Corp.* | 45,047 | 2,189,284 | ||||||
Universal Corp. | 37,145 | 2,130,266 | ||||||
TrueBlue, Inc.*,1 | 75,458 | 2,044,912 | ||||||
Providence Service Corp.* | 30,897 | 1,717,873 | ||||||
Andersons, Inc. | 41,874 | 1,568,181 | ||||||
Almost Family, Inc.* | 34,578 | 1,530,077 | ||||||
Myriad Genetics, Inc.*,1 | 43,727 | 1,498,962 | ||||||
LSC Communications, Inc. | 91,993 | 1,488,447 | ||||||
FTI Consulting, Inc.* | 31,764 | 1,357,911 | ||||||
Heidrick & Struggles International, Inc. | 52,075 | 1,294,064 | ||||||
Korn/Ferry International | 27,527 | 1,151,454 | ||||||
LHC Group, Inc.* | 14,678 | 980,637 | ||||||
RR Donnelley & Sons Co. | 104,110 | 957,812 | ||||||
Community Health Systems, Inc.*,1 | 157,440 | 928,896 | ||||||
Quorum Health Corp.* | 145,251 | 830,836 | ||||||
Kindred Healthcare, Inc.1 | 125,952 | 762,010 | ||||||
American Public Education, Inc.* | 31,775 | 635,500 | ||||||
Resources Connection, Inc. | 34,633 | 545,470 | ||||||
SUPERVALU, Inc.* | 27,707 | 451,347 | ||||||
Total Consumer, Non-cyclical | 45,558,228 | |||||||
Industrial - 15.0% | ||||||||
Greenbrier Companies, Inc.1 | 59,900 | 3,126,780 | ||||||
Boise Cascade Co.* | 85,275 | 3,022,999 | ||||||
Electro Scientific Industries, Inc.* | 158,929 | 2,843,240 | ||||||
Roadrunner Transportation Systems, Inc.* | 282,173 | 2,483,122 | ||||||
Benchmark Electronics, Inc.* | 72,517 | 2,244,402 | ||||||
ArcBest Corp. | 67,970 | 2,215,822 | ||||||
Atlas Air Worldwide Holdings, Inc.*,1 | 35,050 | 2,150,318 | ||||||
Sanmina Corp.* | 64,100 | 2,097,673 | ||||||
Olympic Steel, Inc. | 89,131 | 1,682,793 | ||||||
Briggs & Stratton Corp. | 63,327 | 1,595,840 | ||||||
Hub Group, Inc. — Class A* | 34,416 | 1,490,213 | ||||||
Echo Global Logistics, Inc.*,1 | 55,439 | 1,333,308 | ||||||
Plexus Corp.* | 17,873 | 1,097,938 | ||||||
AAR Corp. | 27,834 | 1,082,464 | ||||||
General Cable Corp. | 45,972 | 963,113 | ||||||
Aegion Corp. — Class A* | 36,931 | 860,123 | ||||||
DXP Enterprises, Inc.* | 26,546 | 851,330 | ||||||
LSB Industries, Inc.* | 106,324 | 802,746 | ||||||
KapStone Paper and Packaging Corp. | 35,543 | 798,296 | ||||||
Encore Wire Corp.1 | 16,639 | 751,251 | ||||||
TimkenSteel Corp.*,1 | 50,347 | 704,858 | ||||||
Kaman Corp.1 | 11,813 | 660,819 | ||||||
Powell Industries, Inc. | 21,788 | 631,416 | ||||||
Total Industrial | 35,490,864 | |||||||
Financial - 14.3% | ||||||||
Encore Capital Group, Inc.*,1 | 62,344 | 2,895,879 | ||||||
American Equity Investment Life Holding Co. | 79,356 | 2,341,796 | ||||||
United Insurance Holdings Corp. | 141,395 | 2,225,557 |
32 | GUGGENHEIM ETFs ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | October 31, 2017 |
GUGGENHEIM S&P SMALLCAP 600® PURE VALUE ETF |
Shares | Value | |||||||
INTL FCStone, Inc.* | 47,804 | $ | 1,984,344 | |||||
World Acceptance Corp.*,1 | 21,673 | 1,896,388 | ||||||
Third Point Reinsurance Ltd.*,1 | 105,834 | 1,767,428 | ||||||
Banc of California, Inc.1 | 81,684 | 1,719,448 | ||||||
Enova International, Inc.* | 112,297 | 1,667,610 | ||||||
Infinity Property & Casualty Corp. | 15,780 | 1,488,843 | ||||||
Maiden Holdings Ltd.1 | 169,024 | 1,394,448 | ||||||
Selective Insurance Group, Inc. | 19,627 | 1,169,769 | ||||||
United Fire Group, Inc.1 | 24,397 | 1,124,458 | ||||||
HCI Group, Inc. | 29,292 | 1,097,278 | ||||||
Stewart Information Services Corp. | 28,132 | 1,067,328 | ||||||
Horace Mann Educators Corp. | 23,552 | 1,031,578 | ||||||
Employers Holdings, Inc.1 | 21,125 | 1,007,663 | ||||||
Investment Technology Group, Inc. | 42,554 | 998,742 | ||||||
Opus Bank*,1 | 37,164 | 962,548 | ||||||
HomeStreet, Inc.* | 32,348 | 939,709 | ||||||
Navigators Group, Inc.1 | 14,478 | 839,724 | ||||||
Capstead Mortgage Corp. REIT | 95,050 | 838,341 | ||||||
Chesapeake Lodging Trust REIT | 27,100 | 756,090 | ||||||
OFG Bancorp | 83,936 | 747,030 | ||||||
Waddell & Reed Financial, Inc. — Class A1 | 34,742 | 649,328 | ||||||
Safety Insurance Group, Inc. | 7,858 | 645,928 | ||||||
ARMOUR Residential REIT, Inc. REIT | 21,467 | 537,748 | ||||||
Total Financial | 33,795,003 | |||||||
Communications - 7.4% | ||||||||
Comtech Telecommunications Corp. | 185,243 | 3,984,577 | ||||||
QuinStreet, Inc.* | 391,933 | 3,488,203 | ||||||
Gannett Company, Inc.1 | 275,358 | 2,395,615 | ||||||
New Media Investment Group, Inc.1 | 139,562 | 2,228,805 | ||||||
Time, Inc.1 | 144,493 | 1,676,119 | ||||||
Iridium Communications, Inc.*,1 | 105,309 | 1,263,708 | ||||||
Scholastic Corp. | 26,363 | 973,849 | ||||||
Spok Holdings, Inc. | 45,341 | 768,530 | ||||||
FTD Companies, Inc.*,1 | 43,594 | 470,815 | ||||||
Black Box Corp. | 47,289 | 146,596 | ||||||
Total Communications | 17,396,817 | |||||||
Energy - 6.7% | ||||||||
Exterran Corp.*,1 | 119,389 | 3,852,684 | ||||||
Noble Corporation plc*,1 | 557,350 | 2,318,576 | ||||||
Gulf Island Fabrication, Inc. | 145,333 | 1,911,129 | ||||||
Green Plains, Inc.1 | 78,214 | 1,439,138 | ||||||
Matrix Service Co.* | 89,690 | 1,264,629 | ||||||
Era Group, Inc.* | 115,069 | 1,238,142 | ||||||
SolarEdge Technologies, Inc.* | 31,582 | 1,037,469 | ||||||
Bristow Group, Inc.1 | 104,144 | 983,119 | ||||||
Par Pacific Holdings, Inc.*,1 | 37,357 | 784,123 | ||||||
SunCoke Energy, Inc.*,1 | 54,840 | 608,175 | ||||||
Cloud Peak Energy, Inc.* | 115,038 | 488,912 | ||||||
Total Energy | 15,926,096 | |||||||
Basic Materials - 3.8% | ||||||||
AdvanSix, Inc.* | 71,645 | 3,315,013 | ||||||
Century Aluminum Co.*,1 | 135,995 | 1,903,930 | ||||||
PH Glatfelter Co. | 67,778 | 1,420,627 | ||||||
Materion Corp. | 22,031 | 1,131,292 | ||||||
Rayonier Advanced Materials, Inc.1 | 46,864 | 673,436 | ||||||
Clearwater Paper Corp.* | 13,805 | 637,101 | ||||||
Total Basic Materials | 9,081,399 | |||||||
Technology - 3.5% | ||||||||
Insight Enterprises, Inc.* | 54,697 | 2,464,099 | ||||||
Virtusa Corp.*,1 | 39,169 | 1,494,689 | ||||||
Cohu, Inc. | 43,031 | 1,110,200 | ||||||
ManTech International Corp. — Class A | 19,741 | 916,180 | ||||||
Sykes Enterprises, Inc.* | 30,279 | 876,274 | ||||||
CACI International, Inc. — Class A* | 5,290 | 760,438 | ||||||
Digi International, Inc.* | 56,778 | 590,491 | ||||||
Total Technology | 8,212,371 | |||||||
Total Common Stocks | ||||||||
(Cost $228,739,514) | 236,529,530 | |||||||
MONEY MARKET FUND† - 0.1% | ||||||||
Federated U.S. Treasury Cash Reserve Fund — Institutional Shares, 0.89%2 | 226,745 | 226,745 | ||||||
Total Money Market Fund | ||||||||
(Cost $226,745) | 226,745 | |||||||
Face Amount | ||||||||
SECURITIES LENDING COLLATERAL††,3 - 12.2% | ||||||||
Repurchase Agreements | ||||||||
HSBC Securities (USA), Inc. issued 10/31/17 at 1.04% due 11/01/17 | $ | 6,748,069 | 6,748,069 | |||||
Nomura Securities International, Inc. issued 10/31/17 at 1.06% due 11/01/17 | 6,748,069 | 6,748,069 | ||||||
Daiwa Capital Markets America issued 10/31/17 at 1.08% due 11/01/17 | 6,748,069 | 6,748,069 | ||||||
Cantor Fitzgerald Securities issued 10/31/17 at 1.08% due 11/01/17 | 6,748,069 | 6,748,069 | ||||||
Jefferies LLC issued 10/31/17 at 1.14% due 11/01/17 | 1,999,609 | 1,999,609 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $28,991,885) | 28,991,885 | |||||||
Total Investments - 112.2% | ||||||||
(Cost $257,958,144) | $ | 265,748,160 | ||||||
Other Assets & Liabilities, net - (12.2)% | (28,953,568 | ) | ||||||
Total Net Assets - 100.0% | $ | 236,794,592 |
SEE NOTES TO FINANCIAL STATEMENTS. | GUGGENHEIM ETFs ANNUAL REPORT | 33 |
SCHEDULE OF INVESTMENTS (concluded) | October 31, 2017 |
GUGGENHEIM S&P SMALLCAP 600® PURE VALUE ETF |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | All or portion of this security is on loan at October 31, 2017 — See Note 5. |
2 | Rate indicated is the 7 day yield as of October 31, 2017. |
3 | Securities lending collateral — See Note 5. |
plc — Public Limited Company | |
REIT — Real Estate Investment Trust | |
See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at October 31, 2017 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | Total | ||||||||||||
Common Stocks | $ | 236,529,530 | $ | — | $ | — | $ | 236,529,530 | ||||||||
Money Market Fund | 226,745 | — | — | 226,745 | ||||||||||||
Securities Lending Collateral | — | 28,991,885 | — | 28,991,885 | ||||||||||||
Total Assets | $ | 236,756,275 | $ | 28,991,885 | $ | — | $ | 265,748,160 |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
For the year ended October 31, 2017, there were no transfers between levels.
34 | GUGGENHEIM ETFs ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS | October 31, 2017 |
GUGGENHEIM S&P SMALLCAP 600® PURE GROWTH ETF |
Shares | Value | |||||||
COMMON STOCKS† - 99.9% | ||||||||
Consumer, Non-cyclical - 28.1% | ||||||||
LendingTree, Inc.*,1 | 23,331 | $ | 6,253,874 | |||||
NutriSystem, Inc.1 | 78,943 | 3,943,203 | ||||||
Supernus Pharmaceuticals, Inc.*,1 | 92,466 | 3,846,585 | ||||||
OraSure Technologies, Inc.* | 187,818 | 3,709,406 | ||||||
MiMedx Group, Inc.*,1 | 262,904 | 3,333,622 | ||||||
BioTelemetry, Inc.*,1 | 113,312 | 3,291,714 | ||||||
Viad Corp. | 50,638 | 2,939,536 | ||||||
Innoviva, Inc.*,1 | 199,964 | 2,447,560 | ||||||
Insperity, Inc. | 23,950 | 2,272,855 | ||||||
Lantheus Holdings, Inc.*,1 | 102,803 | 2,045,780 | ||||||
Central Garden & Pet Co. — Class A* | 54,479 | 2,010,820 | ||||||
AMN Healthcare Services, Inc.*,1 | 42,322 | 1,857,936 | ||||||
Heska Corp.* | 18,731 | 1,826,272 | ||||||
Progenics Pharmaceuticals, Inc.*,1 | 256,018 | 1,584,751 | ||||||
LeMaitre Vascular, Inc.1 | 49,494 | 1,584,303 | ||||||
Cytokinetics, Inc.*,1 | 110,466 | 1,507,861 | ||||||
ANI Pharmaceuticals, Inc.*,1 | 25,879 | 1,503,052 | ||||||
Cross Country Healthcare, Inc.* | 108,742 | 1,484,328 | ||||||
Cantel Medical Corp. | 14,738 | 1,445,503 | ||||||
SpartanNash Co. | 57,586 | 1,413,737 | ||||||
Ligand Pharmaceuticals, Inc. — Class B*,1 | 8,465 | 1,230,387 | ||||||
Enanta Pharmaceuticals, Inc.*,1 | 24,300 | 1,206,981 | ||||||
Calavo Growers, Inc. | 16,289 | 1,200,499 | ||||||
Merit Medical Systems, Inc.*,1 | 29,972 | 1,140,435 | ||||||
Luminex Corp. | 49,677 | 1,060,604 | ||||||
CryoLife, Inc.*,1 | 52,196 | 1,015,212 | ||||||
Capella Education Co. | 11,054 | 900,348 | ||||||
AMAG Pharmaceuticals, Inc.*,1 | 56,558 | 887,961 | ||||||
B&G Foods, Inc.1 | 27,623 | 878,411 | ||||||
Forrester Research, Inc. | 18,729 | 818,458 | ||||||
Neogen Corp.* | 9,252 | 742,010 | ||||||
HMS Holdings Corp.* | 37,605 | 723,520 | ||||||
Navigant Consulting, Inc.* | 41,433 | 717,205 | ||||||
Sucampo Pharmaceuticals, Inc. — Class A*,1 | 70,877 | 708,770 | ||||||
US Physical Therapy, Inc. | 10,186 | 692,139 | ||||||
Surmodics, Inc.* | 23,253 | 691,777 | ||||||
Central Garden & Pet Co.*,1 | 16,338 | 623,785 | ||||||
Cardtronics plc — Class A* | 26,765 | 612,918 | ||||||
Momenta Pharmaceuticals, Inc.* | 37,676 | 531,232 | ||||||
Eagle Pharmaceuticals, Inc.*,1 | 9,224 | 495,790 | ||||||
Total Consumer, Non-cyclical | 67,181,140 | |||||||
Industrial - 19.8% | ||||||||
Trex Company, Inc.*,1 | 33,972 | 3,718,234 | ||||||
CTS Corp. | 115,598 | 3,144,266 | ||||||
TopBuild Corp.*,1 | 44,956 | 2,966,646 | ||||||
Patrick Industries, Inc.* | 31,251 | 2,906,343 | ||||||
Advanced Energy Industries, Inc.* | 32,471 | 2,750,943 | ||||||
II-VI, Inc.*,1 | 58,975 | 2,665,670 | ||||||
Tetra Tech, Inc. | 50,050 | 2,464,963 | ||||||
Orion Group Holdings, Inc.* | 324,465 | 2,336,148 | ||||||
TTM Technologies, Inc.*,1 | 141,982 | 2,240,476 | ||||||
Griffon Corp. | 84,940 | 1,915,397 | ||||||
John Bean Technologies Corp.1 | 17,001 | 1,817,407 | ||||||
Fabrinet*,1 | 47,248 | 1,756,681 | ||||||
Axon Enterprise, Inc.*,1 | 73,451 | 1,687,169 | ||||||
Vicor Corp.*,1 | 71,581 | 1,542,571 | ||||||
US Ecology, Inc. | 31,499 | 1,497,777 | ||||||
Lydall, Inc.* | 25,870 | 1,495,286 | ||||||
Quanex Building Products Corp.1 | 63,609 | 1,396,218 | ||||||
Gibraltar Industries, Inc.* | 39,145 | 1,301,571 | ||||||
MYR Group, Inc.* | 35,709 | 1,138,760 | ||||||
PGT Innovations, Inc.* | 80,365 | 1,133,147 | ||||||
Itron, Inc.* | 13,815 | 1,079,642 | ||||||
ESCO Technologies, Inc.1 | 17,259 | 1,000,159 | ||||||
AAON, Inc.1 | 26,965 | 943,775 | ||||||
Simpson Manufacturing Company, Inc. | 15,098 | 841,563 | ||||||
Insteel Industries, Inc. | 31,390 | 802,015 | ||||||
Astec Industries, Inc. | 13,462 | 699,351 | ||||||
Total Industrial | 47,242,178 | |||||||
Financial - 17.7% | ||||||||
National Storage Affiliates Trust REIT1 | 130,720 | 3,240,549 | ||||||
Four Corners Property Trust, Inc. REIT | 111,701 | 2,756,781 | ||||||
Walker & Dunlop, Inc.*,1 | 39,829 | 2,186,214 | ||||||
Piper Jaffray Cos. | 28,797 | 2,105,060 | ||||||
First BanCorp* | 382,333 | 1,969,016 | ||||||
BofI Holding, Inc.*,1 | 65,134 | 1,752,106 | ||||||
Meta Financial Group, Inc.1 | 19,869 | 1,733,570 | ||||||
Pacific Premier Bancorp, Inc.* | 42,485 | 1,716,394 | ||||||
Universal Insurance Holdings, Inc. | 71,684 | 1,709,663 | ||||||
LegacyTexas Financial Group, Inc. | 40,548 | 1,617,460 | ||||||
CareTrust REIT, Inc. REIT1 | 85,012 | 1,606,727 | ||||||
Summit Hotel Properties, Inc. REIT | 96,348 | 1,523,262 | ||||||
ServisFirst Bancshares, Inc.1 | 37,126 | 1,522,537 | ||||||
WageWorks, Inc.*,1 | 22,419 | 1,429,211 | ||||||
Ameris Bancorp1 | 29,595 | 1,417,601 | ||||||
National Bank Holdings Corp. — Class A | 42,565 | 1,396,983 | ||||||
Lexington Realty Trust REIT | 125,829 | 1,273,389 | ||||||
Northfield Bancorp, Inc. | 72,072 | 1,229,548 | ||||||
United Community Banks, Inc. | 43,107 | 1,181,994 | ||||||
Getty Realty Corp. REIT | 41,522 | 1,179,640 | ||||||
Evercore, Inc. — Class A | 13,816 | 1,106,662 | ||||||
Agree Realty Corp. REIT | 19,170 | 906,549 | ||||||
Customers Bancorp, Inc.*,1 | 31,454 | 859,952 | ||||||
Hanmi Financial Corp. | 27,530 | 846,547 | ||||||
Central Pacific Financial Corp. | 24,915 | 775,355 | ||||||
American Assets Trust, Inc. REIT | 19,905 | 772,115 | ||||||
Southside Bancshares, Inc.1 | 20,866 | 738,865 | ||||||
Tompkins Financial Corp.1 | 7,291 | 635,192 | ||||||
First Financial Bankshares, Inc.1 | 13,182 | 601,758 | ||||||
Urstadt Biddle Properties, Inc. — Class A REIT | 24,265 | 527,278 | ||||||
Total Financial | 42,317,978 | |||||||
Consumer, Cyclical - 14.3% | ||||||||
Installed Building Products, Inc.*,1 | 69,185 | 4,822,194 | ||||||
LGI Homes, Inc.*,1 | 45,728 | 2,758,770 | ||||||
Five Below, Inc.*,1 | 48,888 | 2,701,061 |
SEE NOTES TO FINANCIAL STATEMENTS. | GUGGENHEIM ETFs ANNUAL REPORT | 35 |
SCHEDULE OF INVESTMENTS (continued) | October 31, 2017 |
GUGGENHEIM S&P SMALLCAP 600® PURE GROWTH ETF |
Shares | Value | |||||||
Scientific Games Corp. — Class A*,1 | 50,674 | $ | 2,412,082 | |||||
LCI Industries1 | 16,935 | 2,096,553 | ||||||
Fox Factory Holding Corp.*,1 | 49,003 | 2,085,078 | ||||||
Ollie’s Bargain Outlet Holdings, Inc.*,1 | 46,610 | 2,081,137 | ||||||
Wingstop, Inc.1 | 58,797 | 1,991,453 | ||||||
iRobot Corp.*,1 | 28,624 | 1,923,247 | ||||||
Winnebago Industries, Inc.1 | 33,632 | 1,653,013 | ||||||
Marcus Corp. | 53,091 | 1,441,421 | ||||||
Dorman Products, Inc.*,1 | 19,634 | 1,356,906 | ||||||
Children’s Place, Inc.1 | 10,183 | 1,107,911 | ||||||
Dave & Buster’s Entertainment, Inc.* | 22,754 | 1,096,743 | ||||||
Hawaiian Holdings, Inc. | 27,951 | 936,359 | ||||||
Zumiez, Inc.*,1 | 52,812 | 932,132 | ||||||
Belmond Ltd. — Class A*,1 | 69,043 | 907,915 | ||||||
Universal Electronics, Inc.* | 12,998 | 779,880 | ||||||
Tile Shop Holdings, Inc. | 48,535 | 414,974 | ||||||
Chuy’s Holdings, Inc.*,1 | 16,299 | 366,728 | ||||||
Francesca’s Holdings Corp.* | 36,094 | 233,528 | ||||||
Total Consumer, Cyclical | 34,099,085 | |||||||
Technology - 11.4% | ||||||||
MKS Instruments, Inc. | 42,351 | 4,601,437 | ||||||
Mercury Systems, Inc.*,1 | 60,244 | 3,040,515 | ||||||
Nanometrics, Inc.*,1 | 91,361 | 2,582,775 | ||||||
Qualys, Inc.* | 43,200 | 2,285,280 | ||||||
Ebix, Inc.1 | 31,659 | 2,151,229 | ||||||
CEVA, Inc.* | 40,708 | 1,966,196 | ||||||
Omnicell, Inc.*,1 | 37,716 | 1,878,257 | ||||||
MaxLinear, Inc. — Class A*,1 | 71,444 | 1,748,235 | ||||||
Lumentum Holdings, Inc.*,1 | 27,669 | 1,747,297 | ||||||
Rudolph Technologies, Inc.* | 51,451 | 1,427,765 | ||||||
Xperi Corp. | 43,525 | 1,001,075 | ||||||
Progress Software Corp. | 23,243 | 983,876 | ||||||
Rambus, Inc.* | 65,662 | 965,888 | ||||||
SPS Commerce, Inc.* | 13,219 | 649,846 | ||||||
Synchronoss Technologies, Inc.* | 33,499 | 379,544 | ||||||
Total Technology | 27,409,215 | |||||||
Communications - 5.9% | ||||||||
TiVo Corp. | 140,900 | 2,557,335 | ||||||
Gigamon, Inc.*,1 | 59,314 | 2,283,589 | ||||||
Stamps.com, Inc.*,1 | 9,751 | 2,188,124 | ||||||
Shutterstock, Inc.*,1 | 33,752 | 1,315,990 | ||||||
Shutterfly, Inc.*,1 | 30,309 | 1,294,194 | ||||||
Oclaro, Inc.*,1 | 143,569 | 1,187,316 | ||||||
World Wrestling Entertainment, Inc. — Class A1 | 41,511 | 1,101,287 | ||||||
Cogent Communications Holdings, Inc.1 | 20,125 | 1,084,738 | ||||||
8x8, Inc.* | 45,010 | 600,884 | ||||||
NIC, Inc. | 26,358 | 448,086 | ||||||
Total Communications | 14,061,543 | |||||||
Basic Materials - 1.9% | ||||||||
Kraton Corp.* | 55,552 | 2,723,714 | ||||||
Balchem Corp. | 10,975 | 925,083 | ||||||
Quaker Chemical Corp. | 5,761 | 894,799 | ||||||
Total Basic Materials | 4,543,596 | |||||||
Utilities - 0.8% | ||||||||
South Jersey Industries, Inc. | 30,740 | 1,044,238 | ||||||
California Water Service Group | 19,565 | 821,730 | ||||||
Total Utilities | 1,865,968 | |||||||
Total Common Stocks | ||||||||
(Cost $206,412,653) | 238,720,703 | |||||||
MONEY MARKET FUND† - 0.1% | ||||||||
Federated U.S. Treasury Cash Reserve Fund — Institutional Shares, 0.89%2 | 219,589 | 219,589 | ||||||
Total Money Market Fund | ||||||||
(Cost $219,589) | 219,589 | |||||||
Face Amount | ||||||||
SECURITIES LENDING COLLATERAL††,3 - 14.5% | ||||||||
Repurchase Agreements | ||||||||
Merrill Lynch, Pierce, Fenner & Smith, Inc. issued 10/31/17 at 1.07% due 11/01/17 | $ | 8,033,396 | 8,033,396 | |||||
Jefferies LLC issued 10/31/17 at 1.18% due 11/01/17 | 8,033,396 | 8,033,396 | ||||||
Nomura Securities International, Inc. issued 10/31/17 at 1.06% due 11/01/17 | 8,033,396 | 8,033,396 | ||||||
HSBC Securities (USA), Inc. issued 10/31/17 at 1.03% due 11/01/17 | 5,930,793 | 5,930,793 | ||||||
State of Wisconsin Investment Board issued 10/31/17 at 1.21% due 11/01/17 | 4,483,025 | 4,483,025 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $34,514,006) | 34,514,006 | |||||||
Total Investments - 114.5% | ||||||||
(Cost $241,146,248) | $ | 273,454,298 | ||||||
Other Assets & Liabilities, net - (14.5)% | (34,550,604 | ) | ||||||
Total Net Assets - 100.0% | $ | 238,903,694 |
36 | GUGGENHEIM ETFs ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (concluded) | October 31, 2017 |
GUGGENHEIM S&P SMALLCAP 600® PURE GROWTH ETF |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | All or portion of this security is on loan at October 31, 2017 — See Note 5. |
2 | Rate indicated is the 7 day yield as of October 31, 2017. |
3 | Securities lending collateral — See Note 5. |
plc — Public Limited Company | |
REIT — Real Estate Investment Trust | |
See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at October 31, 2017 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | Total | ||||||||||||
Common Stocks | $ | 238,720,703 | $ | — | $ | — | $ | 238,720,703 | ||||||||
Money Market Fund | 219,589 | — | — | 219,589 | ||||||||||||
Securities Lending Collateral | — | 34,514,006 | — | 34,514,006 | ||||||||||||
Total Assets | $ | 238,940,292 | $ | 34,514,006 | $ | — | $ | 273,454,298 |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
For the year ended October 31, 2017, there were no transfers between levels.
SEE NOTES TO FINANCIAL STATEMENTS. | GUGGENHEIM ETFs ANNUAL REPORT | 37 |
STATEMENTS OF ASSETS AND LIABILITIES | October 31, 2017 |
Guggenheim S&P 500® Top 50 ETF | Guggenheim S&P 500® Pure Value ETF | Guggenheim S&P 500® Pure Growth ETF | Guggenheim S&P MidCap 400® Pure Value ETF | |||||||||||||
Assets: | ||||||||||||||||
Investments, at value — including $—, $39,425,682, $113,328,000 and $41,914,539 of securities loaned, respectively | $ | 686,243,927 | $ | 830,096,315 | $ | 2,215,053,930 | $ | 108,019,490 | ||||||||
Repurchase agreements, at value | — | 14,281,994 | 42,635,591 | 12,963,088 | ||||||||||||
Cash | — | 292 | — | — | ||||||||||||
Receivables: | ||||||||||||||||
Dividends and interest | 582,907 | 663,353 | 535,317 | 7,550 | ||||||||||||
Securities lending | 244 | 7,142 | 15,808 | 20,260 | ||||||||||||
Total assets | 686,827,078 | 845,049,096 | 2,258,240,646 | 121,010,388 | ||||||||||||
Liabilities: | ||||||||||||||||
Payable upon return of securities loaned | — | 14,281,994 | 42,635,591 | 12,963,088 | ||||||||||||
Payable for: | ||||||||||||||||
Management fees | 115,960 | 249,822 | 648,578 | 32,236 | ||||||||||||
Fund shares redeemed | — | 10,580 | — | — | ||||||||||||
Total liabilities | 115,960 | 14,542,396 | 43,284,169 | 12,995,324 | ||||||||||||
Commitments and contingent liabilities (Note 8) | — | — | — | — | ||||||||||||
Net assets | $ | 686,711,118 | $ | 830,506,700 | $ | 2,214,956,477 | $ | 108,015,064 | ||||||||
Net assets consist of: | ||||||||||||||||
Paid-in capital | $ | 537,427,484 | $ | 911,876,702 | $ | 1,896,563,108 | $ | 122,923,899 | ||||||||
Undistributed net investment income | 1,330,444 | 1,096,790 | 520,667 | 168,502 | ||||||||||||
Accumulated net realized loss on investments | (25,498,349 | ) | (149,082,057 | ) | (210,139,631 | ) | (22,582,290 | ) | ||||||||
Net unrealized appreciation on investments | 173,451,539 | 66,615,265 | 528,012,333 | 7,504,953 | ||||||||||||
Net assets | $ | 686,711,118 | $ | 830,506,700 | $ | 2,214,956,477 | $ | 108,015,064 | ||||||||
Shares outstanding (unlimited shares authorized), no par value | 3,750,785 | 13,302,836 | 21,400,299 | 1,650,499 | ||||||||||||
Net asset value, offering price and repurchase price per share | $ | 183.08 | $ | 62.43 | $ | 103.50 | $ | 65.44 | ||||||||
Cost of investments | $ | 512,792,388 | $ | 763,481,050 | $ | 1,687,041,597 | $ | 100,514,537 | ||||||||
Cost of repurchase agreements | — | 14,281,994 | 42,635,591 | 12,963,088 |
38 | GUGGENHEIM ETFs ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENTS OF ASSETS AND LIABILITIES (concluded) | October 31, 2017 |
Guggenheim S&P MidCap 400® Pure Growth ETF | Guggenheim S&P SmallCap 600® Pure Value ETF | Guggenheim S&P SmallCap 600® Pure Growth ETF | ||||||||||
Assets: | ||||||||||||
Investments, at value — including $123,031,005, $57,877,921 and $98,426,244 of securities loaned, respectively | $ | 585,216,229 | $ | 236,756,275 | $ | 238,940,292 | ||||||
Repurchase agreements, at value | 31,479,653 | 28,991,885 | 34,514,006 | |||||||||
Receivables: | ||||||||||||
Dividends and interest | 110,352 | 71,426 | 12,731 | |||||||||
Securities lending | 14,436 | 36,789 | 20,219 | |||||||||
Tax reclaims | — | 1,306 | — | |||||||||
Total assets | 616,820,670 | 265,857,681 | 273,487,248 | |||||||||
Liabilities: | ||||||||||||
Payable upon return of securities loaned | 31,479,653 | 28,991,885 | 34,514,006 | |||||||||
Payable for: | ||||||||||||
Management fees | 171,131 | 71,204 | 69,548 | |||||||||
Total liabilities | 31,650,784 | 29,063,089 | 34,583,554 | |||||||||
Commitments and contingent liabilities (Note 8) | — | — | — | |||||||||
Net assets | $ | 585,169,886 | $ | 236,794,592 | $ | 238,903,694 | ||||||
Net assets consist of: | ||||||||||||
Paid-in capital | $ | 573,546,215 | $ | 292,001,381 | $ | 238,830,815 | ||||||
Undistributed net investment income | 542,240 | 193,870 | 88,685 | |||||||||
Accumulated net realized loss on investments | (68,603,486 | ) | (63,190,675 | ) | (32,323,856 | ) | ||||||
Net unrealized appreciation on investments | 79,684,917 | 7,790,016 | 32,308,050 | |||||||||
Net assets | $ | 585,169,886 | $ | 236,794,592 | $ | 238,903,694 | ||||||
Shares outstanding (unlimited shares authorized), no par value | 3,900,021 | 3,350,040 | 2,150,004 | |||||||||
Net asset value, offering price and repurchase price per share | $ | 150.04 | $ | 70.68 | $ | 111.12 | ||||||
Cost of investments | $ | 505,531,312 | $ | 228,966,259 | $ | 206,632,242 | ||||||
Cost of repurchase agreements | 31,479,653 | 28,991,885 | 34,514,006 |
SEE NOTES TO FINANCIAL STATEMENTS. | GUGGENHEIM ETFs ANNUAL REPORT | 39 |
STATEMENTS OF OPERATIONS |
For the Year Ended October 31, 2017
Guggenheim S&P 500® Top 50 ETF | Guggenheim S&P 500® Pure Value ETF | Guggenheim S&P 500® Pure Growth ETF | Guggenheim S&P MidCap 400® Pure Value ETF | |||||||||||||
Investment Income: | ||||||||||||||||
Dividends | $ | 14,038,599 | $ | 19,982,467 | $ | 16,828,660 | $ | 2,518,046 | ||||||||
Income from securities lending | 5,663 | 118,225 | 221,130 | 142,604 | ||||||||||||
Interest | 6,614 | 9,517 | 14,750 | 1,552 | ||||||||||||
Total investment income | 14,050,876 | 20,110,209 | 17,064,540 | 2,662,202 | ||||||||||||
Expenses: | ||||||||||||||||
Management fees | 1,278,581 | 3,144,941 | 6,896,029 | 595,754 | ||||||||||||
Total expenses | 1,278,581 | 3,144,941 | 6,896,029 | 595,754 | ||||||||||||
Net investment income | 12,772,295 | 16,965,268 | 10,168,511 | 2,066,448 | ||||||||||||
Net Realized and Unrealized Gain (Loss): | ||||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||
Investments | (2,514,892 | ) | (49,838,369 | ) | (44,350,122 | ) | (5,696,256 | ) | ||||||||
In-kind redemptions | 21,252,092 | 94,387,017 | 132,378,545 | 38,425,462 | ||||||||||||
Net realized gain | 18,737,200 | 44,548,648 | 88,028,423 | 32,729,206 | ||||||||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||||||
Investments | 107,309,944 | 91,626,516 | 371,208,577 | (1,639,552 | ) | |||||||||||
Net realized and unrealized gain | 126,047,144 | 136,175,164 | 459,237,000 | 31,089,654 | ||||||||||||
Net increase in net assets resulting from operations | $ | 138,819,439 | $ | 153,140,432 | $ | 469,405,511 | $ | 33,156,102 |
40 | GUGGENHEIM ETFs ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENTS OF OPERATIONS (concluded) |
For the Year Ended October 31, 2017
Guggenheim S&P MidCap 400® Pure Growth ETF | Guggenheim S&P SmallCap 600® Pure Value ETF | Guggenheim S&P SmallCap 600® Pure Growth ETF | ||||||||||
Investment Income: | ||||||||||||
Dividends, net of foreign taxes withheld* | $ | 5,370,866 | $ | 2,451,024 | $ | 1,304,933 | ||||||
Income from securities lending | 150,231 | 369,232 | 196,654 | |||||||||
Interest | 5,923 | 1,431 | 1,625 | |||||||||
Total investment income | 5,527,020 | 2,821,687 | 1,503,212 | |||||||||
Expenses: | ||||||||||||
Management fees | 1,910,339 | 782,047 | 654,179 | |||||||||
Total expenses | 1,910,339 | 782,047 | 654,179 | |||||||||
Net investment income | 3,616,681 | 2,039,640 | 849,033 | |||||||||
Net Realized and Unrealized Gain (Loss): | ||||||||||||
Net realized gain (loss) on: | ||||||||||||
Investments | (24,213,349 | ) | (25,754,596 | ) | (5,832,263 | ) | ||||||
In-kind redemptions | 59,879,941 | 50,418,104 | 24,129,114 | |||||||||
Net realized gain | 35,666,592 | 24,663,508 | 18,296,851 | |||||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||
Investments | 88,865,358 | 795,078 | 33,649,878 | |||||||||
Net realized and unrealized gain | 124,531,950 | 25,458,586 | 51,946,729 | |||||||||
Net increase in net assets resulting from operations | $ | 128,148,631 | $ | 27,498,226 | $ | 52,795,762 | ||||||
* Foreign taxes withheld | $ | — | $ | 2,029 | $ | — |
SEE NOTES TO FINANCIAL STATEMENTS. | GUGGENHEIM ETFs ANNUAL REPORT | 41 |
STATEMENTS OF CHANGES IN NET ASSETS |
Guggenheim S&P 500® Top 50 ETF | Guggenheim S&P 500® Pure Value ETF | |||||||||||||||
Year Ended October 31, 2017 | Year Ended October 31, 2016 | Year Ended October 31, 2017 | Year Ended October 31, 2016 | |||||||||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||||||||||
Net investment income | $ | 12,772,295 | $ | 12,457,607 | $ | 16,965,268 | $ | 17,419,493 | ||||||||
Net realized gain (loss) on investments | 18,737,200 | 26,282,967 | 44,548,648 | (45,567,038 | ) | |||||||||||
Net change in unrealized appreciation (depreciation) on investments | 107,309,944 | (9,569,287 | ) | 91,626,516 | 30,087,617 | |||||||||||
Net increase in net assets resulting from operations | 138,819,439 | 29,171,287 | 153,140,432 | 1,940,072 | ||||||||||||
Distributions to shareholders from: | ||||||||||||||||
Net investment income | (12,471,172 | ) | (12,305,640 | ) | (16,800,045 | ) | (16,846,207 | ) | ||||||||
Shareholder transactions: | ||||||||||||||||
Proceeds from shares purchased | 41,498,147 | 173,560,668 | 545,805,294 | 396,931,870 | ||||||||||||
Cost of shares redeemed | (58,937,433 | ) | (108,888,149 | ) | (571,302,183 | ) | (475,391,756 | ) | ||||||||
Net increase (decrease) in net assets resulting from share transactions | (17,439,286 | ) | 64,672,519 | (25,496,889 | ) | (78,459,886 | ) | |||||||||
Net increase (decrease) in net assets | 108,908,981 | 81,538,166 | 110,843,498 | (93,366,021 | ) | |||||||||||
Net assets: | ||||||||||||||||
Beginning of year | 577,802,137 | 496,263,971 | 719,663,202 | 813,029,223 | ||||||||||||
End of year | $ | 686,711,118 | $ | 577,802,137 | $ | 830,506,700 | $ | 719,663,202 | ||||||||
Undistributed net investment income at end of year | $ | 1,330,444 | $ | 1,017,450 | $ | 1,096,790 | $ | 915,703 | ||||||||
Changes in shares outstanding: | ||||||||||||||||
Shares sold | 250,000 | 1,200,000 | 9,350,000 | 8,050,000 | ||||||||||||
Shares redeemed | (350,000 | ) | (750,000 | ) | (9,800,000 | ) | (10,100,000 | ) | ||||||||
Net increase (decrease) in shares | (100,000 | ) | 450,000 | (450,000 | ) | (2,050,000 | ) |
42 | GUGGENHEIM ETFs ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENTS OF CHANGES IN NET ASSETS (continued) |
Guggenheim S&P 500® Pure Growth ETF | Guggenheim S&P MidCap 400® Pure Value ETF | |||||||||||||||
Year Ended October 31, 2017 | Year Ended October 31, 2016 | Year Ended October 31, 2017 | Year Ended October 31, 2016 | |||||||||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||||||||||
Net investment income | $ | 10,168,511 | $ | 14,444,994 | $ | 2,066,448 | $ | 1,513,592 | ||||||||
Net realized gain (loss) on investments | 88,028,423 | (19,425,940 | ) | 32,729,206 | (7,941,095 | ) | ||||||||||
Net change in unrealized appreciation (depreciation) on investments | 371,208,577 | (48,938,900 | ) | (1,639,552 | ) | 10,946,947 | ||||||||||
Net increase (decrease) in net assets resulting from operations | 469,405,511 | (53,919,846 | ) | 33,156,102 | 4,519,444 | |||||||||||
Distributions to shareholders from: | ||||||||||||||||
Net investment income | (13,278,946 | ) | (12,804,542 | ) | (1,979,370 | ) | (1,503,674 | ) | ||||||||
Shareholder transactions: | ||||||||||||||||
Proceeds from shares purchased | 501,015,089 | 427,793,413 | 116,728,819 | 94,638,501 | ||||||||||||
Cost of shares redeemed | (511,770,658 | ) | (930,069,089 | ) | (205,643,868 | ) | (36,043,334 | ) | ||||||||
Net increase (decrease) in net assets resulting from share transactions | (10,755,569 | ) | (502,275,676 | ) | (88,915,049 | ) | 58,595,167 | |||||||||
Net increase (decrease) in net assets | 445,370,996 | (569,000,064 | ) | (57,738,317 | ) | 61,610,937 | ||||||||||
Net assets: | ||||||||||||||||
Beginning of year | 1,769,585,481 | 2,338,585,545 | 165,753,381 | 104,142,444 | ||||||||||||
End of year | $ | 2,214,956,477 | $ | 1,769,585,481 | $ | 108,015,064 | $ | 165,753,381 | ||||||||
Undistributed net investment income at end of year | $ | 520,667 | $ | 1,926,363 | $ | 168,502 | $ | 62,225 | ||||||||
Changes in shares outstanding: | ||||||||||||||||
Shares sold | 5,750,000 | 5,250,000 | 1,850,000 | 1,800,000 | ||||||||||||
Shares redeemed | (5,900,000 | ) | (11,900,000 | ) | (3,300,000 | ) | (750,000 | ) | ||||||||
Net increase (decrease) in shares | (150,000 | ) | (6,650,000 | ) | (1,450,000 | ) | 1,050,000 |
SEE NOTES TO FINANCIAL STATEMENTS. | GUGGENHEIM ETFs ANNUAL REPORT | 43 |
STATEMENTS OF CHANGES IN NET ASSETS (continued) |
Guggenheim S&P MidCap 400® Pure Growth ETF | Guggenheim S&P SmallCap 600® Pure Value ETF | |||||||||||||||
Year Ended October 31, 2017 | Year Ended October 31, 2016 | Year Ended October 31, 2017 | Year Ended October 31, 2016 | |||||||||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||||||||||
Net investment income | $ | 3,616,681 | $ | 3,046,768 | $ | 2,039,640 | $ | 1,265,841 | ||||||||
Net realized gain (loss) on investments | 35,666,592 | 12,977,472 | 24,663,508 | (3,100,198 | ) | |||||||||||
Net change in unrealized appreciation (depreciation) on investments | 88,865,358 | (70,464,100 | ) | 795,078 | 11,888,389 | |||||||||||
Net increase (decrease) in net assets resulting from operations | 128,148,631 | (54,439,860 | ) | 27,498,226 | 10,054,032 | |||||||||||
Distributions to shareholders from: | ||||||||||||||||
Net investment income | (3,297,427 | ) | (3,174,670 | ) | (1,947,059 | ) | (1,222,224 | ) | ||||||||
Shareholder transactions: | ||||||||||||||||
Proceeds from shares purchased | 207,728,198 | 134,585,419 | 239,701,459 | 114,670,713 | ||||||||||||
Cost of shares redeemed | (266,029,211 | ) | (328,223,276 | ) | (222,122,975 | ) | (80,027,741 | ) | ||||||||
Net increase (decrease) in net assets resulting from share transactions | (58,301,013 | ) | (193,637,857 | ) | 17,578,484 | 34,642,972 | ||||||||||
Net increase (decrease) in net assets | 66,550,191 | (251,252,387 | ) | 43,129,651 | 43,474,780 | |||||||||||
Net assets: | ||||||||||||||||
Beginning of year | 518,619,695 | 769,872,082 | 193,664,941 | 150,190,161 | ||||||||||||
End of year | $ | 585,169,886 | $ | 518,619,695 | $ | 236,794,592 | $ | 193,664,941 | ||||||||
Undistributed net investment income at end of year | $ | 542,240 | $ | 40,670 | $ | 193,870 | $ | 43,617 | ||||||||
Changes in shares outstanding: | ||||||||||||||||
Shares sold | 1,550,000 | 1,100,000 | 3,300,000 | 2,050,000 | ||||||||||||
Shares redeemed | (2,000,000 | ) | (2,750,000 | ) | (3,150,000 | ) | (1,450,000 | ) | ||||||||
Net increase (decrease) in shares | (450,000 | ) | (1,650,000 | ) | 150,000 | 600,000 |
44 | GUGGENHEIM ETFs ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENTS OF CHANGES IN NET ASSETS (concluded) |
Guggenheim S&P SmallCap 600® Pure Growth ETF | ||||||||
Year Ended October 31, 2017 | Year Ended October 31, 2016 | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income (loss) | $ | 849,033 | $ | 1,817,394 | ||||
Net realized gain (loss) on investments | 18,296,851 | (16,149,988 | ) | |||||
Net change in unrealized appreciation on investments | 33,649,878 | 1,528,718 | ||||||
Net increase (decrease) in net assets resulting from operations | 52,795,762 | (12,803,876 | ) | |||||
Distributions to shareholders from: | ||||||||
Net investment income | (850,483 | ) | (1,779,427 | ) | ||||
Shareholder transactions: | ||||||||
Proceeds from shares purchased | 135,684,810 | 54,819,343 | ||||||
Cost of shares redeemed | (101,636,207 | ) | (113,259,262 | ) | ||||
Net increase (decrease) in net assets resulting from share transactions | 34,048,603 | (58,439,919 | ) | |||||
Net increase (decrease) in net assets | 85,993,882 | (73,023,222 | ) | |||||
Net assets: | ||||||||
Beginning of year | 152,909,812 | 225,933,034 | ||||||
End of year | $ | 238,903,694 | $ | 152,909,812 | ||||
Undistributed net investment income at end of year | $ | 88,685 | $ | 61,092 | ||||
Changes in shares outstanding: | ||||||||
Shares sold | 1,350,000 | 650,000 | ||||||
Shares redeemed | (1,050,000 | ) | (1,450,000 | ) | ||||
Net increase (decrease) in shares | 300,000 | (800,000 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | GUGGENHEIM ETFs ANNUAL REPORT | 45 |
GUGGENHEIM S&P 500® TOP 50 ETF |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating the Fund’s performance for the periods presented.
Year Ended October 31, 2017 | Year Ended October 31, 2016 | Year Ended October 31, 2015 | Year Ended October 31, 2014 | Year Ended October 31, 2013 | ||||||||||||||||
Per Share Data: | ||||||||||||||||||||
Net asset value, beginning of period | $ | 150.05 | $ | 145.93 | $ | 140.87 | $ | 123.06 | $ | 104.06 | ||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | 3.35 | 3.12 | 3.00 | 2.74 | 2.56 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 32.95 | 4.09 | 5.09 | 17.82 | 19.05 | |||||||||||||||
Total from investment operations | 36.30 | 7.21 | 8.09 | 20.56 | 21.61 | |||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (3.27 | ) | (3.09 | ) | (3.03 | ) | (2.75 | ) | (2.61 | ) | ||||||||||
Total distributions to shareholders | (3.27 | ) | (3.09 | ) | (3.03 | ) | (2.75 | ) | (2.61 | ) | ||||||||||
Net asset value, end of period | $ | 183.08 | $ | 150.05 | $ | 145.93 | $ | 140.87 | $ | 123.06 | ||||||||||
Total Returnb | 24.40 | % | 4.99 | % | 5.87 | % | 16.86 | % | 21.07 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 686,711 | $ | 577,802 | $ | 496,264 | $ | 598,797 | $ | 523,123 | ||||||||||
Ratio to average net assets of: | ||||||||||||||||||||
Net investment income (loss) | 2.00 | % | 2.13 | % | 2.11 | % | 2.08 | % | 2.28 | % | ||||||||||
Total expenses | 0.20 | % | 0.20 | % | 0.20 | % | 0.20 | % | 0.20 | % | ||||||||||
Portfolio turnover ratec | 4 | % | 7 | % | 8 | % | 6 | % | 8 | % |
a | Based on average shares outstanding. |
b | Total investment return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distribution at net asset value during the period, and redemption on the last day of the period. Transaction fees are not reflected in the calculation of total investment return. |
c | Portfolio turnover does not include securities received or delivered from processing creations or redemptions. |
46 | GUGGENHEIM ETFs ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
GUGGENHEIM S&P 500® PURE VALUE ETF |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating the Fund’s performance for the periods presented.
Year Ended October 31, 2017 | Year Ended October 31, 2016 | Year Ended October 31, 2015 | Year Ended October 31, 2014 | Year Ended October 31, 2013 | ||||||||||||||||
Per Share Data: | ||||||||||||||||||||
Net asset value, beginning of period | $ | 52.33 | $ | 51.45 | $ | 54.14 | $ | 46.51 | $ | 32.26 | ||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | 1.11 | 1.17 | 1.12 | 0.90 | 0.67 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 10.05 | 0.81 | (2.70 | ) | 7.50 | 14.18 | ||||||||||||||
Total from investment operations | 11.16 | 1.98 | (1.58 | ) | 8.40 | 14.85 | ||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (1.06 | ) | (1.10 | ) | (1.11 | ) | (0.77 | ) | (0.60 | ) | ||||||||||
Total distributions to shareholders | (1.06 | ) | (1.10 | ) | (1.11 | ) | (0.77 | ) | (0.60 | ) | ||||||||||
Net asset value, end of period | $ | 62.43 | $ | 52.33 | $ | 51.45 | $ | 54.14 | $ | 46.51 | ||||||||||
Total Returnb | 21.44 | % | 3.94 | % | (2.94 | %) | 18.13 | % | 46.39 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 830,507 | $ | 719,663 | $ | 813,029 | $ | 1,275,062 | $ | 374,565 | ||||||||||
Ratio to average net assets of: | ||||||||||||||||||||
Net investment income (loss) | 1.89 | % | 2.32 | % | 2.09 | % | 1.74 | % | 1.65 | % | ||||||||||
Total expenses | 0.35 | % | 0.35 | % | 0.35 | % | 0.35 | % | 0.35 | % | ||||||||||
Portfolio turnover ratec | 46 | % | 44 | % | 54 | % | 25 | % | 24 | % |
a | Based on average shares outstanding. |
b | Total investment return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distribution at net asset value during the period, and redemption on the last day of the period. Transaction fees are not reflected in the calculation of total investment return. |
c | Portfolio turnover does not include securities received or delivered from processing creations or redemptions. |
SEE NOTES TO FINANCIAL STATEMENTS. | GUGGENHEIM ETFs ANNUAL REPORT | 47 |
GUGGENHEIM S&P 500® PURE GROWTH ETF |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating the Fund’s performance for the periods presented.
Year Ended October 31, 2017 | Year Ended October 31, 2016 | Year Ended October 31, 2015 | Year Ended October 31, 2014 | Year Ended October 31, 2013 | ||||||||||||||||
Per Share Data: | ||||||||||||||||||||
Net asset value, beginning of period | $ | 82.11 | $ | 82.93 | $ | 78.96 | $ | 66.12 | $ | 47.80 | ||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | 0.47 | 0.59 | 0.52 | 0.55 | 0.44 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 21.52 | (0.95 | ) | 3.93 | 12.81 | 18.33 | ||||||||||||||
Total from investment operations | 21.99 | (0.36 | ) | 4.45 | 13.36 | 18.77 | ||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (0.60 | ) | (0.46 | ) | (0.48 | ) | (0.52 | ) | (0.42 | ) | ||||||||||
Return of capital | — | — | — | — | (0.03 | ) | ||||||||||||||
Total distributions to shareholders | (0.60 | ) | (0.46 | ) | (0.48 | ) | (0.52 | ) | (0.45 | ) | ||||||||||
Net asset value, end of period | $ | 103.50 | $ | 82.11 | $ | 82.93 | $ | 78.96 | $ | 66.12 | ||||||||||
Total Returnb | 26.87 | % | (0.42 | %) | 5.65 | % | 20.24 | % | 39.45 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 2,214,956 | $ | 1,769,585 | $ | 2,338,586 | $ | 1,792,516 | $ | 760,397 | ||||||||||
Ratio to average net assets of: | ||||||||||||||||||||
Net investment income (loss) | 0.52 | % | 0.74 | % | 0.64 | % | 0.74 | % | 0.76 | % | ||||||||||
Total expenses | 0.35 | % | 0.35 | % | 0.35 | % | 0.35 | % | 0.35 | % | ||||||||||
Portfolio turnover ratec | 58 | % | 67 | % | 62 | % | 46 | % | 44 | % |
a | Based on average shares outstanding. |
b | Total investment return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distribution at net asset value during the period, and redemption on the last day of the period. Transaction fees are not reflected in the calculation of total investment return. |
c | Portfolio turnover does not include securities received or delivered from processing creations or redemptions. |
48 | GUGGENHEIM ETFs ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
GUGGENHEIM S&P MIDCAP 400® PURE VALUE ETF |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating the Fund’s performance for the periods presented.
Year Ended October 31, 2017 | Year Ended October 31, 2016 | Year Ended October 31, 2015 | Year Ended October 31, 2014 | Year Ended October 31, 2013 | ||||||||||||||||
Per Share Data: | ||||||||||||||||||||
Net asset value, beginning of period | $ | 53.46 | $ | 50.79 | $ | 52.71 | $ | 48.42 | $ | 35.00 | ||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | 0.75 | 0.69 | 0.86 | 0.71 | 0.52 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 12.01 | 2.65 | (1.96 | ) | 4.18 | 13.46 | ||||||||||||||
Total from investment operations | 12.76 | 3.34 | (1.10 | ) | 4.89 | 13.98 | ||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (0.78 | ) | (0.67 | ) | (0.82 | ) | (0.60 | ) | (0.56 | ) | ||||||||||
Total distributions to shareholders | (0.78 | ) | (0.67 | ) | (0.82 | ) | (0.60 | ) | (0.56 | ) | ||||||||||
Net asset value, end of period | $ | 65.44 | $ | 53.46 | $ | 50.79 | $ | 52.71 | $ | 48.42 | ||||||||||
Total Returnb | 23.93 | % | 6.65 | % | (2.12 | %) | 10.14 | % | 40.27 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 108,015 | $ | 165,753 | $ | 104,142 | $ | 118,631 | $ | 77,503 | ||||||||||
Ratio to average net assets of: | ||||||||||||||||||||
Net investment income (loss) | 1.21 | % | 1.36 | % | 1.62 | % | 1.38 | % | 1.22 | % | ||||||||||
Total expenses | 0.35 | % | 0.35 | % | 0.35 | % | 0.35 | % | 0.35 | % | ||||||||||
Portfolio turnover ratec | 76 | % | 47 | % | 59 | % | 40 | % | 28 | % |
a | Based on average shares outstanding. |
b | Total investment return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distribution at net asset value during the period, and redemption on the last day of the period. Transaction fees are not reflected in the calculation of total investment return. |
c | Portfolio turnover does not include securities received or delivered from processing creations or redemptions. |
SEE NOTES TO FINANCIAL STATEMENTS. | GUGGENHEIM ETFs ANNUAL REPORT | 49 |
GUGGENHEIM S&P MIDCAP 400® PURE GROWTH ETF |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating the Fund’s performance for the periods presented.
Year Ended October 31, 2017 | Year Ended October 31, 2016 | Year Ended October 31, 2015 | Year Ended October 31, 2014 | Year Ended October 31, 2013 | ||||||||||||||||
Per Share Data: | ||||||||||||||||||||
Net asset value, beginning of period | $ | 119.22 | $ | 128.31 | $ | 123.30 | $ | 115.31 | $ | 88.25 | ||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | 0.90 | 0.59 | 0.70 | 0.75 | 1.02 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 30.73 | (9.10 | ) | 5.10 | 7.93 | 27.10 | ||||||||||||||
Total from investment operations | 31.63 | (8.51 | ) | 5.80 | 8.68 | 28.12 | ||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (0.81 | ) | (0.58 | ) | (0.71 | ) | (0.69 | ) | (1.06 | ) | ||||||||||
Return of capital | — | — | (0.08 | ) | — | — | ||||||||||||||
Total distributions to shareholders | (0.81 | ) | (0.58 | ) | (0.79 | ) | (0.69 | ) | (1.06 | ) | ||||||||||
Net asset value, end of period | $ | 150.04 | $ | 119.22 | $ | 128.31 | $ | 123.30 | $ | 115.31 | ||||||||||
Total Returnb | 26.59 | % | (6.65 | %) | 4.71 | % | 7.53 | % | 32.07 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 585,170 | $ | 518,620 | $ | 769,872 | $ | 745,942 | $ | 737,971 | ||||||||||
Ratio to average net assets of: | ||||||||||||||||||||
Net investment income (loss) | 0.66 | % | 0.48 | % | 0.54 | % | 0.62 | % | 1.01 | % | ||||||||||
Total expenses | 0.35 | % | 0.35 | % | 0.35 | % | 0.35 | % | 0.35 | % | ||||||||||
Portfolio turnover ratec | 81 | % | 78 | % | 102 | % | 75 | % | 72 | % |
a | Based on average shares outstanding. |
b | Total investment return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distribution at net asset value during the period, and redemption on the last day of the period. Transaction fees are not reflected in the calculation of total investment return. |
c | Portfolio turnover does not include securities received or delivered from processing creations or redemptions. |
50 | GUGGENHEIM ETFs ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
GUGGENHEIM S&P SMALLCAP 600® PURE VALUE ETF |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating the Fund’s performance for the periods presented.
Year Ended October 31, 2017 | Year Ended October 31, 2016 | Year Ended October 31, 2015 | Year Ended October 31, 2014 | Year Ended October 31, 2013 | ||||||||||||||||
Per Share Data: | ||||||||||||||||||||
Net asset value, beginning of period | $ | 60.52 | $ | 57.76 | $ | 62.54 | $ | 57.37 | $ | 40.04 | ||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | 0.62 | 0.47 | 0.71 | 0.44 | 0.56 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 10.18 | 2.69 | (4.79 | ) | 5.14 | 17.40 | ||||||||||||||
Total from investment operations | 10.80 | 3.16 | (4.08 | ) | 5.58 | 17.96 | ||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (0.64 | ) | (0.40 | ) | (0.70 | ) | (0.41 | ) | (0.63 | ) | ||||||||||
Total distributions to shareholders | (0.64 | ) | (0.40 | ) | (0.70 | ) | (0.41 | ) | (0.63 | ) | ||||||||||
Net asset value, end of period | $ | 70.68 | $ | 60.52 | $ | 57.76 | $ | 62.54 | $ | 57.37 | ||||||||||
Total Returnb | 17.88 | % | 5.50 | % | (6.60 | %) | 9.73 | % | 45.20 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 236,795 | $ | 193,665 | $ | 150,190 | $ | 171,990 | $ | 123,350 | ||||||||||
Ratio to average net assets of: | ||||||||||||||||||||
Net investment income (loss) | 0.91 | % | 0.83 | % | 1.15 | % | 0.73 | % | 1.14 | % | ||||||||||
Total expenses | 0.35 | % | 0.35 | % | 0.35 | % | 0.35 | % | 0.35 | % | ||||||||||
Portfolio turnover ratec | 68 | % | 51 | % | 52 | % | 51 | % | 43 | % |
a | Based on average shares outstanding. |
b | Total investment return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distribution at net asset value during the period, and redemption on the last day of the period. Transaction fees are not reflected in the calculation of total investment return. |
c | Portfolio turnover does not include securities received or delivered from processing creations or redemptions. |
SEE NOTES TO FINANCIAL STATEMENTS. | GUGGENHEIM ETFs ANNUAL REPORT | 51 |
GUGGENHEIM S&P SMALLCAP 600® PURE GROWTH ETF |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating the Fund’s performance for the periods presented.
Year Ended October 31, 2017 | Year Ended October 31, 2016 | Year Ended October 31, 2015 | Year Ended October 31, 2014 | Year Ended October 31, 2013 | ||||||||||||||||
Per Share Data: | ||||||||||||||||||||
Net asset value, beginning of period | $ | 82.65 | $ | 85.26 | $ | 80.56 | $ | 74.23 | $ | 54.34 | ||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | 0.46 | 0.79 | 0.47 | 0.31 | 0.59 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 28.43 | (2.69 | ) | 4.70 | 6.33 | 19.87 | ||||||||||||||
Total from investment operations | 28.89 | (1.90 | ) | 5.17 | 6.64 | 20.46 | ||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (0.42 | ) | (0.71 | ) | (0.47 | ) | (0.31 | ) | (0.54 | ) | ||||||||||
Return of capital | — | — | (—)d | — | (0.03 | ) | ||||||||||||||
Total distributions to shareholders | (0.42 | ) | (0.71 | ) | (0.47 | ) | (0.31 | ) | (0.57 | ) | ||||||||||
Net asset value, end of period | $ | 111.12 | $ | 82.65 | $ | 85.26 | $ | 80.56 | $ | 74.23 | ||||||||||
Total Returnb | 35.01 | % | (2.20 | %) | 6.42 | % | 8.96 | % | 37.94 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 238,904 | $ | 152,910 | $ | 225,933 | $ | 104,723 | $ | 107,630 | ||||||||||
Ratio to average net assets of: | ||||||||||||||||||||
Net investment income (loss) | 0.45 | % | 0.97 | % | 0.55 | % | 0.39 | % | 0.94 | % | ||||||||||
Total expenses | 0.35 | % | 0.35 | % | 0.35 | % | 0.35 | % | 0.35 | % | ||||||||||
Portfolio turnover ratec | 70 | % | 92 | % | 62 | % | 78 | % | 73 | % |
a | Based on average shares outstanding. |
b | Total investment return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distribution at net asset value during the period, and redemption on the last day of the period. Transaction fees are not reflected in the calculation of total investment return. |
c | Portfolio turnover does not include securities received or delivered from processing creations or redemptions. |
d | Less than $0.01 per share. |
52 | GUGGENHEIM ETFs ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
NOTES TO FINANCIAL STATEMENTS |
Note 1 - Organization and Significant Accounting Policies
Organization
Rydex ETF Trust (the “Trust”) is registered with the SEC under the Investment Company Act of 1940 (the “1940 Act”), as an open-ended investment company of the series type, and is authorized to issue an unlimited number of no par value shares. Each portfolio represents a separate series of beneficial interest in the Trust (each a “Fund”, and collectively, the “Funds”), each a non-diversified investment company. The Trust was organized as a Delaware statutory trust on November 22, 2002. At October 31, 2017, the Trust consisted of twenty-three funds.
The financial statements herein relate to the following Funds, whose investment objective is to replicate as closely as possible, before fees and expenses, the daily performance of an index representing publicly traded equity securities (the “Underlying Index”) as follows:
Fund | Underlying Index |
Guggenheim S&P 500® Top 50 ETF | S&P 500® Top 50 Index |
Guggenheim S&P 500® Pure Value ETF | S&P 500® Pure Value Index |
Guggenheim S&P 500® Pure Growth ETF | S&P 500® Pure Growth Index |
Guggenheim S&P MidCap 400® Pure Value ETF | S&P MidCap 400® Pure Value Index |
Guggenheim S&P MidCap 400® Pure Growth ETF | S&P MidCap 400® Pure Growth Index |
Guggenheim S&P SmallCap 600® Pure Value ETF | S&P SmallCap 600® Pure Value Index |
Guggenheim S&P SmallCap 600® Pure Growth ETF | S&P SmallCap 600® Pure Growth Index |
The Funds seek to achieve their objective by investing in common stocks that comprise the Underlying Index. The Funds use a “replication” strategy to track the Underlying Index. Replication refers to investing in substantially all of the securities in the Underlying Index in approximately the same proportions as in the Underlying Index.
The Funds operate as index funds and are not actively managed. Adverse performance of a security in the Funds’ portfolio will ordinarily not result in the elimination of the security from the Funds’ portfolio.
The Funds issue and redeem shares on a continuous basis, at net asset value per share (“NAV”), only in aggregation of 50,000 shares (a “Creation Unit”). Creation Units are issued and redeemed principally in-kind for securities included in the Underlying Index.
The Funds invest in various investments which are exposed to risk, such as market risk. Due to the level of risk associated with certain investments it is at least reasonably possible that changes in the values of investment securities will occur in the near term and that such changes could materially affect amounts reported in the financial statements.
Security Investors, LLC, which operates under the name Guggenheim Investments (“GI”), provides advisory services to the Trust. Guggenheim Funds Distributors, LLC (“GFD”) acts as principal underwriter for the Trust. GI and GFD are affiliated entities.
Significant Accounting Policies
The Funds operate as investment companies and, accordingly, follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 Financial Services – Investment Companies.
The following significant accounting policies are in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) and are consistently followed by the Trust. This requires management to make estimates and assumptions that affect the reported amount of assets and liabilities, contingent assets and liabilities at the date of the financial statements, and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from these estimates. All time references are based on Eastern Time.
The NAV of a fund is calculated by dividing the market value of the fund’s securities and other assets, less all liabilities, by the number of outstanding shares of the fund.
(a) Valuation of Investments
The Board of Trustees of the Funds (the “Board”) has adopted policies and procedures for the valuation of the Funds’ investments (the “Valuation Procedures”). Pursuant to the Valuation Procedures, the Board has delegated to a valuation committee, consisting of representatives from Guggenheim’s investment management, fund administration, legal and compliance departments (the “Valuation Committee”), the day-to-day responsibility for implementing the Valuation Procedures, including, under most circumstances, the responsibility for determining the fair value of the Funds’ securities and/or other assets.
Valuations of the Funds’ securities are supplied primarily by pricing services appointed pursuant to the processes set forth in the Valuation Procedures. The Valuation Committee convenes monthly, or more frequently as needed, to review the valuation of all assets which have been fair valued for reasonableness. The Funds’ officers, through the Valuation Committee and consistent with the monitoring and review responsibilities set forth in the Valuation Procedures, regularly review procedures used and valuations provided by the pricing services.
GUGGENHEIM ETFs ANNUAL REPORT | 53 |
NOTES TO FINANCIAL STATEMENTS (continued) |
If the pricing service cannot or does not provide a valuation for a particular investment or such valuation is deemed unreliable, such investment is fair valued by the Valuation Committee.
Equity securities listed on an exchange (New York Stock Exchange (“NYSE”) or American Stock Exchange) are valued at the last quoted sale price as of the close of business on the NYSE, usually 4:00 p.m. on the valuation date. Equity securities listed on the NASDAQ market system are valued at the NASDAQ Official Closing Price on the valuation date, which may not necessarily represent the last sale price. If there has been no sale on such exchange or NASDAQ on a given day, the security is valued at the closing bid price on that day.
The Funds invest in money market mutual funds, which are valued at their NAV.
Investments for which market quotations are not readily available are fair-valued as determined in good faith by GI under the direction of the Board using methods established or ratified by the Board. Valuations in accordance with these methods are intended to reflect each security’s (or asset’s) “fair value”. Each such determination is based on a consideration of all relevant factors, which are likely to vary from one pricing context to another. Examples of such factors may include, but are not limited to market prices; sale prices; broker quotes; and models which derive prices based on inputs such as prices of securities with comparable maturities and characteristics, or based on inputs such as anticipated cash flows or collateral, spread over Treasuries, and other information analysis.
(b) Repurchase Agreements
The Funds may enter into repurchase agreements with financial institutions. In a repurchase agreement, a Fund buys a security and the seller simultaneously agrees to repurchase the security on a specified future date at an agreed-upon price. The repurchase price reflects an agreed-upon interest rate during the time the Fund’s money is invested in the security. Because the security constitutes collateral for the repurchase obligation, a repurchase agreement can be considered a collateralized loan. The Funds follow certain procedures designed to minimize the risks inherent in such agreements. These procedures include effecting repurchase transactions only with large, well capitalized and well-established financial institutions whose condition will be continually monitored by GI. In addition, the value of the collateral underlying the repurchase agreement will always be at least equal to the repurchase price, including any accrued interest earned on the repurchase agreement. In the event of a default or bankruptcy by a selling financial institution, the Funds will seek to liquidate such collateral. However, the exercising of the Funds right to liquidate such collateral could involve certain costs or delays and, to the extent that proceeds from any sale upon a default of the obligation to repurchase were less than the repurchase price, the Funds could suffer a loss. It is the current policy of the Funds not to invest in repurchase agreements that do not mature within seven days if any such investment, together with any other illiquid assets held by the Funds, amounts to more than 15% of a Fund’s net assets. The investments of the Funds in repurchase agreements, at times, may be substantial when, in the view of GI, liquidity or other considerations so warrant.
(c) Foreign Taxes
The Funds may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, capital gains on investments or certain foreign currency transactions. All foreign taxes are recorded in accordance with the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the Funds invest. These foreign taxes, if any, are paid by the Funds and reflected in their Statement of Operations as follows: foreign taxes withheld at source are presented as a reduction of income and foreign taxes on capital gains from sales of investments are included with the net realized gain (loss) on investments. Foreign taxes payable or deferred as of October 31, 2017, if any, are disclosed in the Funds’ Statements of Assets and Liabilities.
(d) Investment Transactions and Investment Income
Security transactions are recorded on the trade date for financial reporting purposes. Realized gains and losses from securities transactions are recorded using the identified cost basis. Proceeds from lawsuits related to investment holdings are recorded as realized gains in the respective Fund. Dividend income is recorded on the ex-dividend date, net of applicable taxes withheld by foreign countries. Taxable non-cash dividends are recorded as dividend income. Interest income, including amortization of premiums and accretion of discounts, is accrued on a daily basis. Dividend income from REITs is recorded based on the income included in the distributions received from the REIT investments using published REIT classifications, including some management estimates when actual amounts are not available. Distributions received in excess of this estimated amount are recorded as a reduction of the cost of investments or reclassified to capital gains. The actual amounts of income, return of capital, and capital gains are only determined by each REIT after its fiscal year-end, and may differ from the estimated amounts.
(e) Distributions
Distributions of net investment income and net realized gains, if any, are declared and paid at least annually. Distributions are recorded on the ex-dividend date and are determined in accordance with income tax regulations which may differ from U.S. GAAP.
54 | GUGGENHEIM ETFs ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued) |
(f) Cash
The Funds may leave cash overnight in their cash account with the custodian. Periodically, a Fund may have cash due to the custodian bank as an overdraft balance. A fee is incurred on this overdraft, calculated by multiplying the overdraft by a rate based on the federal funds rate, which was 1.07% at October 31, 2017.
(g) Indemnifications
Under the Funds’ organizational documents, the Trustees and Officers are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In addition, throughout the normal course of business, the Funds enter into contracts that contain a variety of representations and warranties which provide general indemnifications. The Funds’ maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds and/or their affiliates that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.
Note 2 - Capital
There is a minimum transaction fee per transaction to those persons purchasing or redeeming Creation Units. An additional charge of up to three times the standard transaction fee may be imposed for purchases and redemptions effected outside the National Securities Clearing Corporation usual clearing process or for cash. Such transactions are generally permitted on an in-kind basis, with a balancing cash component to equate the transaction to the NAV of the Fund on the transaction date. Transaction fees are not charged to or paid by the Funds.
The minimum transaction fees are:
Fund | Minimum Transaction Fee | |||
Guggenheim S&P 500® Top 50 ETF | $ | 500 | ||
Guggenheim S&P 500® Pure Value ETF | 1,000 | |||
Guggenheim S&P 500® Pure Growth ETF | 1,000 | |||
Guggenheim S&P MidCap 400® Pure Value ETF | 750 | |||
Guggenheim S&P MidCap 400® Pure Growth ETF | 750 | |||
Guggenheim S&P SmallCap 600® Pure Value ETF | 1,000 | |||
Guggenheim S&P SmallCap 600® Pure Growth ETF | 1,000 |
Note 3 - Fees and Other Transactions with Affiliates
GI determines the composition of the portfolio of securities that must be delivered in exchange for the issuance of Creation Units and periodically adjusts the composition of the portfolio of the Funds to conform to changes in the composition of the relevant index. For these services, GI receives a management fee at the annual rate shown below as a percentage of the average daily net assets of the Funds.
Fund | Advisory Fee |
Guggenheim S&P 500® Top 50 ETF | 0.20% |
Guggenheim S&P 500® Pure Value ETF | 0.35% |
Guggenheim S&P 500® Pure Growth ETF | 0.35% |
Guggenheim S&P MidCap 400® Pure Value ETF | 0.35% |
Guggenheim S&P MidCap 400® Pure Growth ETF | 0.35% |
Guggenheim S&P SmallCap 600® Pure Value ETF | 0.35% |
Guggenheim S&P SmallCap 600® Pure Growth ETF | 0.35% |
GI pays all expenses of the Funds, including the cost of transfer agency, custody, fund administration, fund accounting, legal, audit and other services, except: interest, taxes, distribution fees or expenses and extraordinary expenses.
Under a Fund Administration Agreement with the Trust, MUFG Investor Services (US), LLC (“MUIS”) provides various administrative and financial reporting services for the Funds. GI compensates MUIS directly for this service.
Under a Fund Accounting Agreement with the Trust, BNYMellon maintains the books and records of the Funds. Under a Custodian Agreement with the Trust, BNYMellon maintains cash, securities and other assets of the Funds in a separate account for the Funds, keeps all necessary accounts and records, and provides other services. BNYMellon is required, upon the order of the Trust, to deliver securities held by the custodian and to make payments for securities purchased by the Trust for the Funds. Pursuant to a Transfer Agency and Service Agreement with the Trust, BNYMellon acts as a transfer agent for the Trust’s authorized and issued shares of beneficial interest, and as dividend disbursing agent of the Trust. GI compensates BNYMellon directly for the foregoing services.
The Funds have adopted a Distribution Plan (the “Plan”) that allows the Funds to pay distribution fees to GFD and other firms that provide distribution services (“Service Providers”). If a Service Provider provides distribution services, the Funds will pay distribution fees to GFD at an annual rate not to exceed 0.25% of average daily net assets, pursuant to Rule 12b-1 of the 1940 Act. GFD will, in turn, pay the Service Provider out of its fees. No such fee is currently charged to the Funds.
Certain trustees and officers of the Trust are also officers of GI and GFD.
GUGGENHEIM ETFs ANNUAL REPORT | 55 |
NOTES TO FINANCIAL STATEMENTS (continued) |
Note 4 - Fair Value Measurement
In accordance with U.S. GAAP, fair value is defined as the price that the Funds would receive to sell an investment or pay to transfer a liability in an orderly transaction with an independent buyer in the principal market, or in the absence of a principal market, the most advantageous market for the investment or liability. U.S. GAAP establishes a three-tier fair value hierarchy based on the types of inputs used to value assets and liabilities and requires corresponding disclosure. The hierarchy and the corresponding inputs are summarized below:
Level 1 — quoted prices in active markets for identical securities.
Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3 — significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
The types of inputs available depend on a variety of factors, such as the type of security and the characteristics of the markets in which it trades, if any. Fair valuation determinations that rely on fewer or no observable inputs require greater judgment. Accordingly, fair value determinations for Level 3 securities require the greatest amount of judgment.
Independent pricing services are used to value a majority of the Funds’ investments. When values are not available from a pricing service, they will be determined under the valuation policies that have been reviewed and approved by the Board. In any event, values are determined using a variety of sources and techniques, including: market prices; broker quotes; and models which derive prices based on inputs such as prices of securities with comparable maturities and characteristics or based on inputs such as anticipated cash flows or collateral spread over Treasuries, and other information and analysis.
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The suitability of the techniques and sources employed to determine fair valuation are regularly monitored and subject to change.
Note 5 - Portfolio Securities Loaned
Each Fund may lend portfolio securities to certain creditworthy borrowers, including the Funds’ securities lending agent to earn additional income. The Funds receive cash collateral and/or high grade debt obligations valued at 102% of the market value of domestic securities on loan and 105% of foreign securities on loan. Collateral is maintained over the life of the loan in an amount not less than the value of loaned securities, as determined at the close of fund business on the preceding business day; any additional collateral required due to changes in security values is delivered to the Funds the next business day. The cash collateral received is held in a separately managed account established for each respective Fund and maintained by the lending agent exclusively for the investment of securities lending cash collateral on behalf of each Fund. The lending agent aggregates the available collateral in all the separately managed accounts to invest in short-term investments valued at amortized cost, which approximates market value. Each separately managed account is allocated a percentage of the aggregated repurchase agreement and the related collateral. Although the collateral mitigates the risk, the Funds could experience a delay in recovering its securities and a possible loss of income or value if the borrower fails to return the securities. The Funds have the right under the securities lending agreement to recover the securities from the borrower on demand. Securities lending transactions are accounted for as secured borrowings. The remaining contractual maturity of the securities lending agreement is overnight and continuous.
Each Fund separately receives compensation for lending securities from interest or dividends earned on the cash, cash equivalents, repurchase agreements, or U.S. government securities held as collateral, net of fee rebates paid to the borrower plus reasonable administrative and custody fees paid to the lending agent. Such compensation is accrued daily and payable to the Fund monthly. The dividend and interest income earned on the securities loaned is accounted for in the same manner as other dividend and interest income. The borrower pays to the Funds an amount equal to any dividends or interest received on loaned securities. These payments from the borrower are not eligible for reduced tax rates as “qualified dividend income” under the Jobs and Growth Tax Reconciliation Act of 2003. The Funds retain all or a portion of the interest received on investment of cash collateral or receives a fee from the borrower. The securities lending income earned by the Funds are disclosed on the Statements of Operations.
56 | GUGGENHEIM ETFs ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued) |
At October 31, 2017, the Funds participated in securities lending transactions, which are subject to enforceable netting arrangements, as follows:
Gross Amounts Not Offset in the Statements of Assets and Liabilities | Securities Lending Collateral | |||||||||||||||||||||||
Fund | Value of Securities Loaned | Collateral Receiveda | Net Amount | Cash Collateral | Non-Cash Collateral | Total Collateral | ||||||||||||||||||
Guggenheim S&P 500® Pure Value ETF | $ | 39,425,682 | $ | (39,425,682 | ) | $ | — | $ | 14,281,994 | $ | 25,677,875 | $ | 39,959,869 | |||||||||||
Guggenheim S&P 500® Pure Growth ETF | 113,328,000 | (113,328,000 | ) | — | 42,635,591 | 72,580,578 | 115,216,169 | |||||||||||||||||
Guggenheim S&P MidCap 400® Pure Value ETF | 41,914,539 | (41,914,539 | ) | — | 12,963,088 | 29,504,523 | 42,467,611 | |||||||||||||||||
Guggenheim S&P MidCap 400® Pure Growth ETF | 123,031,005 | (123,031,005 | ) | — | 31,479,653 | 93,743,705 | 125,223,358 | |||||||||||||||||
Guggenheim S&P SmallCap 600® Pure Value ETF | 57,877,921 | (57,877,921 | ) | — | 28,991,885 | 29,676,174 | 58,668,059 | |||||||||||||||||
Guggenheim S&P SmallCap 600® Pure Growth ETF | 98,426,244 | (98,426,244 | ) | — | 34,514,006 | 63,977,119 | 98,491,125 |
a | Actual collateral received by the Funds is greater than the amount shown due to over collateralization. |
In the event of counterparty default, the Funds have the right to collect the collateral to offset losses incurred. There is potential loss to the Funds in the event the Funds are delayed or prevented from exercising their rights to dispose of the collateral securities, including the risk of a possible decline in the value of the underlying securities during the period while the Funds seek to assert their rights. GI, acting under the supervision of the Board, reviews the value of the collateral and the creditworthiness of those banks and dealers to evaluate potential risks.
The following represents the aggregate collateral balances reinvested by the lending agent on behalf of the Funds with each counterparty for the repurchase agreements at October 31, 2017:
Counterparty and Terms of Agreement | Face Value | Repurchase Price | Collateral | Par Value | Fair Value | |||||||||||||
Jefferies LLC | Various U.S. Government obligations and | |||||||||||||||||
1.14% - 1.18% | U.S. Government | |||||||||||||||||
Due 11/01/17 | $ | 31,502,142 | $ | 31,503,159 | agency securities | $ | 32,569,331 | $ | 32,132,190 | |||||||||
Nomura Securities International, Inc. | Various U.S. Government obligations and | |||||||||||||||||
1.06% | U.S. Government | |||||||||||||||||
Due 11/01/17 | 28,450,036 | 28,450,875 | agency securities | 30,031,486 | 29,019,037 | |||||||||||||
HSBC Securities (USA), Inc. | Various U.S. Government obligations and | |||||||||||||||||
1.03% - 1.04% | U.S. Government | |||||||||||||||||
Due 11/01/17 | 24,429,842 | 24,430,545 | agency securities | 38,019,782 | 24,918,538 | |||||||||||||
Daiwa Capital Markets America | Various U.S. Government obligations and | |||||||||||||||||
1.08% | U.S. Government | |||||||||||||||||
Due 11/01/17 | 19,689,047 | 19,689,638 | agency securities | 40,281,400 | 20,078,326 | |||||||||||||
Cantor Fitzgerald Securities | Various U.S. Government obligations and | |||||||||||||||||
1.08% | U.S. Government | |||||||||||||||||
Due 11/01/17 | 19,689,047 | 19,689,638 | agency securities | 98,226,033 | 20,082,828 | |||||||||||||
Citigroup Global Markets, Inc. | Various U.S. Government obligations and | |||||||||||||||||
1.07% | U.S. Government | |||||||||||||||||
Due 11/01/17 | 17,212,820 | 17,213,332 | agency securities | 99,930,129 | 17,557,077 |
GUGGENHEIM ETFs ANNUAL REPORT | 57 |
NOTES TO FINANCIAL STATEMENTS (continued) |
Counterparty and Terms of Agreement | Face Value | Repurchase Price | Collateral | Par Value | Fair Value | |||||||||||||
State of Wisconsin Investment Board | Various U.S. Government obligations and | |||||||||||||||||
1.21% | U.S. Government | |||||||||||||||||
Due 11/01/17 | $ | 14,109,920 | $ | 14,110,394 | agency securities | $ | 13,022,211 | $ | 14,491,673 | |||||||||
Merrill Lynch, Pierce, Fenner & Smith, Inc. | Various U.S. Government obligations and | |||||||||||||||||
1.05% - 1.07% | U.S. Government | |||||||||||||||||
Due 11/01/17 | 9,018,478 | 9,018,746 | agency securities | 11,372,449 | 9,198,848 | |||||||||||||
Citibank | Various U.S. Government obligations and | |||||||||||||||||
1.05% | U.S. Government | |||||||||||||||||
Due 11/01/17 | 764,885 | 764,907 | agency securities | 722,083 | 780,183 |
Each Fund’s exposure to each respective counterparty is identified in the Schedule of Investments. Under the terms of the agreement, each Fund participates in the earnings generated by each security it has exposure to on a pro rata basis.
Note 6 - Federal Income Tax Information
The Funds intend to comply with the provisions of Subchapter M of the Internal Revenue Code applicable to regulated investment companies and will distribute substantially all taxable net investment income and capital gains sufficient to relieve the Funds from all, or substantially all, federal income, excise and state income taxes. Therefore, no provision for federal or state income tax or federal excise tax is required.
Tax positions taken or expected to be taken in the course of preparing the Funds’ tax returns are evaluated to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. Management has analyzed the Funds’ tax positions taken, or to be taken, on federal income tax returns for all open tax years, and has concluded that no provision for income tax is required in the Funds’ financial statements. The Funds’ federal tax returns are subject to examination by the Internal Revenue Service for a period of three years after they are filed.
The tax character of distributions paid during the year ended October 31, 2017 was as follows:
Fund | Ordinary Income | Long-Term Capital Gain | Return of Capital | Total Distributions | ||||||||||||
Guggenheim S&P 500® Top 50 ETF | $ | 12,471,172 | $ | — | $ | — | $ | 12,471,172 | ||||||||
Guggenheim S&P 500® Pure Value ETF | 16,800,045 | — | — | 16,800,045 | ||||||||||||
Guggenheim S&P 500® Pure Growth ETF | 13,278,946 | — | — | 13,278,946 | ||||||||||||
Guggenheim S&P MidCap 400® Pure Value ETF | 1,979,370 | — | — | 1,979,370 | ||||||||||||
Guggenheim S&P MidCap 400® Pure Growth ETF | 3,297,427 | — | — | 3,297,427 | ||||||||||||
Guggenheim S&P SmallCap 600® Pure Value ETF | 1,947,059 | — | — | 1,947,059 | ||||||||||||
Guggenheim S&P SmallCap 600® Pure Growth ETF | 850,483 | — | — | 850,483 |
The tax character of distributions paid during the year ended October 31, 2016 was as follows:
Fund | Ordinary Income | Long-Term Capital Gain | Return of Capital | Total Distributions | ||||||||||||
Guggenheim S&P 500® Top 50 ETF | $ | 12,305,640 | $ | — | $ | — | $ | 12,305,640 | ||||||||
Guggenheim S&P 500® Pure Value ETF | 16,846,207 | — | — | 16,846,207 | ||||||||||||
Guggenheim S&P 500® Pure Growth ETF | 12,804,542 | — | — | 12,804,542 | ||||||||||||
Guggenheim S&P MidCap 400® Pure Value ETF | 1,503,674 | — | — | 1,503,674 | ||||||||||||
Guggenheim S&P MidCap 400® Pure Growth ETF | 3,174,670 | — | — | 3,174,670 | ||||||||||||
Guggenheim S&P SmallCap 600® Pure Value ETF | 1,222,224 | — | — | 1,222,224 | ||||||||||||
Guggenheim S&P SmallCap 600® Pure Growth ETF | 1,779,427 | — | — | 1,779,427 |
58 | GUGGENHEIM ETFs ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued) |
Note: For federal income tax purposes, short-term capital gain distributions are treated as ordinary income distributions.
The tax components of accumulated earnings/(deficit) as of October 31, 2017 were as follows:
Fund | Undistributed Ordinary Income | Undistributed Long-Term Capital Gain | Net Unrealized Appreciation (Depreciation) | Accumulated Capital and Other Losses | Other Temporary Differences | Total | ||||||||||||||||||
Guggenheim S&P 500® Top 50 ETF | $ | 1,330,444 | $ | — | $ | 172,517,131 | $ | (24,563,941 | ) | $ | — | $ | 149,283,634 | |||||||||||
Guggenheim S&P 500® Pure Value ETF | 1,096,790 | — | 65,864,365 | (148,331,157 | ) | — | (81,370,002 | ) | ||||||||||||||||
Guggenheim S&P 500® Pure Growth ETF | 520,667 | — | 526,513,373 | (208,640,671 | ) | — | 318,393,369 | |||||||||||||||||
Guggenheim S&P MidCap 400® Pure Value ETF | 168,502 | — | 7,172,013 | (22,249,350 | ) | — | (14,908,835 | ) | ||||||||||||||||
Guggenheim S&P MidCap 400® Pure Growth ETF | 542,240 | — | 77,921,478 | (66,840,047 | ) | — | 11,623,671 | |||||||||||||||||
Guggenheim S&P SmallCap 600® Pure Value ETF | 193,870 | — | 7,295,148 | (62,695,807 | ) | — | (55,206,789 | ) | ||||||||||||||||
Guggenheim S&P SmallCap 600® Pure Growth ETF | 88,685 | — | 31,344,103 | (31,359,909 | ) | — | 72,879 |
Capital Loss Carryforward amounts may be limited due to Federal income tax regulations.
For Federal income tax purposes, capital loss carryforwards represent realized losses of the Funds that may be carried forward and applied against future capital gains. For taxable years beginning on or before December 22, 2010, such capital losses may be carried forward for a maximum of eight years. Under the RIC Modernization Act of 2010, the Funds are permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. However, any losses incurred during those taxable years must be utilized prior to the losses incurred in pre-enactment taxable years. As a result of this ordering rule, pre-enactment capital loss carryforwards may be more likely to expire unused. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under previous law. As of October 31, 2017, capital loss carryforwards for the Funds were as follows:
Unlimited | ||||||||||||||||||||
Fund | Expires in 2018 | Expires in 2019 | Short-Term | Long-Term | Total Capital Loss Carryforward | |||||||||||||||
Guggenheim S&P 500® Top 50 ETF | $ | (10,584,384 | ) | $ | (3,619,667 | ) | $ | (3,599,557 | ) | $ | (6,760,333 | ) | $ | (24,563,941 | ) | |||||
Guggenheim S&P 500® Pure Value ETF | — | — | (49,361,184 | ) | (98,969,973 | ) | (148,331,157 | ) | ||||||||||||
Guggenheim S&P 500® Pure Growth ETF | — | — | (145,983,745 | ) | (62,656,926 | ) | (208,640,671 | ) | ||||||||||||
Guggenheim S&P MidCap 400® Pure Value ETF | — | — | (14,081,760 | ) | (8,167,590 | ) | (22,249,350 | ) | ||||||||||||
Guggenheim S&P MidCap 400® Pure Growth ETF | — | — | (54,539,276 | ) | (12,300,771 | ) | (66,840,047 | ) | ||||||||||||
Guggenheim S&P SmallCap 600® Pure Value ETF | (8,325,244 | ) | — | (30,985,780 | ) | (23,384,783 | ) | (62,695,807 | ) | |||||||||||
Guggenheim S&P SmallCap 600® Pure Growth ETF | — | — | (27,706,744 | ) | (3,653,165 | ) | (31,359,909 | ) |
For the year ended October 31, 2017, the following capital loss carryforward amounts expired or were utilized:
Fund | Expired | Utilized | Total | |||||||||
Guggenheim S&P 500® Top 50 ETF | $ | 51,313,952 | $ | — | $ | 51,313,952 | ||||||
Guggenheim S&P 500® Pure Value ETF | 2,158,232 | — | 2,158,232 | |||||||||
Guggenheim S&P 500® Pure Growth ETF | — | — | — | |||||||||
Guggenheim S&P MidCap 400® Pure Value ETF | 1,163,866 | — | 1,163,866 | |||||||||
Guggenheim S&P MidCap 400® Pure Growth ETF | — | — | — | |||||||||
Guggenheim S&P SmallCap 600® Pure Value ETF | 5,771,118 | — | 5,771,118 | |||||||||
Guggenheim S&P SmallCap 600® Pure Growth ETF | — | — | — |
Net investment income and net realized gains (losses) may differ for financial statement and tax purposes because of temporary or permanent book/tax differences. These differences are primarily due to investments in real estate investment trusts, losses deferred due to wash sales, redemption in-kind transactions, and return of capital distributions received. Additional differences may result from the tax treatment of the expiration of capital loss carryforward amounts and non-deductible expenses. To the extent these differences are permanent, reclassifications are made to the appropriate capital accounts in the period that the differences arise. These reclassifications have no effect on net assets or NAV per share.
GUGGENHEIM ETFs ANNUAL REPORT | 59 |
NOTES TO FINANCIAL STATEMENTS (continued) |
The following adjustments were made on the Statements of Assets and Liabilities as of October 31, 2017 for permanent book/tax differences:
Fund | Paid In Capital | Undistributed Net Investment Income/(Loss) | Accumulated Net Realized Gain/(Loss) | |||||||||
Guggenheim S&P 500® Top 50 ETF | $ | (30,105,187 | ) | $ | 11,871 | $ | 30,093,316 | |||||
Guggenheim S&P 500® Pure Value ETF | 91,898,647 | 15,864 | (91,914,511 | ) | ||||||||
Guggenheim S&P 500® Pure Growth ETF | 130,199,357 | 1,704,739 | (131,904,096 | ) | ||||||||
Guggenheim S&P MidCap 400® Pure Value ETF | 36,231,738 | 19,199 | (36,250,937 | ) | ||||||||
Guggenheim S&P MidCap 400® Pure Growth ETF | 59,126,153 | 182,316 | (59,308,469 | ) | ||||||||
Guggenheim S&P SmallCap 600® Pure Value ETF | 42,926,615 | 57,672 | (42,984,287 | ) | ||||||||
Guggenheim S&P SmallCap 600® Pure Growth ETF | 23,647,953 | 29,043 | (23,676,996 | ) |
At October 31, 2017, the cost of securities for Federal income tax purposes, the aggregate gross unrealized gain for all securities for which there was an excess of value over tax cost and the aggregate gross unrealized loss for all securities for which there was an excess of tax cost over value, were as follows:
Fund | Tax Cost | Tax Unrealized Gain | Tax Unrealized (Loss) | Net Unrealized Gain/(Loss) | ||||||||||||
Guggenheim S&P 500® Top 50 ETF | $ | 513,726,796 | $ | 193,037,632 | $ | (20,520,501 | ) | $ | 172,517,131 | |||||||
Guggenheim S&P 500® Pure Value ETF | 778,513,944 | 105,936,031 | (40,071,666 | ) | 65,864,365 | |||||||||||
Guggenheim S&P 500® Pure Growth ETF | 1,731,176,148 | 572,362,962 | (45,849,589 | ) | 526,513,373 | |||||||||||
Guggenheim S&P MidCap 400® Pure Value ETF | 113,810,565 | 16,519,239 | (9,347,226 | ) | 7,172,013 | |||||||||||
Guggenheim S&P MidCap 400® Pure Growth ETF | 538,774,404 | 99,561,899 | (21,640,421 | ) | 77,921,478 | |||||||||||
Guggenheim S&P SmallCap 600® Pure Value ETF | 258,453,012 | 31,472,539 | (24,177,391 | ) | 7,295,148 | |||||||||||
Guggenheim S&P SmallCap 600® Pure Growth ETF | 242,110,195 | 43,010,162 | (11,666,059 | ) | 31,344,103 |
Note 7 - Investment Transactions
For the year ended October 31, 2017, the Funds had investments transactions in-kind associated with subscriptions and redemptions as follows:
Subscriptions | Redemptions | |||||||
Guggenheim S&P 500® Top 50 ETF | $ | 41,274,809 | $ | 58,482,093 | ||||
Guggenheim S&P 500® Pure Value ETF | 543,274,169 | 568,950,467 | ||||||
Guggenheim S&P 500® Pure Growth ETF | 498,769,237 | 510,638,621 | ||||||
Guggenheim S&P MidCap 400® Pure Value ETF | 115,761,046 | 204,575,671 | ||||||
Guggenheim S&P MidCap 400® Pure Growth ETF | 206,904,011 | 265,435,497 | ||||||
Guggenheim S&P SmallCap 600® Pure Value ETF | 238,751,595 | 220,328,374 | ||||||
Guggenheim S&P SmallCap 600® Pure Growth ETF | 134,478,715 | 101,356,388 |
For the year ended October 31, 2017, the cost of purchases and proceeds from sales of investment securities, excluding government securities, short-term investments and in-kind transactions, were as follows:
Purchases | Sales | |||||||
Guggenheim S&P 500® Top 50 ETF | $ | 28,410,314 | $ | 28,518,481 | ||||
Guggenheim S&P 500® Pure Value ETF | 410,826,354 | 409,879,066 | ||||||
Guggenheim S&P 500® Pure Growth ETF | 1,151,844,873 | 1,144,666,139 | ||||||
Guggenheim S&P MidCap 400® Pure Value ETF | 127,252,486 | 127,175,852 | ||||||
Guggenheim S&P MidCap 400® Pure Growth ETF | 439,732,005 | 438,712,732 | ||||||
Guggenheim S&P SmallCap 600® Pure Value ETF | 151,072,337 | 151,815,197 | ||||||
Guggenheim S&P SmallCap 600® Pure Growth ETF | 132,022,189 | 130,960,230 |
60 | GUGGENHEIM ETFs ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued) |
Note 8 - Legal Proceedings
Lyondell Chemical Company
In December 2011, Rydex ETF Trust was named as a defendant in Weisfelner, as Trustee of the LB Creditor Trust, v. Fund 1 (In re Lyondell Chemical Co.), Adv. Pro. No. 10-4609 (Bankr. S.D.N.Y.) (the “Creditor Trust Action”). Its funds may also be putative members of the proposed defendant classes in Weisfelner, as Trustee of the LB Litigation Trust v. A. Holmes & H. Holmes TTEE (In re Lyondell Co.), Adv. Pro. No. 10-5525 (Bankr. S.D.N.Y.) (the “Litigation Trust Action”) and Weisfelner, as Trustee of the LB Creditor Trust, v. Reichman (In re Lyondell Chemical Co.), Adv. Pro. No. 12-1570 (Bankr. S.D.N.Y.) (the “Reichman Action”).
Similar to the claims made in the Tribune matter, the complaints seek to have set aside and recovered as fraudulent transfers from former Lyondell Chemical Company (“Lyondell”) shareholders the consideration paid to them pursuant to the cash out merger of Lyondell shareholders in connection with the combination of Lyondell and Basell AF in 2007. Lyondell filed for bankruptcy in 2008. The Creditor Trust and Reichman Actions allege claims against the former Lyondell shareholders under state law for both constructive fraudulent transfer and intentional fraudulent transfer. The Litigation Trust Action alleges a claim against the former Lyondell shareholders under federal law for intentional fraudulent transfer.
On April 7, 2014, the plaintiff filed a Third Amended Complaint in the Creditor Trust Action, a Second Amended Complaint in the Litigation Trust Action and an Amended Complaint in the Reichman Action.
On May 8, 2014, the plaintiff in the Litigation Trust Action filed a motion to certify a defendant class generally comprised of all former Lyondell shareholders that received proceeds in exchange for their shares in the 2007 merger transaction.
On July 30, 2014, the defendants filed a motion to dismiss these lawsuits. The Bankruptcy Court held oral argument on the motions to dismiss and on the motion for class certification on January 14 and January 15, 2015. On September 15, 2015, the Bankruptcy Court denied the motion for class certification without prejudice to the plaintiff’s right to file a renewed motion.
On November 18, 2015, the Bankruptcy Court granted the defendants’ motion to dismiss the Litigation Trust Action and denied their motion to dismiss the Creditor Trust and Reichman Actions. The Bankruptcy Court entered final judgment dismissing the Litigation Trust Action, but the plaintiff appealed the dismissal to the U.S. District Court for the Southern District of New York. On July 27, 2016, the District Court reversed the Bankruptcy Court and reinstated the federal law intentional fraudulent transfer claim in the Litigation Trust Action and remanded to the Bankruptcy Court for further proceedings. On August 11, 2016, the shareholder defendants filed a motion for reconsideration and/or to certify an interlocutory appeal of the District Court’s opinion. On October 5, 2016, the District Court denied the motion for reconsideration and/or to certify an interlocutory appeal. On April 21, 2017, the Bankruptcy Court issued an Opinion and Order After Trial in a related Lyondell litigation (the “Blavatnik Action”) rejecting claims for intentional fraudulent transfer and constructive fraudulent transfer in connection with the 2007 LBO. Based on this related ruling in the Blavatnik Action, the shareholder defendants filed a motion to dismiss the Litigation Trust Action on the grounds of collateral estoppel on May 30, 2017. Although the Bankruptcy Court had not yet ruled on the motion to dismiss, on August 15, 2017, the plaintiff in the Litigation Trust action filed a notice of dismissal of all claims against the defendants who joined the motion to dismiss. On August 18, 2017, the Litigation Trust plaintiff also withdrew his request for class certification of a defendant class in the Litigation Trust action. On September 5, 2017, the Court entered an order dismissing the Litigation Trust action with prejudice. The Court’s order dismissed the action as to all defendants as well as to unnamed members of the putative defendant class.
On May 4, 2016, the defendants filed a motion to dismiss, or in the alternative, for a stay of, the Creditor Trust and Reichman Actions in light of the U.S. Court of Appeals for the Second Circuit’s opinion affirming the dismissal of lawsuits filed against former Tribune shareholders involving state law constructive fraudulent conveyance claims arising out of the 2007 leveraged buyout of the Tribune Company. On July 20, 2016, the Bankruptcy Court issued a report and recommendation granting the defendants’ motion to dismiss. The U.S. District Court for the Southern District of New York did not rule on the Bankruptcy Court’s recommendation. On May 30, 2017, the shareholder defendants filed a motion to remand the proceedings in the Creditor Trust and Reichman Actions to the Bankruptcy Court, for consideration of the collateral estoppel ground for dismissal raised by the Bankruptcy Court’s ruling in the Blavatnik Action. On August 18, 2017, the plaintiff in the Creditor Trust action filed a notice of dismissal of claims brought against defendants who had not answered the Third Amended Complaint. The same day, the plaintiff in the Reichman action filed a notice of dismissal of all claims against named defendants who had not filed an answer and withdrew his request for class certification of a defendant class. On September 5, 2017, the Court entered an order dismissing the Creditor Trust and Reichman actions with prejudice. The Court’s order dismissed the actions as to all defendants as well as to unnamed members of the putative defendant class in the Reichman action.
GUGGENHEIM ETFs ANNUAL REPORT | 61 |
NOTES TO FINANCIAL STATEMENTS (continued) |
As a result of the dismissals above, there are no longer claims pending against the Rydex Series Funds related to the Lyondell merger.
This lawsuit does not allege any wrongdoing on the part of Rydex ETF Trust. The following series of Rydex ETF Trust received cash proceeds from the merger in the following amounts: Guggenheim S&P Midcap 400 Pure Value ETF Fund - $572,640.
Tribune Company
Rydex ETF Trust has been named as a defendant and a putative member of the proposed defendant class of shareholders in the case entitled Kirschner v. FitzSimons, No. 12-2652 (S.D.N.Y.) (formerly Official Committee of Unsecured Creditors of Tribune Co. v. FitzSimons, Adv. Pro. No. 10-54010 (Bankr. D. Del.)) (the “FitzSimons action”), as a result of ownership by certain series of the Rydex ETF Trust of shares in the Tribune Company (“Tribune”) in 2007, when Tribune effected a leveraged buyout transaction (“LBO”) by which Tribune converted to a privately-held company. In his complaint, the plaintiff has alleged that, in connection with the LBO, Tribune insiders and shareholders were overpaid for their Tribune stock using financing that the insiders knew would, and ultimately did, leave Tribune insolvent. The plaintiff has asserted claims against certain insiders, major shareholders, professional advisers, and others involved in the LBO. The plaintiff is also attempting to obtain from former Tribune shareholders, including Rydex ETF Trust, the proceeds they received in connection with the LBO.
In June 2011, a group of Tribune creditors filed multiple actions against former Tribune shareholders involving state law constructive fraudulent conveyance claims arising out of the 2007 LBO (the “SLCFC actions”). Rydex ETF Trust has been named as a defendant in one of the SLCFC actions: Deutsche Bank Trust Co. Americas v. McGurn, No. 12-0063 (S.D.N.Y.). In the SLCFC actions, the creditors seek to recover from Tribune’s former shareholders the proceeds received in connection with the 2007 LBO.
The FitzSimons action and the SLCFC actions have been consolidated with the majority of the other Tribune LBO-related lawsuits in a multidistrict litigation proceeding captioned In re Tribune Company Fraudulent Conveyance Litig., No. 11-md-2696 (S.D.N.Y.) (the “MDL Proceeding”).
On September 23, 2013, the District Court granted the defendants’ omnibus motion to dismiss the SLCFC actions, on the basis that the creditors lacked standing. On September 30, 2013, the creditors filed a notice of appeal of the September 23 order. On October 28, 2013, the defendants filed a joint notice of cross-appeal of that same order.
On May 23, 2014, the defendants filed motions to dismiss the FitzSimons action, including a global motion to dismiss Count I, which is the claim brought against former Tribune shareholders for intentional fraudulent conveyance under U.S. federal law. On January 6, 2017, the United States District Court for the Southern District of New York granted the shareholder defendants’ motion to dismiss the intentional fraudulent conveyance claim in the FitzSimons action. In dismissing the intentional fraudulent conveyance claim, the Court denied the plaintiff’s request to amend the complaint. The plaintiff requested that the Court direct entry of a final judgment in order to make the order immediately appealable. On February 23, 2017, the Court issued an order stating that it intends to permit an interlocutory appeal of the dismissal order, but will wait to do so until it has resolved outstanding motions to dismiss filed by other defendants. Accordingly, the timing of the appeal is uncertain.
On March 29, 2016, the U.S. Court of Appeals for the Second Circuit issued its opinion on the appeal of the SLCFC actions. The appeals court affirmed the district court’s dismissal of those lawsuits, but on different grounds than the district court. The appeals court held that while the plaintiffs have standing under the U.S. Bankruptcy Code, their claims were preempted by Section 546(e) of the Bankruptcy Code—the statutory safe harbor for settlement payments. On April 12, 2016, the plaintiffs in the SLCFC actions filed a petition seeking rehearing en banc before the appeals court. On July 22, 2016, the appeals court denied the petition. On September 9, 2016, the plaintiffs filed a petition for writ of certiorari in the U.S. Supreme Court challenging the Second Circuit’s decision that the safe harbor of Section 546(e) applied to their claims. The shareholder defendants, including the Rydex ETF Trust, filed a joint brief in opposition to the petition for writ of certiorari on October 24, 2016. The plaintiffs filed a reply in support of the petition on November 4, 2016. The Supreme Court has not yet granted or denied the petition for certiorari.
On July 18, 2017, the plaintiff submitted a letter to the District Court seeking leave to amend its complaint to add a constructive fraudulent transfer claim. The shareholder defendants opposed that request. On August 24, 2017, the Court denied the plaintiff’s request without prejudice to renewal of the request in the event of an intervening change in the law.
None of these lawsuits alleges any wrongdoing on the part of Rydex ETF Trust. The following series of Rydex ETF Trust held shares of Tribune and tendered these shares as part of Tribune’s LBO: Guggenheim S&P 500 Pure Value ETF (the “Fund”). The value of the proceeds received by the foregoing Fund was $197,050. At this stage of the proceedings, Rydex ETF Trust is not able to make a reliable prediction as to the outcome of these lawsuits or the effect, if any, on the Fund’s net asset value.
62 | GUGGENHEIM ETFs ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (concluded) |
Note 9 - Subsequent Events
Guggenheim Investments announced on September 28, 2017, that its parent company, Guggenheim Capital, LLC, had entered into a definitive agreement to sell its exchange-traded funds business to Invesco Ltd. (“Invesco”), a leading global investment management company (the “Transaction”). On November 16, 2017, the Board approved an Agreement and Plan of Reorganization (the “Plan of Reorganization”) providing for the reorganization (each, a “Reorganization” and collectively, the “Reorganizations”) of each Fund into a corresponding newly-created exchange-traded fund of the PowerShares by Invesco family of funds (each, an “Acquiring Fund”). Each Acquiring Fund will have the same investment objective and will track the same underlying index as its corresponding Fund, and will be subject to substantially the same principal investment strategies, policies and risks as the corresponding Fund, but as part of an Invesco-structured platform. Each Reorganization is subject to shareholder approval of the applicable Fund. Fund shareholders of record as of December 20, 2017 will be asked to vote on the proposed Reorganizations at the joint special meeting of shareholders to be held on or about February 16, 2018. If approved by shareholders, each Reorganization is expected to close shortly after the joint special meeting of shareholders. However, the closing of the Transaction is subject to various terms and conditions and, therefore, may be delayed or even terminated due to unforeseen circumstances.
The Funds evaluated subsequent events through the date the financial statements were available for issue and determined there were no additional material events that would require adjustment to or disclosure in the Funds’ financial statements.
GUGGENHEIM ETFs ANNUAL REPORT | 63 |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM |
The Board of Trustees and Shareholders of Rydex ETF Trust
We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of Guggenheim S&P 500® Top 50 ETF, Guggenheim S&P 500® Pure Value ETF, Guggenheim S&P 500® Pure Growth ETF, Guggenheim S&P Midcap 400® Pure Value ETF, Guggenheim S&P Midcap 400® Pure Growth ETF, Guggenheim S&P Small Cap 600® Pure Value ETF and Guggenheim S&P Small Cap 600® Pure Growth ETF (seven of the series constituting the Rydex ETF Trust) (the “Funds”) as of October 31, 2017, and the related statements of operations, the statements of changes in net assets, and the financial highlights for each of the years or periods indicated therein. These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Funds’ internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of October 31, 2017, by correspondence with the custodian and brokers. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of each of the above listed Funds (seven of the series constituting the Rydex ETF Trust) at October 31, 2017, the results of their operations, the changes in their net assets, and their financial highlights for each of the years or periods indicated therein, in conformity with U.S. generally accepted accounting principles.
Tysons, Virginia
December 21, 2017
64 | GUGGENHEIM ETFs ANNUAL REPORT |
OTHER INFORMATION (Unaudited) |
Federal Income Tax Information
This information is being provided as required by the Internal Revenue Code. Amounts shown may differ from those elsewhere in the report because of differences in tax and financial reporting practice.
In January 2018, shareholders will be advised on IRS Form 1099 DIV or substitute 1099 DIV as to the federal tax status of the distributions received by shareholders in the calendar year 2017.
Of the taxable ordinary income distributions paid during the fiscal year ending October 31, 2017, the following funds had the corresponding percentages qualify for the reduced tax rate pursuant to the Jobs and Growth Tax Relief and Reconciliation Act of 2003 or for the dividends received deduction for corporations. See the qualified dividend income and dividend received deduction columns, respectively, in the table below.
Fund | Qualified Dividend Income | Dividend Received Deduction |
Guggenheim S&P 500® Top 50 ETF | 100.00% | 100.00% |
Guggenheim S&P 500® Pure Value ETF | 100.00% | 100.00% |
Guggenheim S&P 500® Pure Growth ETF | 100.00% | 100.00% |
Guggenheim S&P MidCap 400® Pure Value ETF | 100.00% | 100.00% |
Guggenheim S&P MidCap 400® Pure Growth ETF | 97.43% | 97.16% |
Guggenheim S&P SmallCap 600® Pure Value ETF | 100.00% | 100.00% |
Guggenheim S&P SmallCap 600® Pure Growth ETF | 100.00% | 100.00% |
Proxy Voting Information
A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to securities held in the Funds’ portfolios is available, without charge and upon request, by calling 800.820.0888. This information is also available from the EDGAR database on the SEC’s website at https://www.sec.gov.
Information regarding how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available without charge, upon request, by calling 800.820.0888. This information is also available from the EDGAR database on the SEC’s website at https://www.sec.gov.
Sector Classification
Information in the Schedule of Investments is categorized by sectors using sector-level Classifications defined by the Bloomberg Industry Classification System, a widely recognized industry classification system provider. Each Fund’s registration statement has investment policies relating to concentration in specific sectors/industries. For purposes of these investment policies, the Funds usually classify sectors/industries based on industry-level Classifications used by widely recognized industry classification system providers such as Bloomberg Industry Classification System, Global Industry Classification Standards and Barclays Global Classification Scheme.
Quarterly Portfolio Schedules Information
The Trust files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q, which are available on the SEC’s website at https://www.sec.gov. The Funds’ Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC, and that information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330. Copies of the portfolio holdings are also available to shareholders, without charge and upon request, by calling 800.820.0888.
Board Considerations in Approving the Continuation of the Investment Advisory Agreement
The Board of Trustees (the “Board”) of Rydex ETF Trust (the “Trust”), including the Trustees who are not “interested persons,” as defined by the Investment Company Act of 1940, of the Trust (“Independent Trustees”), attended an in-person meeting held on May 25, 2017, called for the purpose of, among other things, the consideration of, and voting on, the approval and continuation of the investment advisory agreement (the “Investment Advisory Agreement”) between the Trust and Security Investors, LLC (the “Advisor”) applicable to the Guggenheim S&P 500® Top 50 ETF, Guggenheim S&P 500® Pure Value ETF, Guggenheim S&P 500® Pure Growth ETF, Guggenheim S&P MidCap 400® Pure Value ETF, Guggenheim S&P MidCap 400® Pure Growth ETF, Guggenheim S&P SmallCap 600® Pure Value ETF, and Guggenheim S&P SmallCap 600®
GUGGENHEIM ETFs ANNUAL REPORT | 65 |
OTHER INFORMATION (Unaudited)(continued) |
Pure Growth ETF, each a series of the Trust (each, a “Fund” and, collectively, the “Funds”). The Board unanimously approved the continuation of the Investment Advisory Agreement for an additional one-year period based on the Board’s review of qualitative and quantitative information provided by the Advisor. The Board had previously considered information pertaining to the renewal of the Investment Advisory Agreement at an in-person meeting held on April 26, 2017 (together, with the May 25 meeting, the “Meetings”). The Board considered the materials provided by the Advisor and the review conducted at the April 26 meeting to be an integral part of the Trustees’ deliberations and their process in considering the renewal of the Investment Advisory Agreement.
Prior to reaching the conclusion to approve the continuation of the Investment Advisory Agreement, the Independent Trustees requested and obtained from the Advisor such information as the Independent Trustees deemed reasonably necessary to evaluate the Investment Advisory Agreement. In addition, the Board received a memorandum from the independent legal counsel to the Independent Trustees regarding the Board’s fiduciary responsibilities under state and federal law with respect to the Board’s consideration of the renewal or approval of investment advisory agreements and participated in question and answer sessions with representatives of the Advisor. The Independent Trustees also carefully considered information they received throughout the year as part of their regular oversight of the Funds. At the Meetings, the Board obtained and reviewed a wide variety of information, including certain comparative information regarding the Funds’ fees, expenses, and performance relative to the fees, expenses, and performance of other comparable funds (the “FUSE reports”). The Independent Trustees carefully evaluated this information, met in executive session outside the presence of fund management, and were advised by independent legal counsel with respect to their deliberations.
At the Meetings, the Board, including the Independent Trustees, evaluated a number of factors, including among others: (a) the nature, extent and quality of the Advisor’s investment advisory and other services; (b) the Advisor’s substantial commitment to the recruitment and retention of high quality personnel; (c) a comparison of the Funds’ advisory fees to the advisory fees charged to comparable funds or accounts, giving special attention to the existence of economies of scale and the absence of breakpoints in these fees and the Advisor’s rationale for not providing for breakpoints at this point in time; (d) each Fund’s overall fees and operating expenses compared with those of similar funds; (e) the level of the Advisor’s profitability from its Fund-related operations; (f) the Advisor’s compliance processes and systems; (g) the Advisor’s compliance policies and procedures; (h) the Advisor’s reputation, expertise and resources in the financial markets; (i) Fund performance compared with that of similar funds and/or appropriate benchmarks; (j) other benefits to the Advisor and/or its affiliates from their relationship to the Funds; and (k) the Advisor’s maintenance of operational resources necessary to manage the Funds in a professional manner consistent with the best interests of the Funds and their shareholders. In their deliberations, the Trustees did not identify any particular factor or factors that was controlling, noting that each Trustee could attribute different weights to the various factors considered.
Based on the Board’s deliberations at the Meetings, the Board, including all of the Independent Trustees, unanimously: (a) concluded that the terms of the Investment Advisory Agreement are fair and reasonable; (b) concluded that the Advisor’s fees for each Fund are reasonable in light of, and not so disproportionately large as to bear no reasonable relationship to, the services that it provides to such Fund; and (c) agreed to approve and continue the Investment Advisory Agreement based upon the following considerations, among others:
Nature, Extent and Quality of Services Provided by the Advisor. The Board evaluated, among other things, the Advisor’s business, financial resources, quality and quantity of personnel, experience, past performance, the variety and complexity of its investment strategies (including the extent to which the Funds use derivatives), Fund risk management process, brokerage practices, and the adequacy of its compliance systems and processes, proxy voting policies and practices, and cybersecurity programs. The Board reviewed the scope of services to be provided by the Advisor under the Investment Advisory Agreement and noted that there would be no significant differences between the scope of services required to be provided by the Advisor for the past year and the scope of services required to be provided during the upcoming year. The Board also considered the Advisor’s representations to the Board that the Advisor would continue to provide investment and related services that were of materially the same quality and quantity as services provided to the Funds in the past, and whether these services are appropriate in scope and extent in light of the Funds’ operations, the competitive landscape of the investment company business and investor needs. Based on the foregoing, the Trustees determined that the approval of the Investment Advisory Agreement would enable shareholders of the Funds to receive high quality services at a cost that was appropriate and reasonable.
Fund Expenses and Performance of the Funds and the Advisor. The Board reviewed statistical information provided by the Advisor regarding the expense ratio components and performance of each Fund. The Advisor engaged FUSE Research Network LLC (“FUSE”), an independent, third party research provider, to prepare reports to help the Board compare the Funds’ fees, expenses, and total return performance with those of a peer group and peer universe of funds selected by FUSE. In the reports, each Fund’s expense ratio components, including actual advisory fees, waivers/reimbursements, and gross and net total expenses, are compared to those of other funds with shared key characteristics (e.g., asset size, fee structure, sector or industry investment focus) determined by FUSE to comprise a Fund’s applicable peer group. The Board considered the Advisor’s representation that it found the peer groups compiled by FUSE to be appropriate, but also acknowledged the existence of certain
66 | GUGGENHEIM ETFs ANNUAL REPORT |
OTHER INFORMATION (Unaudited)(concluded) |
differences between the Funds and their peer funds (e.g., specific differences in principal investment strategies and index rebalance frequency) that should be reviewed in context. The statistical information related to the performance of each Fund included three-month and one-, three-, and five-year performance for the Fund compared to that of its peers. The Board also discussed the correlation between a Fund’s assets under management and tracking error, noting that a Fund’s ability to replicate an underlying index rather than employ representative sampling depends, in part, upon the Fund’s size. Based on the foregoing, the Board determined that the proposed advisory fees paid by the Funds are reasonable in relation to the nature and quality of the services provided by the Advisor.
Costs of Services Provided to the Funds and Profits Realized by the Advisor and its Affiliates. The Board reviewed information about the profitability of the Funds to the Advisor based on the advisory fees payable under the current Investment Advisory Agreement for the last calendar year. The Board analyzed the Funds’ expenses, including the investment advisory fees paid to the Advisor, and reviewed the FUSE reports. The Board noted that the Advisor had contractually agreed to pay all operating expenses of the Funds, including the cost of index licensing fees, transfer agency, custody, fund administration, legal, audit and other services, except management fees, interest expense, taxes (expected to be de minimis), brokerage commissions and other expenses connected with the execution of portfolio transactions, extraordinary expenses, distribution fees, and expenses paid by the Trust under any distribution plan adopted pursuant to Rule 12b-1 under the 1940 Act. In addition to those expenses listed above, the Board noted that for each Fund, the Advisor also had contractually agreed to pay expenses of the Independent Trustees, including any Trustees’ counsel fees. The Board also reviewed information regarding the direct revenue received by the Advisor and ancillary revenue, if any, received by the Advisor and/or its affiliates in connection with the services provided to the Funds by the Advisor and/or its affiliates. The Board also discussed the Advisor’s profit margin, including the expense allocation methodology used in the Advisor’s profitability analysis. Based on the foregoing, the Board determined that the profit to the Advisor on the fees paid by the Funds is not excessive in view of the nature and quality of the services provided by the Advisor.
Economies of Scale. The Board considered the absence of breakpoints in the Advisor’s fee schedule and reviewed information regarding the extent to which economies of scale or other efficiencies may result from increases in the Funds’ asset levels. The Board noted that the Funds’ advisory fee rates are not subject to breakpoints as Fund assets increase, but the Board also considered the Advisor’s assertion that future economies of scale had been taken into consideration initially by fixing low advisory fees for the Funds, effectively sharing the benefits of lower fees with the Funds from inception. The Board noted that it intends to continue to monitor fees as each Fund grows in size and assess whether fee breakpoints may be warranted.
Other Benefits to the Advisor and/or its Affiliates. In addition to evaluating the Advisor’s services, the Board considered the nature and amount of other benefits to be received by the Advisor and its affiliates as a result of their relationship with the Funds, including any intangible benefits to the Advisor. In particular, the Board considered the nature, extent, quality, and cost of certain distribution and shareholder services performed by the Advisor’s affiliate, Guggenheim Funds Distributors, LLC, under the distribution agreement and Distribution Plan pursuant to Rule 12b-1 of the 1940 Act. In light of the costs of providing services pursuant to the separate agreements as well as the Advisor’s and its affiliate’s commitment to the Funds, the Board concluded the ancillary benefits the Advisor and its affiliates received were reasonable.
On the basis of the information provided to it and its evaluation of that information, the Board, including the Independent Trustees, concluded that the terms of the Investment Advisory Agreement were reasonable, and that approval of the continuation of the Investment Advisory Agreement was in the best interests of the Funds and their shareholders.
GUGGENHEIM ETFs ANNUAL REPORT | 67 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited) |
A Board of Trustees oversees the Trust, as well as other trusts of GI, in which its members have no stated term of service, and continue to serve after election until resignation. The Statement of Additional Information includes further information about Fund Trustees and Officers, and can be obtained without charge by visiting guggenheiminvestments.com or by calling 800.820.0888.
Name, Address* and Year of Birth of Trustee | Position(s) Held with the Trust, Term of Office and Length of Time Served | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee*** | Other Directorships Held by Trustee**** |
INTERESTED TRUSTEE | ||||
Donald C. Cacciapaglia** (1951) | Trustee from 2012 to present. | Current: Vice Chairman, Guggenheim Investments (2010-present).
Former: President and CEO, certain other funds in the Fund Complex (2012-November 2017); Chairman and CEO, Channel Capital Group, Inc. (2002-2010).
| 226 | Clear Spring Life Insurance Company (2015-present); Guggenheim Partners Japan, Ltd. (2014-present); Guggenheim Partners Investment Management Holdings, LLC (2014-present); Delaware Life (2013-present); Guggenheim Life and Annuity Company (2011-present); Paragon Life Insurance Company of Indiana (2011-present). |
INDEPENDENT TRUSTEES | ||||
Angela Brock-Kyle (1959) | Trustee, Member of the Audit Committee, Chairwoman and Member of the Compliance and Risk Oversight Committee, and Member of the Nominating and Governance Committee from 2016 to present. | Current: Founder and Chief Executive Officer, B.O.A.R.D.S (consulting firm)
Former: Senior Leader, TIAA (financial services firm) (1987-2012). | 133 | Infinity Property & Casualty Corporation (2014-present). |
Corey A. Colehour (1945) | Trustee and Member of the Audit Committee from 2003 to present; Member of the Nominating and Governance Committee from 2005 to present; and Member of the Investment and Performance Committee from 2014 to present. | Retired. | 133 | None. |
J. Kenneth Dalton (1941) | Trustee from 2003 to present; Chairman and Member of the Audit Committee from 2003 to present; and Member of the Compliance and Risk Oversight Committee from 2010 to present. | Retired. | 133 | Epiphany Funds (3) (2009-present). |
68 | GUGGENHEIM ETFs ANNUAL REPORT |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* and Year of Birth of Trustee | Position(s) Held with the Trust, Term of Office and Length of Time Served | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee*** | Other Directorships Held by Trustee**** |
INDEPENDENT TRUSTEES - concluded | ||||
John O. Demaret (1940) | Trustee and Member of the Audit Committee from 2003 to present; Chairman of the Board from 2006 to 2014; Member of the Compliance and Risk Oversight Committee from 2010 to present; Member of the Investment and Performance Committee and Nominating Committee from 2014 to present. | Retired. | 133 | None. |
Werner E. Keller (1940) | Chairman and Trustee of the Board from 2014 to present; Member of the Audit Committee and Governance and Nominating Committee from 2005 to present; Member of the Compliance and Risk Oversight Committee from 2010 to present; and Member of the Investment and Performance Committee from 2014 to present. | Current: Founder and President, Keller Partners, LLC (investment research firm) (2005-present). | 133 | None. |
Thomas F. Lydon, Jr. (1960) | Trustee, Member of the Audit Committee, and Chairman and Member of the Nominating and Governance Committee from 2005 to present. | Current: President, Global Trends Investments (registered investment adviser) (1996-present). | 133 | US Global Investors (GROW) (1995-present). |
Patrick T. McCarville (1942) | Trustee and Member of the Audit Committee from 2003 to present; Member of the Nominating and Governance Committee, and Member of the Compliance and Risk Oversight Committee from 2005 to present. | Retired.
Former: Chief Executive Officer, Par Industries, Inc., d/b/a Par Leasing (1977-2010). | 133 | None. |
Sandra G. Sponem (1958) | Trustee, Member of the Audit Committee, and Chairwoman and Member of the Investment and Performance Committee from 2016 to present. | Retired.
Former: Senior Vice President and Chief Financial Officer, M.A. Mortenson Companies, Inc. (general contracting firm) (2007-2017). | 133 | None. |
GUGGENHEIM ETFs ANNUAL REPORT | 69 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* and Year of Birth | Position(s) Held with the Trust, Term of Office and Length of Time Served | Principal Occupation(s) During Past 5 Years |
OFFICERS | ||
Michael P. Byrum (1970) | Vice President (1999-present) | Current: Senior Vice President, Security Investors, LLC (2010-present); President and Chief Investment Officer, Rydex Holdings, LLC (2008-present); Director and Chairman, Advisory Research Center, Inc. (2006-present); Manager, Guggenheim Specialized Products, LLC (2005-present).
Former: Vice President, Guggenheim Distributors, LLC (2009); Director (2009-2010) and Secretary (2002-2010), Rydex Fund Services, LLC; Director (2008-2010), Chief Investment Officer (2006-2010), President (2004-2010) and Secretary (2002-2010), Rydex Advisors, LLC; Director (2008-2010), Chief Investment Officer (2006-2010), President (2004-2010) and Secretary (2002-2010), Rydex Advisors II, LLC. |
Joanna M. Catalucci (1966) | AML Officer (2016-present) | Current: Chief Compliance Officer, certain funds in the Fund Complex (2012-present); Senior Managing Director, Guggenheim Investments (2014-present); AML Officer, certain funds in the Fund Complex (2016-present).
Former: Chief Compliance Officer and Secretary, certain other funds in the Fund Complex (2008-2012); Senior Vice President & Chief Compliance Officer, Security Investors, LLC and certain affiliates (2010-2012); Chief Compliance Officer and Senior Vice President, Rydex Advisors, LLC and certain affiliates (2010-2011). |
James M. Howley (1972)
| Assistant Treasurer (2016-present) | Current: Managing Director, Guggenheim Investments (2004-present); Assistant Treasurer, certain other funds in the Fund Complex (2006-present).
Former: Manager of Mutual Fund Administration, Van Kampen Investments, Inc. (1996-2004). |
Keith D. Kemp (1960)
| Assistant Treasurer (2016-present) | Current: Treasurer and Assistant Treasurer, certain other funds in the Fund Complex (2010-present); Managing Director, Guggenheim Investments (2015-present); Chief Financial Officer, Guggenheim Specialized Products, LLC (2016-present).
Former: Managing Director and Director, Transparent Value, LLC (2010-2016); Director, Guggenheim Partners Investment Management, LLC (2010-2015); Chief Operating Officer, Macquarie Capital Investment Management (2007-2009). |
Amy J. Lee (1961) | President (November 2017-present) | Current: President and Chief Executive Officer, certain other funds in the Fund Complex (November 2017-present); Chief Legal Officer, certain other funds in the Fund Complex (2013-present); Senior Managing Director, Guggenheim Investments (2012-present).
Former: Vice President, Associate General Counsel and Assistant Secretary, Security Benefit Life Insurance Company and Security Benefit Corporation (2004-2012). |
Mark E. Mathiasen (1978) | Secretary (November 2017-present) | Current: Secretary, certain other funds in the Fund Complex (2007-present); Managing Director, Guggenheim Investments (2007-present). |
Glenn McWhinnie (1969) | Assistant Treasurer (2016-present) | Current: Vice President, Guggenheim Investments (2009-present).
Former: Tax Compliance Manager, Ernst & Young LLP (1996-2009). |
Elisabeth Miller (1968) | Chief Compliance Officer (2012-present) | Current: CCO, certain other funds in the Fund Complex (2012-present); CCO, Security Investors, LLC (2012-present); CCO, Guggenheim Funds Investment Advisors, LLC (2012-present); Managing Director, Guggenheim Investments (2012-present); Vice President, Guggenheim Funds Distributors, LLC (2014-present).
Former: CCO, Guggenheim Distributors, LLC (2009-2014); Senior Manager, Security Investors, LLC (2004-2009); Senior Manager, Guggenheim Distributors, LLC (2004-2009). |
70 | GUGGENHEIM ETFs ANNUAL REPORT |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(concluded) |
Name, Address* and Year of Birth | Position(s) Held with the Trust, Term of Office and Length of Time Served | Principal Occupation(s) During Past 5 Years |
OFFICERS - concluded | ||
Adam J. Nelson (1979) | Assistant Treasurer (2016-present) | Current: Vice President, Guggenheim Investments (2015-present); Assistant Treasurer, certain other funds in the Fund Complex (2015-present).
Former: Assistant Vice President and Fund Administration Director, State Street Corporation (2013-2015); Fund Administration Assistant Director, State Street (2011-2013); Fund Administration Manager, State Street (2009-2011). |
Kimberly J. Scott (1974)
| Assistant Treasurer (2016-present) | Current: Director, Guggenheim Investments (2012-present); Assistant Treasurer, certain other funds in the Fund Complex (2012-present).
Former: Financial Reporting Manager, Invesco, Ltd. (2010-2011); Vice President/Assistant Treasurer of Mutual Fund Administration, Van Kampen Investments, Inc./Morgan Stanley Investment Management (2009-2010); Manager of Mutual Fund Administration, Van Kampen Investments, Inc./Morgan Stanley Investment Management (2005-2009). |
John L. Sullivan (1955)
| Chief Financial Officer and Treasurer (2016-present) | Current: CFO, Chief Accounting Officer and Treasurer, certain other funds in the Fund Complex (2010-present); Senior Managing Director, Guggenheim Investments (2010-present).
Former: Managing Director and CCO, each of the funds in the Van Kampen Investments fund complex (2004-2010); Managing Director and Head of Fund Accounting and Administration, Morgan Stanley Investment Management (2002-2004); CFO and Treasurer, Van Kampen Funds (1996-2004). |
Jon Szafran (1989) | Assistant Treasurer (November 2017-present) | Current: Vice President, Guggenheim Investments (July 2017-present); Assistant Treasurer, certain other funds in the Fund Complex (November 2017-present).
Former: Assistant Treasurer of Henderson Global Funds and Manager of US Fund Administration, Henderson Global Investors (North America) Inc. (“HGINA”), (February-June 2017); Senior Analyst of US Fund Administration, HGINA (2014 – January 2017); Senior Associate of Fund Administration, Cortland Capital Market Services, LLC (2013-2014); Experienced Associate, PricewaterhouseCoopers LLP (2012-2013). |
* | All Trustees and Officers may be reached c/o Guggenheim Investments, 227 West Monroe Street, Chicago, Illinois 60606. |
** | Mr. Cacciapaglia is an “interested” person of the Trust, as that term is defined in the 1940 Act by virtue of his affiliation with the Adviser’s parent company. |
*** | The “Fund Complex” includes all closed-end and open-end funds (including all of their portfolios) advised by the Adviser and any funds that have an investment adviser or servicing agent that is an affiliated person of the Adviser. Information provided is as of the date of this report. |
**** | Certain of the Trustees may serve as directors on the boards of companies not required to be disclosed above, including certain non-profit companies and charitable foundations. |
GUGGENHEIM ETFs ANNUAL REPORT | 71 |
GUGGENHEIM INVESTMENTS PRIVACY POLICIES (Unaudited) |
Guggenheim Investments as used herein refers to Guggenheim Partners, LLC, Guggenheim Funds Investment Advisors, LLC, Guggenheim Partners Investment Management, LLC, Guggenheim Funds Distributors, LLC and Security Investors, LLC as well as the funds in the Guggenheim Funds complex (the “funds”).
Our Commitment to You
When you become a Guggenheim Investments investor, you entrust us with not only your hard-earned money but also with personal and financial information about you. We recognize that your relationship with us is based on trust and that you expect us to act responsibly and in your best interests. Because we have access to personal information about you, we hold ourselves to high standards in its safekeeping and use. This means, most importantly, that we do not sell client or account information to anyone—whether you are a current or former Guggenheim Investments client.
The Information We Collect About You and How We Collect It
In the course of doing business with shareholders and investors, we collect nonpublic personal information about you. You typically provide personal information when you complete a Guggenheim Investments account application or when you request a transaction that involves Rydex and Guggenheim Funds or one of the Guggenheim affiliated companies. “Nonpublic personal information” is personally identifiable information about you. For example it includes your name and address, Social Security or taxpayer identification number, assets, income, account balance, bank account information and investment activity (e.g. purchase and redemption history).
How We Share Your Personal Information
As a matter of policy, we do not disclose your nonpublic personal information to nonaffiliated third parties except as required or permitted by law. As emphasized above, we do not sell information about current or former clients or their accounts to third parties. Nor do we share such information, except when necessary to complete transactions at your request or to make you aware of related investment products and services that we offer. Additional details about how we handle your personal information are provided below.
To complete certain transactions or account changes that you direct, it may be necessary to provide your personal information to companies, individuals or groups that are not affiliated with Guggenheim Investments. For example if you ask to transfer assets from another financial institution to Guggenheim Investments, we will need to provide certain information about you to that company to complete the transaction. In connection with servicing your accounts or to alert you to other Guggenheim Investments investment products and services, we may share your information within the Guggenheim Investments family of affiliated companies. This would include, for example, sharing your information within Guggenheim Investments so we can make you aware of new funds or the services offered through another Guggenheim Investments affiliated company. In certain instances, we may contract with nonaffiliated companies to perform services for us. Where necessary, we will disclose information we have about you to these third parties. In all such cases, we provide the third party with only the information necessary to carry out its assigned responsibilities and only for that purpose. And we require these third parties to treat your personal information with the same high degree of confidentiality that we do. In certain instances, we may share information with other financial institutions regarding individuals and entities in response to the U.S.A. Patriot Act. Finally we will share personal information about you if we are compelled by law to do so, if you direct us to do so with your consent, or in other circumstances as permitted by law.
How We Safeguard Your Personal Information
We maintain physical, electronic and procedural safeguards to protect your personal information. Within Guggenheim Investments, access to such information is limited to those who need it to perform their jobs such as servicing your account, resolving problems or informing you of new products and services.
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10.31.2017
Guggenheim ETFs Funds Annual Report
RSP | Guggenheim S&P 500® Equal Weight ETF |
GuggenheimInvestments.com | ETF3-ANN-1017x1018 |
TABLE OF CONTENTS |
DEAR SHAREHOLDER | 2 |
ECONOMIC AND MARKET OVERVIEW | 3 |
ABOUT SHAREHOLDERS’ FUND EXPENSES | 4 |
MANAGER’S ANALYSIS | 5 |
PORTFOLIO SUMMARY | 6 |
SCHEDULE OF INVESTMENTS | 7 |
STATEMENT OF ASSETS AND LIABILITIES | 13 |
STATEMENT OF OPERATIONS | 14 |
STATEMENTS OF CHANGES IN NET ASSETS | 15 |
FINANCIAL HIGHLIGHTS | 16 |
NOTES TO FINANCIAL STATEMENTS | 17 |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM | 25 |
OTHER INFORMATION | 26 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS | 29 |
GUGGENHEIM INVESTMENTS PRIVACY POLICIES | 33 |
GUGGENHEIM ETFs ANNUAL REPORT | 1 |
October 31, 2017 |
Dear Shareholder:
Security Investors, LLC (the “Investment Adviser”) is pleased to present the annual shareholder report for Guggenheim S&P 500® Equal Weight Exchange-Traded Fund (“ETF”) for the 12-month period ended October 31, 2017.
The Investment Adviser is 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 affiliated with Guggenheim and the Investment Adviser.
We encourage you to read the Economic and Market Overview, which follows this letter, followed by the Manager’s Analysis for the ETF.
We are committed to providing investors with innovative investment solutions and appreciate the trust you place in us.
Sincerely,
Security Investors, LLC
November 30, 2017
This material is not intended as a recommendation or as investment advice of any kind, including in connection with rollovers, transfers, and distributions. Such material is not provided in a fiduciary capacity, may not be relied upon for or in connection with the making of investment decisions, and does not constitute a solicitation of an offer to buy or sell securities. All content has been provided for informational or educational purposes only and is not intended to be and should not be construed as legal or tax advice and/or a legal opinion. Always consult a financial, tax and/or legal professional regarding your specific situation.
Read a prospectus and summary prospectus (if available) carefully before investing. It contains the investment objectives, risks, charges, expenses and other information, which should be considered carefully before investing. Obtain a prospectus and summary prospectus (if available) at guggenheiminvestments.com or call 800.820.0888.
Guggenheim S&P 500® Equal Weight ETF may not be suitable for all investors. ● The Fund is subject to the risk that unanticipated early closings of securities exchanges and other financial markets may result in the Fund’s inability to buy or sell securities or other financial instruments on that day. ● In certain circumstances, it may be difficult for the Fund to purchase and sell particular investments within a reasonable time at a fair price. ● Investments in securities and derivatives, in general, are subject to market risks that may cause their prices to fluctuate over time. An investment in the Fund may lose money. ● Unlike many investment companies, the Fund is not actively “managed.” This means that, based on market and economic conditions, the Fund’s performance could be lower than other types of mutual funds that may actively shift their portfolio assets to take advantage of market opportunities or to lessen the impact of a market decline. ● Tracking error risk refers to the risk that the Adviser may not be able to cause the Fund’s performance to match or correlate to that of the Fund’s Underlying Index, either on a daily or aggregate basis. Tracking error risk may cause the Fund’s performance to be less than you expect. ● Shares may trade below their net asset value (“NAV”). The NAV of shares will fluctuate with changes in the market value of the Fund’s holdings. In addition, although the Fund’s shares are currently listed on NYSE Arca, Inc. (the “Exchange”), there can be no assurance that an active trading market for shares will develop or be maintained. ● The Fund is subject to the risk that large-capitalization stocks may underperform other segments of the equity market or the equity market as a whole. ● Please read the prospectus for more detailed information regarding these and other risks.
2 | GUGGENHEIM ETFs ANNUAL REPORT |
ECONOMIC AND MARKET OVERVIEW (Unaudited) | October 31, 2017 |
The performance of the global economy exceeded expectations in 2017—for the first time in several years—with growth accelerating and the expansion becoming more synchronized across countries. We expect U.S. real gross domestic product (“GDP”) growth to come in at 2.5% in 2017, supported by strong global momentum and favorable financial conditions. Tax cuts are also likely to provide a modest boost as Republicans scrambled to pass a bill before next year’s midterm elections in an effort to save their House and Senate majorities.
While growth has been tepid during this expansion, it has been above potential and there is a growing risk of running too hot. The labor market is already in the early stages of overheating, with the unemployment rate falling to a cycle low of 4.1% in October, underscoring the robust—and unsustainable—trend in job growth. Inflation remains below the Federal Reserve’s (“Fed”) 2% goal as of September.
In this context, the Fed has been emboldened to steadily “normalize” monetary policy in 2017. With two rate hikes and the start of balance sheet runoff already in the books, the last item on the Fed’s to-do list for this year is a third hike, which it is all but certain to deliver in December.
We currently expect 2018 to be a year of overshooting, meaning that the Fed may take short-term rates into restrictive territory in order to cool growth to a more sustainable pace and arrest the drop in the unemployment rate. We see four hikes as opposed to the Fed’s baseline of three, reflecting our expectation for a steeper drop in unemployment, financial conditions that are easing in spite of Fed tightening, and the effects of the tax cuts.
For risk assets, the combination of strong growth and mild inflation was a catalyst for heady gains over the past year. Stocks, particularly interest-rate sensitive sectors like financials, should continue to benefit. But there is limited room to run in this bull market; our analysis of several key economic and market indicators suggests that the current expansion may end as soon as late 2019.
For the 12 months ended October 31, 2017, the Standard & Poor’s 500® (“S&P 500”) Index* returned 23.63%. The MSCI Europe-Australasia-Far East (“EAFE”) Index* returned 23.44%. The return of the MSCI Emerging Markets Index* was 26.45%.
In the bond market, the Bloomberg Barclays U.S. Aggregate Bond Index* posted a 0.9% return for the period, while the Bloomberg Barclays U.S. Corporate High Yield Index* returned 8.92%. The return of the Bank of America (“BofA”) Merrill Lynch 3-Month U.S. Treasury Bill Index* was 0.72% for the 12-month period.
The opinions and forecasts expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.
*Index Definitions:
The following indices are referenced throughout this report. Indices are unmanaged and not available for direct investment. Index performance does not reflect transaction costs, fees, or expenses.
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).
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.
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.
MSCI EAFE Index is a free float-adjusted market capitalization index that is designed to measure the equity market performance of developed markets, excluding the U.S. & Canada.
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.
S&P 500® Index is a capitalization-weighted index of 500 stocks designed to measure the performance of the broad economy, representing all major industries and is considered a representation of the U.S. stock market.
S&P 500® Equal Weight Index is the equal weighted version of the widely regarded S&P 500® Index, which measures 500 leading companies in leading U.S. industries. It has the same constituents as the capitalization-weighted S&P 500® Index, but each company in the equal weight index is allocated a fixed weight, rebalancing quarterly.
GUGGENHEIM ETFs ANNUAL REPORT | 3 |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) |
Shareholder Expense Example
As a shareholder of the Rydex ETF Trust, 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 Adviser. 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 April 30, 2017 and held for the six months ended October 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 April 30, 2017 | Ending Account Value October 31, 2017 | Expenses Paid During Period2 | |
Table 1. Based on actual Fund return3 | |||||
Guggenheim S&P 500® Equal Weight ETF | 0.26% | 6.49% | $ 1,000.00 | $ 1,064.90 | $ 1.35 |
Table 2. Based on hypothetical 5% return (before expenses) | |||||
Guggenheim S&P 500® Equal Weight ETF | 0.26% | 5.00% | $ 1,000.00 | $ 1,023.89 | $ 1.33 |
1 | Annualized. |
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 April 30, 2017 to October 31, 2017. |
4 | GUGGENHEIM ETFs ANNUAL REPORT |
MANAGER'S ANALYSIS (Unaudited) | October 31, 2017 |
GUGGENHEIM S&P 500® EQUAL WEIGHT ETF
Guggenheim S&P 500® Equal Weight ETF (“RSP”) returned 19.98% for the one-year period ended October 31, 2017, compared with the benchmark S&P 500® Equal Weight Index, which returned 20.45%. The cap-weighted S&P 500 Index returned 23.63%. During the period, RSP achieved over 99% correlation to its benchmark on a daily basis.
The Financials, Information Technology, and Industrials sectors contributed the most to the Fund’s performance. The only detractor to return was Telecommunications Services. Energy and Consumer Staples contributed the least.
Top contributors to the Fund’s return included NVIDIA Corp., Micron Technology, Inc., and NRG Energy, Inc. The top detractors were Mattel, Inc., Foot Locker, Inc., and Range Resources Corp.
Cumulative Fund Performance: October 31, 2007 – October 31, 2017
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED OCTOBER 31, 2017 | ||||
One Year | Three Year | Five Year | 10 Year | |
Guggenheim S&P 500® Equal Weight ETF | 19.98% | 8.98% | 15.01% | 8.34% |
S&P 500 Equal Weight Index | 20.45% | 9.31% | 15.44% | 8.91% |
S&P 500 Index | 23.63% | 10.77% | 15.18% | 7.51% |
The returns presented above do not reflect the effect of taxes. Index returns represent total returns. Performance displayed represents past performance, which is no guarantee of future results.
GUGGENHEIM ETFs ANNUAL REPORT | 5 |
PORTFOLIO SUMMARY (Unaudited) | October 31, 2017 |
GUGGENHEIM S&P 500® EQUAL WEIGHT ETF
Holdings Diversification (Market Exposure as % of Net Assets)
"Holdings Diversification (Market Exposure as % of Net Assets)" excludes any temporary cash investments.
Ten Largest Holdings | (% of Total Net Assets) |
Micron Technology, Inc. | 0.3% |
Align Technology, Inc. | 0.3% |
Intel Corp. | 0.2% |
Applied Materials, Inc. | 0.2% |
NVIDIA Corp. | 0.2% |
Lam Research Corp. | 0.2% |
Marathon Oil Corp. | 0.2% |
Newfield Exploration Co. | 0.2% |
FLIR Systems, Inc. | 0.2% |
Rockwell Automation, Inc. | 0.2% |
Top Ten Total | 2.2% |
“Ten Largest Holdings” excludes any temporary cash investments. |
6 | GUGGENHEIM ETFs ANNUAL REPORT |
SCHEDULE OF INVESTMENTS | October 31, 2017 |
GUGGENHEIM S&P 500® EQUAL WEIGHT ETF |
Shares | Value | |||||||
COMMON STOCKS† - 99.8% | ||||||||
Financial - 20.3% | ||||||||
Comerica, Inc. | 422,615 | $ | 33,204,860 | |||||
Bank of America Corp. | 1,194,903 | 32,728,393 | ||||||
Ameriprise Financial, Inc. | 206,021 | 32,250,527 | ||||||
Capital One Financial Corp. | 349,700 | 32,235,346 | ||||||
Regions Financial Corp. | 2,062,669 | 31,930,116 | ||||||
Charles Schwab Corp. | 707,112 | 31,706,901 | ||||||
Citizens Financial Group, Inc. | 833,641 | 31,686,695 | ||||||
M&T Bank Corp. | 189,834 | 31,658,616 | ||||||
Discover Financial Services | 474,331 | 31,557,241 | ||||||
Lincoln National Corp. | 415,637 | 31,496,973 | ||||||
Fifth Third Bancorp1 | 1,089,667 | 31,491,376 | ||||||
SunTrust Banks, Inc. | 522,224 | 31,443,107 | ||||||
People’s United Financial, Inc. | 1,683,148 | 31,407,542 | ||||||
Synchrony Financial | 958,018 | 31,250,547 | ||||||
Brighthouse Financial, Inc.* | 501,452 | 31,180,285 | ||||||
JPMorgan Chase & Co. | 309,291 | 31,117,768 | ||||||
MetLife, Inc. | 580,195 | 31,086,847 | ||||||
Morgan Stanley | 621,471 | 31,073,550 | ||||||
American Express Co. | 324,650 | 31,010,568 | ||||||
Wells Fargo & Co. | 551,617 | 30,967,778 | ||||||
BlackRock, Inc. — Class A | 65,737 | 30,950,952 | ||||||
T. Rowe Price Group, Inc.1 | 333,034 | 30,938,859 | ||||||
Invesco Ltd. | 863,101 | 30,890,385 | ||||||
PNC Financial Services Group, Inc. | 225,082 | 30,788,967 | ||||||
Raymond James Financial, Inc. | 363,147 | 30,787,603 | ||||||
Huntington Bancshares, Inc. | 2,220,035 | 30,636,483 | ||||||
BB&T Corp. | 622,019 | 30,628,216 | ||||||
Goldman Sachs Group, Inc. | 125,984 | 30,548,600 | ||||||
Prudential Financial, Inc. | 276,490 | 30,541,085 | ||||||
Zions Bancorporation | 656,840 | 30,516,786 | ||||||
Citigroup, Inc. | 413,365 | 30,382,328 | ||||||
Assurant, Inc. | 301,326 | 30,328,462 | ||||||
Travelers Companies, Inc. | 228,370 | 30,247,606 | ||||||
Torchmark Corp. | 359,511 | 30,245,660 | ||||||
Unum Group | 580,556 | 30,212,134 | ||||||
E*TRADE Financial Corp.* | 689,628 | 30,060,885 | ||||||
KeyCorp | 1,645,655 | 30,033,204 | ||||||
U.S. Bancorp | 547,246 | 29,759,237 | ||||||
Principal Financial Group, Inc. | 450,792 | 29,684,653 | ||||||
CBRE Group, Inc. — Class A* | 754,711 | 29,675,237 | ||||||
Mastercard, Inc. — Class A | 199,431 | 29,669,350 | ||||||
American International Group, Inc. | 457,556 | 29,562,693 | ||||||
Cboe Global Markets, Inc.1 | 261,105 | 29,520,531 | ||||||
Host Hotels & Resorts, Inc. REIT | 1,506,922 | 29,475,394 | ||||||
Loews Corp. | 594,965 | 29,456,717 | ||||||
Affiliated Managers Group, Inc. | 157,794 | 29,428,581 | ||||||
Progressive Corp. | 602,283 | 29,301,068 | ||||||
CME Group, Inc. — Class A | 213,600 | 29,299,512 | ||||||
Chubb Ltd. | 194,205 | 29,289,998 | ||||||
Weyerhaeuser Co. REIT | 814,486 | 29,248,193 | ||||||
Everest Re Group Ltd. | 122,960 | 29,196,852 | ||||||
Berkshire Hathaway, Inc. — Class B* | 155,869 | 29,138,151 | ||||||
Arthur J Gallagher & Co. | 458,224 | 29,019,327 | ||||||
Willis Towers Watson plc | 180,130 | 29,015,340 | ||||||
Northern Trust Corp. | 309,158 | 28,912,456 | ||||||
Visa, Inc. — Class A | 261,867 | 28,800,133 | ||||||
SBA Communications Corp. REIT* | 183,017 | 28,766,612 | ||||||
XL Group Ltd. | 708,368 | 28,667,653 | ||||||
Allstate Corp. | 305,202 | 28,646,260 | ||||||
Alliance Data Systems Corp. | 127,599 | 28,547,724 | ||||||
Alexandria Real Estate Equities, Inc. REIT | 229,119 | 28,401,592 | ||||||
Hartford Financial Services Group, Inc. | 514,417 | 28,318,656 | ||||||
Aflac, Inc. | 336,921 | 28,264,303 | ||||||
Franklin Resources, Inc. | 666,424 | 28,076,443 | ||||||
Bank of New York Mellon Corp. | 542,327 | 27,902,724 | ||||||
Vornado Realty Trust REIT | 370,097 | 27,705,461 | ||||||
Intercontinental Exchange, Inc. | 418,565 | 27,667,147 | ||||||
Prologis, Inc. REIT | 427,520 | 27,609,242 | ||||||
Boston Properties, Inc. REIT | 227,608 | 27,581,537 | ||||||
Macerich Co. REIT1 | 504,312 | 27,535,435 | ||||||
Crown Castle International Corp. REIT | 256,855 | 27,504,033 | ||||||
Aon plc | 191,759 | 27,503,993 | ||||||
Equinix, Inc. REIT | 59,201 | 27,439,664 | ||||||
SL Green Realty Corp. REIT | 286,555 | 27,417,582 | ||||||
Iron Mountain, Inc. REIT1 | 683,105 | 27,324,200 | ||||||
State Street Corp. | 295,685 | 27,203,020 | ||||||
Extra Space Storage, Inc. REIT1 | 332,510 | 27,129,491 | ||||||
American Tower Corp. — Class A REIT | 188,658 | 27,104,495 | ||||||
Equity Residential REIT | 401,696 | 27,018,073 | ||||||
Marsh & McLennan Companies, Inc. | 333,767 | 27,011,763 | ||||||
Essex Property Trust, Inc. REIT | 102,616 | 26,929,517 | ||||||
Digital Realty Trust, Inc. REIT | 226,753 | 26,856,625 | ||||||
UDR, Inc. REIT | 691,566 | 26,825,845 | ||||||
Nasdaq, Inc. | 367,838 | 26,723,431 | ||||||
Simon Property Group, Inc. REIT | 171,415 | 26,625,892 | ||||||
Duke Realty Corp. REIT | 932,514 | 26,557,999 | ||||||
AvalonBay Communities, Inc. REIT | 146,405 | 26,547,619 | ||||||
Regency Centers Corp. REIT | 426,157 | 26,229,964 | ||||||
Public Storage REIT1 | 125,259 | 25,959,928 | ||||||
Mid-America Apartment Communities, Inc. REIT | 253,406 | 25,936,104 | ||||||
Apartment Investment & Management Co. — Class A REIT | 588,830 | 25,896,743 | ||||||
Federal Realty Investment Trust REIT | 211,368 | 25,474,071 | ||||||
Cincinnati Financial Corp. | 360,968 | 25,329,125 | ||||||
Navient Corp. | 2,024,494 | 25,225,195 | ||||||
GGP, Inc. REIT1 | 1,285,262 | 25,011,199 | ||||||
Realty Income Corp. REIT | 461,004 | 24,742,085 | ||||||
Ventas, Inc. REIT | 393,703 | 24,704,863 | ||||||
Kimco Realty Corp. REIT | 1,356,012 | 24,625,178 | ||||||
Welltower, Inc. REIT | 366,301 | 24,527,515 | ||||||
HCP, Inc. REIT | 905,367 | 23,394,683 | ||||||
Total Financial | 2,889,147,358 | |||||||
Consumer, Non-cyclical - 20.3% | ||||||||
Align Technology, Inc.* | 150,736 | 36,022,889 | ||||||
PayPal Holdings, Inc.* | 447,410 | 32,464,070 | ||||||
Avery Dennison Corp. | 293,479 | 31,158,665 | ||||||
Robert Half International, Inc. | 601,234 | 31,125,884 | ||||||
United Rentals, Inc.* | 215,886 | 30,543,551 | ||||||
Tyson Foods, Inc. — Class A | 418,244 | 30,494,170 |
SEE NOTES TO FINANCIAL STATEMENTS. | GUGGENHEIM ETFs ANNUAL REPORT | 7 |
SCHEDULE OF INVESTMENTS (continued) | October 31, 2017 |
GUGGENHEIM S&P 500® EQUAL WEIGHT ETF |
Shares | Value | |||||||
Cintas Corp. | 204,524 | $ | 30,482,257 | |||||
Quintiles IMS Holdings, Inc.* | 281,944 | 30,478,146 | ||||||
Mylan N.V.* | 852,060 | 30,427,063 | ||||||
Global Payments, Inc. | 287,611 | 29,897,164 | ||||||
Stryker Corp.1 | 191,946 | 29,726,677 | ||||||
Constellation Brands, Inc. — Class A | 135,151 | 29,610,233 | ||||||
Intuitive Surgical, Inc.*,1 | 78,717 | 29,547,213 | ||||||
Anthem, Inc. | 141,112 | 29,522,042 | ||||||
Automatic Data Processing, Inc. | 252,270 | 29,328,910 | ||||||
Cigna Corp. | 148,183 | 29,224,651 | ||||||
Johnson & Johnson | 208,841 | 29,114,524 | ||||||
Danaher Corp. | 315,262 | 29,089,226 | ||||||
UnitedHealth Group, Inc. | 138,319 | 29,077,420 | ||||||
Western Union Co.1 | 1,463,370 | 29,062,528 | ||||||
AbbVie, Inc. | 320,467 | 28,922,147 | ||||||
IDEXX Laboratories, Inc.* | 173,687 | 28,861,569 | ||||||
ResMed, Inc. | 342,589 | 28,839,142 | ||||||
Moody’s Corp. | 202,051 | 28,774,083 | ||||||
Zimmer Biomet Holdings, Inc. | 236,403 | 28,751,333 | ||||||
Sysco Corp. | 516,850 | 28,747,197 | ||||||
Brown-Forman Corp. — Class B1 | 503,417 | 28,704,837 | ||||||
Centene Corp.* | 305,442 | 28,610,752 | ||||||
Dentsply Sirona, Inc. | 468,008 | 28,581,249 | ||||||
Quanta Services, Inc.* | 757,023 | 28,562,478 | ||||||
Aetna, Inc. | 167,979 | 28,561,469 | ||||||
Abbott Laboratories | 525,793 | 28,513,754 | ||||||
DaVita, Inc.* | 469,024 | 28,488,518 | ||||||
Total System Services, Inc. | 393,649 | 28,362,410 | ||||||
Altria Group, Inc. | 439,467 | 28,222,571 | ||||||
Verisk Analytics, Inc. — Class A*,1 | 331,601 | 28,202,665 | ||||||
S&P Global, Inc. | 180,023 | 28,168,199 | ||||||
Monster Beverage Corp.* | 485,626 | 28,132,314 | ||||||
Pfizer, Inc. | 802,082 | 28,120,995 | ||||||
Estee Lauder Companies, Inc. — Class A | 251,361 | 28,104,673 | ||||||
Becton Dickinson and Co. | 134,242 | 28,012,278 | ||||||
McCormick & Company, Inc.1 | 280,246 | 27,892,883 | ||||||
Mondelez International, Inc. — Class A | 673,134 | 27,887,942 | ||||||
Baxter International, Inc. | 432,212 | 27,864,708 | ||||||
Thermo Fisher Scientific, Inc. | 142,703 | 27,660,122 | ||||||
CR Bard, Inc. | 84,464 | 27,625,640 | ||||||
Gartner, Inc.* | 219,896 | 27,555,168 | ||||||
Ecolab, Inc. | 208,561 | 27,250,580 | ||||||
Humana, Inc. | 106,599 | 27,220,055 | ||||||
Coca-Cola Co. | 590,755 | 27,162,915 | ||||||
Conagra Brands, Inc. | 792,792 | 27,081,775 | ||||||
JM Smucker Co. | 255,264 | 27,070,748 | ||||||
Campbell Soup Co.1 | 570,771 | 27,037,422 | ||||||
Eli Lilly & Co. | 329,810 | 27,024,631 | ||||||
Zoetis, Inc. | 422,735 | 26,978,948 | ||||||
Hormel Foods Corp.1 | 865,507 | 26,969,198 | ||||||
Bristol-Myers Squibb Co. | 436,797 | 26,932,903 | ||||||
Kroger Co. | 1,298,722 | 26,883,545 | ||||||
HCA Healthcare, Inc.* | 354,979 | 26,854,161 | ||||||
Medtronic plc | 333,446 | 26,849,072 | ||||||
Hershey Co. | 252,858 | 26,848,462 | ||||||
Colgate-Palmolive Co. | 380,844 | 26,830,460 | ||||||
Varian Medical Systems, Inc.*,1 | 257,015 | 26,778,393 | ||||||
Illumina, Inc.* | 130,432 | 26,763,341 | ||||||
Perrigo Company plc1 | 330,385 | 26,757,881 | ||||||
Boston Scientific Corp.* | 950,011 | 26,733,310 | ||||||
Laboratory Corporation of America Holdings* | 173,620 | 26,687,130 | ||||||
Hologic, Inc.* | 704,906 | 26,680,692 | ||||||
Express Scripts Holding Co.*,1 | 434,832 | 26,650,853 | ||||||
Amgen, Inc. | 151,391 | 26,526,730 | ||||||
Archer-Daniels-Midland Co. | 645,518 | 26,382,321 | ||||||
Nielsen Holdings plc1 | 710,774 | 26,348,392 | ||||||
PepsiCo, Inc. | 237,727 | 26,204,647 | ||||||
Cooper Companies, Inc. | 108,765 | 26,131,879 | ||||||
Biogen, Inc.* | 83,782 | 26,111,498 | ||||||
Kimberly-Clark Corp. | 231,511 | 26,047,302 | ||||||
H&R Block, Inc.1 | 1,048,711 | 25,945,110 | ||||||
Kraft Heinz Co. | 334,675 | 25,880,418 | ||||||
Clorox Co. | 204,043 | 25,817,561 | ||||||
Patterson Companies, Inc.1 | 694,734 | 25,705,158 | ||||||
General Mills, Inc. | 494,140 | 25,655,749 | ||||||
Dr Pepper Snapple Group, Inc. | 298,853 | 25,599,748 | ||||||
Coty, Inc. — Class A | 1,660,639 | 25,573,841 | ||||||
AmerisourceBergen Corp. — Class A1 | 331,521 | 25,510,541 | ||||||
Procter & Gamble Co. | 294,629 | 25,438,268 | ||||||
Universal Health Services, Inc. — Class B | 247,538 | 25,422,153 | ||||||
Vertex Pharmaceuticals, Inc.* | 172,190 | 25,179,344 | ||||||
Church & Dwight Company, Inc. | 556,803 | 25,150,792 | ||||||
Molson Coors Brewing Co. — Class B | 309,934 | 25,064,363 | ||||||
Kellogg Co.1 | 399,571 | 24,985,175 | ||||||
Cardinal Health, Inc. | 400,079 | 24,764,890 | ||||||
Edwards Lifesciences Corp.* | 241,657 | 24,704,595 | ||||||
Henry Schein, Inc.* | 311,939 | 24,518,405 | ||||||
IHS Markit Ltd.* | 575,410 | 24,518,220 | ||||||
Philip Morris International, Inc. | 233,650 | 24,449,136 | ||||||
Gilead Sciences, Inc. | 321,416 | 24,093,343 | ||||||
Equifax, Inc.1 | 221,941 | 24,087,257 | ||||||
McKesson Corp. | 174,275 | 24,029,037 | ||||||
Incyte Corp.* | 211,234 | 23,922,251 | ||||||
Quest Diagnostics, Inc. | 254,328 | 23,850,880 | ||||||
Envision Healthcare Corp.*,1 | 555,373 | 23,658,890 | ||||||
Merck & Company, Inc. | 425,569 | 23,444,596 | ||||||
Regeneron Pharmaceuticals, Inc.* | 58,025 | 23,362,026 | ||||||
Alexion Pharmaceuticals, Inc.* | 193,683 | 23,176,108 | ||||||
Allergan plc | 117,132 | 20,759,304 | ||||||
Celgene Corp.* | 194,673 | 19,656,133 | ||||||
Total Consumer, Non-cyclical | 2,880,850,915 | |||||||
Consumer, Cyclical - 14.1% | ||||||||
DR Horton, Inc. | 754,510 | 33,356,888 | ||||||
WW Grainger, Inc.1 | 165,787 | 32,776,090 | ||||||
PulteGroup, Inc. | 1,061,771 | 32,097,337 | ||||||
General Motors Co. | 739,232 | 31,772,192 | ||||||
L Brands, Inc.1 | 737,214 | 31,729,690 | ||||||
Michael Kors Holdings Ltd.* | 648,873 | 31,671,491 | ||||||
Marriott International, Inc. — Class A | 264,407 | 31,591,348 | ||||||
BorgWarner, Inc.1 | 592,011 | 31,210,820 | ||||||
VF Corp.1 | 437,759 | 30,489,914 |
8 | GUGGENHEIM ETFs ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | October 31, 2017 |
GUGGENHEIM S&P 500® EQUAL WEIGHT ETF |
Shares | Value | |||||||
Hilton Worldwide Holdings, Inc. | 419,888 | $ | 30,349,505 | |||||
Wal-Mart Stores, Inc. | 346,719 | 30,272,036 | ||||||
Dollar Tree, Inc.* | 330,224 | 30,132,940 | ||||||
Lennar Corp. — Class A | 541,178 | 30,127,379 | ||||||
Fastenal Co.1 | 640,653 | 30,091,471 | ||||||
CarMax, Inc.*,1 | 399,450 | 29,998,695 | ||||||
AutoZone, Inc.* | 50,593 | 29,824,573 | ||||||
Wyndham Worldwide Corp. | 277,760 | 29,678,656 | ||||||
Ross Stores, Inc. | 467,380 | 29,673,956 | ||||||
LKQ Corp.* | 785,679 | 29,612,242 | ||||||
Ford Motor Co. | 2,407,690 | 29,542,356 | ||||||
American Airlines Group, Inc. | 627,313 | 29,370,795 | ||||||
Dollar General Corp. | 361,957 | 29,260,604 | ||||||
PACCAR, Inc. | 404,610 | 29,022,675 | ||||||
O’Reilly Automotive, Inc.* | 137,343 | 28,972,506 | ||||||
Delta Air Lines, Inc. | 576,426 | 28,838,593 | ||||||
Royal Caribbean Cruises Ltd. | 232,888 | 28,824,548 | ||||||
Nike, Inc. — Class B | 523,961 | 28,812,615 | ||||||
Darden Restaurants, Inc.1 | 348,216 | 28,647,730 | ||||||
McDonald’s Corp. | 171,254 | 28,584,005 | ||||||
Leggett & Platt, Inc. | 603,774 | 28,534,359 | ||||||
Home Depot, Inc. | 171,308 | 28,399,440 | ||||||
Genuine Parts Co. | 320,426 | 28,271,186 | ||||||
Target Corp. | 477,552 | 28,194,670 | ||||||
Delphi Automotive plc | 282,986 | 28,123,149 | ||||||
Starbucks Corp. | 511,343 | 28,042,050 | ||||||
Costco Wholesale Corp.1 | 173,874 | 28,007,624 | ||||||
Wynn Resorts Ltd. | 189,366 | 27,929,592 | ||||||
Southwest Airlines Co. | 517,331 | 27,863,448 | ||||||
Lowe’s Companies, Inc. | 348,176 | 27,836,671 | ||||||
Mohawk Industries, Inc.* | 106,051 | 27,759,910 | ||||||
Tapestry, Inc. | 676,529 | 27,703,863 | ||||||
Carnival Corp. | 417,121 | 27,692,663 | ||||||
Gap, Inc.1 | 1,064,270 | 27,660,377 | ||||||
Goodyear Tire & Rubber Co. | 902,373 | 27,603,590 | ||||||
Best Buy Company, Inc.1 | 492,776 | 27,585,600 | ||||||
Tiffany & Co. | 293,573 | 27,484,304 | ||||||
United Continental Holdings, Inc.* | 468,476 | 27,396,476 | ||||||
Signet Jewelers Ltd.1 | 417,629 | 27,383,934 | ||||||
Harley-Davidson, Inc.1 | 577,254 | 27,327,204 | ||||||
Tractor Supply Co.1 | 453,479 | 27,326,645 | ||||||
Norwegian Cruise Line Holdings Ltd.* | 488,085 | 27,210,739 | ||||||
Kohl’s Corp.1 | 651,212 | 27,194,613 | ||||||
PVH Corp. | 214,054 | 27,144,188 | ||||||
Ralph Lauren Corp. — Class A | 301,259 | 26,941,592 | ||||||
Hasbro, Inc. | 290,672 | 26,913,321 | ||||||
Yum! Brands, Inc. | 357,626 | 26,625,256 | ||||||
TJX Companies, Inc. | 377,850 | 26,373,930 | ||||||
Whirlpool Corp. | 158,770 | 26,027,166 | ||||||
MGM Resorts International | 822,587 | 25,788,102 | ||||||
Newell Brands, Inc.1 | 621,057 | 25,326,704 | ||||||
Mattel, Inc.1 | 1,790,002 | 25,274,828 | ||||||
Chipotle Mexican Grill, Inc. — Class A*,1 | 91,174 | 24,790,211 | ||||||
Hanesbrands, Inc.1 | 1,088,397 | 24,488,933 | ||||||
Ulta Beauty, Inc.* | 120,514 | 24,318,520 | ||||||
Alaska Air Group, Inc. | 368,079 | 24,304,256 | ||||||
Macy’s, Inc.1 | 1,282,839 | 24,066,060 | ||||||
Advance Auto Parts, Inc. | 290,846 | 23,773,752 | ||||||
Nordstrom, Inc.1 | 593,254 | 23,522,521 | ||||||
CVS Health Corp. | 343,083 | 23,511,478 | ||||||
Foot Locker, Inc. | 765,511 | 23,026,571 | ||||||
Walgreens Boots Alliance, Inc. | 336,079 | 22,271,955 | ||||||
Under Armour, Inc. — Class A*,1 | 816,184 | 10,218,624 | ||||||
Under Armour, Inc. — Class C*,1 | 814,687 | 9,393,341 | ||||||
Total Consumer, Cyclical | 2,008,967,066 | |||||||
Industrial - 13.9% | ||||||||
FLIR Systems, Inc. | 718,634 | 33,646,444 | ||||||
Rockwell Automation, Inc. | 166,736 | 33,483,924 | ||||||
TE Connectivity Ltd. | 346,505 | 31,521,560 | ||||||
Caterpillar, Inc. | 232,113 | 31,520,945 | ||||||
Harris Corp. | 223,224 | 31,099,567 | ||||||
Pentair plc | 440,994 | 31,072,436 | ||||||
Deere & Co. | 233,182 | 30,985,224 | ||||||
Parker-Hannifin Corp. | 169,503 | 30,952,943 | ||||||
3M Co. | 132,972 | 30,608,825 | ||||||
Illinois Tool Works, Inc. | 195,301 | 30,568,513 | ||||||
Flowserve Corp.1 | 692,769 | 30,530,330 | ||||||
Mettler-Toledo International, Inc.* | 44,631 | 30,466,460 | ||||||
Eaton Corporation plc | 379,120 | 30,337,182 | ||||||
Northrop Grumman Corp. | 102,295 | 30,231,241 | ||||||
Fluor Corp. | 699,479 | 30,140,550 | ||||||
Roper Technologies, Inc. | 116,664 | 30,119,145 | ||||||
Stanley Black & Decker, Inc. | 185,998 | 30,047,977 | ||||||
Corning, Inc. | 958,352 | 30,006,001 | ||||||
Dover Corp. | 313,302 | 29,917,208 | ||||||
United Technologies Corp. | 249,636 | 29,896,407 | ||||||
TransDigm Group, Inc.1 | 107,642 | 29,870,655 | ||||||
Fortive Corp. | 411,414 | 29,728,776 | ||||||
Cummins, Inc. | 167,993 | 29,714,602 | ||||||
WestRock Co. | 484,369 | 29,706,350 | ||||||
Garmin Ltd.1 | 523,373 | 29,628,146 | ||||||
Amphenol Corp. — Class A | 339,688 | 29,552,856 | ||||||
Boeing Co. | 114,553 | 29,552,383 | ||||||
Union Pacific Corp. | 255,090 | 29,536,871 | ||||||
Snap-on, Inc.1 | 186,064 | 29,357,178 | ||||||
FedEx Corp. | 129,951 | 29,344,235 | ||||||
Textron, Inc. | 555,480 | 29,296,015 | ||||||
PerkinElmer, Inc. | 404,316 | 29,240,133 | ||||||
Emerson Electric Co. | 452,824 | 29,189,035 | ||||||
Ball Corp.1 | 678,988 | 29,148,955 | ||||||
Waste Management, Inc. | 354,659 | 29,142,330 | ||||||
Jacobs Engineering Group, Inc. | 500,636 | 29,142,022 | ||||||
CH Robinson Worldwide, Inc.1 | 370,886 | 29,125,678 | ||||||
Norfolk Southern Corp. | 220,738 | 29,009,388 | ||||||
Masco Corp. | 727,991 | 28,988,602 | ||||||
Xylem, Inc. | 435,647 | 28,983,595 | ||||||
Johnson Controls International plc1 | 698,437 | 28,908,307 | ||||||
AMETEK, Inc. | 426,999 | 28,818,163 | ||||||
Waters Corp.* | 146,633 | 28,747,400 | ||||||
Honeywell International, Inc. | 198,803 | 28,659,440 | ||||||
AO Smith Corp. | 483,873 | 28,645,282 | ||||||
Agilent Technologies, Inc. | 420,637 | 28,615,935 |
SEE NOTES TO FINANCIAL STATEMENTS. | GUGGENHEIM ETFs ANNUAL REPORT | 9 |
SCHEDULE OF INVESTMENTS (continued) | October 31, 2017 |
GUGGENHEIM S&P 500® EQUAL WEIGHT ETF |
Shares | Value | |||||||
J.B. Hunt Transport Services, Inc. | 268,577 | $ | 28,573,907 | |||||
Rockwell Collins, Inc. | 208,895 | 28,326,162 | ||||||
Allegion plc | 338,431 | 28,221,761 | ||||||
Arconic, Inc. | 1,119,996 | 28,134,300 | ||||||
Sealed Air Corp. | 635,787 | 28,120,859 | ||||||
L3 Technologies, Inc. | 150,121 | 28,099,649 | ||||||
General Dynamics Corp. | 138,238 | 28,059,549 | ||||||
Fortune Brands Home & Security, Inc.1 | 424,473 | 28,040,686 | ||||||
Expeditors International of Washington, Inc. | 480,078 | 28,026,954 | ||||||
Martin Marietta Materials, Inc. | 129,029 | 27,979,939 | ||||||
Packaging Corporation of America | 240,347 | 27,945,146 | ||||||
United Parcel Service, Inc. — Class B | 237,700 | 27,936,881 | ||||||
Lockheed Martin Corp. | 90,252 | 27,812,056 | ||||||
Ingersoll-Rand plc | 312,741 | 27,708,853 | ||||||
Stericycle, Inc.* | 389,298 | 27,581,763 | ||||||
Vulcan Materials Co. | 225,068 | 27,402,029 | ||||||
Kansas City Southern | 261,867 | 27,291,779 | ||||||
Republic Services, Inc. — Class A | 417,816 | 27,187,287 | ||||||
Raytheon Co. | 150,536 | 27,126,587 | ||||||
CSX Corp. | 534,842 | 26,972,082 | ||||||
Acuity Brands, Inc.1 | 152,126 | 25,435,467 | ||||||
General Electric Co. | 1,148,240 | 23,148,518 | ||||||
Total Industrial | 1,981,937,428 | |||||||
Technology - 9.7% | ||||||||
Micron Technology, Inc.* | 842,877 | 37,347,881 | ||||||
Intel Corp. | 777,260 | 35,357,557 | ||||||
Applied Materials, Inc. | 616,673 | 34,798,857 | ||||||
NVIDIA Corp. | 167,057 | 34,549,058 | ||||||
Lam Research Corp.1 | 165,025 | 34,419,264 | ||||||
Texas Instruments, Inc. | 336,119 | 32,499,346 | ||||||
Xilinx, Inc. | 429,552 | 31,653,687 | ||||||
Seagate Technology plc1 | 854,988 | 31,608,906 | ||||||
KLA-Tencor Corp. | 289,884 | 31,565,469 | ||||||
NetApp, Inc. | 708,007 | 31,449,671 | ||||||
Akamai Technologies, Inc.* | 594,591 | 31,067,380 | ||||||
Analog Devices, Inc. | 340,022 | 31,044,008 | ||||||
Cadence Design Systems, Inc.* | 715,266 | 30,870,881 | ||||||
Red Hat, Inc.* | 255,304 | 30,848,382 | ||||||
Adobe Systems, Inc.* | 176,026 | 30,832,714 | ||||||
HP, Inc. | 1,430,464 | 30,826,499 | ||||||
Microsoft Corp. | 369,710 | 30,752,478 | ||||||
Paychex, Inc. | 480,653 | 30,660,854 | ||||||
Citrix Systems, Inc.* | 363,989 | 30,069,131 | ||||||
Microchip Technology, Inc.1 | 315,949 | 29,951,965 | ||||||
Autodesk, Inc.* | 239,010 | 29,866,690 | ||||||
Skyworks Solutions, Inc.1 | 261,359 | 29,758,336 | ||||||
Synopsys, Inc.* | 343,845 | 29,749,469 | ||||||
DXC Technology Co. | 324,958 | 29,740,156 | ||||||
International Business Machines Corp. | 192,013 | 29,581,523 | ||||||
Broadcom Ltd. | 112,053 | 29,571,908 | ||||||
Intuit, Inc. | 193,189 | 29,175,403 | ||||||
Apple, Inc. | 172,390 | 29,140,806 | ||||||
Accenture plc — Class A | 204,524 | 29,116,037 | ||||||
ANSYS, Inc.* | 212,945 | 29,111,711 | ||||||
Cognizant Technology Solutions Corp. — Class A | 384,680 | 29,108,736 | ||||||
salesforce.com, Inc.* | 283,641 | 29,027,820 | ||||||
Hewlett Packard Enterprise Co. | 2,084,657 | 29,018,425 | ||||||
Qorvo, Inc.*,1 | 381,940 | 28,954,871 | ||||||
Fiserv, Inc.* | 222,957 | 28,857,325 | ||||||
QUALCOMM, Inc. | 550,975 | 28,105,235 | ||||||
Western Digital Corp. | 314,358 | 28,062,739 | ||||||
Electronic Arts, Inc.* | 231,231 | 27,655,228 | ||||||
Activision Blizzard, Inc. | 421,211 | 27,585,108 | ||||||
Fidelity National Information Services, Inc. | 296,313 | 27,485,994 | ||||||
CSRA, Inc. | 849,668 | 27,180,879 | ||||||
Oracle Corp. | 530,244 | 26,989,420 | ||||||
CA, Inc. | 824,832 | 26,708,060 | ||||||
Cerner Corp.* | 394,371 | 26,627,930 | ||||||
Xerox Corp. | 866,643 | 26,267,949 | ||||||
Advanced Micro Devices, Inc.*,1 | 2,232,715 | 24,526,374 | ||||||
Total Technology | 1,379,148,120 | |||||||
Energy - 6.7% | ||||||||
Marathon Oil Corp. | 2,418,290 | 34,388,084 | ||||||
Newfield Exploration Co.* | 1,102,887 | 33,957,890 | ||||||
Anadarko Petroleum Corp. | 668,402 | 32,999,007 | ||||||
Concho Resources, Inc.*,1 | 244,009 | 32,748,448 | ||||||
Helmerich & Payne, Inc.1 | 601,368 | 32,660,296 | ||||||
Cimarex Energy Co. | 274,940 | 32,148,734 | ||||||
Devon Energy Corp. | 869,130 | 32,070,897 | ||||||
Pioneer Natural Resources Co. | 212,851 | 31,857,409 | ||||||
EOG Resources, Inc. | 315,133 | 31,472,333 | ||||||
ConocoPhillips | 615,055 | 31,460,063 | ||||||
Valero Energy Corp. | 393,315 | 31,028,620 | ||||||
Noble Energy, Inc. | 1,110,893 | 30,960,588 | ||||||
Marathon Petroleum Corp. | 511,998 | 30,586,761 | ||||||
Hess Corp.1 | 679,149 | 29,991,220 | ||||||
Range Resources Corp.1 | 1,649,611 | 29,874,455 | ||||||
National Oilwell Varco, Inc.1 | 861,444 | 29,452,770 | ||||||
Phillips 66 | 322,899 | 29,409,641 | ||||||
TechnipFMC plc | 1,072,557 | 29,377,336 | ||||||
Occidental Petroleum Corp. | 454,000 | 29,314,780 | ||||||
Chesapeake Energy Corp.*,1 | 7,514,124 | 29,305,084 | ||||||
Cabot Oil & Gas Corp. — Class A | 1,053,176 | 29,172,975 | ||||||
Halliburton Co. | 678,828 | 29,013,109 | ||||||
Exxon Mobil Corp. | 346,986 | 28,921,283 | ||||||
Apache Corp. | 695,937 | 28,790,914 | ||||||
Chevron Corp. | 246,856 | 28,608,142 | ||||||
Andeavor | 269,272 | 28,607,457 | ||||||
Equities Corp. | 450,792 | 28,192,532 | ||||||
Schlumberger Ltd.1 | 421,652 | 26,985,728 | ||||||
ONEOK, Inc. | 486,468 | 26,400,618 | ||||||
Williams Companies, Inc. | 921,193 | 26,254,001 | ||||||
Kinder Morgan, Inc. | 1,429,007 | 25,879,317 | ||||||
Baker Hughes a GE Co. | 794,587 | 24,973,869 | ||||||
Total Energy | 956,864,361 |
10 | GUGGENHEIM ETFs ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | October 31, 2017 |
GUGGENHEIM S&P 500® EQUAL WEIGHT ETF |
Shares | Value | |||||||
Communications - 5.7% | ||||||||
Amazon.com, Inc.* | 28,337 | $ | 31,320,320 | |||||
Netflix, Inc.* | 155,000 | 30,446,650 | ||||||
Cisco Systems, Inc. | 868,862 | 29,671,637 | ||||||
Motorola Solutions, Inc. | 321,349 | 29,094,938 | ||||||
Facebook, Inc. — Class A* | 159,986 | 28,807,079 | ||||||
F5 Networks, Inc.* | 236,684 | 28,702,669 | ||||||
VeriSign, Inc.*,1 | 264,714 | 28,462,049 | ||||||
Priceline Group, Inc.* | 14,864 | 28,419,373 | ||||||
Verizon Communications, Inc. | 593,134 | 28,393,325 | ||||||
Symantec Corp. | 864,705 | 28,102,913 | ||||||
CenturyLink, Inc.1 | 1,475,201 | 28,014,067 | ||||||
Walt Disney Co. | 281,743 | 27,557,283 | ||||||
eBay, Inc.* | 723,794 | 27,243,606 | ||||||
Time Warner, Inc. | 272,948 | 26,828,059 | ||||||
Scripps Networks Interactive, Inc. — Class A | 319,999 | 26,649,517 | ||||||
AT&T, Inc. | 768,518 | 25,860,631 | ||||||
Interpublic Group of Companies, Inc.1 | 1,342,015 | 25,833,788 | ||||||
CBS Corp. — Class B | 460,317 | 25,832,990 | ||||||
Comcast Corp. — Class A | 715,814 | 25,790,778 | ||||||
Juniper Networks, Inc. | 1,027,445 | 25,511,459 | ||||||
Omnicom Group, Inc.1 | 375,551 | 25,233,272 | ||||||
DISH Network Corp. — Class A* | 500,917 | 24,314,511 | ||||||
Expedia, Inc.1 | 193,389 | 24,107,873 | ||||||
Viacom, Inc. — Class B | 1,002,970 | 24,101,369 | ||||||
Charter Communications, Inc. — Class A* | 69,574 | 23,249,544 | ||||||
TripAdvisor, Inc.*,1 | 606,982 | 22,761,825 | ||||||
News Corp. — Class A | 1,577,364 | 21,546,792 | ||||||
Twenty-First Century Fox, Inc. — Class A | 728,605 | 19,053,021 | ||||||
Alphabet, Inc. — Class A* | 14,623 | 15,106,144 | ||||||
Alphabet, Inc. — Class C* | 14,663 | 14,906,992 | ||||||
Discovery Communications, Inc. — Class C* | 769,187 | 13,699,220 | ||||||
Discovery Communications, Inc. — Class A*,1 | 561,027 | 10,592,190 | ||||||
Twenty-First Century Fox, Inc. — Class B | 337,255 | 8,583,140 | ||||||
News Corp. — Class B | 494,354 | 6,871,521 | ||||||
Total Communications | 810,670,545 | |||||||
Utilities - 5.3% | ||||||||
Entergy Corp. | 342,709 | 29,562,079 | ||||||
American Water Works Company, Inc. | 333,726 | 29,287,794 | ||||||
Public Service Enterprise Group, Inc. | 588,830 | 28,970,436 | ||||||
Exelon Corp. | 716,549 | 28,812,435 | ||||||
NextEra Energy, Inc. | 184,447 | 28,602,196 | ||||||
NRG Energy, Inc. | 1,143,414 | 28,585,350 | ||||||
Southern Co. | 544,827 | 28,439,969 | ||||||
Ameren Corp. | 455,176 | 28,216,360 | ||||||
Dominion Energy, Inc. | 345,182 | 28,008,067 | ||||||
FirstEnergy Corp. | 849,146 | 27,979,361 | ||||||
WEC Energy Group, Inc. | 410,451 | 27,660,293 | ||||||
Consolidated Edison, Inc. | 319,772 | 27,516,381 | ||||||
Duke Energy Corp. | 311,564 | 27,514,217 | ||||||
American Electric Power Company, Inc. | 368,680 | 27,433,479 | ||||||
Alliant Energy Corp. | 633,274 | 27,395,433 | ||||||
CMS Energy Corp. | 562,083 | 27,187,955 | ||||||
Edison International | 338,712 | 27,080,024 | ||||||
Eversource Energy | 430,822 | 26,986,690 | ||||||
Sempra Energy | 229,560 | 26,973,300 | ||||||
Xcel Energy, Inc. | 544,506 | 26,963,937 | ||||||
CenterPoint Energy, Inc. | 911,395 | 26,959,064 | ||||||
DTE Energy Co. | 242,392 | 26,774,620 | ||||||
Pinnacle West Capital Corp. | 303,879 | 26,653,227 | ||||||
NiSource, Inc. | 1,008,892 | 26,604,482 | ||||||
PPL Corp. | 691,566 | 25,975,219 | ||||||
AES Corp. | 2,439,850 | 25,935,606 | ||||||
PG&E Corp. | 387,193 | 22,368,140 | ||||||
SCANA Corp. | 461,766 | 19,920,585 | ||||||
Total Utilities | 760,366,699 | |||||||
Basic Materials - 3.6% | ||||||||
Albemarle Corp.1 | 231,231 | 32,578,135 | ||||||
CF Industries Holdings, Inc. | 853,611 | 32,420,146 | ||||||
Mosaic Co. | 1,410,588 | 31,512,536 | ||||||
Sherwin-Williams Co. | 79,385 | 31,368,983 | ||||||
LyondellBasell Industries N.V. — Class A | 298,599 | 30,913,954 | ||||||
PPG Industries, Inc. | 264,006 | 30,688,057 | ||||||
DowDuPont, Inc. | 421,718 | 30,494,429 | ||||||
Praxair, Inc. | 206,489 | 30,172,172 | ||||||
Air Products & Chemicals, Inc. | 188,671 | 30,079,818 | ||||||
Eastman Chemical Co. | 322,418 | 29,278,779 | ||||||
FMC Corp. | 313,863 | 29,145,318 | ||||||
Nucor Corp. | 501,358 | 28,993,533 | ||||||
International Paper Co. | 499,300 | 28,594,911 | ||||||
International Flavors & Fragrances, Inc. | 192,828 | 28,426,704 | ||||||
Monsanto Co. | 232,942 | 28,209,276 | ||||||
Freeport-McMoRan, Inc.* | 1,920,715 | 26,851,596 | ||||||
Newmont Mining Corp. | 695,763 | 25,158,790 | ||||||
Total Basic Materials | 504,887,137 | |||||||
Diversified - 0.2% | ||||||||
Leucadia National Corp. | 1,223,187 | 30,946,631 | ||||||
Total Common Stocks | ||||||||
(Cost $11,901,802,908) | 14,203,786,260 | |||||||
MONEY MARKET FUND† - 0.1% | ||||||||
Federated U.S. Treasury Cash Reserve Fund — Institutional Shares, 0.89%2 | 15,806,252 | 15,806,252 | ||||||
Total Money Market Fund | ||||||||
(Cost $15,806,252) | 15,806,252 |
SEE NOTES TO FINANCIAL STATEMENTS. | GUGGENHEIM ETFs ANNUAL REPORT | 11 |
SCHEDULE OF INVESTMENTS (concluded) | October 31, 2017 |
GUGGENHEIM S&P 500® EQUAL WEIGHT ETF |
Face Amount | Value | |||||||
SECURITIES LENDING COLLATERAL††,3 - 2.8% | ||||||||
Repurchase Agreements | ||||||||
Merrill Lynch, Pierce, Fenner & Smith, Inc. issued 10/31/17 at 1.07% due 11/01/17 | $ | 92,528,318 | $ | 92,528,318 | ||||
Nomura Securities International, Inc. issued 10/31/17 at 1.06% due 11/01/17 | 92,528,318 | 92,528,318 | ||||||
Daiwa Capital Markets America issued 10/31/17 at 1.08% due 11/01/17 | 92,528,318 | 92,528,318 | ||||||
State of Wisconsin Investment Board issued 10/31/17 at 1.21% due 11/01/17 | 51,637,464 | 51,637,464 | ||||||
Citibank issued 10/31/17 at 1.05% due 11/01/17 | 49,503,380 | 49,503,380 | ||||||
Deutsche Bank Securities, Inc. issued 10/31/17 at 1.05% due 11/01/17 | 18,806,013 | 18,806,013 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $397,531,811) | 397,531,811 | |||||||
Total Investments - 102.7% | ||||||||
(Cost $12,315,140,971) | $ | 14,617,124,323 | ||||||
Other Assets & Liabilities, net - (2.7)% | (390,499,487 | ) | ||||||
Total Net Assets - 100.0% | $ | 14,226,624,836 |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | All or portion of this security is on loan at October 31, 2017 — See Note 5. |
2 | Rate indicated is the 7 day yield as of October 31, 2017. |
3 | Securities lending collateral — See Note 5. |
plc — Public Limited Company | |
REIT — Real Estate Investment Trust | |
See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund's investments at October 31, 2017 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | Total | ||||||||||||
Common Stocks | $ | 14,203,786,260 | $ | — | $ | — | $ | 14,203,786,260 | ||||||||
Money Market Fund | 15,806,252 | — | — | 15,806,252 | ||||||||||||
Securities Lending Collateral | — | 397,531,811 | — | 397,531,811 | ||||||||||||
Total Assets | $ | 14,219,592,512 | $ | 397,531,811 | $ | — | $ | 14,617,124,323 |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
For the year ended October 31, 2017, there were no transfers between levels.
12 | GUGGENHEIM ETFs ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENT OF ASSETS AND LIABILITIES | October 31, 2017 |
Guggenheim S&P 500® Equal Weight ETF | ||||
Assets: | ||||
Investments, at value — including $919,767,540 of securities loaned | $ | 14,219,592,512 | ||
Repurchase agreements, at value | 397,531,811 | |||
Cash | 43 | |||
Receivables: | ||||
Dividends and interest | 9,083,588 | |||
Securities lending | 282,640 | |||
Fund shares sold | 58,243 | |||
Total assets | 14,626,548,837 | |||
Liabilities: | ||||
Payable upon return of securities loaned | 397,531,811 | |||
Payable for: | ||||
Management fees | 2,392,190 | |||
Total liabilities | 399,924,001 | |||
Commitments and contingent liabilities (Note 8) | — | |||
Net assets | $ | 14,226,624,836 | ||
Net assets consist of: | ||||
Paid-in capital | $ | 12,412,534,191 | ||
Undistributed net investment income | 33,532,355 | |||
Accumulated net realized loss on investments | (521,425,062 | ) | ||
Net unrealized appreciation on investments | 2,301,983,352 | |||
Net assets | $ | 14,226,624,836 | ||
Shares outstanding (unlimited shares authorized), no par value | 147,302,663 | |||
Net asset value, offering price and repurchase price per share | $ | 96.58 | ||
Cost of investments | $ | 11,917,609,160 | ||
Cost of repurchase agreements | 397,531,811 |
SEE NOTES TO FINANCIAL STATEMENTS. | GUGGENHEIM ETFs ANNUAL REPORT | 13 |
STATEMENT OF OPERATIONS |
For the Year Ended October 31, 2017
Guggenheim S&P 500® Equal Weight ETF | ||||
Investment Income: | ||||
Dividends | $ | 236,331,887 | ||
Income from securities lending | 2,341,816 | |||
Interest | 96,002 | |||
Total investment income | 238,769,705 | |||
Expenses: | ||||
Management fees | 46,418,493 | |||
Total expenses | 46,418,493 | |||
Less: | ||||
Expenses waived by Adviser | (4,095,924 | ) | ||
Net expenses | 42,322,569 | |||
Net investment income | 196,447,136 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | (141,588,537 | ) | ||
In-kind redemptions | 651,529,937 | |||
Net realized gain | 509,941,400 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 1,513,147,427 | |||
Net realized and unrealized gain | 2,023,088,827 | |||
Net increase in net assets resulting from operations | $ | 2,219,535,963 |
14 | GUGGENHEIM ETFs ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENTS OF CHANGES IN NET ASSETS |
Guggenheim S&P 500® Equal Weight ETF | ||||||||
Year Ended October 31, 2017 | Year Ended October 31, 2016 | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 196,447,136 | $ | 156,258,494 | ||||
Net realized gain on investments | 509,941,400 | 171,437,421 | ||||||
Net change in unrealized appreciation (depreciation) on investments | 1,513,147,427 | 52,138,821 | ||||||
Net increase in net assets resulting from operations | 2,219,535,963 | 379,834,736 | ||||||
Distributions to shareholders from: | ||||||||
Net investment income | (179,124,293 | ) | (147,336,657 | ) | ||||
Shareholder transactions: | ||||||||
Proceeds from shares purchased | 3,882,548,954 | 1,891,999,471 | ||||||
Cost of shares redeemed | (1,656,006,406 | ) | (1,964,368,770 | ) | ||||
Net increase (decrease) in net assets resulting from share transactions | 2,226,542,548 | (72,369,299 | ) | |||||
Net increase in net assets | 4,266,954,218 | 160,128,780 | ||||||
Net assets: | ||||||||
Beginning of year | 9,959,670,618 | 9,799,541,838 | ||||||
End of year | $ | 14,226,624,836 | $ | 9,959,670,618 | ||||
Undistributed net investment income at end of year | $ | 33,532,355 | $ | 14,490,211 | ||||
Changes in shares outstanding: | ||||||||
Shares sold | 43,350,000 | 23,893,800 | ||||||
Shares redeemed | (18,150,000 | ) | (26,300,000 | ) | ||||
Net increase (decrease) in shares | 25,200,000 | (2,406,200 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | GUGGENHEIM ETFs ANNUAL REPORT | 15 |
GUGGENHEIM S&P 500® EQUAL WEIGHT ETF |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating the Fund’s performance for the periods presented.
Year Ended October 31, 2017 | Year Ended October 31, 2016 | Year Ended October 31, 2015 | Year Ended October 31, 2014 | Year Ended October 31, 2013 | ||||||||||||||||
Per Share Data: | ||||||||||||||||||||
Net asset value, beginning of period | $ | 81.57 | $ | 78.71 | $ | 78.08 | $ | 67.94 | $ | 51.76 | ||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income (loss)a | 1.39 | 1.31 | 1.22 | 1.09 | 0.99 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 14.85 | 2.78 | 0.71 | 10.13 | 16.13 | |||||||||||||||
Total from investment operations | 16.24 | 4.09 | 1.93 | 11.22 | 17.12 | |||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (1.23 | ) | (1.23 | ) | (1.30 | ) | (1.08 | ) | (0.94 | ) | ||||||||||
Total distributions to shareholders | (1.23 | ) | (1.23 | ) | (1.30 | ) | (1.08 | ) | (0.94 | ) | ||||||||||
Net asset value, end of period | $ | 96.58 | $ | 81.57 | $ | 78.71 | $ | 78.08 | $ | 67.94 | ||||||||||
Total Returnb | 19.98 | % | 5.24 | % | 2.49 | % | 16.60 | % | 33.36 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 14,226,625 | $ | 9,959,671 | $ | 9,799,542 | $ | 8,976,197 | $ | 5,663,772 | ||||||||||
Ratio to average net assets of: | ||||||||||||||||||||
Net investment income (loss) | 1.52 | % | 1.66 | % | 1.53 | % | 1.48 | % | 1.64 | % | ||||||||||
Total expenses | 0.36 | % | 0.40 | % | 0.40 | % | 0.40 | % | 0.40 | % | ||||||||||
Net expensesc | 0.33 | % | — | — | — | — | ||||||||||||||
Portfolio turnover rated | 21 | % | 22 | % | 22 | % | 18 | % | 37 | % |
a | Based on average shares outstanding. |
b | Total investment return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distribution at net asset value during the period, and redemption on the last day of the period. Transaction fees are not reflected in the calculation of total investment return. |
c | Net expense information reflects the expense ratios after expense waivers. |
d | Portfolio turnover does not include securities received or delivered from processing creations or redemptions. |
16 | GUGGENHEIM ETFs ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
NOTES TO FINANCIAL STATEMENTS |
Note 1 - Organization and Significant Accounting Policies
Organization
Rydex ETF Trust (the “Trust”) is registered with the SEC under the Investment Company Act of 1940 (the “1940 Act”), as an open-ended investment company of the series type, and is authorized to issue an unlimited number of no par value shares. Each portfolio represents a separate series of beneficial interest in the Trust (each a “Fund”, and collectively, the “Funds”), each a non-diversified investment company. The Trust was organized as a Delaware statutory trust on November 22, 2002. At October 31, 2017, the Trust consisted of twenty-three funds.
The financial statements herein relate to the following Fund, whose investment objective is to replicate as closely as possible, before fees and expenses, the daily performance of an index representing publicly traded equity securities (the “Underlying Index”) as follows:
Fund | Underlying Index |
Guggenheim S&P 500® Equal Weight ETF | S&P 500® Equal Weight Index |
The Fund seeks to achieve its objective by investing in common stocks that comprise the Underlying Index. The Fund uses a “replication” strategy to track the Underlying Index. Replication refers to investing in substantially all of the securities in the Underlying Index in approximately the same proportions as in the Underlying Index.
The Fund operates as an index fund and is not actively managed. Adverse performance of a security in the Fund's portfolio will ordinarily not result in the elimination of the security from the Fund's portfolio.
The Fund issues and redeems shares on a continuous basis, at net asset value per share (“NAV”), only in aggregation of 50,000 shares (a “Creation Unit”). Creation Units are issued and redeemed principally in-kind for securities included in the Underlying Index.
The Fund invests in various investments which are exposed to risk, such as market risk. Due to the level of risk associated with certain investments it is at least reasonably possible that changes in the values of investment securities will occur in the near term and that such changes could materially affect amounts reported in the financial statements.
Security Investors, LLC, which operates under the name Guggenheim Investments (“GI”), provides advisory services to the Trust. Guggenheim Funds Distributors, LLC (“GFD”) acts as principal underwriter for the Trust. GI and GFD are affiliated entities.
Significant Accounting Policies
The Fund operates as an investment company and, accordingly, follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 Financial Services – Investment Companies.
The following significant accounting policies are in conformity with U.S. generally accepted accounting principles ("U.S. GAAP") and are consistently followed by the Trust. This requires management to make estimates and assumptions that affect the reported amount of assets and liabilities, contingent assets and liabilities at the date of the financial statements, and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from these estimates. All time references are based on Eastern Time.
The NAV of the Fund is calculated by dividing the market value of the Fund’s securities and other assets, less all liabilities, by the number of outstanding shares of the Fund.
(a) Valuation of Investments
The Board of Trustees of the Fund (the “Board”) has adopted policies and procedures for the valuation of the Fund's investments (the “Valuation Procedures”). Pursuant to the Valuation Procedures, the Board has delegated to a valuation committee, consisting of representatives from Guggenheim’s investment management, fund administration, legal and compliance departments (the “Valuation Committee”), the day-to-day responsibility for implementing the Valuation Procedures, including, under most circumstances, the responsibility for determining the fair value of the Fund’s securities and/or other assets.
Valuations of the Fund's securities are supplied primarily by pricing services appointed pursuant to the processes set forth in the Valuation Procedures. The Valuation Committee convenes monthly, or more frequently as needed, to review the valuation of all assets which have been fair valued for reasonableness. The Fund's officers, through the Valuation Committee and consistent with the monitoring and review responsibilities set forth in the Valuation Procedures, regularly review procedures used and valuations provided by the pricing services.
If the pricing service cannot or does not provide a valuation for a particular investment or such valuation is deemed unreliable, such investment is fair valued by the Valuation Committee.
Equity securities listed on an exchange (New York Stock Exchange (“NYSE”) or American Stock Exchange) are valued at the last quoted sale price as of the close of business on the NYSE, usually 4:00 p.m. on the valuation date. Equity securities listed on the NASDAQ market system are valued at the NASDAQ Official
GUGGENHEIM ETFs ANNUAL REPORT | 17 |
NOTES TO FINANCIAL STATEMENTS (continued) |
Closing Price on the valuation date, which may not necessarily represent the last sale price. If there has been no sale on such exchange or NASDAQ on a given day, the security is valued at the closing bid price on that day.
The Fund invests in money market mutual funds, which are valued at their NAV.
Investments for which market quotations are not readily available are fair-valued as determined in good faith by GI under the direction of the Board using methods established or ratified by the Board. Valuations in accordance with these methods are intended to reflect each security’s (or asset’s) “fair value". Each such determination is based on a consideration of all relevant factors, which are likely to vary from one pricing context to another. Examples of such factors may include, but are not limited to market prices; sale prices; broker quotes; and models which derive prices based on inputs such as prices of securities with comparable maturities and characteristics, or based on inputs such as anticipated cash flows or collateral, spread over Treasuries, and other information analysis.
(b) Repurchase Agreements
The Fund may enter into repurchase agreements with financial institutions. In a repurchase agreement, a Fund buys a security and the seller simultaneously agrees to repurchase the security on a specified future date at an agreed-upon price. The repurchase price reflects an agreed-upon interest rate during the time the Fund’s money is invested in the security. Because the security constitutes collateral for the repurchase obligation, a repurchase agreement can be considered a collateralized loan. The Fund follows certain procedures designed to minimize the risks inherent in such agreements. These procedures include effecting repurchase transactions only with large, well capitalized and well-established financial institutions whose condition will be continually monitored by GI. In addition, the value of the collateral underlying the repurchase agreement will always be at least equal to the repurchase price, including any accrued interest earned on the repurchase agreement. In the event of a default or bankruptcy by a selling financial institution, the Fund will seek to liquidate such collateral. However, the exercising of the Fund’s right to liquidate such collateral could involve certain costs or delays and, to the extent that proceeds from any sale upon a default of the obligation to repurchase were less than the repurchase price, the Fund could suffer a loss. It is the current policy of the Fund not to invest in repurchase agreements that do not mature within seven days if any such investment, together with any other illiquid assets held by the Fund, amounts to more than 15% of the Fund’s net assets. The investments of the Fund in repurchase agreements, at times, may be substantial when, in the view of GI, liquidity or other considerations so warrant.
(c) Security Transactions
Security transactions are recorded on the trade date for financial reporting purposes. Realized gains and losses from securities transactions are recorded using the identified cost basis. Proceeds from lawsuits related to investment holdings are recorded as realized gains in the Fund. Dividend income is recorded on the ex-dividend date, net of applicable taxes withheld by foreign countries. Taxable non-cash dividends are recorded as dividend income. Interest income, including amortization of premiums and accretion of discounts, is accrued on a daily basis. Dividend income from REITs is recorded based on the income included in the distributions received from the REIT investments using published REIT classifications, including some management estimates when actual amounts are not available. Distributions received in excess of this estimated amount are recorded as a reduction of the cost of investments or reclassified to capital gains. The actual amounts of income, return of capital, and capital gains are only determined by each REIT after its fiscal year-end, and may differ from the estimated amounts.
(d) Distributions
Distributions of net investment income and net realized gains, if any, are declared and paid at least annually. Distributions are recorded on the ex-dividend date and are determined in accordance with income tax regulations which may differ from U.S. GAAP.
(e) Cash
The Fund may leave cash overnight in its cash account with the custodian. Periodically, the Fund may have cash due to the custodian bank as an overdraft balance. A fee is incurred on this overdraft, calculated by multiplying the overdraft by a rate based on the federal funds rate, which was 1.07% at October 31, 2017.
(f) Indemnifications
Under the Fund's organizational documents, its Trustees and Officers are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In addition, throughout the normal course of business, the Fund enters into contracts that contain a variety of representations and warranties which provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund and/or its affiliates that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote.
Note 2 - Capital
There is a minimum transaction fee per transaction to those persons purchasing or redeeming Creation Units. An additional charge of up to three times the standard transaction fee may be imposed for purchases and redemptions effected outside the
18 | GUGGENHEIM ETFs ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued) |
National Securities Clearing Corporation usual clearing process or for cash. Such transactions are generally permitted on an in-kind basis, with a balancing cash component to equate the transaction to the NAV of the Fund on the transaction date. Transaction fees are not charged to or paid by the Fund. The minimum transaction fee is $2,000.
Note 3 - Fees and Other Transactions with Affiliates
GI determines the composition of the portfolio of securities that must be delivered in exchange for the issuance of Creation Units and periodically adjusts the composition of the portfolio of the Fund to conform to changes in the composition of the relevant index. For these services, GI receives a management fee at the annual rate of 0.20% of the average daily net assets of the Fund.
Effective June 30, 2017, GI waived a portion of its management fee to reduce the Fund’s total annual fund operating expenses to 0.20%. Effective August 24, 2017, the Board approved a reduction in the management fee paid by the Fund from 0.40% to 0.20%.
GI pays all expenses of the Fund, including the cost of transfer agency, custody, fund administration, fund accounting, legal, audit and other services, except: interest, taxes, distribution fees or expenses and extraordinary expenses.
Under a Fund Administration Agreement with the Trust, MUFG Investor Services (US), LLC ("MUIS") provides various administrative and financial reporting services for the Fund. GI compensates MUIS directly for this service.
Under a Fund Accounting Agreement with the Trust, BNYMellon maintains the books and records of the Fund. Under a Custodian Agreement with the Trust, BNYMellon maintains cash, securities and other assets of the Fund in a separate account for the Fund, keeps all necessary accounts and records, and provides other services. BNYMellon is required, upon the order of the Trust, to deliver securities held by the custodian and to make payments for securities purchased by the Trust for the Fund. Pursuant to a Transfer Agency and Service Agreement with the Trust, BNYMellon acts as a transfer agent for the Trust’s authorized and issued shares of beneficial interest, and as dividend disbursing agent of the Trust. GI compensates BNYMellon directly for the foregoing services.
The Fund has adopted a Distribution Plan (the “Plan”) that allows the Fund to pay distribution fees to GFD and other firms that provide distribution services (“Service Providers”). If a Service Provider provides distribution services, the Fund will pay distribution fees to GFD at an annual rate not to exceed 0.25% of average daily net assets, pursuant to Rule 12b-1 of the 1940 Act. GFD will, in turn, pay the Service Provider out of its fees. No such fee is currently charged to the Fund.
Certain trustees and officers of the Trust are also officers of GI and GFD.
Note 4 - Fair Value Measurement
In accordance with U.S. GAAP, fair value is defined as the price that the Fund would receive to sell an investment or pay to transfer a liability in an orderly transaction with an independent buyer in the principal market, or in the absence of a principal market, the most advantageous market for the investment or liability. U.S. GAAP establishes a three-tier fair value hierarchy based on the types of inputs used to value assets and liabilities and requires corresponding disclosure. The hierarchy and the corresponding inputs are summarized below:
Level 1 — quoted prices in active markets for identical securities.
Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3 — significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
The types of inputs available depend on a variety of factors, such as the type of security and the characteristics of the markets in which it trades, if any. Fair valuation determinations that rely on fewer or no observable inputs require greater judgment. Accordingly, fair value determinations for Level 3 securities require the greatest amount of judgment.
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The suitability of the techniques and sources employed to determine fair valuation are regularly monitored and subject to change.
Note 5 - Portfolio Securities Loaned
The Fund may lend portfolio securities to certain creditworthy borrowers, including the Fund's securities lending agent to earn additional income. The Fund receives cash collateral and/or high grade debt obligations valued at 102% of the market value of domestic securities on loan and 105% of foreign securities on loan. Collateral is maintained over the life of the loan in an amount not less than the value of loaned securities, as determined at the close of fund business on the preceding business day; any additional collateral required due to changes in security values is delivered to the Fund the next business day. The cash collateral received is held in a separately managed account established for the Fund and maintained by the lending agent exclusively for the investment of securities lending cash collateral on behalf of the Fund. The lending agent aggregates the available collateral into a separately managed accounts to invest in short-term investments valued
GUGGENHEIM ETFs ANNUAL REPORT | 19 |
NOTES TO FINANCIAL STATEMENTS (continued) |
at amortized cost, which approximates market value. The separately managed account is allocated a percentage of the aggregated repurchase agreement and the related collateral. Although the collateral mitigates the risk, the Fund could experience a delay in recovering its securities and a possible loss of income or value if the borrower fails to return the securities. The Fund has the right under the securities lending agreement to recover the securities from the borrower on demand. Securities lending transactions are accounted for as secured borrowings. The remaining contractual maturity of the securities lending agreement is overnight and continuous.
The Fund separately receives compensation for lending securities from interest or dividends earned on the cash, cash equivalents, repurchase agreements, or U.S. government securities held as collateral, net of fee rebates paid to the borrower plus reasonable administrative and custody fees paid to the lending agent. Such compensation is accrued daily and payable to the Fund monthly. The dividend and interest income earned on the securities loaned is accounted for in the same manner as other dividend and interest income. The borrower pays to the Fund an amount equal to any dividends or interest received on loaned securities. These payments from the borrower are not eligible for reduced tax rates as “qualified dividend income” under the Jobs and Growth Tax Reconciliation Act of 2003. The Fund retains all or a portion of the interest received on investment of cash collateral or receives a fee from the borrower. The securities lending income earned by the Fund is disclosed on the Statement of Operations.
At October 31, 2017, the Fund participated in securities lending transactions, which are subject to enforceable netting arrangements, as follows:
Gross Amounts Not Offset in the Statement of Assets and Liabilities | Securities Lending Collateral | |||||||||||||||||||||
Fund | Value of Securities Loaned | Collateral Receiveda | Net Amount | Cash Collateral | Non-Cash Collateral | Total Collateral | ||||||||||||||||
Guggenheim S&P 500® Equal Weight ETF | $ | 919,767,540 | $ | (919,767,540 | ) | $ | — | $397,531,811 | $ | 549,816,251 | $ | 947,348,062 |
a | Actual collateral received by the Fund is greater than the amount shown due to over collateralization. |
In the event of counterparty default, the Fund has the right to collect the collateral to offset losses incurred. There is potential loss to the Fund in the event the Fund is delayed or prevented from exercising their rights to dispose of the collateral securities, including the risk of a possible decline in the value of the underlying securities during the period while the Fund seeks to assert their rights. GI, acting under the supervision of the Board, reviews the value of the collateral and the creditworthiness of those banks and dealers to evaluate potential risks.
20 | GUGGENHEIM ETFs ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued) |
The following represents the aggregate collateral balances reinvested by the lending agent on behalf of the Fund with each counterparty for the repurchase agreements at October 31, 2017:
Counterparty and Terms of Agreement | Face Value | Repurchase Price | Collateral | Par Value | Fair Value | ||||||||||||
Daiwa Capital Markets America | Various U.S. Government obligations and | ||||||||||||||||
1.08% | U.S. Government | ||||||||||||||||
Due 11/01/17 | $ | 92,528,318 | $ | 92,531,094 | agency securities | $ | 189,301,811 | $ | 94,357,726 | ||||||||
Merrill Lynch, Pierce, Fenner & Smith, Inc. | Various U.S. Government obligations and | ||||||||||||||||
1.07% | U.S. Government | ||||||||||||||||
Due 11/01/17 | 92,528,318 | 92,531,068 | agency securities | 119,386,904 | 94,378,884 | ||||||||||||
Nomura Securities International, Inc. | Various U.S. Government obligations and | ||||||||||||||||
1.06% | U.S. Government | ||||||||||||||||
Due 11/01/17 | 92,528,318 | 92,531,042 | agency securities | 97,671,721 | 94,378,884 | ||||||||||||
State of Wisconsin Investment Board | Various U.S. Government obligations and | ||||||||||||||||
1.21% | U.S. Government | ||||||||||||||||
Due 11/01/17 | 51,637,464 | 51,639,200 | agency securities | 47,656,818 | 53,034,548 | ||||||||||||
Citibank | Various U.S. Government obligations and | ||||||||||||||||
1.05% | U.S. Government | ||||||||||||||||
Due 11/01/17 | 49,503,380 | 49,504,824 | agency securities | 46,733,230 | 50,493,455 | ||||||||||||
Deutsche Bank Securities, Inc. | Various U.S. Government obligations and | ||||||||||||||||
1.05% | U.S. Government | ||||||||||||||||
Due 11/01/17 | 18,806,013 | 18,806,562 | agency securities | 28,019,409 | 19,182,134 |
The Fund’s exposure to each respective counterparty is identified in the Schedule of Investments.
Note 6 - Federal Income Tax Information
The Fund intends to comply with the provisions of Subchapter M of the Internal Revenue Code applicable to regulated investment companies and will distribute substantially all taxable net investment income and capital gains sufficient to relieve the Fund from all, or substantially all, federal income, excise and state income taxes. Therefore, no provision for federal or state income tax or federal excise tax is required.
Tax positions taken or expected to be taken in the course of preparing the Fund’s tax returns are evaluated to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. Management has analyzed the Fund’s tax positions taken, or to be taken, on federal income tax returns for all open tax years, and has concluded that no provision for income tax is required in the Fund’s financial statements. The Fund’s federal tax returns are subject to examination by the Internal Revenue Service for a period of three years after they are filed.
The tax character of distributions paid during the year ended October 31, 2017 was as follows:
Fund | Ordinary Income | Long-Term Capital Gain | Total Distributions | |||||||||
Guggenheim S&P 500® Equal Weight ETF | $ | 179,124,293 | $ | — | $ | 179,124,293 |
GUGGENHEIM ETFs ANNUAL REPORT | 21 |
NOTES TO FINANCIAL STATEMENTS (continued) |
The tax character of distributions paid during the year ended October 31, 2016 was as follows:
Fund | Ordinary Income | Long-Term Capital Gain | Total Distributions | |||||||||
Guggenheim S&P 500® Equal Weight ETF | $ | 147,336,657 | $ | — | $ | 147,336,657 |
Note: For federal income tax purposes, short-term capital gain distributions are treated as ordinary income distributions.
The tax components of accumulated earnings/(deficit) as of October 31, 2017 were as follows:
Fund | Undistributed Ordinary Income | Undistributed Long-Term Capital Gains | Net Unrealized Appreciation/ (Depreciation) | Accumulated Capital and Other Losses | Total | |||||||||||||||
Guggenheim S&P 500® Equal Weight ETF | $ | 33,539,082 | $ | — | $ | 2,280,971,501 | $ | (500,419,938 | ) | $ | 1,814,090,645 |
For Federal income tax purposes, capital loss carryforwards represent realized losses of the Fund that may be carried forward and applied against future capital gains. For taxable years beginning on or before December 22, 2010, such capital losses may be carried forward for a maximum of eight years. Under the RIC Modernization Act of 2010, the Fund is permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. However, any losses incurred during those taxable years must be utilized prior to the losses incurred in pre-enactment taxable years. As a result of this ordering rule, pre-enactment capital loss carryforwards may be more likely to expire unused. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under previous law. As of October 31, 2017, capital loss carryforwards for the Fund were as follows:
Unlimited | ||||||||||||||||||||
Fund | Expires in 2018 | Expires in 2019 | Short-Term | Long-Term | Total Capital Loss Carryforward | |||||||||||||||
Guggenheim S&P 500® Equal Weight ETF | $ | (35,251,288 | ) | $ | (20,783,254 | ) | $ | — | $ | (444,385,396 | ) | $ | (500,419,938 | ) |
For the year ended October 31, 2017, the following capital loss carryforward amount expired:
Fund | Amount | |||
Guggenheim S&P 500® Equal Weight ETF | $ | 313,762,207 |
Net investment income and net realized gains (losses) may differ for financial statement and tax purposes because of temporary or permanent book/tax differences. These differences are primarily due to investments in real estate investment trusts, losses deferred due to wash sales, redemption in-kind transactions, and return of capital distributions received. Additional differences may result from the tax treatment of the expiration of capital loss carryforward amounts and excise tax paid. To the extent these differences are permanent, reclassifications are made to the appropriate capital accounts in the period that the differences arise. These reclassifications have no effect on net assets or NAV per share.
The following adjustments were made on the Statement of Assets and Liabilities as of October 31, 2017 for permanent book/tax differences:
Fund | Paid In Capital | Undistributed Net Investment Income | Accumulated Net Realized Loss | |||||||||
Guggenheim S&P 500® Equal Weight ETF | $ | 333,140,658 | $ | 1,719,301 | $ | (334,859,959 | ) |
22 | GUGGENHEIM ETFs ANNUAL REPORT |
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NOTES TO FINANCIAL STATEMENTS (continued) |
At October 31, 2017, the cost of securities for Federal income tax purposes, the aggregate gross unrealized gain for all securities for which there was an excess of value over tax cost, and the aggregate gross unrealized loss for all securities for which there was an excess of tax cost over value, were as follows:
Fund | Tax Cost | Tax Unrealized Gain | Tax Unrealized (Loss) | Net Unrealized Gain | ||||||||||||
Guggenheim S&P 500® Equal Weight ETF | $ | 12,336,152,822 | $ | 2,816,182,852 | $ | (535,211,351 | ) | $ | 2,280,971,501 |
Note 7 - Investment Transactions
For the year ended October 31, 2017, the Fund had investments transactions in-kind associated with subscriptions and redemptions as follows:
Fund | Subscriptions | Redemptions | ||||||
Guggenheim S&P 500® Equal Weight ETF | $ | 3,856,299,405 | $ | 1,650,487,202 |
For the year ended October 31, 2017, the cost of purchases and proceeds from sales of investment securities, excluding government securities, short-term investments and in-kind transactions, were as follows:
Fund | Purchases | Sales | ||||||
Guggenheim S&P 500® Equal Weight ETF | $ | 2,697,546,351 | $ | 2,642,497,503 |
Note 8 - Legal Proceedings
Tribune Company
Rydex ETF Trust has been named as a defendant and a putative member of the proposed defendant class of shareholders in the case entitled Kirschner v. FitzSimons, No. 12-2652 (S.D.N.Y.) (formerly Official Committee of Unsecured Creditors of Tribune Co. v. FitzSimons, Adv. Pro. No. 10-54010 (Bankr. D. Del.)) (the “FitzSimons action”), as a result of ownership by certain series of the Rydex ETF Trust of shares in the Tribune Company (“Tribune”) in 2007, when Tribune effected a leveraged buyout transaction (“LBO”) by which Tribune converted to a privately-held company. In his complaint, the plaintiff has alleged that, in connection with the LBO, Tribune insiders and shareholders were overpaid for their Tribune stock using financing that the insiders knew would, and ultimately did, leave Tribune insolvent. The plaintiff has asserted claims against certain insiders, major shareholders, professional advisers, and others involved in the LBO. The plaintiff is also attempting to obtain from former Tribune shareholders, including Rydex ETF Trust, the proceeds they received in connection with the LBO.
In June 2011, a group of Tribune creditors filed multiple actions against former Tribune shareholders involving state law constructive fraudulent conveyance claims arising out of the 2007 LBO (the “SLCFC actions”). Rydex ETF Trust has been named as a defendant in one of the SLCFC actions: Deutsche Bank Trust Co. Americas v. McGurn, No. 12-0063 (S.D.N.Y.). In the SLCFC actions, the creditors seek to recover from Tribune’s former shareholders the proceeds received in connection with the 2007 LBO.
The FitzSimons action and the SLCFC actions have been consolidated with the majority of the other Tribune LBO-related lawsuits in a multidistrict litigation proceeding captioned In re Tribune Company Fraudulent Conveyance Litig., No. 11-md-2696 (S.D.N.Y.) (the “MDL Proceeding”).
On September 23, 2013, the District Court granted the defendants’ omnibus motion to dismiss the SLCFC actions, on the basis that the creditors lacked standing. On September 30, 2013, the creditors filed a notice of appeal of the September 23 order. On October 28, 2013, the defendants filed a joint notice of cross-appeal of that same order.
On March 29, 2016, the U.S. Court of Appeals for the Second Circuit issued its opinion on the appeal of the SLCFC actions. The appeals court affirmed the district court’s dismissal of those lawsuits, but on different grounds than the district court. The appeals court held that while the plaintiffs have standing under the U.S. Bankruptcy Code, their claims were preempted by Section 546(e) of the Bankruptcy Code—the statutory safe harbor for settlement payments. On April 12, 2016, the plaintiffs in the SLCFC actions filed a petition seeking rehearing en banc before the appeals court. On July 22, 2016, the appeals court denied the petition. On September 9, 2016, the plaintiffs filed a petition for writ of certiorari in
GUGGENHEIM ETFs ANNUAL REPORT | 23 |
NOTES TO FINANCIAL STATEMENTS (concluded) |
the U.S. Supreme Court challenging the Second Circuit’s decision that the safe harbor of Section 546(e) applied to their claims. The shareholder defendants, including the Rydex ETF Trust, filed a joint brief in opposition to the petition for writ of certiorari on October 24, 2016. The plaintiffs filed a reply in support of the petition on November 4, 2016. The Supreme Court has not yet granted or denied the petition for certiorari.
On May 23, 2014, the defendants filed motions to dismiss the FitzSimons action, including a global motion to dismiss Count I, which is the claim brought against former Tribune shareholders for intentional fraudulent conveyance under U.S. federal law. On January 6, 2017, the United States District Court for the Southern District of New York granted the shareholder defendants’ motion to dismiss the intentional fraudulent conveyance claim in the FitzSimons action. In dismissing the intentional fraudulent conveyance claim, the Court denied the plaintiff’s request to amend the complaint. The plaintiff requested that the Court direct entry of a final judgment in order to make the order immediately appealable. On February 23, 2017, the Court issued an order stating that it intends to permit an interlocutory appeal of the dismissal order, but will wait to do so until it has resolved outstanding motions to dismiss filed by other defendants. Accordingly, the timing of the appeal is uncertain.
On July 18, 2017, the plaintiff submitted a letter to the District Court seeking leave to amend its complaint to add a constructive fraudulent transfer claim. The shareholder defendants opposed that request. On August 24, 2017, the Court denied the plaintiff’s request without prejudice to renewal of the request in the event of an intervening change in the law.
None of these lawsuits alleges any wrongdoing on the part of Rydex ETF Trust. The following series of Rydex ETF Trust held shares of Tribune and tendered these shares as part of Tribune’s LBO: Guggenheim S&P 500 Equal Weight ETF (the “Fund”). The value of the proceeds received by the foregoing Fund was $4,766,035. At this stage of the proceedings, Rydex ETF Trust is not able to make a reliable prediction as to the outcome of these lawsuits or the effect, if any, on the Fund’s net asset value.
Note 9 - Subsequent Event
Guggenheim Investments announced on September 28, 2017, that its parent company, Guggenheim Capital, LLC, had entered into a definitive agreement to sell its exchange-traded funds business to Invesco Ltd. (“Invesco”), a leading global investment management company (the “Transaction”). On November 16, 2017, the Board approved an Agreement and Plan of Reorganization (the “Plan of Reorganization”) providing for the reorganization (each, a “Reorganization” and collectively, the “Reorganizations”) of each Fund into a corresponding newly-created exchange-traded fund of the PowerShares by Invesco family of funds (each, an “Acquiring Fund”). Each Acquiring Fund will have the same investment objective and will track the same underlying index as its corresponding Fund, and will be subject to substantially the same principal investment strategies, policies and risks as the corresponding Fund, but as part of an Invesco-structured platform. Each Reorganization is subject to shareholder approval of the applicable Fund. Fund shareholders of record as of December 20, 2017 will be asked to vote on the proposed Reorganizations at the joint special meeting of shareholders to be held on or about February 16, 2018. If approved by shareholders, each Reorganization is expected to close shortly after the joint special meeting of shareholders. However, the closing of the Transaction is subject to various terms and conditions and, therefore, may be delayed or even terminated due to unforeseen circumstances.
The Fund evaluated subsequent events through the date the financial statements were available for issue and determined there were no additional material events that would require adjustment to or disclosure in the Fund’s financial statements.
24 | GUGGENHEIM ETFs ANNUAL REPORT |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM |
The Board of Trustees and Shareholders of Rydex ETF Trust
We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of Guggenheim S&P 500® Equal Weight ETF (one of the series constituting the Rydex ETF Trust) (the “Fund”) as of October 31, 2017, and the related statement of operations, the statement of changes in net assets, and the financial highlights for each of the years or periods indicated therein. The financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audit.
We conducted our audit in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Fund’s internal control over financial reporting. Our audit included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of October 31, 2017, by correspondence with the custodian and brokers. We believe that our audit provides a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the Fund (one of the series constituting the Rydex ETF Trust) at October 31, 2017, the results of its operations, the changes in its net assets, and its financial highlights for each of the years or periods indicated therein, in conformity with U.S. generally accepted accounting principles.
Tysons, Virginia
December 21, 2017
GUGGENHEIM ETFs ANNUAL REPORT | 25 |
OTHER INFORMATION (Unaudited) |
Federal Income Tax Information
This information is being provided as required by the Internal Revenue Code. Amounts shown may differ from those elsewhere in the report because of differences in tax and financial reporting practice.
In January 2018, shareholders will be advised on IRS Form 1099 DIV or substitute 1099 DIV as to the federal tax status of the distributions received by shareholders in the calendar year 2017.
Of the taxable ordinary income distributions paid during the fiscal year ending October 31, 2017, the Fund had the corresponding percentages qualify for the reduced tax rate pursuant to the Jobs and Growth Tax Relief and Reconciliation Act of 2003 or for the dividends received deduction for corporations. See the qualified dividend income and dividend received deduction columns, respectively, in the table below.
Fund | Qualified Dividend Income | Dividend Received Deduction |
Guggenheim S&P 500® Equal Weight ETF | 100.00% | 100.00% |
Proxy Voting Information
A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to securities held in the Funds’ portfolios is available, without charge and upon request, by calling 800.820.0888. This information is also available from the EDGAR database on the SEC’s website at https://www.sec.gov.
Information regarding how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available without charge, upon request, by calling 800.820.0888. This information is also available from the EDGAR database on the SEC’s website at https://www.sec.gov.
Sector Classification
Information in the Schedule of Investments is categorized by sectors using sector-level Classifications defined by the Bloomberg Industry Classification System, a widely recognized industry classification system provider. Each Fund’s registration statement has investment policies relating to concentration in specific sectors/industries. For purposes of these investment policies, the Funds usually classify sectors/industries based on industry-level Classifications used by widely recognized industry classification system providers such as Bloomberg Industry Classification System, Global Industry Classification Standards and Barclays Global Classification Scheme.
Quarterly Portfolio Schedules Information
The Trust files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q, which are available on the SEC’s website at https://www.sec.gov. The Funds’ Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC, and that information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330. Copies of the portfolio holdings are also available to shareholders, without charge and upon request, by calling 800.820.0888.
Board Considerations in Approving the Continuation of the Investment Advisory Agreement
The Board of Trustees (the “Board”) of Rydex ETF Trust (the “Trust”), including the Trustees who are not “interested persons,” as defined by the Investment Company Act of 1940, of the Trust (“Independent Trustees”), attended an in-person meeting held on May 25, 2017, called for the purpose of, among other things, the consideration of, and voting on, the approval and continuation of the investment advisory agreement (the “Investment Advisory Agreement”) between the Trust and Security Investors, LLC (the “Advisor”) applicable to the Guggenheim S&P 500® Equal Weight ETF, a series of the Trust (the “Fund”). The Board unanimously approved the continuation of the Investment Advisory Agreement for an additional one-year period based on the Board’s review of qualitative and quantitative information provided by the Advisor. The Board had previously considered information pertaining to the renewal of the Investment Advisory Agreement at an in-person meeting held on April 26, 2017 (together, with the May 25 meeting, the “Meetings”). The Board considered the materials provided by the Advisor and the review conducted at the April 26 meeting to be an integral part of the Trustees’ deliberations and their process in considering the renewal of the Investment Advisory Agreement.
26 | GUGGENHEIM ETFs ANNUAL REPORT |
OTHER INFORMATION (Unaudited)(continued) |
Prior to reaching the conclusion to approve the continuation of the Investment Advisory Agreement, the Independent Trustees requested and obtained from the Advisor such information as the Independent Trustees deemed reasonably necessary to evaluate the Investment Advisory Agreement. In addition, the Board received a memorandum from the independent legal counsel to the Independent Trustees regarding the Board’s fiduciary responsibilities under state and federal law with respect to the Board’s consideration of the renewal or approval of investment advisory agreements and participated in question and answer sessions with representatives of the Advisor. The Independent Trustees also carefully considered information they received throughout the year as part of their regular oversight of the Fund. At the Meetings, the Board obtained and reviewed a wide variety of information, including certain comparative information regarding the Fund’s fees, expenses, and performance relative to the fees, expenses, and performance of other comparable funds (the “FUSE reports”). The Independent Trustees carefully evaluated this information, met in executive session outside the presence of fund management, and were advised by independent legal counsel with respect to their deliberations.
At the Meetings, the Board, including the Independent Trustees, evaluated a number of factors, including among others: (a) the nature, extent and quality of the Advisor’s investment advisory and other services; (b) the Advisor’s substantial commitment to the recruitment and retention of high quality personnel; (c) a comparison of the Fund’s advisory fees to the advisory fees charged to comparable funds or accounts, giving special attention to the existence of economies of scale and the absence of breakpoints in these fees and the Advisor’s rationale for not providing for breakpoints at this point in time; (d) the Fund’s overall fees and operating expenses compared with those of similar funds; (e) the level of the Advisor’s profitability from its Fund-related operations; (f) the Advisor’s compliance processes and systems; (g) the Advisor’s compliance policies and procedures; (h) the Advisor’s reputation, expertise and resources in the financial markets; (i) Fund performance compared with that of similar funds and/or appropriate benchmarks; (j) other benefits to the Advisor and/or its affiliates from their relationship to the Fund; and (k) the Advisor’s maintenance of operational resources necessary to manage the Fund in a professional manner consistent with the best interests of the Fund and its shareholders. In their deliberations, the Trustees did not identify any particular factor or factors that was controlling, noting that each Trustee could attribute different weights to the various factors considered.
Based on the Board’s deliberations at the Meetings, the Board, including all of the Independent Trustees, unanimously: (a) concluded that the terms of the Investment Advisory Agreement are fair and reasonable; (b) concluded that the Advisor’s fees for the Fund are reasonable in light of, and not so disproportionately large as to bear no reasonable relationship to, the services that it provides to such Fund; and (c) agreed to approve and continue the Investment Advisory Agreement based upon the following considerations, among others:
Nature, Extent and Quality of Services Provided by the Advisor. The Board evaluated, among other things, the Advisor’s business, financial resources, quality and quantity of personnel, experience, past performance, the variety and complexity of its investment strategies (including the extent to which the Fund uses derivatives), Fund risk management process, brokerage practices, and the adequacy of its compliance systems and processes, proxy voting policies and practices, and cybersecurity programs. The Board reviewed the scope of services to be provided by the Advisor under the Investment Advisory Agreement and noted that there would be no significant differences between the scope of services required to be provided by the Advisor for the past year and the scope of services required to be provided during the upcoming year. The Board also considered the Advisor’s representations to the Board that the Advisor would continue to provide investment and related services that were of materially the same quality and quantity as services provided to the Fund in the past, and whether these services are appropriate in scope and extent in light of the Fund’s operations, the competitive landscape of the investment company business and investor needs. Based on the foregoing, the Trustees determined that the approval of the Investment Advisory Agreement would enable shareholders of the Fund to receive high quality services at a cost that was appropriate and reasonable.
Fund Expenses and Performance of the Fund and the Advisor. The Board reviewed statistical information provided by the Advisor regarding the expense ratio components and performance of the Fund. The Advisor engaged FUSE Research Network LLC (“FUSE”), an independent, third party research provider, to prepare reports to help the Board compare the Fund’s fees, expenses, and total return performance with those of a peer group and peer universe of funds selected by FUSE. In the reports, the Fund’s expense ratio components, including actual advisory fees, waivers/reimbursements, and gross and net total expenses, are compared to those of other funds with shared key characteristics (e.g., asset size, fee structure, sector or industry investment focus) determined by FUSE to comprise the Fund’s applicable peer group. The Board considered the Advisor’s representation that it found the peer group compiled by FUSE to be appropriate, but also acknowledged the existence of certain differences between the Fund and its peer funds (e.g., specific differences in principal investment strategies and index rebalance frequency) that should be reviewed in context. The statistical information related to the performance of the Fund included three-month and one-, three-, and five-year performance for the Fund compared to that of its peers. The Board also discussed the correlation between the Fund’s assets under management and tracking error, noting that the Fund’s ability to replicate an underlying index rather than employ representative sampling depends, in part, upon the Fund’s size. Based on the foregoing, the Board determined that the proposed advisory fees paid by the Fund are reasonable in relation to the nature and quality of the services provided by the Advisor.
GUGGENHEIM ETFs ANNUAL REPORT | 27 |
OTHER INFORMATION (Unaudited)(concluded) |
Costs of Services Provided to the Fund and Profits Realized by the Advisor and its Affiliates. The Board reviewed information about the profitability of the Fund to the Advisor based on the advisory fees payable under the current Investment Advisory Agreement for the last calendar year. The Board analyzed the Fund’s expenses, including the investment advisory fees paid to the Advisor, and reviewed the FUSE reports. The Board noted that the Advisor had contractually agreed to pay all operating expenses of the Fund, including the cost of index licensing fees, transfer agency, custody, fund administration, legal, audit and other services, except management fees, interest expense, taxes (expected to be de minimis), brokerage commissions and other expenses connected with the execution of portfolio transactions, extraordinary expenses, distribution fees, and expenses paid by the Trust under any distribution plan adopted pursuant to Rule 12b-1 under the 1940 Act. In addition to those expenses listed above, the Advisor also has contractually agreed to pay expenses of the Independent Trustees, including any Trustees’ counsel fees. The Board also reviewed information regarding the direct revenue received by the Advisor and ancillary revenue, if any, received by the Advisor and/or its affiliates in connection with the services provided to the Fund by the Advisor and/or its affiliates. The Board also discussed the Advisor’s profit margin, including the expense allocation methodology used in the Advisor’s profitability analysis. Based on the foregoing, the Board determined that the profit to the Advisor on the fees paid by the Fund is not excessive in view of the nature and quality of the services provided by the Advisor.
Economies of Scale. The Board considered the absence of breakpoints in the Advisor’s fee schedule and reviewed information regarding the extent to which economies of scale or other efficiencies may result from increases in the Fund’s asset levels. The Board noted that the Fund’s advisory fee rates are not subject to breakpoints as Fund assets increase, but the Board also considered the Advisor’s assertion that future economies of scale had been taken into consideration initially by fixing low advisory fees for the Fund, effectively sharing the benefits of lower fees with the Fund from inception. The Board noted that it intends to continue to monitor fees as the Fund grows in size and assess whether fee breakpoints may be warranted.
Other Benefits to the Advisor and/or its Affiliates. In addition to evaluating the Advisor’s services, the Board considered the nature and amount of other benefits to be received by the Advisor and its affiliates as a result of their relationship with the Fund, including any intangible benefits to the Advisor. In particular, the Board considered the nature, extent, quality, and cost of certain distribution and shareholder services performed by the Advisor’s affiliate, Guggenheim Funds Distributors, LLC, under the distribution agreement and Distribution Plan pursuant to Rule 12b-1 of the 1940 Act. In light of the costs of providing services pursuant to the separate agreements as well as the Advisor’s and its affiliate’s commitment to the Fund, the Board concluded the ancillary benefits the Advisor and its affiliates received were reasonable.
On the basis of the information provided to it and its evaluation of that information, the Board, including the Independent Trustees, concluded that the terms of the Investment Advisory Agreement were reasonable, and that approval of the continuation of the Investment Advisory Agreement was in the best interests of the Fund and its shareholders.
28 | GUGGENHEIM ETFs ANNUAL REPORT |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited) |
A Board of Trustees oversees the Trust, as well as other trusts of GI, in which its members have no stated term of service, and continue to serve after election until resignation. The Statement of Additional Information includes further information about Fund Trustees and Officers, and can be obtained without charge by visiting guggenheiminvestments.com or by calling 800.820.0888.
Name, Address* and Year of Birth of Trustee | Position(s) Held with the Trust, Term of Office and Length of Time Served | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee*** | Other Directorships Held by Trustee **** |
INTERESTED TRUSTEE | ||||
Donald C. Cacciapaglia** (1951) | Trustee from 2012 to present. | Current: Vice Chairman, Guggenheim Investments (2010-present).
Former: President and CEO, certain other funds in the Fund Complex (2012-November 2017); Chairman and CEO, Channel Capital Group, Inc. (2002-2010). | 226 | Clear Spring Life Insurance Company (2015-present); Guggenheim Partners Japan, Ltd. (2014-present); Guggenheim Partners Investment Management Holdings, LLC (2014-present); Delaware Life (2013-present); Guggenheim Life and Annuity Company (2011-present); Paragon Life Insurance Company of Indiana (2011-present). |
INDEPENDENT TRUSTEES | ||||
Angela Brock-Kyle (1959) | Trustee, Member of the Audit Committee, Chairwoman and Member of the Compliance and Risk Oversight Committee, and Member of the Nominating and Governance Committee from 2016 to present. | Current: Founder and Chief Executive Officer, B.O.A.R.D.S (consulting firm).
Former: Senior Leader, TIAA (financial services firm) (1987-2012). | 133 | Infinity Property & Casualty Corporation (2014-present). |
Corey A. Colehour (1945) | Trustee and Member of the Audit Committee from 2003 to present; Member of the Nominating and Governance Committee from 2005 to present; and Member of the Investment and Performance Committee from 2014 to present. | Retired. | 133 | None. |
J. Kenneth Dalton (1941) | Trustee from 2003 to present; Chairman and Member of the Audit Committee from 2003 to present; and Member of the Compliance and Risk Oversight Committee from 2010 to present. | Retired. | 133 | Epiphany Funds (3) (2009-present). |
GUGGENHEIM ETFs ANNUAL REPORT | 29 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* and Year of Birth of Trustee | Position(s) Held with the Trust, Term of Office and Length of Time Served | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee*** | Other Directorships Held by Trustee **** |
INDEPENDENT TRUSTEES - concluded | ||||
John O. Demaret (1940) | Trustee and Member of the Audit Committee from 2003 to present; Chairman of the Board from 2006 to 2014; Member of the Compliance and Risk Oversight Committee from 2010 to present; Member of the Investment and Performance Committee and Nominating Committee from 2014 to present. | Retired. | 133 | None. |
Werner E. Keller (1940) | Chairman and Trustee of the Board from 2014 to present; Member of the Audit Committee and Governance and Nominating Committee from 2005 to present; Member of the Compliance and Risk Oversight Committee from 2010 to present; and Member of the Investment and Performance Committee from 2014 to present. | Current: Founder and President, Keller Partners, LLC (investment research firm) (2005-present). | 133 | None. |
Thomas F. Lydon, Jr. (1960) | Trustee, Member of the Audit Committee, and Chairman and Member of the Nominating and Governance Committee from 2005 to present. | Current: President, Global Trends Investments (registered investment adviser) (1996-present). | 133 | US Global Investors (GROW) (1995-present). |
Patrick T. McCarville (1942) | Trustee and Member of the Audit Committee from 2003 to present; Member of the Nominating and Governance Committee, and Member of the Compliance and Risk Oversight Committee from 2005 to present. | Retired.
Former: Chief Executive Officer, Par Industries, Inc., d/b/a Par Leasing (1977-2010). | 133 | None. |
Sandra G. Sponem (1958) | Trustee, Member of the Audit Committee, and Chairwoman and Member of the Investment and Performance Committee from 2016 to present. | Retired.
Former: Senior Vice President and Chief Financial Officer, M.A. Mortenson Companies, Inc. (general contracting firm) (2007-2017). | 133 | None. |
30 | GUGGENHEIM ETFs ANNUAL REPORT |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* and Year of Birth | Position(s) Held with the Trust, Term of Office and Length of Time Served | Principal Occupation(s) During Past 5 Years |
OFFICERS | ||
Michael P. Byrum (1970) | Vice President (1999-present) | Current: Senior Vice President, Security Investors, LLC (2010-present); President and Chief Investment Officer, Rydex Holdings, LLC (2008-present); Director and Chairman, Advisory Research Center, Inc. (2006-present); Manager, Guggenheim Specialized Products, LLC (2005-present).
Former: Vice President, Guggenheim Distributors, LLC (2009); Director (2009-2010) and Secretary (2002-2010), Rydex Fund Services, LLC; Director (2008-2010), Chief Investment Officer (2006-2010), President (2004-2010) and Secretary (2002-2010), Rydex Advisors, LLC; Director (2008-2010), Chief Investment Officer (2006-2010), President (2004-2010) and Secretary (2002-2010), Rydex Advisors II, LLC. |
Joanna M. Catalucci (1966)
| AML Officer (2016-present) | Current: Chief Compliance Officer, certain funds in the Fund Complex (2012-present); Senior Managing Director, Guggenheim Investments (2014-present); AML Officer, certain funds in the Fund Complex (2016-present).
Former: Chief Compliance Officer and Secretary, certain other funds in the Fund Complex (2008-2012); Senior Vice President & Chief Compliance Officer, Security Investors, LLC and certain affiliates (2010-2012); Chief Compliance Officer and Senior Vice President, Rydex Advisors, LLC and certain affiliates (2010-2011). |
James M. Howley (1972) | Assistant Treasurer (2016-present) | Current: Managing Director, Guggenheim Investments (2004-present); Assistant Treasurer, certain other funds in the Fund Complex (2006-present).
Former: Manager of Mutual Fund Administration, Van Kampen Investments, Inc. (1996-2004). |
Keith D. Kemp (1960) | Assistant Treasurer (2016-present) | Current: Treasurer and Assistant Treasurer, certain other funds in the Fund Complex (2010-present); Managing Director, Guggenheim Investments (2015-present); Chief Financial Officer, Guggenheim Specialized Products, LLC (2016-present).
Former: Managing Director and Director, Transparent Value, LLC (2010-2016); Director, Guggenheim Partners Investment Management, LLC (2010-2015); Chief Operating Officer, Macquarie Capital Investment Management (2007-2009). |
Amy J. Lee (1961) | President (November 2017-present) | Current: President and Chief Executive Officer, certain other funds in the Fund Complex (November 2017-present); Chief Legal Officer, certain other funds in the Fund Complex (2013-present); Senior Managing Director, Guggenheim Investments (2012-present).
Former: Vice President, Associate General Counsel and Assistant Secretary, Security Benefit Life Insurance Company and Security Benefit Corporation (2004-2012). |
Mark E. Mathiasen (1978) | Secretary (November 2017-present) | Current: Secretary, certain other funds in the Fund Complex (2007-present); Managing Director, Guggenheim Investments (2007-present). |
Glenn McWhinnie (1969) | Assistant Treasurer (2016-present) | Current: Vice President, Guggenheim Investments (2009-present).
Former: Tax Compliance Manager, Ernst & Young LLP (1996-2009). |
Elisabeth Miller (1968) | Chief Compliance Officer (2012-present) | Current: CCO, certain other funds in the Fund Complex (2012-present); CCO, Security Investors, LLC (2012-present); CCO, Guggenheim Funds Investment Advisors, LLC (2012-present); Managing Director, Guggenheim Investments (2012-present); Vice President, Guggenheim Funds Distributors, LLC (2014-present).
Former: CCO, Guggenheim Distributors, LLC (2009-2014); Senior Manager, Security Investors, LLC (2004-2009); Senior Manager, Guggenheim Distributors, LLC (2004-2009). |
GUGGENHEIM ETFs ANNUAL REPORT | 31 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(concluded) |
Name, Address* and Year of Birth | Position(s) Held with the Trust, Term of Office and Length of Time Served | Principal Occupation(s) During Past 5 Years |
OFFICERS - concluded | ||
Adam J. Nelson (1979) | Assistant Treasurer (2016-present) | Current: Vice President, Guggenheim Investments (2015-present); Assistant Treasurer, certain other funds in the Fund Complex (2015-present).
Former: Assistant Vice President and Fund Administration Director, State Street Corporation (2013-2015); Fund Administration Assistant Director, State Street (2011-2013); Fund Administration Manager, State Street (2009-2011). |
Kimberly J. Scott (1974) | Assistant Treasurer (2016-present) | Current: Director, Guggenheim Investments (2012-present); Assistant Treasurer, certain other funds in the Fund Complex (2012-present).
Former: Financial Reporting Manager, Invesco, Ltd. (2010-2011); Vice President/Assistant Treasurer of Mutual Fund Administration, Van Kampen Investments, Inc./Morgan Stanley Investment Management (2009-2010); Manager of Mutual Fund Administration, Van Kampen Investments, Inc./Morgan Stanley Investment Management (2005-2009). |
John L. Sullivan (1955) | Chief Financial Officer and Treasurer (2016-present) | Current: CFO, Chief Accounting Officer and Treasurer, certain other funds in the Fund Complex (2010-present); Senior Managing Director, Guggenheim Investments (2010-present).
Former: Managing Director and CCO, each of the funds in the Van Kampen Investments fund complex (2004-2010); Managing Director and Head of Fund Accounting and Administration, Morgan Stanley Investment Management (2002-2004); CFO and Treasurer, Van Kampen Funds (1996-2004). |
Jon Szafran (1989) | Assistant Treasurer (November 2017-present) | Current: Vice President, Guggenheim Investments (July 2017-present); Assistant Treasurer, certain other funds in the Fund Complex (November 2017-present).
Former: Assistant Treasurer of Henderson Global Funds and Manager of US Fund Administration, Henderson Global Investors (North America) Inc. ("HGINA"), (February-June 2017); Senior Analyst of US Fund Administration, HGINA (2014-January 2017); Senior Associate of Fund Administration, Cortland Capital Market Services, LLC (2013-2014); Experienced Associate, PricewaterhouseCoopers LLP (2012-2013). |
* | All Trustees and Officers may be reached c/o Guggenheim Investments, 227 West Monroe Street, Chicago, Illinois 60606. |
** | Mr. Cacciapaglia is an “interested” person of the Trust, as that term is defined in the 1940 Act by virtue of his affiliation with the Adviser’s parent company. |
*** | The “Fund Complex” includes all closed-end and open-end funds (including all of their portfolios) advised by the Adviser and any funds that have an investment adviser or servicing agent that is an affiliated person of the Adviser. Information provided is as of the date of this report. |
**** | Certain of the Trustees may serve as directors on the boards of companies not required to be disclosed above, including certain non-profit companies and charitable foundations. |
32 | GUGGENHEIM ETFs ANNUAL REPORT |
GUGGENHEIM INVESTMENTS PRIVACY POLICIES (Unaudited) |
Guggenheim Investments as used herein refers to Guggenheim Partners, LLC, Guggenheim Funds Investment Advisors, LLC, Guggenheim Partners Investment Management, LLC, Guggenheim Funds Distributors, LLC and Security Investors, LLC as well as the funds in the Guggenheim Funds complex (the “funds”).
Our Commitment to You
When you become a Guggenheim Investments investor, you entrust us with not only your hard-earned money but also with personal and financial information about you. We recognize that your relationship with us is based on trust and that you expect us to act responsibly and in your best interests. Because we have access to personal information about you, we hold ourselves to high standards in its safekeeping and use. This means, most importantly, that we do not sell client or account information to anyone—whether you are a current or former Guggenheim Investments client.
The Information We Collect About You and How We Collect It
In the course of doing business with shareholders and investors, we collect nonpublic personal information about you. You typically provide personal information when you complete a Guggenheim Investments account application or when you request a transaction that involves Rydex and Guggenheim Funds or one of the Guggenheim affiliated companies. “Nonpublic personal information” is personally identifiable information about you. For example it includes your name and address, Social Security or taxpayer identification number, assets, income, account balance, bank account information and investment activity (e.g. purchase and redemption history).
How We Share Your Personal Information
As a matter of policy, we do not disclose your nonpublic personal information to nonaffiliated third parties except as required or permitted by law. As emphasized above, we do not sell information about current or former clients or their accounts to third parties. Nor do we share such information, except when necessary to complete transactions at your request or to make you aware of related investment products and services that we offer. Additional details about how we handle your personal information are provided below.
To complete certain transactions or account changes that you direct, it may be necessary to provide your personal information to companies, individuals or groups that are not affiliated with Guggenheim Investments. For example if you ask to transfer assets from another financial institution to Guggenheim Investments, we will need to provide certain information about you to that company to complete the transaction. In connection with servicing your accounts or to alert you to other Guggenheim Investments investment products and services, we may share your information within the Guggenheim Investments family of affiliated companies. This would include, for example, sharing your information within Guggenheim Investments so we can make you aware of new funds or the services offered through another Guggenheim Investments affiliated company. In certain instances, we may contract with nonaffiliated companies to perform services for us. Where necessary, we will disclose information we have about you to these third parties. In all such cases, we provide the third party with only the information necessary to carry out its assigned responsibilities and only for that purpose. And we require these third parties to treat your personal information with the same high degree of confidentiality that we do. In certain instances, we may share information with other financial institutions regarding individuals and entities in response to the U.S.A. Patriot Act. Finally we will share personal information about you if we are compelled by law to do so, if you direct us to do so with your consent, or in other circumstances as permitted by law.
How We Safeguard Your Personal Information
We maintain physical, electronic and procedural safeguards to protect your personal information. Within Guggenheim Investments, access to such information is limited to those who need it to perform their jobs such as servicing your account, resolving problems or informing you of new products and services.
GUGGENHEIM ETFs ANNUAL REPORT | 33 |
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Item 2. Code of Ethics.
The registrant’s Board of Trustees has adopted a code of ethics that applies to the registrant’s principal executive officer and principal financial officer. No substantive amendments were approved or waivers were granted to the Code during the period covered by this report. The Code is filed as an exhibit to this Form N-CSR.
Item 3. Audit Committee Financial Expert.
The registrant's Board of Trustees has determined that Werner Keller, an "independent" Trustee serving on the registrant's audit committee, is an "audit committee financial expert," as defined in Item 3 of Form N-CSR. Under applicable securities laws, a person who is determined to be an audit committee financial expert will not be deemed an "expert" for any purpose, including without limitation for the purposes of Section 11 of the Securities Act of 1933, as a result of being designated or identified as an audit committee financial expert. The designation or identification of a person as an audit committee financial expert does not impose on such person any duties, obligations, or liabilities that are greater than the duties, obligations, and liabilities imposed on such person as a member of the audit committee and Board of Trustees in the absence of such designation or identification.
Item 4. Principal Accountant Fees and Services.
(a) Audit Fees. The aggregate Audit Fees billed by the Trust’s principal accountant, for the audit of the annual financial statements in connection with statutory and regulatory filings for the fiscal years ended October 31, 2017 and October 31, 2016 were $280,582 and $245,990, respectively.
(b) Audit-Related Fees. The aggregate Audit Related Fees billed by the Trust’s principal accountant for the fiscal years ended October 31, 2017 and October 31, 2016 were $8,250 and $0, respectively.
(c) Tax Fees. The aggregate Tax Fees billed by the Trust’s principal accountant for professional services rendered for tax compliance, tax advice, and tax planning, including preparation of tax returns and distribution assistance, for the fiscal years ended October 31, 2017 and October 31, 2016, were $170,993 and $133,452, respectively.
(d) All Other Fees. The aggregate All Other Fees billed by the Trust’s principal accountant for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item, for the fiscal years ended October 31, 2017 and October 31, 2016 were $0 and $0, respectively.
(e) Audit Committee Pre-Approval Policies and Procedures. The audit committee has adopted a policy whereby audit and non-audit services performed by the registrant’s principal accountant for the registrant, its investment advisor, and any entity controlling, controlled by, or under common control with the investment advisor that provides ongoing services to the registrant require pre-approval in advance at regularly scheduled audit committee meetings. If such service is required between regularly scheduled audit committee meetings, the chairman of the audit committee, J. Kenneth Dalton, is authorized to pre-approve the service with full committee approval at the next scheduled meeting. There shall be no waivers of the pre-approval process. No services described in (b)-(d) above were approved pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
(f) Not applicable.
(g) Non-Audit Fees. The aggregate non-audit fees billed by the registrant’s accountant for the most recent fiscal year and the preceding fiscal year for services rendered to the registrant, the investment advisor, and any entity controlling, controlled by, or under common control with the advisor that provides ongoing services to the registrant were $170,993 and $133,452, respectively. These aggregate fees were less than the aggregate fees billed for the same periods by the registrant’s principal accountant for audit services rendered to the registrant, the investment advisor, and any entity controlling, controlled by, or under common control with the advisor that provides ongoing services to the registrant.
(h) Auditor Independence. The registrant’s Audit Committee was provided with information relating to the provision of non-audit services by Ernst & Young, LLP to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved by the Audit Committee so that a determination could be made whether the provision of such services is compatible with maintaining Ernst & Young, LLP’s independence.
Item 5. Audit Committee of Listed Registrants.
(a) The Registrant has a separately standing Audit Committee, which includes the following independent members: John O. Demaret, Corey A. Colehour, J. Kenneth Dalton, Patrick T. McCarville, Thomas F. Lydon, Werner E. Keller, Angela Brock-Kyle, and Sandra Sponem.
(b) Not applicable.
Item 6. Investments.
Schedule of Investments is included as part of the report to shareholders filed under Item 1 of this form.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
Not applicable.
Item 11. Controls and Procedures.
(a) The registrant’s President (principal executive officer) and Treasurer (principal financial officer) have evaluated the registrant’s disclosure controls and procedures within 90 days of this filing and have concluded that the registrant’s disclosure controls and procedures were effective, as of that date, in ensuring that information required to be disclosed by the registrant in this Form N-CSR was recorded, processed, summarized, and reported timely.
(b) The registrant’s principal executive officer and principal financial officer are aware of no change in the registrant’s internal control over financial reporting that occurred during the registrant’s second fiscal quarter covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not Applicable.
Item 13. Exhibits.
(a)(1) The registrant’s code of ethics pursuant to Item 2 of Form N-CSR is attached.
(a)(2) Separate certifications by the President (principal executive officer) and Treasurer (principal financial officer) of the registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2(a)) are attached.
(b) A certification by the registrant’s President (principal executive officer) and Treasurer (principal financial officer) as required by Rule 30a-2(b) under the Act (17 CFR 270.30a-2(b)) is attached.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) | Rydex ETF Trust | ||
By (Signature and Title)* | /s/ Amy J. Lee | ||
Amy J. Lee, President | |||
Date | January 8, 2018 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title)* | /s/ Amy J. Lee | ||
Amy J. Lee, President | |||
Date | January 8, 2018 | ||
By (Signature and Title)* | /s/ John L. Sullivan | ||
John L. Sullivan, Chief Financial Officer and Treasurer | |||
Date | January 8, 2018 |
* | Print the name and title of each signing officer under his or her signature. |