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 811-21910
Claymore Exchange-Traded Fund Trust 2
(Exact name of registrant as specified in charter)
2455 Corporate West Drive, Lisle, IL 60532
(Address of principal executive offices) (Zip code)
J. Thomas Futrell
2455 Corporate West Drive, Lisle, IL 60532
(Name and address of agent for service)
Registrant's telephone number, including area code: (630) 505-3700
Date of fiscal year end: May 31
Date of reporting period: May 31, 2010
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. Section 3507.
Item 1. Reports to Stockholders.
The registrant's annual report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940, as amended (the “Investment Company Act”), is as follows:
Annual Report May 31, 2010 | Claymore Exchange-Traded Fund Trust 2 | |
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TAO | Claymore/AlphaShares China Real Estate ETF HAO | Claymore/AlphaShares China Small Cap Index ETF EXB | Claymore/Beacon Global Exchanges, Brokers & Asset Managers Index ETF CUT | Claymore/Beacon Global Timber Index ETF FRN | Claymore/BNY Mellon Frontier Markets ETF ROB | Claymore/Robb Report Global Luxury Index ETF ENY | Claymore/SWM Canadian Energy Income Index ETF CRO | Claymore/Zacks Country Rotation ETF HGI | Claymore/Zacks International Multi-Asset Income Index ETF | ||
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www.claymore.com
... your road to the LATEST,
most up-to-date INFORMATION about the
Claymore Exchange-Traded Fund Trust 2
| Contents | |
| Dear Shareholder | 3 |
| Economic and Market Overview | 5 |
| Management Discussion of Fund Performance | 6 |
| Fund Summary & Performance | 16 |
| Overview of Fund Expenses | 28 |
| Portfolio of Investments | 30 |
| Statement of Assets and Liabilities | 48 |
| Statement of Operations | 50 |
| Statement of Changes in Net Assets | 52 |
| Financial Highlights | 56 |
| Notes to Financial Statements | 65 |
| Report of Independent Registered Public Accounting Firm | 72 |
| Supplemental Information | 73 |
| Trust Information | 79 |
| About the Fund Manager | Back Cover |
The shareholder report you are reading right now is just the beginning of the story. Online at www.claymore.com, you will find:
| • | Daily and historical fund pricing, fund returns, portfolio holdings and characteristics and distribution history. |
| • | Investor guides and fund fact sheets. |
| • | Regulatory documents including a prospectus and copies of shareholder reports. |
Claymore is constantly updating and expanding shareholder information services on each Fund’s website, in an ongoing effort to provide you with the most current information about how your Fund’s assets are managed, and the results of our efforts. It is just one more small way we are working to keep you better informed about your investment.
2 | Annual Report | May 31, 2010
Dear Shareholder |
As investment adviser, Claymore Advisors, LLC (“Claymore” or the “Adviser”) is pleased to present the annual shareholder report for nine of our exchange-traded funds (“ETFs” or “Funds”). This report covers performance of these Funds for the fiscal year ended May 31, 2010.
The ETFs covered in this report are:
| • | Claymore/AlphaShares China Real Estate ETF (ticker: “TAO”) |
| • | Claymore/AlphaShares China Small Cap Index ETF (ticker: “HAO”) |
| • | Claymore/Beacon Global Exchanges, Brokers & Asset Managers Index ETF (ticker: “EXB”) |
| • | Claymore/Beacon Global Timber Index ETF (ticker: “CUT”) |
| • | Claymore/BNY Mellon Frontier Markets ETF (ticker: “FRN”) |
| • | Claymore/Robb Report Global Luxury Index ETF (ticker: “ROB”) |
| • | Claymore/SWM Canadian Energy Income Index ETF (ticker: “ENY”) |
| • | Claymore/Zacks Country Rotation ETF (ticker: “CRO”) |
| • | Claymore/Zacks International Multi-Asset Income Index ETF (ticker: “HGI”) |
The investment objective of each Fund is to seek investment results that correspond generally to the performance, before each Fund’s fees and expenses, of its respective underlying index as named in its prospectus.
On October 15, 2009, Guggenheim Partners, LLC, (“Guggenheim”), a global diversified financial services firm, and Claymore Group Inc., parent of the Adviser to each of the Funds, announced the completion of a previously announced merger. The closing of the transaction took place on October 14, 2009. This transaction resulted in a change-of-control whereby Claymore Group Inc. and its subsidiaries, including the Adviser, became wholly-owned subsidiaries of Guggenheim. The transaction has not affected the daily operations of the Funds or the investment management activities of the Adviser.
Under the Investment Company Act of 1940, as amended, (the “1940 Act”), the consummation of this transaction resulted in the automatic termination of the Advisory Agreement between Claymore and each of the Funds. Accordingly, on September 28, 2009, the Board of Trustees approved an interim investment advisory agreement between the Trust and the Adviser (the “Interim Advisory Agreement”) with an initial expiration date of March 12, 2010. With respect to Claymore/Robb Report Global Luxury Index ETF, the term of the Interim Advisory Agreement was extended until the earlier of (a) April 27, 2010 or (b) the approval of a new investment advisory agreement by the shareholders of the Fund. The terms and conditions of the Interim Advisory Agreement continued in effect through April 27, 2010 without change, except that the Adviser did not receive any compensation or reimbursement of its costs for services provided to the Fund under the Interim Advisory Agreement during this extension period. On September 28, 2009, the Board of Trustees approved a new investment advisory agreement between the Trust and the Adviser (the “New Advisory Agreement”) and recommended that the New Advisory Agreement be submitted to the shareholders of each Fund for their approval. The New Advisory Agreement took effect with respect to a Fund upon its approval by the shareholders of such Fund and has an initial term of one year. Thereafter, the New Advisory Agreement will continue in effect only if its continuance is approved by the Board of Trustees. Other than effective dates, there are no material differences between the terms of the New Advisory Agreement and those of the Advisory Agreement.
Annual Report | May 31, 2010 | 3
Shareholders of the Funds approved the New Advisory Agreement on the below dates:
| Date | Name of Fund |
| January 12, 2010 | Claymore/Beacon Global Timber Index ETF (ticker: “CUT”) |
| January 12, 2010 | Claymore/Zacks Country Rotation ETF (ticker: “CRO”) |
| February 2, 2010 | Claymore/Zacks International Multi-Asset Income Index ETF (ticker: “HGI”) |
| February 2, 2010 | Claymore/BNY Mellon Frontier Markets ETF (ticker “FRN”) |
| February 2, 2010 | Claymore/AlphaShares China Real Estate ETF (ticker: “TAO”) |
| February 18, 2010 | Claymore/Beacon Global Exchanges, Brokers & Asset Managers Index ETF (ticker: “EXB”) |
| February 18, 2010 | Claymore/SWM Canadian Energy Income Index ETF (ticker: “ENY”) |
| March 2, 2010 | Claymore/AlphaShares China Small Cap Index ETF (ticker: “HAO”) |
| April 14, 2010 | Claymore/Robb Report Global Luxury Index ETF (ticker: “ROB”) |
We consider the merger with Guggenheim to be a tremendous opportunity for Claymore and our clients. As part of a platform as strong and significant as that of Guggenheim Partners, we will be able to continue developing our unique investment products for financial advisors and individual investors. Claymore remains committed to providing investors with innovative index-strategy-driven investment solutions while broadening our lineup with products that can be used as core allocations within a portfolio through a wide range of domestic and global ETFs. We have partnered with a diverse group of index providers to create some of the most distinctive ETFs available. Seeking to capture the investment potential of both innovative strategies for strategic allocations and broad market exposure for the core of a portfolio, Claymore ETFs track the indices developed by what Claymore believes to be best-in-class index providers. Claymore ETFs represent both domestic and global portfolios that encompass a variety of style allocations from large-, mid- and small-cap equity to broad market, aggregate and short-term bond among others.
To learn more about economic and market conditions over the last year and the performance of each ETF, we encourage you to read the Economic and Market Overview section of the report, which follows this letter, and the Management Discussion of Fund Performance for each ETF, beginning on page 6.
Sincerely,
J. Thomas Futrell
Chief Executive Officer
Claymore Exchange-Traded Fund Trust 2
4 | Annual Report | May 31, 2010
Economic and Market Overview |
Economic and Market Overview
In the early part of the 12-month period ended May 31, 2010, capital markets continued the recovery that began in March 2009. As 2010 progressed, the rally faltered, as investors responded to a variety of economic concerns.
The Standard & Poor’s 500 Index (“S&P 500”), which is generally regarded as an indicator of the broad U.S. stock market, returned 20.99% for the 12-month period ended May 31, 2010; however, the index moved sharply lower in May, ending the period approximately 10% lower than the peak level achieved in April 2010. Among international markets, emerging markets were generally stronger than developed markets; European markets weakened near the end of the period, as concerns mounted about sovereign debt of several nations. The return of the Morgan Stanley Capital International (“MSCI”) Emerging Market Index, which measures market performance in global emerging markets, was 22.39%, while the MSCI Europe-Australasia-Far East Index (“EAFE”) Index, which is composed of approximately 1,100 companies in 20 developed countries in Europe and the Pacific Basin, returned 6.38%. The MSCI World Index, which measures the overall performance of world equity markets, returned 13.60% for the period. Concerns about weaker European nations’ sovereign debt problems led to weakness in European markets near the end of the period.
In the bond market, lower quality issues performed better than the highest-rated securities, reflecting investors’ increasing willingness to embrace credit risk. The Barclays Capital U.S. Aggregate Bond Index, which measures the return of the investment grade segment of the U.S. bond market as a whole, returned 8.42% for the 12 months ended May 31, 2010. The return of the Barclays U.S. Corporate High Yield Index, which measures performance of high yield bonds, often referred to as “junk bonds,” was 28.79%. The Barclays U.S. Treasury Composite Index, which measures performance of U.S. Treasury notes with a variety of maturities, returned 4.50%. Reflecting the Federal Reserve’s highly accommodative monetary policy, interest rates on short-term securities remained at their lowest levels in many years; the return of the Barclays U.S. Treasury Bill 1-3 Months Index was 0.12% for the period.
The U.S. economy has expanded for three consecutive quarters; however, recent reports indicate that overall growth is not as robust as had been previously reported. The financial crisis in Europe and its potential effect on world economies are sources of concern. The housing market appears to have stabilized, although recovery will likely be constrained by excess supply. Recent labor market reports have been mixed, as employers seem reluctant to hire in the face of muted growth in aggregate demand. Nonetheless, most economists continue to forecast real growth at a rate of approximately 3% for the full year 2010. Corporate earnings growth is robust and is expected to remain so throughout 2010. Corporate balance sheets are flush with cash, providing ready funds for replacement of business equipment and stock buybacks. If employment trends improve, that should lead to improved consumer confidence. This is critical, since consumer spending accounts for approximately 70% of the U.S. economy.
The Federal Reserve has indicated that it will act as needed to aid financial stability and economic growth. Statements of this nature suggest that short-term interest rates will be kept near zero at least for the remainder of 2010. A considerable amount of the 2009 fiscal stimulus program remains unspent, and further allocations should provide further impetus to economic growth. In addition, the turmoil in Europe places downward pressure on U.S. interest rates as the world’s wealth chases the few safe harbor assets that remain.
Index Definitions
All indices described below are unmanaged, reflect no expenses and it is not possible to invest directly in any index.
The Morgan Stanley Capital International (“MSCI”) China Index is an unmanaged, capitalization-weighted index that monitors the performance of stocks from the country of China.
The MSCI Emerging Markets Index is a free float-adjusted market capitalization weighted index that is designed to measure equity market performance in the global emerging markets.
The Dow Jones World Financials Index is an index consisting of companies whose primary source of profits is the return on financial assets around the world.
The Dow Jones World Forestry & Paper Index is a float-adjusted capitalization-weighted index that provides a broad measure of the world forestry and paper markets. According to Dow Jones, the index consists of owners and operators of timber tracts, forest tree nurseries and sawmills excluding providers of finished wood products such as wooden beams, which are classified under Building Materials & Fixtures.
The MSCI World Index is a float-adjusted capitalization weighted index created by Morgan Stanley Capital International to measure equity market performance throughout the world.
The S&P/TSX Composite Index (“S&P/TSX”) is a capitalization-weighted index of stocks in all three NASDAQ tiers: Global Select, Global Market and Capital Market. The index was developed with a base level of 100 as of February 5, 1971.
The MSCI EAFE Index is a capitalization-weighted measure of stock markets in 21 developed markets of Europe, Australasia and the Far East. The index is calculated using closing local market prices and translated into U.S. dollars using the London close foreign exchange rates.
Annual Report | May 31, 2010 | 5
Management Discussion of Fund Performance |
TAO | Claymore/AlphaShares China Real Estate ETF
Fund Overview
The Claymore/AlphaShares China Real Estate ETF, NYSE Arca ticker: TAO (the “Fund”) seeks investment results that correspond generally to the performance, before the Fund’s fees and expenses, of an equity index called the AlphaShares China Real Estate Index (the “Index”).
The Index is designed to measure and monitor the performance of the investable universe of publicly traded companies and real estate investment trusts (“REITs”) deriving a majority of their revenues from real estate development, management and/or ownership of property in China or the Special Administrative Regions of China, such as Hong Kong and Macau. The Index was created by AlphaShares, LLC (“AlphaShares”), the Fund’s index provider, and is maintained by Standard & Poor’s (the “Index Administrator”). The Index will include equity securities of companies of all capitalizations, as defined by AlphaShares. AlphaShares does not guarantee the inclusion of all relevant securities in the Index. The Fund will at all times invest at least 90% of its total assets in common stock, American depositary receipts (“ADRs”), American depositary shares (“ADSs”), global depositary receipts (“GDRs”) and international depositary receipts (“IDRs”) that comprise the Index and investments that have economic characteristics that are substantially identical to the economic characteristics of the component securities that comprise the Index. Claymore Advisors, LLC, the Fund’s adviser (the “Adviser”) seeks a correlation over time of 0.95 or better between the Fund’s performance and the performance of the Index. A figure of 1.00 would represent perfect correlation. The Fund generally will invest in all of the stocks comprising the Index in proportion to their weightings in the Index.
Fund Performance
All Fund returns cited—whether based on net asset value (“NAV”) or market price—assume the reinvestment of all distributions. This report discusses the annual fiscal period ended May 31, 2010.
On a market price basis, the Fund generated a total return of -5.12%, representing a change in market price to $15.89 on May 31, 2010, from $17.27 on May 31, 2009. On an NAV basis, the Fund generated a total return of -2.10%, representing a change in NAV to $16.02 on May 31, 2010, from $16.87 on May 31, 2009. At the end of the period the Fund’s shares were trading at a market price discount to NAV, which is to be expected from time to time.
For underlying index and broad market comparison purposes, the Index returned -1.06% and the MSCI China Index returned 14.00% for the same period.
The Fund made an annual distribution of $0.5700 per share on December 31, 2009.
Performance Attribution1
Essentially all of the Fund’s investments are in the real estate holding and development businesses and are classified in the financials and industrials sectors. For the 12-month period ended May 31, 2010, the industrials sector had a positive return, contributing to the Fund’s performance, and the financials sector had a negative return, detracting from the Fund’s performance.
Positions that contributed most significantly to performance included Hongkong Land Holdings Ltd., a property investment, management and development group; The Link Real Estate Investment Trust, a real estate investment trust (REIT) based in Hong Kong that invests mainly in retail and car park facilities; and Wharf Holdings Ltd., an investment holding company based in Hong Kong (5.7%, 5.8% and 5.5%, respectively, of total investments at period end). Positions that detracted most significantly from performance included Guangzhou R&F Properties Co. Ltd., a developer of residential and commercial properties in China; Country Garden Holdings Company, an integrated property developer in China; and Sino-Ocean Land Holdings Ltd., a company based in Hong Kong that is engaged in property development and property investment in the People’s Republic of China (1.4%, 1.8% and 3.1%, respectively, of total investments at period end).
1 Sectors based on Financial Times and Stock Exchange classifications.
6 | Annual Report | May 31, 2010
HAO | Claymore/AlphaShares China Small Cap Index ETF
Fund Overview
The Claymore/AlphaShares China Small Cap Index ETF, NYSE Arca ticker: HAO (the “Fund”) seeks investment results that correspond generally to the performance, before the Fund’s fees and expenses, of an equity index called the AlphaShares China Small Cap Index (the “Index”).
The Index is designed to measure and monitor the performance of publicly-traded mainland China-based small capitalization companies. The Index was created by AlphaShares, LLC (“AlphaShares”), the Fund’s index provider, and is maintained by Standard & Poor’s (the Index Administrator”). For inclusion in the Index, AlphaShares defines small-capitalization companies as those companies with a maximum $1.5 billion float-adjusted market capitalization. AlphaShares does not guarantee the inclusion of all relevant securities in the Index. The Fund will at all times invest at least 90% of its total assets in common stock, American depositary receipts (“ADRs”), American depositary shares (“ADSs”), global depositary receipts (“GDRs”) and international depositary receipts (“IDRs”) that comprise the Index and investments that have economic characteristics that are substantially identical to the economic characteristics of the component securities that comprise the Index. Claymore Advisors, LLC, the Fund’s adviser (the “Adviser”), seeks a correlation over time of 0.95 or better between the Fund’s performance and the performance of the Index. A figure of 1.00 would represent perfect correlation. The Fund generally will invest in all of the stocks comprising the Index in proportion to their weightings in the Index.
Fund Performance
All Fund returns cited—whether based on net asset value (“NAV”) or market price—assume the reinvestment of all distributions. This report discusses the annual fiscal period ended May 31, 2010.
On a market price basis, the Fund generated a total return of 14.64%, representing a change in market price to $24.30 on May 31, 2010, from $21.22 on May 31, 2009. On an NAV basis, the Fund generated a total return of 18.20%, representing a change in NAV to $24.44 on May 31, 2010, from $20.70 on May 31, 2009. At the end of the period the Fund’s shares were trading at a market price discount to NAV, which is to be expected from time to time.
For underlying index and broad market comparison purposes, the Index returned 19.71% and the MSCI China Index returned 14.00% for the same period.
The Fund made an annual distribution of $0.0300 per share on December 31, 2009.
Performance Attribution1
For the 12-month period ended May 31, 2010, the consumer services sector made the strongest contribution to performance, followed by the consumer goods sector. The telecommunications and financials sectors had negative returns, detracting from performance.
Positions that contributed most significantly to performance included BYD Company Limited, a company based in Hong Kong that produces batteries, liquid crystal displays and other products (0.5% of total investments at period end); Ctrip.com International Ltd., a travel service provider for hotel accommodations, airline tickets and packaged tours in China.; and Yanzhou Coal Mining Company Limited, which is engaged in the mining, washing, processing, distribution and railway transportation of coal (the two aforementioned positions were not held in the portfolio at period end). Positions that detracted most significantly from performance included Suntech Power Holdings Co. Ltd., a solar energy company; Tianjin Port Development Holdings Ltd., which provides port cargo handling services; and Sohu.com Inc., an internet service provider (1.2%, 1.0% and 1.3%, respectively, of total investments at period end).
1 Sectors based on Financial Times and Stock Exchange classifications.
Annual Report | May 31, 2010 | 7
EXB | Claymore/Beacon Global Exchanges, Brokers & Assets Managers Index ETF
Fund Overview
The Claymore/Beacon Global Exchanges, Brokers & Asset Managers Index ETF, NYSE Arca ticker: EXB (the “Fund”) seeks investment results that correspond generally to the performance, before the Fund’s fees and expenses, of an equity index called the Beacon Global Exchanges, Brokers & Asset Managers Index (the “Beacon EB&A Index” or “Index”).
The Index is comprised of approximately 100 equity securities traded on global exchanges, including master limited partnerships (“MLPs”), as well as American depositary receipts (“ADRs”) and global depositary receipts (“GDRs”) of companies that operate a security exchange or brokerage/asset management firm as a primary business. The companies in the Index are intended to be representative of the highest ranking stocks in the global universe of companies engaged in these businesses as determined through independent research provided by Beacon Indexes LLC (“Beacon”), the Fund’s index provider. The Index may include large-capitalization, mid-capitalization and small-capitalization companies as defined by Beacon. The Fund will at all times invest at least 90% of its total assets in equity securities, MLPs, ADRs and GDRs that comprise the Index and investments that have economic characteristics that are substantially identical to the economic characteristics of the component securities that comprise the Index. Claymore Advisors, LLC, the Fund’s adviser (the “Adviser”), seeks a correlation over time of 0.95 or better between the Fund’s performance and the performance of the Index. A figure of 1.00 would represent perfect correlation. The Fund generally will invest in all of the stocks comprising the Index in proportion to their weightings in the Index.
Fund Performance
All Fund returns cited—whether based on net asset value (“NAV”) or market price—assume the reinvestment of all distributions. This report discusses the annual fiscal period ended May 31, 2010.
On a market price basis, the Fund generated a total return of 1.82%, representing a change in market price to $12.18 on May 31, 2010, from $12.28 on May 31, 2009. On an NAV basis, the Fund generated a total return of -0.42%, representing a change in NAV to $12.09 on May 31, 2010, from $12.46 on May 31, 2009. At the end of the period the Fund’s shares were trading at a market price premium to NAV, which is to be expected from time to time.
For underlying index and broad market comparison purposes, the Index returned 0.14% and the Dow Jones World Financials Index returned 10.63% for the same period.
The Fund made an annual distribution of $0.3500 per share on December 31, 2009.
Performance Attribution1
Since essentially all of the Fund’s investments are in the financial sector, performance is driven mainly by the returns of individual positions within this sector. The Fund’s holdings in the financial sector as a whole had a marginally positive return, contributing modestly to performance. Positions that contributed most significantly to performance included Franklin Resources, Inc., an investment management firm; T. Rowe Price Group, Inc., a financial services holding company; and Ameriprise Financial, Inc., which provides financial planning products and services (2.7%, 2.4% and 1.9%, respectively, of total investments at period end). Positions that detracted most significantly from performance included Deutsche Boerse AG, an international financial marketplace operator based in Germany; Daiwa Securities Group Inc., a Japanese company engaged in the securities, investment, financing and service businesses; and Nomura Holdings, Inc., a financial services company based in Japan (4.2%, 2.5% and 4.5%, respectively, of total investments at period end).
1 Sectors based on Financial Times and Stock Exchange classifications.
8 | Annual Report | May 31, 2010
CUT | Claymore/Beacon Global Timber Index ETF
Fund Overview
The Claymore/Beacon Global Timber Index ETF, NYSE Arca ticker: CUT (the “Fund”) seeks investment results that correspond generally to the performance, before the Fund’s fees and expenses, of an equity index called the Beacon Global Timber Index (the “Index”).
All stocks in the Index are selected from the universe of global timber companies. Beacon Indexes LLC (��Beacon” or the “Index Provider”) defines global timber companies as firms who own or lease forested land and harvest the timber from such forested land for commercial use and sale of wood-based products, including lumber, pulp or other processed or finished goods such as paper and packaging. As of May 31, 2010, the market capitalization of Index constituents was at least $278 million, which includes securities of all market capitalizations, as determined by Beacon. Beacon does not guarantee the inclusion of all relevant companies in the Index. The Fund will at all times invest at least 90% of its total assets in common stock, American depositary receipts (“ADRs”) and global depositary receipts (“GDRs”) that comprise the Index and investments that have economic characteristics that are substantially identical to the economic characteristics of the component securities that comprise the Index. Claymore Advisors, LLC, the Fund’s adviser (the “Adviser”) seeks a correlation over time of 0.95 or better between the Fund’s performance and the performance of the Index. A figure of 1.00 would represent perfect correlation. The Fund generally will invest in all of the stocks comprising the Index in proportion to their weightings in the Index.
Fund Performance
All Fund returns cited—whether based on net asset value (“NAV”) or market price—assume the reinvestment of all distributions. This report discusses the annual fiscal period ended May 31, 2010.
On a market price basis, the Fund generated a total return of 20.48%, representing a change in market price to $17.65 on May 31, 2010, from $14.69 on May 31, 2009. On an NAV basis, the Fund generated a total return of 22.15%, representing a change in NAV to $17.70 on May 31, 2010, from $14.53 on May 31, 2009. At the end of the period the Fund’s shares were trading at a market price discount to NAV, which is to be expected from time to time. The Fund’s NAV return was less than that of the Index largely because of the timing of initiating or eliminating certain positions, mainly in the basic materials sector. When securities are added to or removed from the Index, market conditions may be such that it can take several days for the Fund to adjust its positions in these securities. Market movements in the stocks during the period when the Fund is buying or selling can produce differences in return between the Fund and the Index, and that was the case during this period.
For underlying index and broad market comparison purposes, the Index returned 24.48% and the Dow Jones World Forestry & Paper Index returned 36.76% for the same period.
The Fund made an annual distribution of $0.0490 per share on December 31, 2009.
Performance Attribution1
Since the majority of the Fund’s portfolio is invested in the basic materials industry sector, performance of this sector is the main determinant of the Fund’s performance, and it was the major contributor to performance for the 12-month period ended May 31, 2010. The Fund also had positions in the industrials, consumer goods and financials sectors, all of which contributed to performance.
Positions that contributed most significantly to performance included two Finnish paper companies, UPM-Kymmene Oyj and Stora Enso Oyj; and MeadWestvaco Corp., a global packaging company headquartered in Virginia (4.9%, 5.1% and 4.4%, respectively, of total investments at period end). Positions that detracted most significantly from performance included Sappi Limited (ADS), a global paper and pulp company based in South Africa (not held in the portfolio at period end) ; China Grand Forestry Green Resources Group Ltd., a Hong Kong-based investment holding company engaged in the ecological forestry business; and Gunns Ltd., an Australian company engaged in forest management and development and the production of forest products (0.7% and 0.9%, respectively, of total investments at period end).
1 Sectors based on Financial Times and Stock Exchange classifications.
Annual Report | May 31, 2010 | 9
FRN | Claymore/BNY Mellon Frontier Markets ETF
Fund Overview
The Claymore/BNY Mellon Frontier Markets ETF, NYSE Arca ticker: FRN (the “Fund”) seeks investment results that correspond generally to the performance, before the Fund’s fees and expenses, of an equity index called BNY Mellon New Frontier DR Index (the “Frontier Index” or the “Index”).
The Frontier Index is composed of all liquid (as defined by The Bank of New York Mellon, the Fund’s index provider (the “Index Provider”)) American depositary receipts (“ADRs”) and global depositary receipts (“GDRs”) of certain countries that are represented in the Index. As of May 31, 2010, the Frontier Index included ADRs and/or GDRs from 16 separate countries. The Frontier Index tracks the performance of depositary receipts, in ADR or GDR form, that trade on the London Stock Exchange (“LSE”), New York Stock Exchange (“NYSE”), the NYSE Arca, Inc. (“NYSE Arca”), and Nasdaq Stock Market (“NASDAQ”) of companies from countries that are defined as the “Frontier Market.” The Bank of New York Mellon defines Frontier Market countries based upon an evaluation of gross domestic product growth, per capita income growth, experienced and expected inflation rates, privatization of infrastructure and social inequalities. The universe of potential Index constituents includes all liquid ADRs and GDRs which meet certain criteria with respect to trading volume, market capitalization and price. As of May 31, 2010, potential Index constituents include securities with free-float market capitalizations greater than $150 million, which may include securities of all market capitalizations, as defined by the Index Provider. The Fund will normally invest at least 80% of its total assets in securities of issuers from Frontier Market countries (whether directly or through ADRs or GDRs), as defined by the Index Provider from time to time in the manner set forth in the preceding information. The Fund may invest directly in one or more underlying stocks represented by the ADRs or GDRs comprising the Index under the following limited circumstances: (a) when market conditions result in the underlying stock providing improved liquidity relative to the ADR or GDR; (b) when an ADR or GDR is trading at a significantly different price than its underlying stock; or (c) the timing of trade execution is improved due to the local market in which an underlying stock is traded being open at different times than the market in which the stock’s corresponding ADR or GDR is traded. The Fund will at all times invest at least 80% of its total assets in component securities that comprise the Index and investments that have economic characteristics that are substantially identical to the economic characteristics of the component securities that comprise the Index (including underlying stocks in respect of ADRs or GDRs that comprise the Index). Claymore Advisors, LLC, the Fund’s adviser (the “Adviser”), seeks a correlation over time of 0.95 or better between the Fund’s performance and the performance of the Index. A figure of 1.00 would represent perfect correlation. The Fund generally will invest in all of the securities comprising the Index in proportion to their weightings in the Index.
Fund Performance
All Fund returns cited—whether based on net asset value (“NAV”) or market price—assume the reinvestment of all distributions. This report discusses the annual fiscal period ended May 31, 2010.
On a market price basis, the Fund generated a total return of 31.62%, representing a change in market price to $18.67 on May 31, 2010, from $14.48 on May 31, 2009. On an NAV basis, the Fund generated a total return of 27.69%, representing a change in NAV to $18.12 on May 31, 2010, from $14.49 on May 31, 2009. At the end of the period the Fund’s shares were trading at a market price premium to NAV, which is to be expected from time to time when the securities held in the Fund’s portfolio trade in markets that are not open during the same hours as the exchange on which the Fund trades. Investors should also be aware that these returns were primarily achieved during favorable market conditions and may not be sustainable.
For underlying index and broad market comparison purposes, the Index returned 30.96% and the MSCI Emerging Markets Index returned 22.39% for the same period. Due to the nature of the securities held in both the fund and the benchmark, the largest source of tracking error in FRN is due to pricing differences between the fund and the index.
The Fund made an annual distribution of $0.3830 per share on December 31, 2009.
Performance Attribution1
For the 12-month period ended May 31, 2010, the financials sector made the most significant contribution to performance. The only sector with a negative return was telecommunications. Positions that contributed most significantly to performance included KGHM Polska Miedz SA, a Polish producer of non-ferrous metals; Bank Polska Kasa Opieki, a Polish bank (the two aforementioned positions were not held in the portfolio at period end); and Ecopetrol S.A., a crude oil and natural gas company based in Colombia (7.0% of total investments at period end).
Positions that detracted most significantly from performance included Orascom Telecom Holding, a mobile telecommunications company based in Egypt (3.5% of total investments at period end); Gulf Finance House, a Bahrain-based company that offers Islamic investment banking products and services (not held in the portfolio at period end); and Telecom Egypt, a company based in Egypt that provides landline, retail and wholesale telecommunication services (1.4% of total investments at period end).
1 Sectors based on Financial Times and Stock Exchange classifications.
10 | Annual Report | May 31, 2010
ROB | Claymore/Robb Report Global Luxury Index ETF
Fund Overview
The Claymore/Robb Report Global Luxury Index ETF, NYSE Arca ticker: ROB (the “Fund”) seeks investment results that correspond generally to the performance, before the Fund’s fees and expenses, of an equity index called the Robb Report Global Luxury Index (the “Index”).
The Index is comprised of no fewer than 20 and up to 100 equity securities traded on major global developed market exchanges, as well as American depositary receipts (“ADRs”) and global depositary receipts (“GDRs”) of companies whose primary business is the provision of global luxury goods and services. These may include retailers, manufacturers (which may include automobiles, boats, aircraft, and consumer electronics), travel and leisure firms, and investment and other professional services firms. The designation of such firms as “luxury” is determined by the publisher of the Robb Report Magazine, CurtCo Robb Media, LLC (the “Robb Report”) the Fund’s index provider. Robb Report generally defines “developed markets” as countries whose economies have high income levels, strong legal protection and sophisticated stock exchanges. The Fund will at all times invest at least 90% of its total assets in common stock and ADRs and GDRs that comprise the Index and investments that have economic characteristics that are substantially identical to the economic characteristics of the component securities that comprise the Index. Claymore Advisors, LLC, the Fund’s adviser (the “Adviser”), seeks a correlation over time of 0.95 or better between the Fund’s performance and the performance of the Index. A figure of 1.00 would represent perfect correlation. The Fund generally will invest in all of the stocks comprising the Index in proportion to their weightings in the Index.
Fund Performance
All Fund returns cited—whether based on net asset value (“NAV”) or market price—assume the reinvestment of all distributions. This report discusses the annual fiscal period ended May 31, 2010.
On a market price basis, the Fund generated a total return of 33.67%, representing a change in market price to $17.18 on May 31, 2010, from $12.96 on May 31, 2009. On an NAV basis, the Fund generated a total return of 33.37%, representing a change in NAV to $17.32 on May 31, 2010, from $13.09 on May 31, 2009. At the end of the period the Fund’s shares were trading at a market price discount to NAV, which is to be expected from time to time. Investors should also be aware that these returns were primarily achieved during favorable market conditions and may not be sustainable.
For underlying index and broad market comparison purposes, the Index returned 35.02% and the MSCI World Index returned 13.60% for the same period.
The Fund made an annual distribution of $0.1380 per share on December 31, 2009.
Performance Attribution1
Since more than half of the Fund’s assets are invested in the consumer goods sector, positions in this sector generally drive performance. Other sectors represented are financials, consumer services and industrials. All of the sectors in which the Fund has investments had positive returns for the 12-month period ended May 31, 2010.
Positions that contributed most significantly to performance included Wynn Resorts Ltd., a U.S.-based developer, owner and operator of destination casino resorts; Nordstrom, Inc., a U.S.-based fashion specialty retailer; and Swatch Group AG, a Swiss producer of watches, jewelry and accessories; (4.7%, 4.4% and 4.4%, respectively, of total investments at period end). Positions that detracted most significantly from performance included Julius Baer Group Ltd., a Swiss private banking group; Porsche Automobil Holding SE, a German automobile manufacturer; and Mandarin Oriental International Ltd., a hotel operator headquartered in Hong Kong (3.1%, 3.9% and 0.7%, respectively, of total investments at period end).
1 Sectors based on Financial Times and Stock Exchange classifications.
Annual Report | May 31, 2010 | 11
ENY | Claymore/SWM Canadian Energy Income Index ETF
Fund Overview
The Claymore/SWM Canadian Energy Income Index ETF, NYSE Arca ticker: ENY (the “Fund”) seeks investment results that correspond generally to the performance, before the Fund’s fees and expenses, of an equity index called the Sustainable Canadian Energy Income Index (the “Energy Income Index” or “Index”).
The Index is comprised of 30 stocks selected, based on investment and other criteria, from a universe of companies listed on the Toronto Stock Exchange (the “TSX”), NYSE AMEX, NASDAQ or NYSE. The universe of companies includes over 25 TSX listed Canadian royalty trusts and 20 oil sands resource producers that are classified as oil and gas producers. The companies in the universe are selected using criteria as identified by Sustainable Wealth Management, Ltd., (“SWM”) the Fund’s index provider. The Index is designed to combine the most profitable and liquid Canadian royalty trusts with the most highly focused and fastest growing oil sands producers using a tactical asset allocation model based on the trend in crude oil prices. The Index allocates between the oil sands and royalty trust constituents according to the current price trend of crude oil. If the current quarter’s closing price is above the four quarter moving average price, crude oil is determined to be in a bull phase. If it is at or below the four quarter moving average price, crude oil is determined to be in a bear phase. In a bull phase the asset allocation is generally 70% oil sands and 30% income trusts. In a bear phase the asset allocation is generally 30% oil sands and 70% income trusts. The Fund will at all times invest at least 90% of its total assets in securities that comprise the Index and investments that have economic characteristics that are substantially identical to the economic characteristics of the component securities that comprise the Index. Claymore Advisors, LLC, the Fund’s adviser (the “Adviser”) seeks a correlation over time of 0.95 or better between the Fund’s performance and the performance of the Index. A figure of 1.00 would represent perfect correlation. The Fund generally will invest in all of the stocks comprising the Index in proportion to their weightings in the Index.
Fund Performance
All Fund returns cited – whether based on net asset value (“NAV”) or market price – assume the reinvestment of all distributions. This report discusses the annual fiscal period ended May 31, 2010.
On a market price basis, the Fund generated a total return of 19.23%, representing a change in market price to $16.50 on May 31, 2010, from $14.38 on May 31, 2009. On an NAV basis, the Fund generated a total return of 21.75%, representing a change in NAV to $16.52 on May 31, 2010, from $14.10 on May 31, 2009. At the end of the period the Fund’s shares were trading at a market price discount to NAV, which is to be expected from time to time. The Fund’s NAV return was less than that of the Index largely because of the timing of initiating or eliminating certain positions, mainly in the financials sector. When securities are added to or removed from the Index, market conditions may be such that it can take several days for the Fund to adjust its positions in these securities. Market movements in the stocks during the period when the Fund is buying or selling can produce differences in return between the Fund and the Index, and that was the case during this period.
For underlying index and broad market comparison purposes, the Index returned 25.74% and the S&P/TSX returned 21.63% for the same period.
The Fund made quarterly distributions of $0.1560 per share on June 30, 2009; $0.1060 per share on September 30, 2009; a quarterly distribution of $0.1140 and a supplemental distribution of $0.1220 on December 31, 2009; and a quarterly distribution of $0.1040 on March 31, 2010. The Fund is scheduled to make a quarterly distribution of $0.113 per share on June 30, 2010.
Performance Attribution1
During the 12-month period ended May 31, 2010, approximately 55% of the Fund’s investments were in the oil & gas sector and approximately 43% in the financials sector (which includes energy trusts), with the remainder in the basic materials sector. All three sectors contributed to performance; the financials sector made the greatest contribution and basic materials the least.
Positions that contributed most significantly to performance included Baytex Energy Trust, an oil and gas trust based in Alberta that is engaged in the acquisition, development and production of oil and natural gas in the Western Canadian Sedimentary Basin; Ivanhoe Energy Inc., an international heavy oil development and production company; and Penn West Energy Trust, a major producer of oil and natural gas, with operations throughout the Western Canadian Sedimentary Basin (7.2%, 3.9% and 7.0%, respectively, of total investments at period end). Positions that detracted most significantly included Oilsands Quest Inc., which conducts joint venture activities focused primarily on the oil sands and oil shale sectors in western Canada.; OPTI Canada Inc., which is active in the Athabasca oil sands region of northern Alberta (2.5% and 4.0%, respectively, of total investments at period end); and Trilogy Energy Trust, which acquires, develops, produces and sells natural gas, crude oil and natural gas liquids (not held in the portfolio at period end).
1 Sectors based on Financial Times and Stock Exchange classifications.
12 | Annual Report | May 31, 2010
CRO | Claymore/Zacks Country Rotation ETF
Fund Overview
The Claymore/Zacks Country Rotation ETF, NYSE ticker: CRO (the “Fund”) seeks investment results that correspond generally to the performance, before the Fund’s fees and expenses, of an equity index called the Zacks Country Rotation Index (the “Index”).
The Index is comprised of 200 stocks selected, based on investment and other criteria, from a universe of international companies listed on developed international market exchanges. Zacks Investment Research, Inc. (“Zacks”), the Fund’s index provider, defines developed international markets as countries whose economies have high income levels, strong legal protection and sophisticated stock exchanges. The Index uses a proprietary, multi-factor quantitative methodology developed by Zacks to seek to determine those countries with potentially superior risk-return profiles and within those countries select a basket of stocks. The approach is specifically designed to enhance investment applications and investability. The Index is designed to select and weight a group of stocks which have the potential on a risk-adjusted basis to outperform the MSCI EAFE Index and other developed international benchmark indices. The index is adjusted semiannually. The Fund will at all times invest at least 90% of its total assets in common stock and American depositary receipts (“ADRs”) that comprise the Index and investments that have economic characteristics that are substantially identical to the economic characteristics of the component securities that comprise the Index. Claymore Advisors, LLC, the Fund’s adviser (the “Adviser”) seeks a correlation over time of 0.95 or better between the Fund’s performance and the performance of the Index. A figure of 1.00 would represent perfect correlation. The Fund generally will invest in all of the stocks comprising the Index in proportion to their weightings in the Index.
Fund Performance
All Fund returns cited—whether based on net asset value (“NAV”) or market price—assume the reinvestment of all distributions. This report discusses the annual fiscal period ended May 31, 2010.
On a market price basis, the Fund generated a total return of 3.94%, representing a change in market price to $14.42 on May 31, 2010, from $14.20 on May 31, 2009. On an NAV basis, the Fund generated a total return of 3.77%, representing a change in NAV to $14.32 on May 31, 2010, from $14.12 on May 31, 2009. At the end of the period the Fund’s shares were trading at a market price premium to NAV, which is to be expected from time to time.
For underlying index and broad market comparison purposes, the Index returned 4.30% and the MSCI EAFE Index returned 6.38% for the same period.
The Fund made an annual distribution of $0.3840 per share on December 31, 2009.
Performance Attribution1
For the 12-month period ended May 31, 2010, the industrials sector made the strongest contribution to performance, followed by the financials and consumer goods sectors. The oil & gas sector was the greatest detractor from performance, followed by the telecommunications sector.
Positions that contributed most significantly to performance included Noble Group Ltd., a diversified investment holding company headquartered in Hong Kong; Genting Singapore PLC, a resort development company; and Li & Fung Ltd., a Hong Kong company engaged in the export trading of consumer products (0.1%, 0.2% and 0.6%, respectively, of total investments at period end). Positions that detracted most significantly from performance included two French banks, Societe Generale and Credit Agricole SA, and Alstom SA, a French company that specializes in the manufacture and supply of transport and energy infrastructure (0.6%, 0.4% and 0.5%, respectively, of total investments at period end).
1 Sectors based on Financial Times and Stock Exchange classifications.
Annual Report | May 31, 2010 | 13
HGI | Claymore/Zacks International Multi-Asset Income Index ETF
Fund Overview
The Claymore/Zacks International Multi-Asset Income Index ETF, NYSE Arca ticker: HGI (the “Fund”) seeks investment results that correspond generally to the performance, before the Fund’s fees and expenses, of an index called the Zacks International Multi-Asset Income Index (the “International Multi-Asset Income Index” or the “Index”).
The Index is comprised of 150 stocks selected, based on investment and other criteria, from a universe of international companies, global REITs, master limited partnerships (“MLPs”), Canadian royalty trusts, American depositary receipts (“ADRs”) from emerging market companies and U.S. listed closed-end funds that invest in international companies. The companies in the universe are selected using a proprietary strategy developed by Zacks Investment Research, Inc. (“Zacks”) the Fund’s index provider. The Index is designed to identify companies with potentially high income and superior risk-return profiles, as determined by Zacks. The Index is designed to select a diversified group of stocks with the potential to outperform the MSCI EAFE Index and other benchmark indices on a risk-adjusted basis. The Index constituent selection methodology utilizes multi-factor proprietary selection rules to identify those stocks that offer the greatest potential from a yield and risk/return perspective. The approach is specifically designed to enhance investment applications and investability. The Index is adjusted semiannually.
The Fund will at all times invest at least 90% of its total assets in stocks that comprise the Index and investments that have economic characteristics that are substantially identical to the economic characteristics of the component securities that comprise the Index. Claymore Advisors, LLC, the Fund’s adviser (the “Adviser”) seeks a correlation over time of 0.95 or better between the Fund’s performance and the performance of the Index. A figure of 1.00 would represent perfect correlation. The Fund generally will invest in all of the stocks comprising the Index in proportion to their weightings in the Index.
Fund Performance
All Fund returns cited—whether based on net asset value (“NAV”) or market price—assume the reinvestment of all distributions. This report discusses the annual fiscal period ended May 31, 2010.
On a market price basis, the Fund generated a total return of 15.70%, representing a change in market price to $16.09 on May 31, 2010, from $14.44 on May 31, 2009. On an NAV basis, the Fund generated a total return of 16.81%, representing a change in NAV to $16.10 on May 31, 2010, from $14.31 on May 31, 2009. At the end of the period the Fund’s shares were trading at a market price discount to NAV, which is to be expected from time to time.
For underlying index and broad market comparison purposes, the Index returned 18.08% and the MSCI EAFE Index returned 6.38% for the same period.
The Fund made quarterly distributions of $0.1370 per share on June 30, 2009; $0.1380 per share on September 30, 2009; $0.1660 per share on December 31, 2009; and $0.1850 per share on March 31, 2010. The Fund is scheduled to make a distribution of $0.201 per share on June 30, 2010.
Performance Attribution1
For the 12-month period ended May 31, 2010, the financials sector made the most significant contribution to performance, followed by industrials and basic materials sectors. All 10 sectors in which the Fund was invested posted positive returns; the technology and oil & gas sectors contributed least to the Fund’s performance.
Positions that contributed most significantly to performance included Penn West Energy Trust, an open-ended Canadian investment trust involved in petroleum and natural gas (2.1% of total investments at period end); Danske Bank A/S, a Danish financial institution (not held in the portfolio at period end); and Magyar Telekom Telecommunications PLC (ADR), a provider of telecommunications services in Hungary (1.1% of total investments at period end). Positions that detracted most significantly from performance included Hellenic Telecommunications Organization S.A., a Greek provider of telecommunications and related services; Ladbrokes PLC, a betting and gaming company based in the U.K.; and Nokia OYJ, a Finnish manufacturer of mobile devices and in converging Internet and communications industries (0.7%, 0.8% and 0.7%, respectively, of total investments at period end).
1 Sectors based on Financial Times and Stock Exchange classifications.
14 | Annual Report | May 31, 2010
Risks and Other Considerations
The views expressed in this report reflect those of the portfolio managers and Claymore only through the report period as stated on the cover. These views are subject to change at any time, based on market and other conditions and should not be construed as a recommendation of any kind. The material may also contain forward looking statements that involve risk and uncertainty, and there is no guarantee they will come to pass.
This information does not represent an offer to sell securities of the Funds and it is not soliciting an offer to buy securities of the Funds. An investment in the various Claymore ETFs is subject to certain risks and other considerations. Below are some general risks and considerations associated with investing in the Fund, which may cause you to lose money, including the entire principal that you invest. Please refer to the individual ETF prospectus for a more detailed discussion of the Fund-specific risks and considerations.
Equity Risk: The value of the securities held by the Funds will fall due to general market and economic conditions, perceptions regarding the industries in which the issuers of securities held by the Funds participate, or factors relating to specific companies in which the Funds invest.
Foreign Investment Risk: Investing in non-U.S. issuers may involve unique risks such as currency, political, and economic risk, as well as less market liquidity, generally greater market volatility and less complete financial information than for U.S. issuers.
Small and Medium-Sized Company Risk: Investing in securities of these companies involves greater risk as their stocks may be more volatile and less liquid than investing in more established companies. These stocks may have returns that vary, sometimes significantly, from the overall stock market.
Non-Correlation Risk: The Fund’s return may not match the return of the Index including, but not limited to, operating expenses and costs in buying and selling securities to reflect changes in the Index. The Fund may not be fully invested at times. If the Fund utilizes a sampling approach or futures or other derivative positions, its return may not correlate with the Index return, as would be the case if it purchased all of the stocks with the same weightings as the Index.
Replication Management Risk: The Fund is not “actively” managed. Therefore, it would not necessarily sell a stock because the stock’s issuer was in financial trouble unless that stock is removed from the Index.
Issuer-Specific Changes: The value of an individual security or particular type of security can be more volatile than the market as a whole and can perform differently from the value of the market as a whole. The value of securities of smaller issuers can be more volatile than that of larger issuers.
Non-Diversified Fund Risk: The Fund can invest a greater portion of assets in securities of individual issuers than a diversified fund. Changes in the market value of a single investment could cause greater fluctuations in share price than would occur in a diversified fund.
Industry Risk: If the Index is comprised of issuers in a particular industry or sector, the Fund would therefore be focused in that industry or sector. Accordingly, the Fund may be subject to more risks than if it were broadly diversified over numerous industries and sectors of the economy.
Emerging Markets Risk (CUT, FRN, HGI, TAO, HAO): Investment in securities of issuers based in developing or “emerging market” countries entails all of the risks of investing in securities of non-U.S. issuers, as previously described, but to a heightened degree.
Canadian Risk (ENY and HGI): Investing in Canadian royalty trusts and stocks listed on the TSX are subject to: Commodity Exposure Risk, Reliance on Exports Risk, U.S. Economic Risk and Structural Risk (Political Risk).
Master Limited Partnership (MLP) Risk (EXB, FRN and HGI): Investments in securities of MLPs involve risks that differ from an investment in common stock. Holders of the units of MLPs have more limited control and limited rights to vote on matters affecting the partnership. There are also certain tax risks associated with an investment in units of MLPs.
China Investment Risk (HAO and TAO): Investing in securities of Chinese companies involves additional risks, including, but not limited to: the economy of China differs, often unfavorably, from the U.S. economy in such respects as structure, general development, government involvement, wealth distribution, rate of inflation, growth rate, allocation of resources and capital reinvestment, among others; the central government has historically exercised substantial control over virtually every sector of the Chinese economy through administrative regulation and/or state ownership; and actions of the Chinese central and local government authorities continue to have a substantial effect on economic conditions in China. See prospectus for more information.
REIT Risk (CRO, CUT, HGI and TAO): Investments in securities of real estate companies involve risks. These risks include, among others, adverse changes in national, state or local real estate conditions; obsolescence of properties; changes in the availability, cost and terms of mortgage funds; and the impact of changes in environmental laws.
Risks of Investing In Other Investment Companies (HGI): Investments in these securities involve risks, including, among others, that shares of other investment companies are subject to the management fees and other expenses of those companies, and the purchase of shares of some investment companies (in the case of closed-end investment companies) may sometimes require the payment of substantial premiums above the value of such companies’ portfolio securities or net asset values.
Risks of Investing in Frontier Securities (FRN): Investment in securities in emerging market countries involves risks not associated with investments in securities in developed countries, including risks associated with expropriation and/or nationalization, political or social instability, armed conflict, the impact on the economy as a result of civil war, religious or ethnic unrest and the withdrawal or non-renewal of any license enabling the Fund to trade in securities of a particular country, confiscatory taxation, restrictions on transfers of assets, lack of uniform accounting, auditing and financial reporting standards, less publicly available financial and other information, diplomatic development which could affect U.S. investments in those countries and potential difficulties in enforcing contractual obligations. Frontier countries generally have smaller economies or less developed capital markets than traditional emerging markets, and, as a result, the risk of investing in emerging market countries are magnified in frontier countries. As of the date of this prospectus, a significant percentage of the Index is comprised of securities of companies from Poland, Chile and Egypt. To the extent that the index is focused on securities of any one country, including Poland, Chile or Egypt, the value of the index will be especially affected by adverse developments in such country, including the risks described above. Please note: the above risks are a broad overview of the potential risks associated with investing in the Frontier markets. Investing in securities of Frontier countries involves significant risk. The prospectus contains a more detailed discussion of these individual risks and should be evaluated when determining an investor’s risk tolerance.
Luxury Risk (ROB): Depends heavily on the disposable household income and consumer spending of a relatively small segment and therefore could magnify volatility. See prospectus for more information.
Annual Report | May 31, 2010 | 15
Fund Summary & Performance | As of May 31, 2010 (unaudited)
TAO | Claymore/AlphaShares China Real Estate ETF
| Fund Statistics | ||||||||
| Share Price | $ | 15.89 | ||||||
| Net Asset Value | $ | 16.02 | ||||||
| Premium/Discount to NAV | -0.81 | % | ||||||
| Net Assets ($000) | $ | 45,484 | ||||||
| Total Returns | ||||||||
| Since Inception | ||||||||
| (Inception 12/18/07) | One Year | (Annualized) | ||||||
| Claymore/AlphaShares China | ||||||||
| Real Estate ETF | ||||||||
| NAV | -2.10 | % | -12.12 | % | ||||
| Market | -5.12 | % | -12.45 | % | ||||
| AlphaShares China Real Estate Index | -1.06 | % | -10.79 | % | ||||
| MSCI China Index | 14.00 | % | -9.54 | % | ||||
Performance data quoted represents past performance, which is no guarantee of future results and current performance may be lower or higher than the figures shown. The deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares is not reflected in the total returns. For the most recent month-end performance figures, please visit www.claymore.com. The investment return and principal value of an investment will fluctuate with changes in market conditions and other factors so that an investor’s shares, when redeemed, may be worth more or less than their original cost.
Since inception returns assume a purchase of the Fund at the initial share price of $23.50 per share for share price returns or initial net asset value (NAV) of $23.50 per share for NAV returns. Returns for periods of less than one year are not annualized.
Per the most recent prospectus, the Fund’s annualized gross operating expense ratio, gross of any fee waivers or expense reimbursements, was 1.74%. In the Financial Highlights section of this Annual Report, the Fund’s annualized net operating expense ratio was 0.70%, while the Fund’s annualized gross operating expense ratio, gross of any fee waivers or expense reimbursements, was 0.92%. There is a contractual fee waiver currently in place for this Fund through December 31, 2012 to the extent necessary in keeping the Fund’s operating expense ratio from exceeding 0.65% of average net assets per year. Some expenses fall outside of this expense cap and actual expenses will be higher than 0.65%. Without this expense cap, actual returns would be lower.
| Portfolio Breakdown | % of Net Assets | |||
| Financials/Real Estate | 98.7 | % | ||
| Industrials | 0.6 | % | ||
| Total Common Stocks and Warrants | 99.3 | % | ||
| Other Assets in excess of Liabilities | 0.7 | % | ||
| Net Assets | 100.0 | % | ||
| % of Total | ||||
| Country Breakdown | Investments | |||
| China | 99.2 | % | ||
| Singapore | 0.8 | % | ||
| % of Total | ||||
| Currency Denomination | Investments | |||
| Hong Kong Dollar | 92.8 | % | ||
| United States Dollar | 6.4 | % | ||
| Singapore Dollar | 0.8 | % | ||
| % of Total | ||||
| Top Ten Holdings | Investments | |||
| Link Real Estate Investment Trust (The) - REIT | 5.8 | % | ||
| Hongkong Land Holdings Ltd. | 5.7 | % | ||
| Wharf Holdings Ltd. | 5.5 | % | ||
| Hang Lung Properties Ltd. | 5.4 | % | ||
| Swire Pacific Ltd. - Class A | 5.3 | % | ||
| Cheung Kong Holdings Ltd. | 5.1 | % | ||
| Sun Hung Kai Properties Ltd. | 5.1 | % | ||
| China Overseas Land & Investment Ltd. | 4.9 | % | ||
| Henderson Land Development Co. Ltd. | 4.6 | % | ||
| Hang Lung Group Ltd. | 4.4 | % | ||
Portfolio breakdown is shown as a percentage of net assets. Country breakdown, currency denomination and holdings are shown as a percentage of total investments. All are subject to change daily. For more current Fund information, please visit www.claymore.com. The above summaries are provided for informational purposes only, and should not be viewed as recommendations.
Performance of a $10,000 Investment
This graph compares a hypothetical $10,000 investment in the Fund, made at its inception, with a similar investment in the MSCI China Index. Results include the reinvestment of all dividends and capital gains. Past performance is no guarantee of future results. The MSCI China Index is a capitalization-weighted index that monitors the performance of stocks from the country of China. The index is unmanaged. It is not possible to invest directly in the MSCI China Index. Investment return and principal value will fluctuate with changes in market conditions and other factors and Fund shares, when redeemed, may be worth more or less than their original investment.
16 | Annual Report | May 31, 2010
HAO | Claymore/AlphaShares China Small Cap Index ETF
| Fund Statistics | ||||||||
| Share Price | $ | 24.30 | ||||||
| Net Asset Value | $ | 24.44 | ||||||
| Premium/Discount to NAV | -0.57 | % | ||||||
| Net Assets ($000) | $ | 291,284 | ||||||
| Total Returns | ||||||||
| One | Since Inception | |||||||
| (Inception 1/30/08) | Year | (Annualized) | ||||||
| Claymore/AlphaShares China | ||||||||
| Small Cap Index ETF | ||||||||
| NAV | 18.20 | % | 0.53 | % | ||||
| Market | 14.64 | % | 0.28 | % | ||||
| AlphaShares China Small Cap Index | 19.71 | % | 1.91 | % | ||||
| MSCI China Index | 14.00 | % | -2.77 | % | ||||
Performance data quoted represents past performance, which is no guarantee of future results and current performance may be lower or higher than the figures shown. The deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares is not reflected in the total returns. For the most recent month-end performance figures, please visit www.claymore.com. The investment return and principal value of an investment will fluctuate with changes in market conditions and other factors so that an investor’s shares, when redeemed, may be worth more or less than their original cost.
Since inception returns assume a purchase of the Fund at the initial share price of $24.34 per share for share price returns or initial net asset value (NAV) of $24.34 per share for NAV returns. Returns for periods of less than one year are not annualized.
Per the most recent prospectus, the Fund’s annualized gross operating expense ratio, gross of any fee waivers or expense reimbursements, was 1.64%. In the Financial Highlights section of this Annual Report, the Fund’s annualized net operating expense ratio was .075%, while the Fund’s annualized gross operating expense ratio, gross of any fee waivers or expense reimbursements, was 0.91%. There is a contractual fee waiver currently in place for this Fund through December 31, 2012 to the extent necessary in keeping the Fund’s operating expense ratio from exceeding 0.70% of average net assets per year. Some expenses fall outside of this expense cap and actual expenses will be higher than 0.70%. Without this expense cap, actual returns would be lower.
| % of Total | ||||
| Country Breakdown | Investments | |||
| China | 97.8 | % | ||
| Singapore | 2.2 | % | ||
| % of Total | ||||
| Currency Denomination | Investments | |||
| Hong Kong Dollar | 88.4 | % | ||
| United States Dollar | 8.5 | % | ||
| Singapore Dollar | 3.1 | % | ||
| Portfolio Breakdown | % of Net Assets | |||
| Industrials | 29.6 | % | ||
| Materials | 14.3 | % | ||
| Consumer Discretionary | 13.6 | % | ||
| Financials | 11.9 | % | ||
| Information Technology | 11.8 | % | ||
| Consumer Staples | 6.9 | % | ||
| Health Care | 5.4 | % | ||
| Utilities | 4.8 | % | ||
| Telecommunication Services | 0.9 | % | ||
| Energy | 0.2 | % | ||
| Total Investments | 99.4 | % | ||
| Other Assets in excess of Liabilities | 0.6 | % | ||
| Net Assets | 100.0 | % | ||
| % of Total | ||||
| Top Ten Holdings | Investments | |||
| Air China Ltd. | 2.1 | % | ||
| Shandong Weigao Group Medical Polymer Co. Ltd. | 1.7 | % | ||
| ZTE Corp. | 1.7 | % | ||
| PICC Property & Casualty Co. Ltd. | 1.6 | % | ||
| China Everbright Ltd. | 1.6 | % | ||
| China Resources Gas Group Ltd. | 1.5 | % | ||
| Weichai Power Co. Ltd. | 1.5 | % | ||
| China Eastern Airlines Corp. Ltd. | 1.4 | % | ||
| Tsingtao Brewery Co. Ltd. | 1.4 | % | ||
| Semiconductor Manufacturing International Corp. | 1.4 | % | ||
Portfolio breakdown is shown as a percentage of net assets. Country breakdown, currency denomination and holdings are shown as a percentage of total investments. All are subject to change daily. For more current Fund information, please visit www.claymore.com. The above summaries are provided for informational purposes only, and should not be viewed as recommendations.
Performance of a $10,000 Investment
This graph compares a hypothetical $10,000 investment in the Fund, made at its inception, with a similar investment in the MSCI China Index. Results include the reinvestment of all dividends and capital gains. Past performance is no guarantee of future results. The MSCI China Index is a capitalization-weighted index that monitors the performance of stocks from the country of China. The index is unmanaged. It is not possible to invest directly in the MSCI China Index. Investment return and principal value will fluctuate with changes in market conditions and other factors and Fund shares, when redeemed, may be worth more or less than their original investment.
Annual Report | May 31, 2010 | 17
EXB | Claymore/Beacon Global Exchanges, Brokers & Asset Managers Index ETF
| Fund Statistics | ||||||||
| Share Price | $ | 12.18 | ||||||
| Net Asset Value | $ | 12.09 | ||||||
| Premium/Discount to NAV | 0.74 | % | ||||||
| Net Assets ($000) | $ | 2,900 | ||||||
| Total Returns | ||||||||
| One | Since Inception | |||||||
| (Inception 6/27/07) | Year | (Annualized) | ||||||
| Claymore/Beacon Global | ||||||||
| Exchanges, Brokers & Asset | ||||||||
| Managers Index ETF | ||||||||
| NAV | -0.42 | % | -18.94 | % | ||||
| Market | 1.82 | % | -18.79 | % | ||||
| Beacon Global Exchanges, | ||||||||
| Brokers & Asset Managers Index | 0.14 | % | -17.56 | % | ||||
| Dow Jones World Financials Index | 10.63 | % | -21.49 | % | ||||
Performance data quoted represents past performance, which is no guarantee of future results, and current performance may be lower or higher than the figures shown. The deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares is not reflected in the total returns. For the most recent month-end performance figures, please visit www.claymore.com. The investment return and principal value of an investment will fluctuate with changes in market conditions and other factors so that an investor’s shares, when redeemed, may be worth more or less than their original cost.
Since inception returns assume a purchase of the Fund at the initial share price of $24.56 per share for share price returns or initial net asset value (NAV) of $24.56 per share for NAV returns. Returns for periods of less than one year are not annualized.
Per the most recent prospectus, the Fund’s annualized gross operating expense ratio, gross of any fee waivers or expense reimbursements, was 2.55%. In the Financial Highlights section of this Annual Report, the Fund’s annualized net operating expense ratio was 0.70%, while the Fund’s annualized gross operating expense ratio, gross of any fee waivers or expense reimbursements, was 4.51%. There is a contractual fee waiver currently in place for this Fund through December 31, 2012 to the extent necessary in keeping the Fund’s operating expense ratio from exceeding 0.65% of average net assets per year. Some expenses fall outside of this expense cap and actual expenses will be higher than 0.65%. Without this expense cap, actual returns would be lower.
| % of Total | ||||
| Country Breakdown | Investments | |||
| United States | 63.2 | % | ||
| Japan | 9.7 | % | ||
| United Kingdom | 5.4 | % | ||
| Hong Kong | 4.6 | % | ||
| Germany | 4.2 | % | ||
| Canada | 2.7 | % | ||
| Australia | 2.5 | % | ||
| Singapore | 2.2 | % | ||
| Switzerland | 1.7 | % | ||
| Bermuda | 1.5 | % | ||
| Spain | 0.7 | % | ||
| Mexico | 0.5 | % | ||
| South Africa | 0.4 | % | ||
| Netherlands | 0.3 | % | ||
| Italy | 0.2 | % | ||
| Philippines | 0.1 | % | ||
| Cayman Islands | 0.1 | % | ||
| Pakistan | 0.0 | %* | ||
| Thailand | 0.0 | %* | ||
* Less than 0.1%.
| % of Total | ||||
| Currency Denomination | Investments | |||
| United States Dollar | 64.6 | % | ||
| Japanese Yen | 9.7 | % | ||
| Euro | 5.5 | % | ||
| Pound Sterling | 5.4 | % | ||
| Hong Kong Dollar | 4.7 | % | ||
| All other currencies | 10.1 | % | ||
| Portfolio Breakdown | % of Net Assets | |||
| Financials | 98.4 | % | ||
| Total Common Stocks | 98.4 | % | ||
| Master Limited Partnerships | 1.3 | % | ||
| Other Assets in excess of Liabilities | 0.3 | % | ||
| Net Assets | 100.0 | % | ||
| % of Total | ||||
| Top Ten Holdings | Investments | |||
| Bank of New York Mellon Corp. | 5.5 | % | ||
| Charles Schwab Corp. | 5.1 | % | ||
| CME Group, Inc. | 5.1 | % | ||
| Morgan Stanley | 5.0 | % | ||
| Goldman Sachs Group, Inc. | 4.8 | % | ||
| Hong Kong Exchanges and Clearing Ltd. | 4.6 | % | ||
| Nomura Holdings, Inc. | 4.5 | % | ||
| IntercontinentalExchange, Inc. | 4.4 | % | ||
| Deutsche Boerse AG | 4.2 | % | ||
| NYSE Euronext | 3.9 | % | ||
Portfolio breakdown is shown as a percentage of net assets. Country breakdown, currency denomination and holdings are shown as a percentage of total investments. All are subject to change daily. For more current Fund information, please visit www.claymore.com.The above summaries are provided for informational purposes only, and should not be viewed as recommendations.
Performance of a $10,000 Investment
This graph compares a hypothetical $10,000 investment in the Fund, made at its inception, with a similar investment in the Dow Jones World Financials Index. Results include the reinvestment of all dividends and capital gains. Past performance is no guarantee of future results. The Dow Jones Financials Index is an unmanaged index consisting of companies from around the world. It is not possible to invest directly in the Dow Jones World Financials Index. Investment return and principal value will fluctuate with changes in market conditions and other factors and Fund shares, when redeemed, may be worth more or less than their original investment.
18 | Annual Report | May 31, 2010
CUT | Claymore/Beacon Global Timber Index ETF
| Fund Statistics | ||||||||
| Share Price | $ | 17.65 | ||||||
| Net Asset Value | $ | 17.70 | ||||||
| Premium/Discount to NAV | -0.28 | % | ||||||
| Net Assets ($000) | $ | 112,541 | ||||||
| Total Returns | ||||||||
| Since Inception | ||||||||
| (Inception 11/9/07) | One Year | (Annualized) | ||||||
| Claymore/Beacon Global | ||||||||
| Timber Index ETF | ||||||||
| NAV | 22.15 | % | -11.12 | % | ||||
| Market | 20.48 | % | -11.23 | % | ||||
| Beacon Global Timber Index | 24.48 | % | -9.65 | % | ||||
| Dow Jones World Forestry & Paper Index | 36.76 | % | -18.72 | % | ||||
Performance data quoted represents past performance, which is no guarantee of future results, and current performance may be lower or higher than the figures shown. The deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares is not reflected in the total returns. For the most recent month-end performance figures, please visit www.claymore.com. The investment return and principal value of an investment will fluctuate with changes in market conditions and other factors so that an investor’s shares, when redeemed, may be worth more or less than their original cost.
Since inception returns assume a purchase of the Fund at the initial share price of $24.91 per share for share price returns or initial net asset value (NAV) of $24.91 per share for NAV returns. Returns for periods of less than one year are not annualized.
Per the most recent prospectus, the Fund’s annualized gross operating expense ratio, gross of any fee waivers or expense reimbursements, was 1.08%. In the Financial Highlights section of this Annual Report, the Fund’s annualized net operating expense ratio was 0.70%, while the Fund’s annualized gross operating expense ratio, gross of any fee waivers or expense reimbursements, was 0.86%. There is a contractual fee waiver currently in place for this Fund through December 31, 2012 to the extent necessary in keeping the Fund’s operating expense ratio from exceeding 0.65% of average net assets per year. Some expenses fall outside of this expense cap and actual expenses will be higher than 0.65%. Without this expense cap, actual returns would be lower.
| % of Total | ||||
| Country Breakdown | Investments | |||
| United States | 43.7 | % | ||
| Japan | 15.6 | % | ||
| Canada | 10.3 | % | ||
| Finland | 10.1 | % | ||
| Sweden | 7.1 | % | ||
| Brazil | 3.5 | % | ||
| South Africa | 3.0 | % | ||
| Ireland | 2.9 | % | ||
| Spain | 1.2 | % | ||
| Portugal | 1.0 | % | ||
| Australia | 0.9 | % | ||
| Bermuda | 0.7 | % | ||
| % of Total | ||||
| Currency Denomination | Investments | |||
| United States Dollar | 47.3 | % | ||
| Japanese Yen | 15.6 | % | ||
| Euro | 15.2 | % | ||
| Canadian Dollar | 10.3 | % | ||
| Swedish Krona | 7.0 | % | ||
| All other currencies | 4.6 | % | ||
| Portfolio Breakdown | % of Net Assets | |||
| Materials | 82.7 | % | ||
| Financials | 13.5 | % | ||
| Consumer Discretionary | 3.6 | % | ||
| Total Investments | 99.8 | % | ||
| Other Assets in excess of Liabilities | 0.2 | % | ||
| Net Assets | 100.0 | % | ||
| % of Total | ||||
| Top Ten Holdings | Investments | |||
| Stora Enso OYJ - R Shares | 5.1 | % | ||
| Nippon Paper Group, Inc. | 5.1 | % | ||
| OJI Paper Co., Ltd. | 5.1 | % | ||
| UPM-Kymmene OYJ | 4.9 | % | ||
| Greif, Inc. - Class A | 4.9 | % | ||
| Rayonier, Inc. - REIT | 4.7 | % | ||
| Sonoco Products Co. | 4.7 | % | ||
| Weyerhaeuser Co. | 4.5 | % | ||
| MeadWestvaco Corp. | 4.4 | % | ||
| Potlatch Corp. - REIT | 4.4 | % | ||
Portfolio breakdown is shown as a percentage of net assets. Country breakdown, currency denomination and holdings are shown as a percentage of total investments. All are subject to change daily. For more current Fund information, please visit www.claymore.com. The above summaries are provided for informational purposes only, and should not be viewed
as recommendations.
Performance of a $10,000 Investment
This graph compares a hypothetical $10,000 investment in the Fund, made at its inception, with a similar investment in the Dow Jones World Forestry & Paper Index. Results include the reinvestment of all dividends and capital gains. Past performance is no guarantee of future results. The Dow Jones World Forestry & Paper Index is a float-adjusted capitalization-weighted index that provides a broad measure of the world forestry and paper markets. It is not possible to invest directly in the Dow Jones World Forestry & Paper Index. Investment return and principal value will fluctuate with changes in market conditions and other factors and Fund shares, when redeemed, may be worth more or less than their original investment.
Annual Report | May 31, 2010 | 19
FRN | Claymore/BNY Mellon Frontier Markets ETF
| Fund Statistics | ||||||||
| Share Price | $ | 18.67 | ||||||
| Net Asset Value | $ | 18.12 | ||||||
| Premium/Discount to NAV | 3.04 | % | ||||||
| Net Assets ($000) | $ | 31,888 | ||||||
| Total Returns | ||||||||
| One | Since Inception | |||||||
| (Inception 6/12/08) | Year | (Annualized) | ||||||
| Claymore/BNY Mellon | ||||||||
| Frontier Markets ETF | ||||||||
| NAV | 27.69 | % | -12.69 | % | ||||
| Market | 31.62 | % | -11.36 | % | ||||
| The BNY Mellon New Frontier DR Index | 30.96 | % | -11.49 | % | ||||
| MSCI Emerging Markets Index | 22.39 | % | -7.12 | % | ||||
Performance data quoted represents past performance, which is no guarantee of future results, and current performance may be lower or higher than the figures shown. The deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares is not reflected in the total returns. For the most recent month-end performance figures, please visit www.claymore.com. The investment return and principal value of an investment will fluctuate with changes in market conditions and other factors so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Investors should also be aware that these returns were primarily achieved during favorable market conditions and may not be sustainable.
Since inception returns assume a purchase of the Fund at the initial share price of $24.34 per share for share price returns or initial net asset value (NAV) of $24.34 per share for NAV returns. Returns for periods of less than one year are not annualized.
Per the most recent prospectus, the Fund’s annualized gross operating expense ratio, gross of any fee waivers or expense reimbursements, was 2.22%. In the Financial Highlights section of this Annual Report, the Fund’s annualized net operating expense ratio was 0.70%, while the Fund’s annualized gross operating expense ratio, gross of any fee waivers or expense reimbursements, was 1.11%. There is a contractual fee waiver currently in place for this Fund through December 31, 2012 to the extent necessary in keeping the Fund’s operating expense ratio from exceeding 0.65% of average net assets per year. Some expenses fall outside of this expense cap and actual expenses will be higher than 0.65%. Without this expense cap, actual returns would be lower.
| % of Total | ||||
| Country Breakdown | Investments | |||
| Chile | 29.2 | % | ||
| Egypt | 15.3 | % | ||
| Colombia | 11.4 | % | ||
| Poland | 9.6 | % | ||
| Kazakhstan | 6.0 | % | ||
| Argentina | 6.0 | % | ||
| Peru | 5.2 | % | ||
| Lebanon | 4.6 | % | ||
| Nigeria | 3.8 | % | ||
| Czech Republic | 3.4 | % | ||
| Oman | 1.8 | % | ||
| Qatar | 1.3 | % | ||
| United States | 0.7 | % | ||
| Georgia | 0.6 | % | ||
| Ukraine | 0.6 | % | ||
| Pakistan | 0.5 | % | ||
| % of Total | ||||
| Currency Denomination | Investments | |||
| United States | 100.0 | % | ||
| Portfolio Breakdown | % of Net Assets | |||
| Financials | 41.5 | % | ||
| Utilities | 12.9 | % | ||
| Energy | 12.7 | % | ||
| Telecommunication Services | 10.5 | % | ||
| Materials | 9.1 | % | ||
| Industrials | 7.0 | % | ||
| Consumer Staples | 4.6 | % | ||
| Common Stocks, Preferred Stocks and Master | ||||
| Limited Partnerships | 98.3 | % | ||
| Exchange Traded Funds | 0.7 | % | ||
| Total Investments | 99.0 | % | ||
| Other Assets in excess of Liabilities | 1.0 | % | ||
| Net Assets | 100.0 | % | ||
| % of Total | ||||
| Top Ten Holdings | Investments | |||
| Ecopetrol SA - ADR | 7.0 | % | ||
| Empresa Nacional de Electricidad SA - ADR | 6.1 | % | ||
| Enersis SA - ADR | 6.1 | % | ||
| Bank Pekao SA - GDR | 5.7 | % | ||
| Cia de Minas Buenaventura SA - ADR | 5.2 | % | ||
| Commercial International Bank Egypt SAE - GDR | 4.5 | % | ||
| BanColombia SA - Preference Shares - ADR | 4.4 | % | ||
| KazMunaiGas Exploration Production - GDR | 4.1 | % | ||
| Telekomunikacja Polska SA - GDR | 4.0 | % | ||
| Orascom Construction Industries - GDR | 3.8 | % | ||
Portfolio breakdown is shown as a percentage of net assets. Country breakdown, currency denomination and holdings are shown as a percentage of total investments. All are subject to change daily. For more current Fund information, please visit www.claymore.com. The above summaries are provided for informational purposes only, and should not be viewed as recommendations.
Performance of a $10,000 Investment
This graph compares a hypothetical $10,000 investment in the Fund, made at its inception, with a similar investment in the MSCI Emerging Markets Index. Results include the reinvestment of all dividends and capital gains. Past performance is no guarantee of future results. The MSCI Emerging Markets Index is a free float-adjusted market capitalization index that is designed to measure equity market performance in the global emerging markets. It is not possible to invest directly in the MSCI Emerging Market Index. Investment return and principal value will fluctuate with changes in market conditions and other factors and Fund shares, when redeemed, may be worth more or less than their original investment.
20 | Annual Report | May 31, 2010
ROB | Claymore/Robb Report Global Luxury Index ETF
| Fund Statistics | ||||
| Share Price | $ | 17.18 | ||
| Net Asset Value | $ | 17.32 | ||
| Premium/Discount to NAV | -0.81 | % | ||
| Net Assets ($000) | $ | 15,243 | ||
| Total Returns | ||||||||
| Since Inception | ||||||||
| (Inception 07/30/07) | One Year | (Annualized) | ||||||
| Claymore/Robb Report Global | ||||||||
| Luxury Index ETF | ||||||||
| NAV | 33.37 | % | -9.52 | % | ||||
| Market | 33.67 | % | -9.77 | % | ||||
| Robb Report Global Luxury Index | 35.02 | % | -7.75 | % | ||||
| MSCI World Index | 13.60 | % | -10.25 | % | ||||
Performance data quoted represents past performance, which is no guarantee of future results, and current performance may be lower or higher than the figures shown. The deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares is not reflected in the total returns. For the most recent month-end performance figures, please visit www.claymore.com. The investment return and principal value of an investment will fluctuate with changes in market conditions and other factors so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Investors should also be aware that these returns were primarily achieved during favorable market conditions and may not be sustainable.
Since inception returns assume a purchase of the Fund at the initial share price of $23.80 per share for share price returns or initial net asset value (NAV) of $23.80 per share for NAV returns. Returns for periods of less than one year are not annualized.
Per the most recent prospectus, the Fund’s annualized gross operating expense ratio, gross of any fee waivers or expense reimbursements, was 4.75%. In the Financial Highlights section of this Annual Report, the Fund’s annualized net operating expense ratio was 0.75%, while the Fund’s annualized gross operating expense ratio, gross of any fee waivers or expense reimbursements, was 3.16%. There is a contractual fee waiver currently in place for this Fund through December 31, 2012 to the extent necessary in keeping the Fund’s operating expense ratio from exceeding 0.70% of average net assets per year. Some expenses fall outside of this expense cap and actual expenses will be higher than 0.70%. Without this expense cap, actual returns would be lower.
| % of Total | ||||
| Country Breakdown | Investments | |||
| France | 27.6 | % | ||
| United States | 27.6 | % | ||
| Germany | 13.2 | % | ||
| Switzerland | 11.7 | % | ||
| Italy | 6.6 | % | ||
| Japan | 5.2 | % | ||
| Bermuda | 4.0 | % | ||
| United Kingdom | 2.1 | % | ||
| Brazil | 2.0 | % | ||
| % of Total | ||||
| Currency Denomination | Investments | |||
| Euro | 47.3 | % | ||
| United States Dollar | 30.8 | % | ||
| Swiss Franc | 11.7 | % | ||
| Japanese Yen | 5.2 | % | ||
| Hong Kong Dollar | 2.9 | % | ||
| Pound Sterling | 2.1 | % | ||
| Portfolio Breakdown | % of Net Assets | |||
| Consumer Discretionary | 75.1 | % | ||
| Consumer Staples | 9.8 | % | ||
| Financials | 8.1 | % | ||
| Industrials | 7.1 | % | ||
| Total Common Stocks and Preferred Stock | 100.1 | % | ||
| Liabilities in excess of Other Assets | -0.1 | % | ||
| Net Assets | 100.0 | % | ||
| % of Total | ||||
| Top Ten Holdings | Investments | |||
| Wynn Resorts Ltd. | 4.7 | % | ||
| Daimler AG | 4.6 | % | ||
| Bayerische Motoren Werke AG | 4.6 | % | ||
| Coach, Inc. | 4.5 | % | ||
| PPR | 4.5 | % | ||
| Pernod-Ricard SA | 4.5 | % | ||
| Christian Dior SA | 4.5 | % | ||
| LVMH Moet Hennessy Louis Vuitton SA | 4.5 | % | ||
| Luxottica Group SpA | 4.5 | % | ||
| Hermes International | 4.5 | % | ||
Portfolio breakdown is shown as a percentage of net assets. Country breakdown, currency denomination and holdings are shown as a percentage of total investments. All are subject to change daily. For more current Fund information, please visit www.claymore.com. The above summaries are provided for informational purposes only, and should not be viewed as recommendations.
Performance of a $10,000 Investment
This graph compares a hypothetical $10,000 investment in the Fund, made at its inception, with a similar investment in the MSCI World Index. Results include the reinvestment of all dividends and capital gains. Past performance is no guarantee of future results. The MSCI World Index is a free float-adjusted market capitalization index that measures global developed market equity performance of the developed market country indices of Europe, Australasia, the Far East, the U.S. and Canada. It is not possible to invest directly in the MSCI World Index. Investment return and principal value will fluctuate with changes in market conditions and other factors and Fund shares, when redeemed, may be worth more or less than their original investment.
Annual Report | May 31, 2010 | 21
ENY | Claymore/SWM Canadian Energy Income Index ETF
| Fund Statistics | ||||
| Share Price | $ | 16.50 | ||
| Net Asset Value | $ | 16.52 | ||
| Premium/Discount to NAV | -0.12 | % | ||
| Net Assets ($000) | $ | 74,649 | ||
| Total Returns | ||||||||
| One | Since Inception | |||||||
| (Inception 7/3/07) | Year | (Annualized) | ||||||
| Claymore/SWM Canadian | ||||||||
| Energy Income Index ETF | ||||||||
| NAV | 21.75 | % | -9.02 | % | ||||
| Market | 19.23 | % | -9.08 | % | ||||
| Sustainable Canadian Energy | ||||||||
| Income Index | 25.74 | % | -6.66 | % | ||||
| S&P/TSX Composite Index | 21.63 | % | -2.31 | % | ||||
Performance data quoted represents past performance, which is no guarantee of future results, and current performance may be lower or higher than the figures shown. The deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares is not reflected in the total returns. For the most recent month-end performance figures, please visit www.claymore.com. The investment return and principal value of an investment will fluctuate with changes in market conditions and other factors so that an investor’s shares, when redeemed, may be worth more or less than their original cost.
Since inception returns assume a purchase of the Fund at the initial share price of $25.05 per share for share price returns or initial net asset value (NAV) of $25.05 per share for NAV returns. Returns for periods of less than one year are not annualized.
Per the most recent prospectus, the Fund’s annualized gross operating expense ratio, gross of any fee waivers or expense reimbursements, was 1.23%. In the Financial Highlights section of this Annual Report, the Fund’s annualized net operating expense ratio was 0.70%, while the Fund’s annualized gross operating expense ratio, gross of any fee waivers or expense reimbursements, was 0.89%. There is a contractual fee waiver currently in place for this Fund through December 31, 2012 to the extent necessary in keeping the Fund’s operating expense ratio from exceeding 0.65% of average net assets per year. Some expenses fall outside of this expense cap and actual expenses will be higher than 0.65%. Without this expense cap, actual returns would be lower.
| Portfolio Breakdown | % of Net Assets | |||
| Energy | 99.8 | % | ||
| Total Investments | 99.8 | % | ||
| Other Assets in excess of Liabilities | 0.2 | % | ||
| Net Assets | 100.0 | % | ||
| % of Total | ||||
| Country Breakdown | Investments | |||
| Canada | 100.0 | % | ||
| % of Total | ||||
| Currency Denomination | Investments | |||
| Canadian Dollar | 97.5 | % | ||
| United States Dollar | 2.5 | % | ||
| % of Total | ||||
| Top Ten Holdings | Investments | |||
| Baytex Energy Trust | 7.2 | % | ||
| Canadian Oil Sands Trust | 7.0 | % | ||
| Penn West Energy Trust | 7.0 | % | ||
| Connacher Oil and Gas Ltd. | 6.1 | % | ||
| Suncor Energy, Inc. | 6.0 | % | ||
| Cenovus Energy, Inc. | 5.4 | % | ||
| BlackPearl Resources, Inc. | 5.3 | % | ||
| Imperial Oil Ltd. | 5.0 | % | ||
| Canadian Natural Resources Ltd. | 4.9 | % | ||
| UTS Energy Corp. | 4.6 | % | ||
Portfolio breakdown is shown as a percentage of net assets. Country breakdown, currency denomination and holdings are shown as a percentage of total investments. All are subject to change daily. For more current Fund information, please visit www.claymore.com. The above summaries are provided for informational purposes only, and should not be viewed as recommendations.
Performance of a $10,000 Investment
This graph compares a hypothetical $10,000 investment in the Fund, made at its inception, with a similar investment in the Standard and Poor’s Toronto Stock Exchange Composite Index (S&P/TSX Composite Index). Results include the reinvestment of all dividends and capital gains. Past performance is no guarantee of future results. The S&P/TSX Composite Index is a capitalization-weighted index. The index is designed to measure performance of the broad Canadian economy through changes in the aggregate market value of stocks representing all major industries. It is not possible to invest directly in the S&P/TSX Composite Index. Investment return and principal value will fluctuate with changes in market conditions and other factors and Fund shares, when redeemed, may be worth more or less than their original investment.
22 | Annual Report | May 31, 2010
CRO | Claymore/Zacks Country Rotation ETF
| Fund Statistics | ||||
| Share Price | $ | 14.42 | ||
| Net Asset Value | $ | 14.32 | ||
| Premium/Discount to NAV | 0.70 | % | ||
| Net Assets ($000) | $ | 2,865 | ||
| Total Returns | ||||||||
| One | Since Inception | |||||||
| (Inception 7/11/07) | Year | (Annualized) | ||||||
| Claymore/Zacks Country | ||||||||
| Rotation ETF | ||||||||
| NAV | 3.77 | % | -15.46 | % | ||||
| Market | 3.94 | % | -15.24 | % | ||||
| Zacks Country Rotation Index | 4.30 | % | -14.38 | % | ||||
| MSCI EAFE Index | 6.38 | % | -14.08 | % | ||||
Performance data quoted represents past performance,which is no guarantee of future results, and current performance may be lower or higher than the figures shown. The deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares is not reflected in the total returns.For the most recent month-end performance figures,please visit www.claymore.com. The investment return and principal value of an investment will fluctuate with changes in market conditions and other factors so that an investor’s shares, when redeemed,may be worth more or less than their original cost.
Since inception returns assume a purchase of the Fund at the initial share price of $25.08 per share for share price returns or initial net asset value (NAV) of $25.08 per share for NAV returns. Returns for periods of less than one year are not annualized.
Per the most recent prospectus, the Fund’s annualized gross operating expense ratio, gross of any fee waivers or expense reimbursements, was 3.06%. In the Financial Highlights section of this Annual Report, the Fund’s annualized net operating expense ratio was 0.70%, while the Fund’s annualized gross operating expense ratio, gross of any fee waivers or expense reimbursements, was 3.29%. There is a contractual fee waiver currently in place for this Fund through December 31, 2012 to the extent necessary in keeping the Fund’s operating expense ratio from exceeding 0.65% of average net assets per year. Some expenses fall outside of this expense cap and actual expenses will be higher than 0.65%. Without this expense cap, actual returns would be lower.
| % of Total | ||||
| Country Breakdown | Investments | |||
| Australia | 21.1 | % | ||
| France | 21.0 | % | ||
| Sweden | 11.4 | % | ||
| China | 11.2 | % | ||
| Netherlands | 7.7 | % | ||
| Belgium | 6.5 | % | ||
| Singapore | 6.5 | % | ||
| Spain | 5.0 | % | ||
| Austria | 3.5 | % | ||
| Norway | 1.7 | % | ||
| United States | 1.6 | % | ||
| Bermuda | 1.4 | % | ||
| Luxembourg | 1.1 | % | ||
| Isle of Man | 0.2 | % | ||
| Jersey | 0.1 | % | ||
| % of Total | ||||
| Currency Denomination | Investments | |||
| Euro | 44.6 | % | ||
| Australian Dollar | 21.1 | % | ||
| Hong Kong Dollar | 12.4 | % | ||
| Swedish Krona | 11.9 | % | ||
| Singapore Dollar | 6.7 | % | ||
| All other currencies | 3.3 | % | ||
| Portfolio Breakdown | % of Net Assets | |||
| Financials | 31.8 | % | ||
| Industrials | 16.7 | % | ||
| Consumer Staples | 10.9 | % | ||
| Consumer Discretionary | 8.4 | % | ||
| Materials | 8.2 | % | ||
| Telecommunication Services | 6.3 | % | ||
| Utilities | 5.4 | % | ||
| Energy | 4.5 | % | ||
| Information Technology | 3.2 | % | ||
| Health Care | 3.0 | % | ||
| Total Common Stocks, Rights and Warrants | 98.4 | % | ||
| Exchange-Traded Funds | 1.6 | % | ||
| Total Investments | 100.0 | % | ||
| Other Assets in excess of Liabilities | 0.0 | %* | ||
| Net Assets | 100.0 | % | ||
*Less than 0.1%
| % of Total | ||||
| Top Ten Holdings | Investments | |||
| SPDR MSCI ACWI ex-US ETF | 1.6 | % | ||
| Koninklijke Philips Electronics NV | 1.0 | % | ||
| Telefonaktiebolaget LM Ericsson | 0.9 | % | ||
| Sun Hung Kai Properties Ltd. | 0.9 | % | ||
| Westfield Group | 0.9 | % | ||
| LVMH Moet Hennessy Louis Vuitton SA | 0.9 | % | ||
| Australia & New Zealand Banking Group Ltd. | 0.9 | % | ||
| Commonwealth Bank of Australia | 0.9 | % | ||
| Anheuser-Busch InBev NV | 0.9 | % | ||
| Hutchison Whampoa Ltd. | 0.9 | % | ||
Portfolio breakdown is shown as a percentage of net assets. Country breakdown, currency denomination and holdings are shown as a percentage of total investments. All are subject to change daily. For more current Fund information, please visit www.claymore.com. The above summaries are provided for informational purposes only, and should not be viewed as recommendations.
Performance of a $10,000 Investment
This graph compares a hypothetical $10,000 investment in the Fund, made at its inception, with a similar investment in the MSCI EAFE Index. Results include the reinvestment of all dividends and capital gains. Past performance is no guarantee of future results. The 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 US & Canada. It is not possible to invest directly in the MSCI EAFE Index. Investment return and principal value will fluctuate with changes in market conditions and other factors and Fund shares, when redeemed, may be worth more or less than their original investment.
Annual Report | May 31, 2010 | 23
HGI | Claymore/Zacks International Multi-Asset Income Index ETF
| Fund Statistics | ||||
| Share Price | $ | 16.09 | ||
| Net Asset Value | $ | 16.10 | ||
| Premium/Discount to NAV | -0.06 | % | ||
| Net Assets ($000) | $ | 54,736 | ||
| Total Returns | ||||||||
| Since Inception | ||||||||
| (Inception 7/11/07) | One Year | (Annualized) | ||||||
| Claymore/Zacks International | ||||||||
| Multi-Asset Income Index ETF | ||||||||
| NAV | 16.81 | % | -10.12 | % | ||||
| Market | 15.70 | % | -10.16 | % | ||||
| Zacks International Multi-Asset | ||||||||
| Income Index | 18.08 | % | -9.51 | % | ||||
| MSCI EAFE Index | 6.38 | % | -14.08 | % | ||||
Performance data quoted represents past performance, which is no guarantee of future results and current performance may be lower or higher than the figures shown. The deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares is not reflected in the total returns. For the most recent month-end performance figures, please visit www.claymore.com. The investment return and principal value of an investment will fluctuate with changes in the market conditions and other factors so that an investor’s shares, when redeemed, may be worth more or less than their original cost.
Since inception returns assume a purchase of the Fund at the initial share price of $24.98 per share for share price returns or initial net asset value (NAV) of $24.98 per share for NAV returns. Returns for periods of less than one year are not annualized.
Per the most recent prospectus, the Fund’s annualized gross operating expense ratio, gross of any fee waivers or expense reimbursements, was 2.14%. In the Financial Highlights section of this Annual Report, the Fund’s annualized net operating expense ratio was 0.70%, while the Fund’s annualized gross operating expense ratio, gross of any fee waivers or expense reimbursements, was 1.04%. There is a contractual fee waiver currently in place for this Fund through December 31, 2012 to the extent necessary in keeping the Fund’s operating expense ratio from exceeding 0.65% of average net assets per year. Some expenses fall outside of this expense cap and actual expenses will be higher than 0.65%. Without this expense cap, actual returns would be lower.
| % of Total | ||||
| Country Breakdown | Investments | |||
| United Kingdom | 16.7 | % | ||
| Canada | 10.6 | % | ||
| United States | 10.0 | % | ||
| France | 7.7 | % | ||
| Germany | 6.0 | % | ||
| Japan | 4.9 | % | ||
| Mexico | 3.9 | % | ||
| Australia | 3.5 | % | ||
| Chile | 3.4 | % | ||
| China | 3.3 | % | ||
| Sweden | 2.7 | % | ||
| Netherlands | 2.6 | % | ||
| Singapore | 2.2 | % | ||
| Switzerland | 2.1 | % | ||
| Argentina | 2.1 | % | ||
| Bermuda | 2.1 | % | ||
| Italy | 1.7 | % | ||
| Spain | 1.6 | % | ||
| Ireland | 1.2 | % | ||
| Greece | 1.2 | % | ||
| Taiwan | 1.2 | % | ||
| Hungary | 1.1 | % | ||
| Brazil | 1.1 | % | ||
| Israel | 1.0 | % | ||
| Philippines | 0.9 | % | ||
| Turkey | 0.9 | % | ||
| Finland | 0.8 | % | ||
| Luxembourg | 0.7 | % | ||
| Portugal | 0.7 | % | ||
| Austria | 0.7 | % | ||
| India | 0.5 | % | ||
| Denmark | 0.4 | % | ||
| Norway | 0.3 | % | ||
| Jersey | 0.2 | % | ||
| Portfolio Breakdown | % of Net Assets | |||
| Energy | 17.2 | % | ||
| Telecommunication Services | 13.0 | % | ||
| Industrials | 11.2 | % | ||
| Financials | 10.6 | % | ||
| Materials | 9.0 | % | ||
| Consumer Staples | 7.5 | % | ||
| Consumer Discretionary | 6.4 | % | ||
| Utilities | 5.7 | % | ||
| Health Care | 5.0 | % | ||
| Information Technology | 3.9 | % | ||
Total Common Stock, Preferred Stock, Income Trusts and Rights | 89.5 | % | ||
| Closed End Funds | 9.7 | % | ||
| Total Investments | 99.2 | % | ||
| Other Assets in Excess of Liabilities | 0.8 | % | ||
| Net Assets | 100.0 | % | ||
24 | Annual Report | May 31, 2010
HGI | Claymore/Zacks International Multi-Asset Income Index ETF (continued)
| % of Total | ||||
| Currency Denomination | Investments | |||
| United States Dollar | 36.2 | % | ||
| Euro | 23.6 | % | ||
| Pound Sterling | 16.2 | % | ||
| Canadian Dollar | 5.3 | % | ||
| Japanese Yen | 4.9 | % | ||
| All Other Currencies | 13.8 | % | ||
| % of Total | ||||
| Top Ten Holdings | Investments | |||
| Enerplus Resources Fund | 2.2 | % | ||
| Baytex Energy Trust | 2.1 | % | ||
| Penn West Energy Trust | 2.1 | % | ||
| Pengrowth Energy Trust | 2.0 | % | ||
| Grupo Aeroportuario del Sureste SAB de CV, ADR | 1.7 | % | ||
| Babcock & Brown Air Ltd., ADR | 1.7 | % | ||
| National Australia Bank Ltd. | 1.5 | % | ||
| Enersis SA, ADR | 1.4 | % | ||
| CRH PLC | 1.2 | % | ||
| Chunghwa Telecom Co. Ltd., ADR | 1.2 | % | ||
Portfolio breakdown is shown as a percentage of net assets. Country breakdown, currency denomination and holdings are shown as a percentage of total investments. All are subject to change daily. For more current Fund information, please visit www.claymore.com. The above summaries are provided for informational purposes only, and should not be viewed as recommendations.
Current Year Distributions to Shareholders
Performance of a $10,000 Investment
This graph compares a hypothetical $10,000 investment in the Fund, made at its inception, with a similar investment in the MSCI EAFE Index. Results include the reinvestment of all dividends and capital gains. Past performance is no guarantee of future results. The 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 US & Canada. It is not possible to invest directly in the MSCI EAFE Index. Investment return and principal value will fluctuate with changes in market conditions and other factors and Fund shares, when redeemed, may be worth more or less than their original investment.
Annual Report | May 31, 2010 | 25
Historical Premium/Discount Data
The tables that follow present information about the differences between the daily market price on secondary markets for shares of a Fund and that Fund’s net asset value (“NAV”). NAV is the price per share at which each Fund issues and redeems shares. It is calculated in accordance with the standard formula for valuing mutual fund shares. The “Market Price” of each Fund generally is determined using the midpoint between the highest bid and the lowest offer on the stock exchange on which the shares of such Fund are listed for trading, as of the time that the Fund’s NAV is calculated. Each Fund’s Market Price may be at, above or below its NAV. The NAV of each Fund will fluctuate with changes in the market value of its portfolio holdings. The Market Price of each Fund will fluctuate in accordance with changes in its NAV, as well as market supply and demand.
Premiums or discounts are the differences (expressed as a percentage) between the NAV and Market Price of a Fund on a given day, generally at the time NAV is calculated. A premium is the amount that a Fund is trading above the reported NAV, expressed as a percentage of the NAV. A discount is the amount that a Fund is trading below the reported NAV, expressed as a percentage of the NAV.
The following information shows the frequency distributions of premiums and discounts for each of the Funds included in this report. The information shown for each Fund is for five years (or since the Fund’s inception date if the Fund has been in existence for less than five years). The inception date for each Fund is disclosed at the end of the Historical Premium/Discount Data section.
Each line in the table shows the number of trading days in which the Fund traded within the premium/discount range indicated. The number of trading days in each premium/discount range is also shown as a percentage of the total number of trading days in the period covered by each table. All data presented here represents past performance, which cannot be used to predict future results.
TAO | Claymore/AlphaShares China Real Estate ETF6
| Number of | Percentage of | |||||||
| Premium/Discount Range | Trading Days | Total Trading Days | ||||||
| Greater than 2.0% | 103 | 16.72 | % | |||||
| Between 1.5% and 2.0% | 46 | 7.47 | % | |||||
| Between 1.0% and 1.5% | 49 | 7.95 | % | |||||
| Between 0.5% and 1.0% | 63 | 10.23 | % | |||||
| Between -0.5% and 0.5% | 151 | 24.51 | % | |||||
| Between -0.5% and -1.0% | 62 | 10.06 | % | |||||
| Between -1.0% and -1.5% | 42 | 6.82 | % | |||||
| Between -1.5% and -2.0% | 29 | 4.71 | % | |||||
| Below -2.0% | 71 | 11.53 | % | |||||
HAO | Claymore/AlphaShares China Small Cap Index ETF7
| Number of | Percentage of | |||||||
| Premium/Discount Range | Trading Days | Total Trading Days | ||||||
| Greater than 2.0% | 105 | 17.86 | % | |||||
| Between 1.5% and 2.0% | 52 | 8.84 | % | |||||
| Between 1.0% and 1.5% | 65 | 11.06 | % | |||||
| Between 0.5% and 1.0% | 80 | 13.61 | % | |||||
| Between -0.5% and 0.5% | 134 | 22.79 | % | |||||
| Between -0.5% and -1.0% | 54 | 9.18 | % | |||||
| Between -1.0% and -1.5% | 20 | 3.40 | % | |||||
| Between -1.5% and -2.0% | 21 | 3.57 | % | |||||
| Below -2.0% | 57 | 9.69 | % | |||||
EXB | Claymore/Beacon Global Exchanges, Brokers & Asset Managers Index ETF1
| Number of | Percentage of | |||||||
| Premium/Discount Range | Trading Days | Total Trading Days | ||||||
| Greater than 2.0% | 7 | 0.95 | % | |||||
| Between 1.5% and 2.0% | 2 | 0.27 | % | |||||
| Between 1.0% and 1.5% | 27 | 3.66 | % | |||||
| Between 0.5% and 1.0% | 91 | 12.35 | % | |||||
| Between -0.5% and 0.5% | 469 | 63.64 | % | |||||
| Between -0.5% and -1.0% | 77 | 10.45 | % | |||||
| Between -1.0% and -1.5% | 31 | 4.21 | % | |||||
| Between -1.5% and -2.0% | 15 | 2.03 | % | |||||
| Below -2.0% | 18 | 2.44 | % | |||||
CUT | Claymore/Beacon Global Timber Index ETF5
| Number of | Percentage of | |||||||
| Premium/Discount Range | Trading Days | Total Trading Days | ||||||
| Greater than 2.0% | 19 | 2.96 | % | |||||
| Between 1.5% and 2.0% | 20 | 3.12 | % | |||||
| Between 1.0% and 1.5% | 61 | 9.50 | % | |||||
| Between 0.5% and 1.0% | 129 | 20.09 | % | |||||
| Between -0.5% and 0.5% | 294 | 45.80 | % | |||||
| Between -0.5% and -1.0% | 40 | 6.23 | % | |||||
| Between -1.0% and -1.5% | 40 | 6.23 | % | |||||
| Between -1.5% and -2.0% | 18 | 2.80 | % | |||||
| Below -2.0% | 21 | 3.27 | % | |||||
26 | Annual Report | May 31, 2010
FRN | Claymore/BNY Mellon Frontier Markets ETF8
| Number of | Percentage of | |||||||
| Premium/Discount Range | Trading Days | Total Trading Days | ||||||
| Greater than 2.0% | 154 | 31.11 | % | |||||
| Between 1.5% and 2.0% | 42 | 8.49 | % | |||||
| Between 1.0% and 1.5% | 65 | 13.13 | % | |||||
| Between 0.5% and 1.0% | 50 | 10.10 | % | |||||
| Between -0.5% and 0.5% | 96 | 19.39 | % | |||||
| Between -0.5% and -1.0% | 19 | 3.84 | % | |||||
| Between -1.0% and -1.5% | 20 | 4.04 | % | |||||
| Between -1.5% and -2.0% | 18 | 3.64 | % | |||||
| Below -2.0% | 31 | 6.26 | % | |||||
ROB | Claymore/Robb Report Global Luxury Index ETF4
| Number of | Percentage of | |||||||
| Premium/Discount Range | Trading Days | Total Trading Days | ||||||
| Greater than 2.0% | 30 | 4.21 | % | |||||
| Between 1.5% and 2.0% | 13 | 1.83 | % | |||||
| Between 1.0% and 1.5% | 41 | 5.76 | % | |||||
| Between 0.5% and 1.0% | 118 | 16.57 | % | |||||
| Between -0.5% and 0.5% | 330 | 46.35 | % | |||||
| Between -0.5% and -1.0% | 76 | 10.67 | % | |||||
| Between -1.0% and -1.5% | 46 | 6.46 | % | |||||
| Between -1.5% and -2.0% | 26 | 3.65 | % | |||||
| Below -2.0% | 32 | 4.50 | % | |||||
ENY | Claymore/SWM Canadian Energy Income Index ETF2
| Number of | Percentage of | |||||||
| Premium/Discount Range | Trading Days | Total Trading Days | ||||||
| Greater than 2.0% | 39 | 5.32 | % | |||||
| Between 1.5% and 2.0% | 17 | 2.32 | % | |||||
| Between 1.0% and 1.5% | 45 | 6.14 | % | |||||
| Between 0.5% and 1.0% | 93 | 12.69 | % | |||||
| Between -0.5% and 0.5% | 430 | 58.66 | % | |||||
| Between -0.5% and -1.0% | 71 | 9.69 | % | |||||
| Between -1.0% and -1.5% | 18 | 2.45 | % | |||||
| Between -1.5% and -2.0% | 8 | 1.09 | % | |||||
| Below -2.0% | 12 | 1.64 | % | |||||
CRO | Claymore/Zacks Country Rotation ETF3
| Number of | Percentage of | |||||||
| Premium/Discount Range | Trading Days | Total Trading Days | ||||||
| Greater than 2.0% | 42 | 5.77 | % | |||||
| Between 1.5% and 2.0% | 30 | 4.12 | % | |||||
| Between 1.0% and 1.5% | 58 | 7.97 | % | |||||
| Between 0.5% and 1.0% | 107 | 14.70 | % | |||||
| Between -0.5% and 0.5% | 280 | 38.46 | % | |||||
| Between -0.5% and -1.0% | 99 | 13.60 | % | |||||
| Between -1.0% and -1.5% | 47 | 6.45 | % | |||||
| Between -1.5% and -2.0% | 30 | 4.12 | % | |||||
| Below -2.0% | 35 | 4.81 | % | |||||
HGI | Claymore/Zacks International Multi-Asset Income Index ETF3
| Number of | Percentage of | |||||||
| Premium/Discount Range | Trading Days | Total Trading Days | ||||||
| Greater than 2.0% | 53 | 7.28 | % | |||||
| Between 1.5% and 2.0% | 40 | 5.50 | % | |||||
| Between 1.0% and 1.5% | 83 | 11.40 | % | |||||
| Between 0.5% and 1.0% | 144 | 19.78 | % | |||||
| Between -0.5% and 0.5% | 239 | 32.83 | % | |||||
| Between -0.5% and -1.0% | 63 | 8.65 | % | |||||
| Between -1.0% and -1.5% | 44 | 6.04 | % | |||||
| Between -1.5% and -2.0% | 22 | 3.02 | % | |||||
| Below -2.0% | 40 | 5.50 | % | |||||
1 Commenced operations June 27, 2007.
2 Commenced operations July 3, 2007.
3 Commenced operations July 11, 2007.
4 Commenced operations July 30, 2007.
5 Commenced operations November 9, 2007
6 Commenced operations December 18, 2007.
7 Commenced operations January 30, 2008.
8 Commenced operations June 12, 2008.
Annual Report | May 31, 2010 | 27
Overview of Fund Expenses | As of May 31, 2010 (unaudited)
As a shareholder of Claymore/AlphaShares China Real Estate ETF; Claymore/AlphaShares China Small Cap Index ETF; Claymore/Beacon Global Exchanges, Brokers & Asset Managers Index ETF; Claymore/Beacon Global Timber Index ETF; Claymore/BNY Mellon Frontier Markets ETF; Claymore/Robb Report Global Luxury Index ETF; Claymore/SWM Canadian Energy Income Index ETF; Claymore/Zacks Country Rotation ETF; and Claymore/Zacks International Multi-Asset Income Index ETF, you incur advisory fees and other Fund expenses. The expense examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other funds.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire six month period ended May 31, 2010.
Actual Expense
The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid 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 line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing cost of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) or contingent deferred sales charges. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Beginning Account Value | Ending Account Value | Annualized Expense Ratio for the Six Months Ended | Expenses Paid During Period1 | |||||||||||||
12/01/09 | 5/31/10 | 5/31/10 | 12/01/09 - 5/31/10 | |||||||||||||
Claymore/AlphaShares China Real Estate ETF2 | ||||||||||||||||
| Actual | $ | 1,000.00 | $ | 883.23 | 0.70 | % | $ | 3.29 | ||||||||
| Hypothetical (5% annual return before expenses) | 1,000.00 | 1,021.44 | 0.70 | % | 3.53 | |||||||||||
Claymore/AlphaShares China Small Cap Index ETF2 | ||||||||||||||||
| Actual | 1,000.00 | 943.97 | 0.75 | % | 3.63 | |||||||||||
| Hypothetical (5% annual return before expenses) | 1,000.00 | 1,021.19 | 0.75 | % | 3.78 | |||||||||||
| Claymore/Beacon Global Exchanges, Brokers & Asset | ||||||||||||||||
Managers Index ETF2 | ||||||||||||||||
| Actual | 1,000.00 | 923.91 | 0.70 | % | 3.36 | |||||||||||
| Hypothetical (5% annual return before expenses) | 1,000.00 | 1,021.44 | 0.70 | % | 3.53 | |||||||||||
Claymore/Beacon Global Timber Index ETF2 | ||||||||||||||||
| Actual | 1,000.00 | 1,017.11 | 0.70 | % | 3.52 | |||||||||||
| Hypothetical (5% annual return before expenses) | 1,000.00 | 1,021.44 | 0.70 | % | 3.53 | |||||||||||
Claymore/BNY Mellon Frontier Markets ETF2 | ||||||||||||||||
| Actual | 1,000.00 | 1,010.50 | 0.70 | % | 3.51 | |||||||||||
| Hypothetical (5% annual return before expenses) | 1,000.00 | 1,021.44 | 0.70 | % | 3.53 | |||||||||||
Claymore/Robb Report Global Luxury Index ETF2 | ||||||||||||||||
| Actual | 1,000.00 | 1,020.34 | 0.75 | % | 3.78 | |||||||||||
| Hypothetical (5% annual return before expenses) | 1,000.00 | 1,021.19 | 0.75 | % | 3.78 | |||||||||||
Claymore/SWM Canadian Energy Income Index ETF2 | ||||||||||||||||
| Actual | 1,000.00 | 1,024.72 | 0.70 | % | 3.53 | |||||||||||
Hypothetical (5% annual return before expenses) | 1,000.00 | 1,021.44 | 0.70 | % | 3.53 | |||||||||||
28 | Annual Report | May 31, 2010
Beginning Account Value | Ending Account Value | Annualized Expense Ratio for the Six Months Ended | Expenses Paid During Period1 | |||||||||||||
12/01/09 | 5/31/10 | 5/31/10 | 12/01/09 - 5/31/10 | |||||||||||||
Claymore/Zacks Country Rotation ETF2 | ||||||||||||||||
| Actual | $ | 1,000.00 | $ | 872.68 | 0.70 | % | $ | 3.27 | ||||||||
| Hypothetical (5% annual return before expenses) | 1,000.00 | 1,021.44 | 0.70 | % | 3.53 | |||||||||||
| Claymore/Zacks International Multi-Asset | ||||||||||||||||
Income Index ETF2 | ||||||||||||||||
| Actual | 1,000.00 | 944.70 | 0.70 | % | 3.39 | |||||||||||
Hypothetical (5% annual return before expenses) | 1,000.00 | 1,021.44 | 0.70 | % | 3.53 | |||||||||||
| 1 | Actual and hypothetical expenses are calculated using the annualized expense ratio. This represents the ongoing expenses of the Fund as a percentage of net assets for the six-months ended May 31, 2010. Expenses are calculated by multiplying the Fund’s annualized expense ratio by the average account value over the period; then multiplying the result by 182/365. |
| 2 | The expense ratios reflect an expense waiver. Please see the Notes to Financial Statements for more information. |
Assumes all dividends and distributions were reinvested.
Annual Report | May 31, 2010 | 29
Portfolio of Investments | May 31, 2010
TAO | Claymore/AlphaShares China Real Estate ETF
| Number | |||||||
| of Shares | Description | Value | |||||
| Common Stocks – 99.3% | |||||||
| China – 98.5% | |||||||
| 702,000 | Agile Property Holdings Ltd. | $ | 742,037 | ||||
| 520,000 | Beijing Capital Land Ltd. | 157,617 | |||||
| 943,000 | Champion Real Estate Investment Trust – REIT | 428,749 | |||||
| 203,000 | Cheung Kong Holdings Ltd. | 2,306,122 | |||||
| 1,126,000 | China Overseas Land & Investment Ltd. | 2,232,925 | |||||
| 818,000 | China Resources Land Ltd. | 1,535,992 | |||||
| 328,500 | Chinese Estates Holdings Ltd. | 544,269 | |||||
| 2,848,000 | Country Garden Holdings Co. | 819,363 | |||||
| 22,521 | E-House China Holdings Ltd., ADR | 328,131 | |||||
| 1,372,000 | Franshion Properties China Ltd. | 410,581 | |||||
| 148,000 | Great Eagle Holdings Ltd. | 356,601 | |||||
| 315,500 | Greentown China Holdings Ltd. | 345,650 | |||||
| 502,800 | Guangzhou R&F Properties Co. Ltd. | 650,945 | |||||
| 418,000 | Hang Lung Group Ltd. | 1,989,083 | |||||
| 688,000 | Hang Lung Properties Ltd. | 2,430,018 | |||||
| 348,000 | Henderson Land Development Co. Ltd. | 2,091,768 | |||||
| 539,000 | Hongkong Land Holdings Ltd. | 2,565,640 | |||||
| 348,000 | Hopewell Holdings Ltd. | 947,553 | |||||
| 298,000 | Hopson Development Holdings Ltd. | 361,690 | |||||
| 304,000 | Hysan Development Co. Ltd. | 796,512 | |||||
| 332,000 | Kerry Properties Ltd. | 1,379,434 | |||||
| 542,500 | KWG Property Holding Ltd. | 312,152 | |||||
| 1,087,500 | Link Real Estate Investment Trust (The) – REIT | 2,600,742 | |||||
| 238,000 | Neo-China Land Group Holdings Ltd. (a) (b) | 61,441 | |||||
| 833,200 | New World China Land Ltd. | 261,112 | |||||
| 1,188,000 | New World Development Ltd. | 1,928,643 | |||||
| 2,198,000 | Renhe Commercial Holdings Co. Ltd. | 479,916 | |||||
| 920,000 | Shenzhen Investment Ltd. | 270,590 | |||||
| 703,000 | Shimao Property Holdings Ltd. | 1,036,539 | |||||
| 995,800 | Shui On Land Ltd. | 431,013 | |||||
| 468,000 | Shun Tak Holdings Ltd. | 257,263 | |||||
| 1,182,000 | Sino Land Co. Ltd. | 1,979,627 | |||||
| 1,857,000 | Sino-Ocean Land Holdings Ltd. | 1,383,338 | |||||
| 923,000 | Soho China Ltd. | 493,155 | |||||
| 173,000 | Sun Hung Kai Properties Ltd. | 2,304,163 | |||||
| 218,500 | Swire Pacific Ltd. – Class A | 2,374,161 | |||||
| 475,000 | Swire Pacific Ltd. – Class B | 959,035 | |||||
| 423,000 | Tian An China Investment | 271,100 | |||||
| 503,000 | Wharf Holdings Ltd. | 2,490,467 | |||||
| 410,000 | Wheelock & Co. Ltd. | 1,087,408 | |||||
| 1,874,000 | Yuexiu Property Co. Ltd. | 413,987 | |||||
| 44,816,532 | |||||||
| Singapore – 0.8% | |||||||
| 285,000 | Yanlord Land Group Ltd. | 339,213 | |||||
Total Common Stock – 99.3% (Cost $50,707,960) | 45,155,745 | ||||||
| Warrants – 0.0% | |||||||
| China – 0.0% | |||||||
| 79,000 | Henderson Land Development Co. Ltd. (a) (Cost $0) | – | |||||
Total Investments – 99.3% (Cost $50,707,960) | 45,155,745 | ||||||
| Other Assets in excess of Liabilities – 0.7% | 328,026 | ||||||
| Net Assets – 100.0% | $ | 45,483,771 | |||||
ADR – American Depositary Receipt
REIT – Real Estate Investment Trust
| (a) | Security is valued in accordance with Fair Valuation procedures established in good faith by the Board of Trustees. The total market value of such securities is $61,441 which represents 0.1% of net assets. |
| (b) | Non-income producing security |
See notes to financial statements.
HAO | Claymore/AlphaShares China Small Cap Index ETF
| Number | |||||||
| of Shares | Description | Value | |||||
| Common Stocks – 99.4% | |||||||
| Consumer Discretionary – 13.6% | |||||||
| 1,664,000 | 361 Degrees International Ltd. | $ | 1,164,765 | ||||
| 1,953,000 | Anta Sports Products Ltd. | 3,331,108 | |||||
| 4,036,000 | AviChina Industry & Technology Co. (a) | 1,264,822 | |||||
| 5,606,000 | Bosideng International Holdings Ltd. | 1,317,627 | |||||
| 8,556,000 | Brilliance China Automotive Holdings Ltd. (a) | 2,725,278 | |||||
| 4,585,000 | China Hongxing Sports Ltd. | 392,132 | |||||
| 7,552,000 | China Travel International Investment Hong Kong Ltd. (a) | 1,581,022 | |||||
| 229,605 | Focus Media Holding Ltd., ADR (a) | 3,602,502 | |||||
| 1,381,000 | Golden Eagle Retail Group Ltd. | 2,688,941 | |||||
| 1,157,000 | Great Wall Motor Co. Ltd. | 1,902,093 | |||||
| 1,818,000 | Haier Electronics Group Co. Ltd. (a) | 994,699 | |||||
| 3,428,000 | Hengdeli Holdings Ltd. | 1,422,105 | |||||
| 65,084 | Home Inns & Hotels Management, Inc., ADR (a) | 2,479,050 | |||||
| 1,490,000 | Intime Department Store Group Co. Ltd. | 1,282,181 | |||||
| 1,415,000 | Little Sheep Group Ltd. | 786,924 | |||||
| 2,492,000 | Maoye International Holdings | 819,363 | |||||
| 1,464,000 | Minth Group Ltd. | 1,921,677 | |||||
| 961,000 | Ports Design Ltd. | 2,305,625 | |||||
| 2,066,000 | Qingling Motors Co. Ltd. | 472,323 | |||||
| 3,936,000 | Shanghai Jin Jiang International Hotels Group Co. Ltd. | 834,118 | |||||
| 904,000 | Shenzhou International Group Holdings Ltd. | 1,019,416 | |||||
| 1,296,000 | TCL Multimedia Technology Holdings Ltd. | 880,540 | |||||
| 1,766,000 | Tianneng Power International Ltd. | 945,834 | |||||
| 5,440,000 | VODone Ltd. | 1,669,880 | |||||
| 1,158,000 | Weiqiao Textile Co. | 718,363 | |||||
| 1,580,000 | XTEP International Holdings | 1,217,578 | |||||
| 39,739,966 | |||||||
| Consumer Staples – 6.9% | |||||||
| 172,428 | American Oriental Bioengineering, Inc. (a) | 534,527 | |||||
| 2,242,000 | BaWang International Group Holding Ltd. | 1,566,473 | |||||
| 2,002,000 | China Foods Ltd. | 1,370,502 | |||||
| 1,338,000 | China Green Holdings Ltd. | 1,350,725 | |||||
| 1,459,000 | China Huiyuan Juice Group Ltd. | 987,539 | |||||
| 3,912,000 | Global Bio-Chem Technology Group Co. Ltd. (a) | 753,665 | |||||
| 579,000 | Hsu Fu Chi International Ltd. | 1,031,644 | |||||
| 586,000 | Lianhua Supermarket Holdings Co. Ltd. | 2,062,228 | |||||
| 1,691,000 | People’s Food Holdings Ltd. | 723,113 | |||||
| 4,387,000 | Pine Agritech Ltd. (a) | 468,997 | |||||
| 854,000 | Tsingtao Brewery Co. Ltd. | 4,091,241 | |||||
| 2,661,000 | Uni-President China Holdings Ltd. | 1,452,520 | |||||
| 1,037,000 | Vinda International Holdings Ltd. | 813,783 | |||||
| 1,589,000 | Wumart Stores, Inc. | 3,016,385 | |||||
| 20,223,342 | |||||||
| Energy – 0.2% | |||||||
| 3,238,000 | Honghua Group Ltd. (a) | 478,259 | |||||
| Financials – 11.9% | |||||||
| 2,956,000 | Beijing Capital Land Ltd. | 895,993 | |||||
| 1,988,000 | Beijing North Star Co. | 497,897 | |||||
| 2,050,000 | China Everbright Ltd. | 4,518,138 | |||||
| 126,868 | E-House China Holdings Ltd., ADR | 1,848,467 | |||||
| 7,792,000 | Franshion Properties China Ltd. | 2,331,810 | |||||
| 1,782,000 | Greentown China Holdings Ltd. | 1,952,294 | |||||
| 3,057,000 | KWG Property Holding Ltd. | 1,758,984 | |||||
| 2,822,000 | Minmetals Land Ltd. (a) | 489,304 | |||||
| 5,064,000 | PICC Property & Casualty Co. Ltd. (a) | 4,682,897 | |||||
| 1,915,000 | Poly Hong Kong Investments Ltd. | 1,920,915 | |||||
| 12,554,000 | Renhe Commercial Holdings Co. Ltd. | 2,741,066 | |||||
| 2,056,000 | Shanghai Forte Land Co. | 541,334 | |||||
| 19,945,000 | Shanghai Zendai Property Ltd. | 883,775 | |||||
| 5,198,000 | Shenzhen Investment Ltd. | 1,528,833 | |||||
| 5,237,500 | Soho China Ltd. | 2,798,374 | |||||
| 854,550 | SPG Land Holdings Ltd. | 361,095 | |||||
| 10,564,000 | United Energy Group Ltd. (a) | 691,970 | |||||
| 1,631,000 | Yanlord Land Group Ltd. (Singapore) | 1,941,252 | |||||
| 10,584,000 | Yuexiu Property Co. Ltd. | 2,338,119 | |||||
| 34,722,517 | |||||||
| Health Care – 5.4% | |||||||
| 65,691 | China Medical Technologies, Inc., ADR | 689,099 | |||||
| 2,100,000 | China Pharmaceutical Group Ltd. | 1,213,725 | |||||
| 676,000 | China Shineway Pharmaceutical Group Ltd. | 2,105,459 | |||||
| 1,312,000 | Shandong Weigao Group Medical Polymer Co. Ltd. | 5,021,558 | |||||
| 70,139 | Simcere Pharmaceutical Group, ADR (a) | 591,973 | |||||
| 7,072,000 | Sino Biopharmaceutical | 2,888,403 | |||||
| 173,333 | WuXi PharmaTech Cayman, Inc., ADR (a) | 3,100,927 | |||||
| 15,611,144 | |||||||
| Industrials – 29.6% | |||||||
| 6,188,000 | Air China Ltd. (a) | 6,223,009 | |||||
| 1,396,000 | Anhui Expressway Co. | 851,662 | |||||
| 870,000 | Baoye Group Co. Ltd. | 508,416 | |||||
| 5,314,000 | Beijing Capital International Airport Co. Ltd. | 2,914,324 | |||||
| 1,136,000 | China Automation Group Ltd. | 725,142 | |||||
| 9,882,000 | China Eastern Airlines Corp. Ltd. (a) | 4,137,622 | |||||
| 4,481,000 | China Everbright International Ltd. | 1,761,103 | |||||
| 3,620,000 | China National Materials Co. Ltd. | 2,087,581 | |||||
| 10,542,000 | China Shipping Container Lines Co. Ltd. (a) | 3,709,898 | |||||
| 4,604,000 | China South Locomotive and Rolling Stock Corp. | 3,134,004 | |||||
| 6,986,000 | China Southern Airlines Co. Ltd. (a) | 3,041,702 | |||||
| 3,070,000 | China State Construction International Holdings Ltd. | 1,001,522 | |||||
See notes to financial statements.
Annual Report | May 31, 2010 | 31
HAO | Claymore/AlphaShares China Small Cap Index ETF (continued)
| Number | |||||||
| of Shares | Description | Value | |||||
| Industrials (continued) | |||||||
| 2,750,000 | Chongqing Machinery & Electric Co. Ltd. | $ | 656,953 | ||||
| 1,420,000 | CIMC Enric Holdings Ltd. (a) | 703,986 | |||||
| 4,602,000 | Citic Resources Holdings Ltd. (a) | 862,954 | |||||
| 1,734,000 | Cosco International Holdings Ltd. | 886,381 | |||||
| 3,138,000 | COSCO Pacific Ltd. | 3,848,972 | |||||
| 2,968,000 | Dalian Port PDA Co. Ltd. | 1,113,102 | |||||
| 961,400 | Dongfang Electric Corp. Ltd. | 2,982,014 | |||||
| 4,006,000 | Guangshen Railway Co. Ltd. | 1,394,340 | |||||
| 446,000 | Guangzhou Shipyard International Co. Ltd. | 663,333 | |||||
| 2,512,000 | GZI Transportation Ltd. | 1,280,851 | |||||
| 1,414,000 | Haitian International Holdings Ltd. | 1,038,805 | |||||
| 1,894,000 | Harbin Power Equipment Co. Ltd. | 1,379,277 | |||||
| 3,456,000 | Jiangsu Expressway Co. Ltd. | 3,116,013 | |||||
| 3,746,000 | Lonking Holdings Ltd. | 2,323,824 | |||||
| 8,354,000 | Shanghai Electric Group Co. Ltd. | 3,873,380 | |||||
| 2,088,000 | Shenzhen Expressway Co. Ltd. | 954,704 | |||||
| 25,895,000 | Shenzhen International Holdings Ltd. | 1,646,302 | |||||
| 2,990,000 | Sichuan Expressway Co. Ltd. | 1,536,100 | |||||
| 4,330,000 | Sinotrans Ltd. | 967,666 | |||||
| 3,558,000 | Sinotrans Shipping Ltd. | 1,448,617 | |||||
| 2,363,000 | Sinotruk Hong Kong Ltd. | 1,875,602 | |||||
| 345,812 | Suntech Power Holdings Co. Ltd., ADR (a) | 3,492,701 | |||||
| 1,422,000 | Tianjin Development Holdings | 783,511 | |||||
| 13,758,000 | Tianjin Port Development Holdings Ltd. (a) | 2,950,939 | |||||
| 573,000 | Weichai Power Co. Ltd. | 4,231,661 | |||||
| 4,087,000 | Yangzijiang Shipbuilding Holdings Ltd. (Singapore) | 3,670,173 | |||||
| 4,054,000 | Zhejiang Expressway Co. Ltd. | 3,728,079 | |||||
| 1,318,000 | Zhuzhou CSR Times Electric Co. Ltd. | 2,610,287 | |||||
| 86,116,512 | |||||||
| Information Technology – 11.8% | |||||||
| 1,816,000 | AAC Acoustic Technologies Holdings, Inc. | 2,612,295 | |||||
| 92,041 | AsiaInfo Holdings, Inc. (a) | 1,972,439 | |||||
| 2,169,000 | BYD Electronic International Co. Ltd. | 1,342,749 | |||||
| 4,786,000 | China Aerospace International Holdings Ltd. | 528,639 | |||||
| 106,897 | China Digital TV Holding Co. Ltd., ADR (a) | 630,692 | |||||
| 1,439,200 | Comba Telecom Systems Holdings Ltd. | 1,719,066 | |||||
| 1,372,000 | Digital China Holdings Ltd. | 2,128,675 | |||||
| 268,974 | Giant Interactive Group, Inc., ADR | 1,907,026 | |||||
| 2,296,000 | Ju Teng International Holdings Ltd. | 1,778,188 | |||||
| 2,116,000 | Kingboard Laminates Holdings Ltd. | 1,880,659 | |||||
| 1,480,000 | Kingsoft Corp Ltd. | 830,676 | |||||
| 2,552,000 | Meadville Holdings Ltd. (b) | 525,415 | |||||
| 46,142,000 | Semiconductor Manufacturing International Corp. (a) | 3,970,632 | |||||
| 83,313 | Sohu.com, Inc. (a) | 3,682,435 | |||||
| 2,936,000 | TPV Technology Ltd. | 1,764,779 | |||||
| 1,927,000 | Travelsky Technology Ltd. | 1,346,384 | |||||
| 1,158,000 | Wasion Group Holdings Ltd. | 760,007 | |||||
| 1,483,762 | ZTE Corp. | 4,916,685 | |||||
| 34,297,441 | |||||||
| Materials – 14.3% | |||||||
| 1,177,500 | Asia Cement China Holdings Corp. | 544,442 | |||||
| 3,286,000 | BBMG Corp. | 3,114,672 | |||||
| 5,080,000 | China BlueChemical Ltd. | 3,112,221 | |||||
| 1,151,400 | China Metal Recycling Holdings Ltd. | 1,035,172 | |||||
| 3,797,000 | China Molybdenum Co. Ltd. | 2,467,627 | |||||
| 2,090,000 | China Oriental Group Co. Ltd. | 617,394 | |||||
| 5,369,000 | China Shanshui Cement Group Ltd. | 2,620,387 | |||||
| 3,952,400 | China Zhongwang Holdings Ltd. | 2,878,275 | |||||
| 1,504,000 | Chongqing Iron & Steel Co. Ltd. | 363,157 | |||||
| 1,872,000 | Fufeng Group Ltd. | 1,358,447 | |||||
| 2,722,000 | Hidili Industry International Development Ltd. | 2,471,701 | |||||
| 4,640,000 | Hunan Non-Ferrous Metal Corp. Ltd. (a) | 1,591,174 | |||||
| 4,757,014 | Lee & Man Paper Manufacturing Ltd. | 3,629,186 | |||||
| 1,708,000 | Lumena Resources Corp. (a) | 432,158 | |||||
| 4,846,000 | Maanshan Iron & Steel | 2,365,132 | |||||
| 2,116,000 | Minmetals Resources Ltd. (a) | 758,243 | |||||
| 537,500 | Real Gold Mining Ltd. (a) | 869,836 | |||||
| 809,500 | Shandong Chenming Paper Holdings Ltd. | 604,062 | |||||
| 10,610,000 | Shougang Concord International Enterprises Co. Ltd. (a) | 1,621,626 | |||||
| 4,962,000 | Sinofert Holdings Ltd. | 2,294,287 | |||||
| 6,534,000 | Sinopec Shanghai Petrochemical Co. Ltd. | 2,492,436 | |||||
| 3,912,000 | Sinopec Yizheng Chemical Fibre Co. Ltd. (a) | 803,910 | |||||
| 2,122,000 | Xinjiang Xinxin Mining Industry Co. Ltd. | 1,038,386 | |||||
| 1,327,000 | Zhaojin Mining Industry Co. Ltd. | 2,713,328 | |||||
| 41,797,259 | |||||||
| Telecommunication Services – 0.9% | |||||||
| 5,602,000 | China Communications Services Corp. Ltd. | 2,489,474 | |||||
See notes to financial statements.
32 | Annual Report | May 31, 2010
HAO | Claymore/AlphaShares China Small Cap Index ETF (continued)
| Number | |||||||
| of Shares | Description | Value | |||||
| Utilities – 4.8% | |||||||
| 4,427,000 | China Power International Development Ltd. | $ | 960,914 | ||||
| 3,450,000 | China Resources Gas Group Ltd. | 4,404,472 | |||||
| 9,376,000 | Datang International Power Generation Co. Ltd. | 3,793,294 | |||||
| 6,836,000 | Guangdong Investment Ltd. | 3,239,790 | |||||
| 4,006,000 | Huadian Power International Co. | 941,565 | |||||
| 1,342,000 | Sound Global Ltd. (Singapore) (a) | 746,034 | |||||
| 14,086,069 | |||||||
| Total Investments – 99.4% | |||||||
| (Cost $311,951,593) | 289,561,983 | ||||||
| Other Assets in excess of Liabilities – 0.6% | 1,721,892 | ||||||
| Net Assets – 100.0% | $ | 291,283,875 | |||||
ADR – American Depositary Receipt
| (a) | Non-income producing security. |
| (b) | Security is valued in accordance with Fair Valuation procedures established in good faith by the Board of Trustees. The total market value of such securities is $525,415 which represents 0.2% of net assets. |
Securities are classified by sectors that represent broad groupings of related industries.
See notes to financial statements.
Annual Report | May 31, 2010 | 33
EXB | Claymore/Beacon Global Exchanges, Brokers & Asset Managers Index ETF
| Number | |||||||
| of Shares | Description | Value | |||||
| Common Stocks – 98.4% | |||||||
| Australia – 2.5% | |||||||
| 2,562 | ASX Ltd. | $ | 67,608 | ||||
| 227 | Perpetual Ltd. | 5,927 | |||||
| 73,535 | |||||||
| Bermuda – 1.5% | |||||||
| 2,227 | Invesco Ltd. | 41,333 | |||||
| 2,000 | TaiFook Securities Group Ltd. | 1,172 | |||||
| 42,505 | |||||||
| Canada – 2.7% | |||||||
| 851 | CI Financial Corp. | 14,931 | |||||
| 457 | DundeeWealth, Inc. | 6,071 | |||||
| 597 | GMP Capital, Inc. | 5,989 | |||||
| 562 | IGM Financial, Inc. | 21,238 | |||||
| 1,118 | TMX Group, Inc. | 28,917 | |||||
| 77,146 | |||||||
| Cayman Islands – 0.0%^ | |||||||
| 28,000 | Get Nice Holdings Ltd. (b) | 1,528 | |||||
| Germany – 4.2% | |||||||
| 1,957 | Deutsche Boerse AG | 120,604 | |||||
| Hong Kong – 4.6% | |||||||
| 8,600 | Hong Kong Exchanges and Clearing Ltd. | 133,651 | |||||
| Italy – 0.2% | |||||||
| 577 | Azimut Holding SpA | 5,017 | |||||
| 200 | Banca Generali SpA | 1,815 | |||||
| 6,832 | |||||||
| Japan – 9.7% | |||||||
| 16,000 | Daiwa Securities Group, Inc. | 72,311 | |||||
| 100 | Jafco Co. Ltd. | 2,763 | |||||
| 600 | kabu.com Securities Co. Ltd. | 2,870 | |||||
| 1,000 | Matsui Securities Co. Ltd. | 6,719 | |||||
| 4,000 | Mizuho Securities Co. Ltd. | 9,897 | |||||
| 15 | Monex Group, Inc. | 6,260 | |||||
| 20,900 | Nomura Holdings, Inc. | 130,309 | |||||
| 2,000 | Okasan Securities Group, Inc. | 7,741 | |||||
| 4 | Osaka Securities Exchange Co. Ltd. | 19,925 | |||||
| 88 | SBI Holdings, Inc. | 15,154 | |||||
| 2,000 | Tokai Tokyo Financial Holdings | 7,126 | |||||
| 281,075 | |||||||
| Mexico – 0.5% | |||||||
| 8,800 | Bolsa Mexicana de Valores SAB de CV | 13,224 | |||||
| Netherlands – 0.3% | |||||||
| 733 | BinckBank NV | 9,035 | |||||
| Pakistan – 0.0%^ | |||||||
| 1,112 | Arif Habib Securities Ltd. (a) | 470 | |||||
| 4,100 | Jahangir Siddiqui & Co. Ltd. | 577 | |||||
| 1,047 | |||||||
| Philippines – 0.1% | |||||||
| 480 | Philippine Stock Exchange, Inc. | 2,831 | |||||
| Singapore – 2.2% | |||||||
| 12,000 | Singapore Exchange Ltd. | 63,117 | |||||
| South Africa – 0.4% | |||||||
| 1,281 | JSE Ltd. | 11,132 | |||||
| Spain – 0.7% | |||||||
| 969 | Bolsas y Mercados Espanoles SA | 21,688 | |||||
| Switzerland – 1.7% | |||||||
| 367 | EFG International AG | 5,089 | |||||
| 1,113 | GAM Holding Ltd. (a) | 11,866 | |||||
| 1,105 | Julius Baer Group Ltd. | 32,230 | |||||
| 49,185 | |||||||
| Thailand- 0.0%^ | |||||||
| 6,100 | Globlex Holding Management PCL (a) | 182 | |||||
| United Kingdom – 5.4% | |||||||
| 5,224 | 3i Group PLC | 21,519 | |||||
| 4,630 | Aberdeen Asset Management PLC | 9,439 | |||||
| 360 | Climate Exchange PLC (Isle of Man) (a) | 3,865 | |||||
| 2,242 | Evolution Group PLC | 3,185 | |||||
| 4,418 | Henderson Group PLC (Channel Islands) | 8,649 | |||||
| 5,149 | ICAP PLC | 28,870 | |||||
| 2,093 | Intermediate Capital Group PLC | 7,871 | |||||
| 3,232 | London Stock Exchange Group PLC | 30,001 | |||||
| 9,215 | Man Group PLC | 31,017 | |||||
| 678 | Schroders PLC | 13,028 | |||||
| 157,444 | |||||||
| United States – 61.7% | |||||||
| 235 | Affiliated Managers Group, Inc. (a) | 16,838 | |||||
| 1,824 | American Capital Ltd. (a) | 9,722 | |||||
| 1,372 | Ameriprise Financial, Inc. | 54,592 | |||||
| 965 | Apollo Investment Corp. | 10,065 | |||||
| 1,024 | Ares Capital Corp. | 13,865 | |||||
| 235 | Artio Global Investors, Inc. | 4,345 | |||||
| 5,804 | Bank of New York Mellon Corp. | 157,869 | |||||
| 497 | BGC Partners, Inc. – Class A | 3,096 | |||||
| 136 | BlackRock, Inc. | 22,832 | |||||
| 9,102 | Charles Schwab Corp. | 148,727 | |||||
| 465 | CME Group, Inc. | 147,242 | |||||
| 93 | Cohen & Steers, Inc. | 2,251 | |||||
See notes to financial statements.
34 | Annual Report | May 31, 2010
EXB | Claymore/Beacon Global Exchanges, Brokers & Asset Managers Index ETF (continued)
| Number | |||||||
| of Shares | Description | Value | |||||
| United States (continued) | |||||||
| 17,432 | E*Trade Financial Corp. (a) | $ | 25,799 | ||||
| 633 | Eaton Vance Corp. | 18,920 | |||||
| 146 | FBR Capital Markets Corp. (a) | 591 | |||||
| 477 | Federated Investors, Inc. – Class B | 10,594 | |||||
| 801 | Franklin Resources, Inc. | 78,570 | |||||
| 652 | GFI Group, Inc. | 3,945 | |||||
| 820 | GLG Partners, Inc. (a) | 3,493 | |||||
| 969 | Goldman Sachs Group, Inc. | 139,788 | |||||
| 197 | Greenhill & Co., Inc. | 13,650 | |||||
| 1,097 | IntercontinentalExchange, Inc. (a) | 127,395 | |||||
| 141 | International Assets Holding Corp. (a) | 2,307 | |||||
| 420 | Investment Technology Group, Inc. (a) | 7,081 | |||||
| 981 | Janus Capital Group, Inc. | 10,457 | |||||
| 1,195 | Jefferies Group, Inc. | 27,879 | |||||
| 291 | KBW, Inc. (a) | 7,301 | |||||
| 902 | Knight Capital Group, Inc. – Class A (a) | 13,178 | |||||
| 875 | Legg Mason, Inc. | 26,005 | |||||
| 517 | MarketAxess Holdings, Inc. | 7,631 | |||||
| 958 | MF Global Holdings Ltd. (a) | 7,377 | |||||
| 5,304 | Morgan Stanley | 143,791 | |||||
| 2,136 | Nasdaq OMX Group, Inc. (a) | 39,708 | |||||
| 1,297 | Northern Trust Corp. | 65,901 | |||||
| 3,894 | NYSE Euronext | 111,641 | |||||
| 97 | Oppenheimer Holdings, Inc. – Class A | 2,709 | |||||
| 412 | optionsXpress Holdings, Inc. (a) | 6,613 | |||||
| 157 | Piper Jaffray Cos. (a) | 5,198 | |||||
| 342 | Prospect Capital Corp. | 3,526 | |||||
| 952 | Raymond James Financial, Inc. | 26,913 | |||||
| 700 | SEI Investments Co. | 14,763 | |||||
| 2,644 | State Street Corp. | 100,922 | |||||
| 294 | Stifel Financial Corp. (a) | 14,897 | |||||
| 278 | SWS Group, Inc. | 2,791 | |||||
| 1,380 | T Rowe Price Group, Inc. | 68,338 | |||||
| 2,428 | TD Ameritrade Holding Corp. (a) | 43,048 | |||||
| 1 | Teton Advisors, Inc. – Class B (a) (b) | 1 | |||||
| 322 | TradeStation Group, Inc. (a) | 2,289 | |||||
| 463 | Waddell & Reed Financial, Inc. – Class A | 12,413 | |||||
| 1,788,867 | |||||||
| Total Common Stocks – 98.4% | |||||||
| (Cost $4,748,026) | 2,854,628 | ||||||
| Master Limited Partnerships – 1.3% | |||||||
| United States – 1.3% | |||||||
| 498 | AllianceBernstein Holding L.P. | 14,138 | |||||
| 1,459 | Blackstone Group L.P. | 15,538 | |||||
| 561 | Fortress Investment Group LLC – Class A (a) | 2,306 | |||||
| 414 | Och-Ziff Capital Management Group LLC – Class A | 5,945 | |||||
| Total Master Limited Partnerships | |||||||
| (Cost $47,450) | 37,927 | ||||||
| Total Investments – 99.7% | |||||||
| (Cost $4,795,476) | 2,892,555 | ||||||
| Other Assets in excess of Liabilities – 0.3% | 7,914 | ||||||
| Net Assets – 100.0% | $ | 2,900,469 | |||||
^ Less than 0.1%
AG – Corporation
LLC – Limited Liability Company
L.P. – Limited Partnership
NV – Publicly Traded Company
PCL – Public Company Limited
PLC – Public Limited Company
SA – Corporation
SAB de CV – Publicly Traded Company
SpA – Joint Stock Company
| (a) | Non-income producing security. |
| (b) | Securities are valued in accordance with Fair Valuation procedures established in good faith by the Board of Trustees. The total market value of such securities is $1,529 which represents 0.1% of net assets. |
See notes to financial statements.
Annual Report l May 31, 2010 | 35
CUT | Claymore/Beacon Global Timber Index ETF
| Number | |||||||
| of Shares | Description | Value | |||||
| Common Stocks – 99.8% | |||||||
| Australia – 0.9% | |||||||
| 3,007,208 | Gunns Ltd. | $ | 1,006,938 | ||||
| Bermuda – 0.7% | |||||||
| 23,352,000 | China Grand Forestry Green Resources Group Ltd. (a) | 764,808 | |||||
| Brazil – 3.5% | |||||||
| 249,087 | Fibria Celulose SA – ADR (a) | 3,975,428 | |||||
| Canada – 10.3% | |||||||
| 302,000 | Canfor Corp. (a) | 2,857,455 | |||||
| 261,587 | Sino-Forest Corp. (a) | 4,487,476 | |||||
| 104,521 | West Fraser Timber Co., Ltd. | 4,272,877 | |||||
| 11,617,808 | |||||||
| Finland – 10.1% | |||||||
| 774,887 | Stora Enso OYJ – R Shares | 5,781,092 | |||||
| 430,015 | UPM-Kymmene OYJ | 5,541,355 | |||||
| 11,322,447 | |||||||
| Ireland – 2.9% | |||||||
| 423,991 | Smurfit Kappa Group PLC | 3,267,780 | |||||
| Japan – 15.5% | |||||||
| 412,000 | Hokuetsu Kishu Paper Co., Ltd. | 1,966,219 | |||||
| 202,700 | Nippon Paper Group, Inc. | 5,730,610 | |||||
| 1,205,000 | OJI Paper Co., Ltd. | 5,697,713 | |||||
| 519,000 | Sumitomo Forestry Co., Ltd. | 4,114,790 | |||||
| 17,509,332 | |||||||
| Portugal – 1.0% | |||||||
| 474,631 | Portucel Empresa Produtora de Pasta e Papel SA | 1,165,901 | |||||
| South Africa – 3.0% | |||||||
| 527,325 | Mondi Ltd. | 3,336,248 | |||||
| Spain – 1.2% | |||||||
| 433,744 | Grupo Empresarial Ence SA | 1,313,110 | |||||
| Sweden – 7.0% | |||||||
| 160,815 | Holmen AB – B Shares | 3,710,138 | |||||
| 364,909 | Svenska Cellulosa AB – B Shares | 4,227,984 | |||||
| 7,938,122 | |||||||
| United States – 43.7% | |||||||
| 38,449 | Deltic Timber Corp. | 1,777,882 | |||||
| 79,547 | Domtar Corp. | 4,868,276 | |||||
| 100,632 | Greif, Inc. – Class A | 5,514,634 | |||||
| 210,026 | International Paper Co. | 4,878,904 | |||||
| 208,792 | MeadWestvaco Corp. | 4,990,129 | |||||
| 141,617 | Plum Creek Timber Co., Inc. – REIT | 4,959,427 | |||||
| 142,989 | Potlatch Corp. – REIT | 4,981,737 | |||||
| 117,774 | Rayonier, Inc. – REIT | 5,285,697 | |||||
| 170,629 | Sonoco Products Co. | 5,274,142 | |||||
| 175,957 | Wausau Paper Corp. (a) | 1,536,105 | |||||
| 119,410 | Weyerhaeuser Co. | 5,084,478 | |||||
| 49,151,411 | |||||||
| Total Investments – 99.8% | |||||||
| (Cost $116,382,258) | 112,369,333 | ||||||
| Other Assets in excess of Liabilities – 0.2% | 172,131 | ||||||
| Net Assets – 100.0% | $ | 112,541,464 | |||||
AB – Corporation
ADR – American Depositary Receipt
OYJ – Publicly Traded Company
PLC – Public Limited Company
REIT – Real Estate Investment Trust
SA – Corporation
(a) Non-income producing security.
See notes to financial statements.
36 | Annual Report | May 31, 2010
FRN | Claymore/BNY Mellon Frontier Markets ETF
| Number | |||||||
| of Shares | Description | Value | |||||
| Common Stocks – 92.9% | |||||||
| Argentina – 6.0% | |||||||
| 13,958 | Banco Macro SA – ADR | $ | 380,356 | ||||
| 14,646 | BBVA Banco Frances SA – ADR | 86,558 | |||||
| 12,830 | Cresud SACIF y A – ADR | 156,654 | |||||
| 9,217 | Empresa Distribuidora Y Comercializadora Norte – ADR (a) | 66,915 | |||||
| 34,964 | Grupo Financiero Galicia SA – ADR (a) | 194,050 | |||||
| 11,063 | IRSA Inversiones y Representaciones SA – ADR | 121,693 | |||||
| 19,291 | Pampa Energia SA – ADR | 197,733 | |||||
| 12,750 | Petrobras Energia SA – ADR | 179,775 | |||||
| 32,073 | Telecom Argentina SA – ADR | 522,790 | |||||
| 1,906,524 | |||||||
| Chile – 27.8% | |||||||
| 4,234 | Administradora de Fondos de Pensiones Provida SA – ADR | 183,925 | |||||
| 7,255 | Banco de Chile – ADR | 421,661 | |||||
| 16,659 | Banco Santander Chile – ADR | 1,034,024 | |||||
| 9,578 | Cia Cervecerias Unidas SA – ADR | 391,644 | |||||
| 8,864 | CorpBanca SA – ADR | 377,341 | |||||
| 43,201 | Empresa Nacional de Electricidad SA – ADR | 1,931,949 | |||||
| 101,631 | Enersis SA – ADR | 1,915,744 | |||||
| 55,934 | Lan Airlines SA – ADR | 1,040,372 | |||||
| 35,492 | Sociedad Quimica y Minera de Chile SA – ADR | 1,190,757 | |||||
| 8,872 | Vina Concha y Toro SA – ADR | 368,099 | |||||
| 8,855,516 | |||||||
| Colombia – 6.9% | |||||||
| 80,788 | Ecopetrol SA – ADR | 2,210,360 | |||||
| Czech Republic – 3.3% | |||||||
| 18,527 | Komercni Banka AS – GDR (b) | 1,064,191 | |||||
| Egypt – 15.2% | |||||||
| 109,389 | Commercial International Bank Egypt SAE – GDR | 1,422,057 | |||||
| 61,991 | Egyptian Financial Group-Hermes Holding – GDR (b) | 650,905 | |||||
| 28,466 | Orascom Construction Industries – GDR | 1,199,842 | |||||
| 215,339 | Orascom Telecom Holding SAE – GDR | 1,119,763 | |||||
| 29,176 | Telecom Egypt – GDR (b) | 452,520 | |||||
| 4,845,087 | |||||||
| Georgia – 0.7% | |||||||
| 18,921 | Bank of Georgia JSC – GDR (a) | 204,347 | |||||
| Kazakhstan – 6.0% | |||||||
| 42,021 | Halyk Savings Bank of Kazakhstan JSC – GDR (a) | 348,774 | |||||
| 9,407 | KazakhGold Group Ltd. – GDR (a) | 62,556 | |||||
| 61,048 | KazMunaiGas Exploration Production – GDR | 1,309,480 | |||||
| 23,805 | Zhaikmunai LP – GDR (a) (b) | 187,822 | |||||
| 1,908,632 | |||||||
| Lebanon – 4.5% | |||||||
| 59,020 | Banque Audi sal- Audi Saradar Group – GDR (b) | 484,554 | |||||
| 41,333 | Solidere – GDR | 956,859 | |||||
| 1,441,413 | |||||||
| Nigeria – 3.7% | |||||||
| 158,163 | Guaranty Trust Bank PLC – GDR | 1,186,220 | |||||
| Oman – 1.7% | |||||||
| 73,213 | Bank Muscat SAOG – GDR (b) | 554,958 | |||||
| Pakistan- 0.5% | |||||||
| 11,202 | Oil & Gas Development Co. Ltd. – GDR | 168,030 | |||||
| Peru – 5.2% | |||||||
| 45,536 | Cia de Minas Buenaventura SA – ADR | 1,639,296 | |||||
| Poland – 9.5% | |||||||
| 35,497 | Bank Pekao SA – GDR (b) | 1,787,629 | |||||
| 264,893 | Telekomunikacja Polska SA – GDR (b) | 1,252,944 | |||||
| 3,040,573 | |||||||
| Qatar – 1.3% | |||||||
| 115,416 | Commercial Bank of Qatar – GDR (b) | 408,573 | |||||
| Ukraine – 0.6% | |||||||
| 14,909 | MHP SA – GDR (a) | 188,599 | |||||
| Total Common Stock – 92.9% | |||||||
| (Cost $29,525,419) | 29,622,319 | ||||||
| Preferred Stocks – 5.4% | |||||||
| Chile – 1.1% | |||||||
| 5,881 | Embotelladora Andina SA – Class A Preference Shares – ADR | 99,036 | |||||
| 12,325 | Embotelladora Andina SA – Class B Preference Shares – ADR | 253,402 | |||||
| 352,438 | |||||||
| Colombia – 4.3% | |||||||
| 28,755 | BanColombia SA – Preference Shares – ADR | 1,375,064 | |||||
| Total Preferred Stock – 5.4% | |||||||
| (Cost $1,291,824) | 1,727,502 | ||||||
See notes to financial statements.
Annual Report | May 31, 2010 | 37
FRN | Claymore/BNY Mellon Frontier Markets ETF (continued)
| Number | |||||||
| of Shares | Description | Value | |||||
| Exchange Traded Funds – 0.7% | |||||||
| United States – 0.7% | |||||||
| 4,450 | iShares MSCI EAFE Index Fund | ||||||
| (Cost $236,181) | $ | 215,024 | |||||
| Total Investments – 99.0% | |||||||
| (Cost $31,053,424) | 31,564,845 | ||||||
| Other Assets in excess of Liabilities – 1.0% | 323,342 | ||||||
| Net Assets – 100.0% | $ | 31,888,187 | |||||
ADR – American Depositary Receipt
AS – Joint Stock Company
GDR – Global Depositary Receipt
JSC – Joint Stock Company
LP – Limited Partnership
PLC – Public Limited Company
SA – Corporation
SAE – Corporation
SAOG – Joint Stock Company
| (a) | Non-income producing security. |
| (b) | Security is valued in accordance with Fair Valuation procedures established in good faith by the Board of Trustees. The total market value of such securities is $6,844,096 which represents 21.5% of net assets. |
See notes to financial statements.
38 | Annual Report | May 31, 2010
ROB | Claymore/Robb Report Global Luxury Index ETF
| Number | |||||||
| of Shares | Description | Value | |||||
| Common Stocks – 96.2% | |||||||
| Bermuda – 4.0% | |||||||
| 77,000 | Mandarin Oriental International Ltd. | $ | 107,800 | ||||
| 6,911 | Orient-Express Hotels Ltd. – Class A (a) | 69,732 | |||||
| 246,000 | Shangri-La Asia Ltd. | 434,752 | |||||
| 612,284 | |||||||
| Brazil – 2.0% | |||||||
| 14,137 | Empresa Brasileira de Aeronautica SA, ADR | 307,904 | |||||
| France – 27.7% | |||||||
| 7,171 | Christian Dior SA | 687,626 | |||||
| 798 | Dassault Aviation SA | 589,704 | |||||
| 5,211 | Hermes International | 682,436 | |||||
| 6,462 | LVMH Moet Hennessy Louis Vuitton SA | 684,664 | |||||
| 9,110 | Pernod-Ricard SA | 688,644 | |||||
| 5,788 | PPR | 691,122 | |||||
| 3,787 | Remy Cointreau SA | 191,468 | |||||
| 4,215,664 | |||||||
| Germany – 9.3% | |||||||
| 15,194 | Bayerische Motoren Werke AG | 705,897 | |||||
| 14,208 | Daimler AG (a) | 706,080 | |||||
| 1,411,977 | |||||||
| Italy – 6.6% | |||||||
| 22,654 | Bulgari SpA | 170,967 | |||||
| 28,628 | Luxottica Group SpA | 684,518 | |||||
| 2,337 | Tod’s SpA | 149,713 | |||||
| 1,005,198 | |||||||
| Japan – 5.2% | |||||||
| 31,800 | Shiseido Co. Ltd. | 610,194 | |||||
| 30,000 | TOTO Ltd. | 188,036 | |||||
| 798,230 | |||||||
| Switzerland – 11.7% | |||||||
| 19,914 | Compagnie Financiere Richemont SA | 651,556 | |||||
| 16,084 | Julius Baer Group Ltd. | 469,131 | |||||
| 2,549 | Swatch Group AG (The) | 667,063 | |||||
| 1,787,750 | |||||||
| United Kingdom – 2.1% | |||||||
| 31,744 | Burberry Group PLC | 316,919 | |||||
| United States – 27.6% | |||||||
| 16,869 | Coach, Inc. | 693,485 | |||||
| 16,963 | Nordstrom, Inc. | 673,431 | |||||
| 13,153 | Northern Trust Corp. | 668,304 | |||||
| 7,578 | Polo Ralph Lauren Corp. | 658,225 | |||||
| 12,382 | Saks, Inc. (a) | 113,667 | |||||
| 5,099 | Sotheby’s | 165,717 | |||||
| 9,452 | Tiffany & Co. | 429,404 | |||||
| 6,917 | Wilmington Trust Corp. | 104,308 | |||||
| 8,449 | Wynn Resorts Ltd. | 708,702 | |||||
| 4,215,243 | |||||||
| Total Common Stocks – 96.2% | |||||||
| (Cost $16,178,454) | 14,671,169 | ||||||
| Preferred Stock – 3.9% | |||||||
| Germany – 3.9% | |||||||
| 13,545 | Porsche Automobil Holding SE | ||||||
| (Cost $994,153) | 593,542 | ||||||
| Total Investments – 100.1% | |||||||
| (Cost – $17,172,607) | 15,264,711 | ||||||
| Liabilities in excess of Other Assets – (0.1%) | (21,515 | ) | |||||
| Net Assets – 100.0% | $ | 15,243,196 | |||||
ADR – American Depositary Receipt
AG – Stock Corporation
PLC – Public Limited Company
SA – Corporation
SE – Stock Corporation
SpA – Joint Stock Company
(a) Non-income producing security.
See notes to financial statements.
Annual Report | May 31, 2010 | 39
ENY | Claymore/SWM Canadian Energy Income Index ETF
| Number | |||||||
| of Shares | Description | Value | |||||
| Common Stocks – 60.9% | |||||||
| Canada – 60.9% | |||||||
| 1,492,393 | BlackPearl Resources, Inc. (a) | $ | 3,916,893 | ||||
| 104,975 | Canadian Natural Resources Ltd. | 3,654,559 | |||||
| 149,088 | Cenovus Energy, Inc. | 4,016,416 | |||||
| 3,198,078 | Connacher Oil and Gas Ltd. (a) | 4,531,320 | |||||
| 59,409 | Crescent Point Energy Corp. | 2,203,263 | |||||
| 229,126 | Daylight Energy Ltd. | 2,167,938 | |||||
| 67,542 | Husky Energy, Inc. | 1,691,119 | |||||
| 98,458 | Imperial Oil Ltd. | 3,740,393 | |||||
| 1,274,146 | Ivanhoe Energy, Inc. (a) | 2,907,903 | |||||
| 71,689 | Nexen, Inc. | 1,565,896 | |||||
| 2,601,562 | Oilsands Quest, Inc. (a) | 1,871,043 | |||||
| 1,657,370 | OPTI Canada, Inc. (a) | 2,947,206 | |||||
| 57,631 | Petrobank Energy & Resources Ltd. (a) | 2,395,994 | |||||
| 145,479 | Suncor Energy, Inc. | 4,437,967 | |||||
| 1,558,319 | UTS Energy Corp. (a) | 3,423,086 | |||||
| Total Common Stocks | |||||||
| (Cost $41,390,945) | 45,470,996 | ||||||
| Income Trusts – 38.9% | |||||||
| Canada – 38.9% | |||||||
| 109,661 | ARC Energy Trust | 2,158,599 | |||||
| 174,187 | Baytex Energy Trust | 5,399,863 | |||||
| 95,280 | Bonavista Energy Trust | 2,165,455 | |||||
| 195,032 | Canadian Oil Sands Trust | 5,224,469 | |||||
| 130,721 | Enerplus Resources Fund | 2,887,646 | |||||
| 194,601 | NAL Oil & Gas Trust | 2,091,091 | |||||
| 271,515 | Penn West Energy Trust | 5,218,066 | |||||
| 189,861 | Peyto Energy Trust | 2,534,850 | |||||
| 43,358 | Vermilion Energy Trust | 1,383,696 | |||||
| Total Income Trusts | |||||||
| (Cost $22,505,367) | 29,063,735 | ||||||
| Total Investments – 99.8% | |||||||
| (Cost $63,896,312) | 74,534,731 | ||||||
| Other Assets in excess of Liabilities – 0.2% | 114,269 | ||||||
| Net Assets – 100.0% | $ | 74,649,000 | |||||
(a) Non-income producing security.
See notes to financial statements.
40 | Annual Report | May 31, 2010
CRO | Claymore/Zacks Country Rotation ETF
| Number | ||||||
| of Shares | Description | Value | ||||
| Common Stocks – 98.4% | ||||||
| Australia – 21.2% | ||||||
| 899 | AGL Energy Ltd. | $ | 10,296 | |||
| 2,138 | Amcor Ltd. | 11,164 | ||||
| 3,121 | AMP Ltd. | 14,948 | ||||
| 376 | ASX Ltd. | 9,922 | ||||
| 1,375 | Australia & New Zealand Banking Group Ltd. | 26,249 | ||||
| 1,097 | AXA Asia Pacific Holdings Ltd. | 5,440 | ||||
| 721 | BHP Billiton Ltd. | 23,818 | ||||
| 4,578 | BlueScope Steel Ltd. | 8,965 | ||||
| 2,817 | Brambles Ltd. | 15,617 | ||||
| 1,172 | Coca-Cola Amatil Ltd. | 10,770 | ||||
| 576 | Commonwealth Bank of Australia | 25,449 | ||||
| 1,191 | Computershare Ltd. | 10,974 | ||||
| 795 | CSL Ltd. | 21,161 | ||||
| 1,535 | Fortescue Metals Group Ltd. (a) | 5,452 | ||||
| 3,377 | Foster’s Group Ltd. | 15,745 | ||||
| 4,247 | GPT Group – REIT | 9,649 | ||||
| 4,900 | Insurance Australia Group Ltd. | 15,161 | ||||
| 354 | Leighton Holdings Ltd. | 9,810 | ||||
| 543 | Macquarie Group Ltd. | 20,299 | ||||
| 1,079 | National Australia Bank Ltd. | 22,665 | ||||
| 667 | Newcrest Mining Ltd. | 18,116 | ||||
| 765 | Orica Ltd. | 16,433 | ||||
| 1,611 | Origin Energy Ltd. | 20,389 | ||||
| 1,072 | QBE Insurance Group Ltd. | 17,829 | ||||
| 425 | Rio Tinto Ltd. | 24,571 | ||||
| 1,719 | Santos Ltd. | 18,142 | ||||
| 886 | Sonic Healthcare Ltd. | 7,548 | ||||
| 4,725 | Stockland – REIT | 15,461 | ||||
| 2,186 | Suncorp-Metway Ltd. | 15,084 | ||||
| 7,266 | Telstra Corp Ltd. | 18,170 | ||||
| 1,555 | Toll Holdings Ltd. | 8,225 | ||||
| 2,277 | Transurban Group | 8,435 | ||||
| 1,012 | Wesfarmers Ltd. | 24,793 | ||||
| 2,453 | Westfield Group – REIT | 26,616 | ||||
| 1,260 | Westpac Banking Corp. | 24,994 | ||||
| 512 | Woodside Petroleum Ltd. | 18,863 | ||||
| 1,044 | Woolworths Ltd. | 23,373 | ||||
| 238 | WorleyParsons Ltd. | 5,056 | ||||
| 605,652 | ||||||
| Austria – 3.5% | ||||||
| 92 | Andritz AG | 5,105 | ||||
| 101 | bwin Interactive Entertainment AG | 4,697 | ||||
| 449 | CA Immobilien Anlagen AG (a) | 4,729 | ||||
| 434 | Conwert Immobilien Invest SE | 4,592 | ||||
| 399 | Erste Group Bank AG | 14,357 | ||||
| 4,065 | IMMOFINANZ AG | 12,582 | ||||
| 155 | Intercell AG (a) | 3,389 | ||||
| 59 | Mayr Melnhof Karton AG | 5,157 | ||||
| 205 | Oesterreichische Post AG | 4,684 | ||||
| 254 | OMV AG | 8,426 | ||||
| 91 | Raiffeisen International Bank Holding AG | 3,926 | ||||
| 641 | Telekom Austria AG | 8,165 | ||||
| 245 | Verbund AG | 7,979 | ||||
| 103 | Vienna Insurance Group | 4,332 | ||||
| 152 | Voestalpine AG | 4,292 | ||||
| 322 | Wienerberger AG | 4,904 | ||||
| 101,316 | ||||||
| Belgium – 6.5% | ||||||
| 74 | Ackermans & van Haaren NV | 4,398 | ||||
| 3,922 | Ageas | 10,118 | ||||
| 523 | Anheuser-Busch InBev NV | 25,236 | ||||
| 60 | Befimmo SCA Sicafi – REIT | 4,249 | ||||
| 37 | Bekaert SA | 6,223 | ||||
| 296 | Belgacom SA | 9,211 | ||||
| 105 | Cie Nationale a Portefeuille | 4,589 | ||||
| 39 | Cofinimmo – REIT | 4,529 | ||||
| 45 | Colruyt SA | 10,272 | ||||
| 220 | Delhaize Group SA | 17,710 | ||||
| 1,494 | Dexia SA | 6,387 | ||||
| 14 | D’ieteren SA | 6,155 | ||||
| 80 | EVS Broadcast Equipment SA | 3,668 | ||||
| 181 | Groupe Bruxelles Lambert SA | 13,118 | ||||
| 247 | KBC Groep NV | 9,691 | ||||
| 79 | Mobistar SA | 4,027 | ||||
| 434 | Nyrstar | 4,576 | ||||
| 107 | Omega Pharma SA | 4,631 | ||||
| 105 | Solvay SA | 9,210 | ||||
| 204 | Telenet Group Holding NV (a) | 5,288 | ||||
| 166 | Tessenderlo Chemie NV | 4,788 | ||||
| 251 | UCB SA | 8,306 | ||||
| 325 | Umicore | 9,877 | ||||
| 186,257 | ||||||
See notes to financial statements.
Annual Report | May 31, 2010 | 41
CRO | Claymore/Zacks Country Rotation ETF (continued)
| Number | ||||||
| of Shares | Description | Value | ||||
| Bermuda – 1.4% | ||||||
| 2,399 | Esprit Holdings Ltd. | $ | 13,681 | |||
| 1,000 | Kerry Properties Ltd. | 4,155 | ||||
| 4,000 | Li & Fung Ltd. | 17,776 | ||||
| 3,091 | Noble Group Ltd. | 3,833 | ||||
| 39,445 | ||||||
| China – 11.2% | ||||||
| 2,600 | Bank of East Asia Ltd. | 9,317 | ||||
| 7,000 | BOC Hong Kong Holdings Ltd. | 15,716 | ||||
| 2,000 | Cheung Kong Holdings Ltd. | 22,720 | ||||
| 3,500 | CLP Holdings Ltd. | 24,634 | ||||
| 1,000 | Hang Lung Group Ltd. | 4,759 | ||||
| 4,000 | Hang Lung Properties Ltd. | 14,128 | ||||
| 1,100 | Hang Seng Bank Ltd. | 14,778 | ||||
| 4,000 | Henderson Land Development Co. Ltd. | 24,043 | ||||
| 9,900 | Hong Kong & China Gas Co. Ltd. | 21,743 | ||||
| 1,300 | Hong Kong Exchanges and Clearing Ltd. | 20,203 | ||||
| 3,000 | Hongkong Electric Holdings Ltd. | 17,744 | ||||
| 4,000 | Hutchison Whampoa Ltd. | 25,071 | ||||
| 4,000 | Link (The) – REIT | 9,566 | ||||
| 3,000 | MTR Corp. | 10,384 | ||||
| 5,000 | New World Development Ltd. | 8,117 | ||||
| 2,000 | Sun Hung Kai Properties Ltd. | 26,638 | ||||
| 2,000 | Swire Pacific Ltd. – Class A | 21,731 | ||||
| 3,000 | Wharf Holdings Ltd. | 14,854 | ||||
| 5,000 | Wheelock & Co. Ltd. | 13,261 | ||||
| 319,407 | ||||||
| France – 21.0% | ||||||
| 310 | Accor SA | 14,838 | ||||
| 226 | Air Liquide SA | 22,162 | ||||
| 4,832 | Alcatel-Lucent | 12,483 | ||||
| 312 | Alstom SA | 14,955 | ||||
| 1,091 | AXA SA | 18,183 | ||||
| 320 | BNP Paribas | 18,535 | ||||
| 335 | Bouygues SA | 14,240 | ||||
| 362 | Cap Gemini SA | 16,646 | ||||
| 546 | Carrefour SA | 22,764 | ||||
| 411 | Cie de St-Gobain | 15,924 | ||||
| 272 | Cie Generale des Etablissements Michelin – Class B | 18,227 | ||||
| 365 | Cie Generale d’Optique Essilor International SA | 20,903 | ||||
| 1,065 | Credit Agricole SA | 11,708 | ||||
| 439 | Danone | 22,712 | ||||
| 366 | EDF SA | 16,271 | ||||
| 1,021 | France Telecom SA | 19,622 | ||||
| 620 | GDF Suez | 19,561 | ||||
| 118 | Hermes International | 15,453 | ||||
| 253 | Lafarge SA | 14,623 | ||||
| 243 | L’Oreal SA | 22,825 | ||||
| 249 | LVMH Moet Hennessy Louis Vuitton SA | 26,382 | ||||
| 247 | Pernod-Ricard SA | 18,671 | ||||
| 140 | PPR | 16,717 | ||||
| 349 | Renault SA | 12,547 | ||||
| 346 | Sanofi-Aventis SA | 20,913 | ||||
| 240 | Schneider Electric SA | 24,120 | ||||
| 381 | Societe Generale | 16,702 | ||||
| 422 | Total SA | 19,845 | ||||
| 94 | Unibail-Rodamco SE – REIT | 14,582 | ||||
| 100 | Vallourec SA | 18,688 | ||||
| 656 | Veolia Environnement | 16,992 | ||||
| 472 | Vinci SA | 21,414 | ||||
| 912 | Vivendi SA | 19,951 | ||||
| 600,159 | ||||||
| Isle of Man – 0.2% | ||||||
| 6,000 | Genting Singapore PLC (a) | 4,362 | ||||
| Jersey – 0.1% | ||||||
| 786 | Atrium European Real Estate Ltd. | 3,877 | ||||
| Luxembourg – 1.1% | ||||||
| 681 | ArcelorMittal | 20,759 | ||||
| 147 | Millicom International Cellular SA, SDR | 11,804 | ||||
| 32,563 | ||||||
| Netherlands – 7.7% | ||||||
| 2,321 | Aegon NV | 13,283 | ||||
| 329 | Akzo Nobel NV | 16,873 | ||||
| 682 | ASML Holding NV | 19,444 | ||||
| 936 | European Aeronautic Defence and Space Co NV | 18,566 | ||||
| 451 | Heineken NV | 19,396 | ||||
| 2,699 | ING Groep NV | 21,514 | ||||
| 1,663 | Koninklijke Ahold NV | 21,071 | ||||
| 1,500 | Koninklijke KPN NV | 19,672 | ||||
| 959 | Koninklijke Philips Electronics NV | 28,873 | ||||
| 723 | TNT NV | 18,349 | ||||
| 859 | Unilever NV | 23,643 | ||||
| 220,684 | ||||||
See notes to financial statements.
42 | Annual Report | May 31, 2010
CRO | Claymore/Zacks Country Rotation ETF (continued)
| Number | ||||||
| of Shares | Description | Value | ||||
| Norway – 1.7% | ||||||
| 1,669 | Orkla ASA | $ | 11,639 | |||
| 1,012 | Statoil ASA | 20,389 | ||||
| 1,425 | Telenor ASA | 17,660 | ||||
| 49,688 | ||||||
| Singapore – 6.4% | ||||||
| 6,000 | CapitaLand Ltd. | 15,266 | ||||
| 4,000 | CapitaMall Trust – REIT | 5,246 | ||||
| 1,000 | City Developments Ltd. | 7,327 | ||||
| 2,000 | DBS Group Holdings Ltd. | 19,642 | ||||
| 1,000 | Fraser and Neave Ltd. | 3,485 | ||||
| 2,000 | Keppel Corp. Ltd. | 12,430 | ||||
| 3,000 | Olam International Ltd. | 4,982 | ||||
| 3,000 | Oversea-Chinese Banking Corp. Ltd. | 17,875 | ||||
| 4,000 | SembCorp Industries Ltd. | 11,403 | ||||
| 1,000 | Singapore Airlines Ltd. | 10,120 | ||||
| 2,000 | Singapore Exchange Ltd. | 10,520 | ||||
| 6,000 | Singapore Press Holdings Ltd. | 15,993 | ||||
| 2,000 | Singapore Technologies Engineering Ltd. | 4,433 | ||||
| 10,000 | Singapore Telecommunications Ltd. | 20,455 | ||||
| 1,000 | United Overseas Bank Ltd. | 12,943 | ||||
| 3,000 | Wilmar International Ltd. | 12,358 | ||||
| 184,478 | ||||||
| Spain – 5.0% | ||||||
| 490 | Abertis Infraestructuras SA | 7,094 | ||||
| 332 | ACS Actividades de Construccion y Servicios SA | 12,446 | ||||
| 1,392 | Banco Bilbao Vizcaya Argentaria SA | 14,805 | ||||
| 1,799 | Banco de Sabadell SA | 7,702 | ||||
| 1,933 | Banco Popular Espanol SA | 9,930 | ||||
| 1,527 | Banco Santander SA | 15,817 | ||||
| 2,772 | Iberdrola SA | 18,664 | ||||
| 353 | Inditex SA | 19,835 | ||||
| 1,245 | Mapfre SA | 3,480 | ||||
| 808 | Repsol YPF SA | 16,739 | ||||
| 916 | Telefonica SA | 17,734 | ||||
| 144,246 | ||||||
| Sweden – 11.4% | ||||||
| 828 | Alfa Laval AB | 10,501 | ||||
| 596 | Assa Abloy AB – Class B | 12,003 | ||||
| 1,158 | Atlas Copco AB – Class A | 16,458 | ||||
| 864 | Atlas Copco AB – Class B | 11,189 | ||||
| 449 | Electrolux AB – Series B | 10,015 | ||||
| 443 | Hennes & Mauritz AB – Class B | 24,986 | ||||
| 906 | Investor AB – Class B | 14,632 | ||||
| 2,462 | Nordea Bank AB | 20,257 | ||||
| 1,852 | Sandvik AB | 21,800 | ||||
| 395 | Scania AB – Class B | 5,815 | ||||
| 2,557 | Skandinaviska Enskilda Banken AB – Class A | 13,233 | ||||
| 653 | Skanska AB – Class B | 9,613 | ||||
| 663 | SKF AB – Class B | 11,603 | ||||
| 1,193 | Svenska Cellulosa AB – Class B | 13,823 | ||||
| 756 | Svenska Handelsbanken AB – Class A | 18,396 | ||||
| 1,184 | Swedbank AB – Class A | 10,617 | ||||
| 767 | Swedish Match AB | 15,936 | ||||
| 714 | Tele2 AB – Class B | 10,439 | ||||
| 2,694 | Telefonaktiebolaget LM Ericsson – Class B | 27,213 | ||||
| 3,123 | TeliaSonera AB | 18,900 | ||||
| 591 | Volvo AB – Class A | 5,913 | ||||
| 2,323 | Volvo AB – Class B | 24,206 | ||||
| 327,548 | ||||||
Total Common Stock – 98.4% (Cost $3,142,274) | 2,819,682 | |||||
See notes to financial statements.
Annual Report | May 31, 2010 | 43
CRO | Claymore/Zacks Country Rotation ETF (continued)
| Number | ||||||
| of Shares | Description | Value | ||||
| Exchange-Traded Funds – 1.6% | ||||||
| United States – 1.6% | ||||||
| 1,610 | SPDR MSCI ACWI ex-US ETF | |||||
| (Cost $48,515) | $ | 44,919 | ||||
| Rights – 0.0%* | ||||||
| France – 0.0%* | ||||||
| 226 | Air Liquide SA (a) (b) | |||||
| (Cost $0) | 1,477 | |||||
| Warrants – 0.0% | ||||||
| China – 0.0% | ||||||
| 1,400 | Henderson Land Development Co. Ltd. (b) | |||||
| (Cost $0) | – | |||||
| Total Investments – 100.0% | ||||||
| (Cost $3,190,789) | 2,866,078 | |||||
| Liabilities in excess of Other Assets – (0.0%*) | (1,105 | ) | ||||
| Net Assets – 100.0% | $ | 2,864,973 | ||||
* Less than 0.1%
AB – Publicly Traded Company
AG – Corporation
ASA – Stock Company
NV – Publicly Traded Company
PLC – Public Limited Company
REIT – Real Estate Investment Trust
SA – Corporation
SDR – Swedish Depositary Receipt
SE – Stock Corporation
| (a) | Non-income producing security. |
| (b) | Security is valued in accordance with Fair Valuation procedures established in good faith by the Board of Trustees. The total market value of such securities is $1,477 which represents 0.1% of net assets. |
See notes to financial statements.
44 | Annual Report | May 31, 2010
HGI | Claymore/Zacks International Multi-Asset Income Index ETF
| Number | ||||||
| of Shares | Description | Value | ||||
| Common Stocks – 80.6% | ||||||
| Argentina – 2.0% | ||||||
| 9,429 | Banco Macro SA, ADR | $ | 256,940 | |||
| 20,023 | Cresud SACIF y A, ADR | 244,481 | ||||
| 14,778 | Petrobras Energia SA, ADR | 208,370 | ||||
| 11,424 | YPF SA, ADR | 408,979 | ||||
| 1,118,770 | ||||||
| Australia – 3.4% | ||||||
| 62,926 | Amcor Ltd. | 328,589 | ||||
| 39,827 | National Australia Bank Ltd. | 836,606 | ||||
| 14,795 | Sims Metal Management Ltd. | 254,471 | ||||
| 181,067 | Telstra Corp. Ltd. | 452,797 | ||||
| 1,872,463 | ||||||
| Austria – 0.7% | ||||||
| 28,114 | Telekom AG | 358,129 | ||||
| Bermuda – 2.0% | ||||||
| 78,418 | Babcock & Brown Air Ltd., ADR | 901,023 | ||||
| 11,000 | Jardine Strategic Holdings Ltd. | 215,380 | ||||
| 1,116,403 | ||||||
| Brazil – 1.1% | ||||||
| 9,720 | CPFL Energia SA, ADR | 586,699 | ||||
| Canada – 2.2% | ||||||
| 19,795 | EnCana Corp. | 610,453 | ||||
| 35,382 | Talisman Energy, Inc. | 601,140 | ||||
| 1,211,593 | ||||||
| Chile – 3.0% | ||||||
| 7,192 | Cia Cervecerias Unidas SA, ADR | 294,081 | ||||
| 4,280 | Empresa Nacional de Electricidad SA, ADR | 191,402 | ||||
| 40,426 | Enersis SA, ADR | 762,030 | ||||
| 7,486 | Sociedad Quimica y Minera de Chile SA, ADR | 251,155 | ||||
| 2,932 | Vina Concha y Toro SA, ADR | 121,649 | ||||
| 1,620,317 | ||||||
| China – 3.3% | ||||||
| 33,000 | Cheung Kong Holdings Ltd. | 374,887 | ||||
| 4,255 | China Petroleum & Chemical Corp., ADR | 334,698 | ||||
| 2,252 | CNOOC Ltd., ADR | 352,528 | ||||
| 22,700 | Hang Seng Bank Ltd. | 304,962 | ||||
| 72,000 | Hutchison Whampoa Ltd. | 451,274 | ||||
| 1,818,349 | ||||||
| Denmark – 0.4% | ||||||
| 2,653 | Novo Nordisk A/S – Class B | 205,567 | ||||
| Finland – 0.8% | ||||||
| 38,547 | Nokia OYJ | 394,534 | ||||
| 4,872 | Stora Enso OYJ – Class A | 36,648 | ||||
| 431,182 | ||||||
| France – 7.6% | ||||||
| 3,032 | Air Liquide SA | 297,318 | ||||
| 5,639 | Danone | 291,744 | ||||
| 2,636 | Dassault Systemes SA | 152,908 | ||||
| 19,980 | France Telecom SA | 383,989 | ||||
| 6,132 | Lafarge SA | 354,416 | ||||
| 2,207 | L’Oreal SA | 207,301 | ||||
| 8,026 | Publicis Groupe SA | 333,439 | ||||
| 7,258 | Sanofi-Aventis SA | 438,694 | ||||
| 26,017 | SCOR SE | 505,947 | ||||
| 7,880 | Societe Generale | 345,447 | ||||
| 8,048 | Sodexo | 456,473 | ||||
| 8,291 | Total SA | 389,894 | ||||
| 4,157,570 | ||||||
| Germany – 5.9% | ||||||
| 3,293 | Adidas AG | 164,217 | ||||
| 1,685 | Aixtron AG | 45,910 | ||||
| 4,677 | Allianz SE | 470,220 | ||||
| 10,637 | BASF SE | 562,064 | ||||
| 5,153 | Bayer AG | 289,730 | ||||
| 39,818 | Deutsche Telekom AG | 449,476 | ||||
| 3,734 | Fresenius Medical Care AG & Co. KGaA | 187,199 | ||||
| 4,411 | Henkel AG & Co. KGaA | 176,237 | ||||
| 4,461 | SAP AG | 190,833 | ||||
| 3,857 | Siemens AG | 349,347 | ||||
| 4,233 | Volkswagen AG | 361,062 | ||||
| 3,246,295 | ||||||
| Greece – 1.2% | ||||||
| 11,951 | Coca Cola Hellenic Bottling Co. SA, ADR | 261,727 | ||||
| 93,800 | Hellenic Telecommunications Organization SA, ADR | 397,712 | ||||
| 659,439 | ||||||
| Hungary – 1.1% | ||||||
| 40,128 | Magyar Telekom Telecommunications PLC, ADR | 607,137 | ||||
| India – 0.5% | ||||||
| 1,911 | Dr. Reddy’s Laboratories Ltd., ADR | 54,846 | ||||
| 437 | HDFC Bank Ltd., ADR | 60,743 | ||||
| 2,310 | Infosys Technologies Ltd., ADR | 132,894 | ||||
| 248,483 | ||||||
See notes to financial statements.
Annual Report | May 31, 2010 | 45
HGI | Claymore/Zacks International Multi-Asset Income Index ETF (continued)
| Number | ||||||
| of Shares | Description | Value | ||||
| Ireland – 1.2% | ||||||
| 30,004 | CRH PLC | $ | 674,204 | |||
| Israel – 1.0% | ||||||
| 27,314 | Partner Communications Co. Ltd., ADR | 486,736 | ||||
| 1,421 | Teva Pharmaceutical Industries Ltd., ADR | 77,899 | ||||
| 564,635 | ||||||
| Italy – 1.7% | ||||||
| 76,489 | Benetton Group SpA | 544,712 | ||||
| 21,158 | ENI SpA | 400,497 | ||||
| 945,209 | ||||||
| Japan – 4.9% | ||||||
| 4,400 | Honda Motor Co. Ltd. | 134,410 | ||||
| 26,300 | Konami Corp. | 437,851 | ||||
| 30,000 | Kubota Corp. | 248,076 | ||||
| 74,000 | Mitsubishi UFJ Financial Group, Inc. | 361,293 | ||||
| 161,000 | Mizuho Financial Group, Inc. | 293,886 | ||||
| 1,000 | Nidec Corp. | 91,709 | ||||
| 10,200 | Nippon Telegraph & Telephone Corp. | 417,242 | ||||
| 350 | NTT DoCoMo, Inc. | 525,346 | ||||
| 2,500 | TDK Corp. | 146,800 | ||||
| 2,656,613 | ||||||
| Jersey – 0.2% | ||||||
| 3,968 | Shire PLC | 81,525 | ||||
| Luxembourg – 0.7% | ||||||
| 12,800 | Acergy SA | 195,544 | ||||
| 5,361 | Tenaris SA, ADR | 199,000 | ||||
| 394,544 | ||||||
| Mexico – 3.9% | ||||||
| 2,637 | America Movil SAB de CV – Series L, ADR | 124,836 | ||||
| 1,553 | Coca-Cola Femsa SAB de CV, ADR | 103,306 | ||||
| 33,803 | Grupo Aeroportuario del Centro Norte SAB de CV, ADR | 452,960 | ||||
| 14,274 | Grupo Aeroportuario del Pacifico SAB de CV, ADR | 485,316 | ||||
| 18,024 | Grupo Aeroportuario del Sureste SAB de CV, ADR | 922,288 | ||||
| 3,292 | Telefonos de Mexico SAB de CV, ADR | 46,253 | ||||
| 2,134,959 | ||||||
| Netherlands – 2.6% | ||||||
| 21,200 | Koninklijke Ahold NV | 268,617 | ||||
| 11,222 | Koninklijke DSM NV | 449,749 | ||||
| 18,235 | Koninklijke KPN NV | 239,144 | ||||
| 55,846 | STMicroelectronics NV | 440,746 | ||||
| 1,398,256 | ||||||
| Norway – 0.3% | ||||||
| 6,050 | Yara International ASA | 180,547 | ||||
| Philippines – 0.9% | ||||||
| 9,808 | Philippine Long Distance Telephone Co., ADR | 505,210 | ||||
| Portugal – 0.7% | ||||||
| 35,569 | Portugal Telecom SGPS SA | 364,493 | ||||
| Singapore – 2.1% | ||||||
| 66,000 | DBS Group Holdings Ltd. | 648,193 | ||||
| 40,000 | United Overseas Bank Ltd. | 517,711 | ||||
| 1,165,904 | ||||||
| Spain – 1.6% | ||||||
| 33,077 | Banco Santander SA | 342,627 | ||||
| 13,777 | Repsol YPF SA | 285,417 | ||||
| 13,736 | Telefonica SA | 265,935 | ||||
| 893,979 | ||||||
| Sweden – 2.7% | ||||||
| 23,876 | Atlas Copco AB – Class A | 339,329 | ||||
| 39,842 | Sandvik AB | 468,989 | ||||
| 15,528 | SKF AB – Class A | 271,751 | ||||
| 36,686 | Volvo AB – Class B | 382,272 | ||||
| 1,462,341 | ||||||
| Switzerland – 2.1% | ||||||
| 5,957 | Nestle SA | 270,200 | ||||
| 8,373 | Novartis AG | 380,509 | ||||
| 1,586 | Roche Holding AG | 232,395 | ||||
| 1,144 | Syngenta AG | 253,915 | ||||
| 1,137,019 | ||||||
| Taiwan – 1.2% | ||||||
| 34,117 | Chunghwa Telecom Co. Ltd., ADR | 650,270 | ||||
| Turkey – 0.9% | ||||||
| 37,364 | Turkcell Iletisim Hizmet AS, ADR | 503,667 | ||||
| United Kingdom – 16.5% | ||||||
| 56,941 | ARM Holdings PLC | 202,692 | ||||
| 24,353 | Associated British Foods PLC | 336,967 | ||||
| 7,792 | AstraZeneca PLC | 326,885 | ||||
| 10,786 | BG Group PLC | 165,462 | ||||
| 15,569 | BHP Billiton PLC | 430,625 | ||||
| 56,699 | BP PLC | 405,628 | ||||
| 56,048 | Bunzl PLC | 580,630 | ||||
| 69,325 | Centrica PLC | 275,442 | ||||
| 17,074 | GlaxoSmithKline PLC | 285,622 | ||||
| 17,335 | Imperial Tobacco Group PLC | 451,148 | ||||
| 35,909 | Intercontinental Hotels Group PLC | 567,994 | ||||
| 136,934 | International Power PLC | 574,753 | ||||
| 122,688 | Kingfisher PLC | �� | 396,818 | |||
See notes to financial statements.
46 | Annual Report | May 31, 2010
HGI | Claymore/Zacks International Multi-Asset Income Index ETF (continued)
| Number | ||||||
| of Shares | Description | Value | ||||
| United Kingdom (continued) | ||||||
| 213,114 | Ladbrokes PLC | $ | 435,697 | |||
| 37,525 | National Grid PLC | 270,898 | ||||
| 60,976 | Prudential PLC | 477,398 | ||||
| 137,031 | Rexam PLC | 622,909 | ||||
| 4,543 | Rio Tinto PLC | 209,469 | ||||
| 12,243 | Royal Dutch Shell PLC – Class A | 322,255 | ||||
| 22,179 | Smith & Nephew PLC | 200,903 | ||||
| 55,862 | Tate & Lyle PLC | 339,387 | ||||
| 74,995 | Tesco PLC | 446,304 | ||||
| 48,016 | United Utilities Group PLC | 374,542 | ||||
| 168,805 | Vodafone Group PLC | 337,178 | ||||
| 9,037,606 | ||||||
| United States – 0.2% | ||||||
| 8,328 | News Corp. – Class B | 130,180 | ||||
Total Common Stock – 80.6% (Cost $47,165,871) | 44,139,557 | |||||
| Closed End Funds – 9.7% | ||||||
| United States – 9.7% | ||||||
| 28,600 | AllianceBernstein Global High Income Fund, Inc. | 366,938 | ||||
| 70,600 | Alpine Global Premier Properties Fund | 399,596 | ||||
| 26,443 | Clough Global Opportunities Fund | 305,152 | ||||
| 22,959 | Eaton Vance Tax-Advantaged Dividend Income Fund | 328,543 | ||||
| 27,094 | Evergreen Multi-Sector Income Fund | 385,819 | ||||
| 24,140 | First Trust Aberdeen Global Opportunity Income Fund | 378,032 | ||||
| 54,968 | ING Clarion Global Real Estate Income Fund | 362,239 | ||||
| 51,237 | MFS Multimarket Income Trust | 326,892 | ||||
| 21,546 | Morgan Stanley Emerging Markets Domestic Debt Fund, Inc. | 320,604 | ||||
| 39,563 | Nuveen Multi-Strategy Income and Growth Fund 2 | 310,570 | ||||
| 59,387 | Nuveen Quality Preferred Income Fund | 391,360 | ||||
| 56,278 | Nuveen Quality Preferred Income Fund II | 400,699 | ||||
| 19,932 | Western Asset Emerging Markets Debt Fund, Inc. | 338,844 | ||||
| 28,496 | Western Asset Emerging Markets Income Fund, Inc. | 344,232 | ||||
| 33,881 | Western Asset Global High Income Fund, Inc. | 363,543 | ||||
Total Closed End Funds (Cost $5,466,829) | 5,323,063 | |||||
| Income Trusts – 8.3% | ||||||
| Canada – 8.3% | ||||||
| 37,550 | Baytex Energy Trust | 1,164,064 | ||||
| 53,494 | Enerplus Resources Fund | 1,179,008 | ||||
| 114,615 | Pengrowth Energy Trust | 1,092,090 | ||||
| 58,514 | Penn West Energy Trust | 1,123,469 | ||||
Total Income Trusts (Cost $4,749,398) | 4,558,631 | |||||
| Preferred Stocks – 0.5% | ||||||
| Chile – 0.5% | ||||||
| 14,519 | Embotelladora Andina SA, ADR | |||||
| (Cost $237,382) | 244,500 | |||||
| Rights – 0.1% | ||||||
| France – 0.0%* | ||||||
| 3,032 | Air Liquide SA (a) | 19,816 | ||||
| United Kingdom – 0.1% | ||||||
| 15,010 | National Grid PLC | 29,786 | ||||
Total Rights (Cost $0) | 49,602 | |||||
Total Investments – 99.2% (Cost $57,619,480) | 54,315,353 | |||||
| Other Assets in excess of Liabilities – 0.8% | 420,581 | |||||
| Net Assets – 100.0% | $ | 54,735,934 | ||||
*Less than 0.1%
A/S – Limited Liability Stock Company
AB – Stock Company
ADR – American Depositary Receipt
AG – Stock Corporation
ASA – Stock Company
KGaA – Limited Partnership
NV – Publicly-Traded Company
OYJ – Publicly-Traded Company
PLC – Public Limited Company
SA – Corporation
SAB de CV – Variable Capital Company
SE – Stock Corporation
SpA – Limited Share Company
| (a) | Security is valued in accordance with Fair Valuation procedures established in good faith by the Board of Trustees. The total market value of such securities is $19,816 which represents less than 0.1% of net assets. |
See notes to financial statements.
Annual Report | May 31, 2010 | 47
Statement of Assets and Liabilities | May 31, 2010
| Claymore/ | ||||||||||||
| Claymore/ | Beacon Global | |||||||||||
| Claymore/ | AlphaShares | Exchanges, | ||||||||||
| AlphaShares | China | Brokers & | ||||||||||
| China | Small Cap | Asset | ||||||||||
| Real Estate | Index | Managers | ||||||||||
| ETF | ETF | Index ETF | ||||||||||
| (TAO) | (HAO) | (EXB) | ||||||||||
| Assets | ||||||||||||
| Investments in securities, at value | $ | 45,155,745 | $ | 289,561,983 | $ | 2,892,555 | ||||||
| Foreign currency, at value | – | 327,274 | 4,368 | |||||||||
| Cash | 28,286 | – | 12,833 | |||||||||
| Receivables: | ||||||||||||
| Investments sold | – | – | 6,772 | |||||||||
| Dividends | 409,767 | 2,722,139 | 4,331 | |||||||||
| Tax reclaims | – | – | 2,153 | |||||||||
| Due from Adviser | 3,955 | – | 46,656 | |||||||||
| Other assets | 2,490 | 9,059 | 1,220 | |||||||||
| Total assets | 45,600,243 | 292,620,455 | 2,970,888 | |||||||||
| Liabilities | ||||||||||||
| Custodian bank | 27 | 942,069 | – | |||||||||
| Payables: | ||||||||||||
| Investments purchased | 16,334 | 25,477 | 4,751 | |||||||||
| Administration fee payable | 1,164 | 6,532 | – | |||||||||
| Accrued advisory fees | – | 63,968 | – | |||||||||
| Accrued expenses | 98,947 | 298,534 | 65,668 | |||||||||
| Total liabilities | 116,472 | 1,336,580 | 70,419 | |||||||||
| Net Assets | $ | 45,483,771 | $ | 291,283,875 | $ | 2,900,469 | ||||||
| Composition of Net Assets | ||||||||||||
| Paid-in capital | $ | 66,492,203 | $ | 320,822,386 | $ | 11,530,895 | ||||||
| Accumulated undistributed net investment income (loss) | (895,320 | ) | 2,626,163 | 4,159 | ||||||||
| Accumulated net realized gain (loss) on investments and currency transactions | (14,560,348 | ) | (9,772,341 | ) | (6,731,477 | ) | ||||||
| Net unrealized appreciation (depreciation) on investments and currency translation | (5,552,764 | ) | (22,392,333 | ) | (1,903,108 | ) | ||||||
| Net Assets | $ | 45,483,771 | $ | 291,283,875 | $ | 2,900,469 | ||||||
| Shares outstanding ($0.01 par value with unlimited amount authorized) | 2,840,000 | 11,920,000 | 240,000 | |||||||||
| Net asset value | $ | 16.02 | $ | 24.44 | $ | 12.09 | ||||||
| Investments in securities, at cost | $ | 50,707,960 | $ | 311,951,593 | $ | 4,795,476 | ||||||
| Foreign currency, at cost | $ | – | $ | 326,947 | $ | 4,368 | ||||||
See notes to financial statements.
48 | Annual Report | May 31, 2010
Claymore Exchange-Traded Fund Trust 2 | Statement of Assets and Liabilities continued
| Claymore/ | Claymore/ | Claymore/ | ||||||||||||||||||||
| Claymore/ | Claymore/ | Robb | SWM | Zacks | ||||||||||||||||||
| Beacon | BNY | Report | Canadian | Claymore/ | International | |||||||||||||||||
| Global | Mellon | Global | Energy | Zacks | Multi-Asset | |||||||||||||||||
| Timber | Frontier | Luxury | Income | Country | Income | |||||||||||||||||
| Index | Markets | Index | Index | Rotation | Index | |||||||||||||||||
| Index ETF | ETF | ETF | ETF | ETF | ETF | |||||||||||||||||
| (CUT) | (FRN) | (ROB) | (ENY) | (CRO) | (HGI) | |||||||||||||||||
| $ | 112,369,333 | $ | 31,564,845 | $ | 15,264,711 | $ | 74,534,731 | $ | 2,866,078 | $ | 54,315,353 | |||||||||||
| 4 | – | 19,180 | 112,515 | 2,141 | 32,567 | |||||||||||||||||
| 9,000 | 40,582 | – | – | – | 92,799 | |||||||||||||||||
| – | 162,600 | 1,391,452 | 268 | – | – | |||||||||||||||||
| 331,725 | 124,724 | 19,738 | 250,005 | 13,128 | 288,839 | |||||||||||||||||
| 13,601 | – | 12,680 | – | 7,347 | 33,920 | |||||||||||||||||
| – | 66,273 | 62,439 | – | 46,243 | 58,409 | |||||||||||||||||
| 3,543 | 1,860 | 1,415 | 2,977 | 1,297 | 2,492 | |||||||||||||||||
| 112,727,206 | 31,960,884 | 16,771,615 | 74,900,496 | 2,936,234 | 54,824,379 | |||||||||||||||||
| – | – | 29,065 | 109,770 | 1,275 | – | |||||||||||||||||
| 7,231 | – | 1,424,653 | 23,606 | – | – | |||||||||||||||||
| 2,883 | – | – | 1,819 | – | – | |||||||||||||||||
| 30,138 | – | – | 26,233 | – | – | |||||||||||||||||
| 145,490 | 72,697 | 74,701 | 90,068 | 69,986 | 88,445 | |||||||||||||||||
| 185,742 | 72,697 | 1,528,419 | 251,496 | 71,261 | 88,445 | |||||||||||||||||
| $ | 112,541,464 | $ | 31,888,187 | $ | 15,243,196 | $ | 74,649,000 | $ | 2,864,973 | $ | 54,735,934 | |||||||||||
| $ | 137,986,541 | $ | 35,190,523 | $ | 18,786,040 | $ | 81,989,314 | $ | 7,301,928 | $ | 65,570,641 | |||||||||||
| 705,154 | 453,043 | 66,009 | (189,452 | ) | 31,496 | (12,537 | ) | |||||||||||||||
| (22,138,273 | ) | (4,266,800 | ) | (1,700,291 | ) | (17,790,079 | ) | (4,142,665 | ) | (7,512,110 | ) | |||||||||||
| (4,011,958 | ) | 511,421 | (1,908,562 | ) | 10,639,217 | (325,786 | ) | (3,310,060 | ) | |||||||||||||
| $ | 112,541,464 | $ | 31,888,187 | $ | 15,243,196 | $ | 74,649,000 | $ | 2,864,973 | $ | 54,735,934 | |||||||||||
| 6,360,000 | 1,760,000 | 880,000 | 4,520,000 | 200,000 | 3,400,000 | |||||||||||||||||
| $ | 17.70 | $ | 18.12 | $ | 17.32 | $ | 16.52 | $ | 14.32 | $ | 16.10 | |||||||||||
| $ | 116,382,258 | $ | 31,053,424 | $ | 17,172,607 | $ | 63,896,312 | $ | 3,190,789 | $ | 57,619,480 | |||||||||||
| $ | 4 | $ | – | $ | 19,006 | $ | 112,515 | $ | 2,141 | $ | 32,511 | |||||||||||
See notes to financial statements.
Annual Report | May 31, 2010 | 49
Claymore Exchange-Traded Fund Trust 2
Statement of Operations | For the year ended May 31, 2010
| Claymore/ | ||||||||||||
| Claymore/ | Beacon Global | |||||||||||
| Claymore/ | AlphaShares | Exchanges, | ||||||||||
| AlphaShares | China | Brokers & | ||||||||||
| China | Small Cap | Asset | ||||||||||
| Real Estate | Index | Managers | ||||||||||
| ETF | ETF | Index ETF | ||||||||||
| (TAO) | (HAO) | (EXB) | ||||||||||
| Investment Income | ||||||||||||
| Dividend income | $ | 1,634,525 | $ | 5,217,258 | $ | 72,708 | ||||||
| Return of capital distributions received | – | (619,092 | ) | (2,633 | ) | |||||||
| Foreign taxes withheld | (4,451 | ) | (134,897 | ) | (2,522 | ) | ||||||
| Net dividend income | 1,630,074 | 4,463,269 | 67,553 | |||||||||
| Total income | 1,630,074 | 4,463,269 | 67,553 | |||||||||
| Expenses | ||||||||||||
| Advisory fee | 348,583 | 1,401,198 | 15,872 | |||||||||
| Administration fee | 19,172 | 64,415 | 873 | |||||||||
| Custodian fee | 95,491 | 318,321 | 63,459 | |||||||||
| Licensing | 79,754 | 366,417 | 3,174 | |||||||||
| Listing fee and expenses | 5,000 | 5,000 | 5,000 | |||||||||
| Offering costs | – | – | – | |||||||||
| Printing expenses | 28,239 | 67,838 | 7,337 | |||||||||
| Professional fees | 40,855 | 62,605 | 27,160 | |||||||||
| Registration & filings | 1,668 | 18,648 | – | |||||||||
| Trustees’ fees and expenses | 4,241 | 7,087 | 3,162 | |||||||||
| Miscellaneous | 18,626 | 20,756 | 17,059 | |||||||||
| Total expenses | 641,629 | 2,332,285 | 143,096 | |||||||||
| Advisory fees waived | (153,613 | ) | (421,560 | ) | (15,872 | ) | ||||||
| Other expenses waived or reimbursed | – | – | (105,004 | ) | ||||||||
| Net expenses | 488,016 | 1,910,725 | 22,220 | |||||||||
| Net Investment Income (Loss) | 1,142,058 | 2,552,544 | 45,333 | |||||||||
| Realized and Unrealized Gain (Loss) | ||||||||||||
| Net realized gain (loss) on | ||||||||||||
| Investments | (3,806,086 | ) | (1,251,429 | ) | (642,225 | ) | ||||||
| In-kind transactions | 8,722,448 | 45,269,713 | – | |||||||||
| Foreign currency transactions | (1,157 | ) | (15,395 | ) | (535 | ) | ||||||
| Net realized gain (loss) | 4,915,205 | 44,002,889 | (642,760 | ) | ||||||||
| Net change in unrealized appreciation (depreciation) on | ||||||||||||
| Investments | (8,493,477 | ) | (37,308,369 | ) | 592,941 | |||||||
| Foreign currency translation | (523 | ) | (2,725 | ) | (249 | ) | ||||||
| Net unrealized appreciation (depreciation) | (8,494,000 | ) | (37,311,094 | ) | 592,692 | |||||||
| Net realized and unrealized gain (loss) | (3,578,795 | ) | 6,691,795 | (50,068 | ) | |||||||
| Net Increase (Decrease) in Net Assets Resulting from Operations | $ | (2,436,737 | ) | $ | 9,244,339 | $ | (4,735 | ) | ||||
See notes to financial statements.
50 | Annual Report | May 31, 2010
| Claymore/ | Claymore/ | Claymore/ | |||||||||||||||||||
| Claymore/ | Claymore/ | Robb | SWM | Zacks | |||||||||||||||||
| Beacon | BNY | Report | Canadian | Claymore/ | International | ||||||||||||||||
| Global | Mellon | Global | Energy | Zacks | Multi-Asset | ||||||||||||||||
| Timber | Frontier | Luxury | Income | Country | Income | ||||||||||||||||
| Index | Markets | Index | Index | Rotation | Index | ||||||||||||||||
| Index ETF | ETF | ETF | ETF | ETF | ETF | ||||||||||||||||
| (CUT) | (FRN) | (ROB) | (ENY) | (CRO) | (HGI) | ||||||||||||||||
| $ | 2,391,033 | $ | 1,116,981 | $ | 174,988 | $ | 2,690,746 | $ | 192,226 | $ | 2,116,069 | ||||||||||
| (270,303 | ) | – | – | – | (1,507 | ) | (90,751 | ) | |||||||||||||
| (133,082 | ) | (164,210 | ) | (24,674 | ) | (403,574 | ) | (14,609 | ) | (167,668 | ) | ||||||||||
| 1,987,648 | 952,771 | 150,314 | 2,287,172 | 176,110 | 1,857,650 | ||||||||||||||||
| 1,987,648 | 952,771 | 150,314 | 2,287,172 | 176,110 | 1,857,650 | ||||||||||||||||
| 460,132 | 125,839 | 40,272 | 318,784 | 30,646 | 197,178 | ||||||||||||||||
| 25,307 | 6,921 | 2,215 | 17,533 | 1,685 | 10,845 | ||||||||||||||||
| 78,298 | 50,226 | 49,490 | 65,817 | 98,841 | 87,707 | ||||||||||||||||
| 113,283 | 26,066 | 99,999 | 66,973 | 6,129 | 40,433 | ||||||||||||||||
| 5,000 | 5,000 | 5,000 | 5,000 | 5,000 | 5,000 | ||||||||||||||||
| – | 1,180 | – | – | – | – | ||||||||||||||||
| 34,161 | 12,145 | 10,016 | 30,247 | 10,929 | 10,615 | ||||||||||||||||
| 46,397 | 31,182 | 28,453 | 36,035 | 27,882 | 33,341 | ||||||||||||||||
| 6,195 | 999 | 658 | 2,410 | – | 2,382 | ||||||||||||||||
| 4,698 | 3,355 | 3,290 | 4,315 | 3,292 | 3,595 | ||||||||||||||||
| 19,122 | 15,543 | 15,161 | 18,804 | 17,057 | 17,661 | ||||||||||||||||
| 792,593 | 278,456 | 254,554 | 565,918 | 201,461 | 408,757 | ||||||||||||||||
| (148,408 | ) | (101,101 | ) | (40,272 | ) | (119,621 | ) | (30,646 | ) | (133,566 | ) | ||||||||||
| – | – | (153,874 | ) | – | (127,911 | ) | – | ||||||||||||||
| 644,185 | 177,355 | 60,408 | 446,297 | 42,904 | 275,191 | ||||||||||||||||
| 1,343,463 | 775,416 | 89,906 | 1,840,875 | 133,206 | 1,582,459 | ||||||||||||||||
| (14,147,812 | ) | (1,153,784 | ) | (514,546 | ) | (11,939,903 | ) | (944,688 | ) | (551,710 | ) | ||||||||||
| 15,758,601 | – | – | 2,332,375 | 413,480 | 7,066,222 | ||||||||||||||||
| (146,394 | ) | – | (2,127 | ) | (10,464 | ) | (14,401 | ) | (19,471 | ) | |||||||||||
| 1,464,395 | (1,153,784 | ) | (516,673 | ) | (9,617,992 | ) | (545,609 | ) | 6,495,041 | ||||||||||||
| 6,849,809 | 4,581,281 | 1,259,574 | 18,002,278 | 932,171 | (5,699,107 | ) | |||||||||||||||
| (1,047 | ) | – | (277 | ) | (2,596 | ) | (1,893 | ) | (7,981 | ) | |||||||||||
| 6,848,762 | 4,581,281 | 1,259,297 | 17,999,682 | 930,278 | (5,707,088 | ) | |||||||||||||||
| 8,313,157 | 3,427,497 | 742,624 | 8,381,690 | 384,669 | 787,953 | ||||||||||||||||
| $ | 9,656,620 | $ | 4,202,913 | $ | 832,530 | $ | 10,222,565 | $ | 517,875 | $ | 2,370,412 | ||||||||||
See notes to financial statements.
Annual Report | May 31, 2010 | 51
Statement of Changes in Net Assets |
| Claymore/AlphaShares | Claymore/AlphaShares | |||||||||||||||
| China Real Estate ETF (TAO) | China Small Cap Index ETF (HAO) | |||||||||||||||
| For the Year | For the Year | For the Year | For the Year | |||||||||||||
| Ended | Ended | Ended | Ended | |||||||||||||
| May 31, 2010 | May 31, 2009 | May 31, 2010 | May 31, 2009 | |||||||||||||
| Increase in Net Assets Resulting from Operations | ||||||||||||||||
| Net investment income (loss) | $ | 1,142,058 | $ | 623,975 | $ | 2,552,544 | $ | 391,914 | ||||||||
| Net realized gain (loss) | 4,915,205 | (12,007,867 | ) | 44,002,889 | (10,950,214 | ) | ||||||||||
| Net unrealized appreciation (depreciation) | (8,494,000 | ) | 8,999,398 | (37,311,094 | ) | 15,350,509 | ||||||||||
| Net increase (decrease) in net assets resulting from operations | (2,436,737 | ) | (2,384,494 | ) | 9,244,339 | 4,792,209 | ||||||||||
| Distribution to Shareholders from | ||||||||||||||||
| Net investment income | (2,895,600 | ) | (566,840 | ) | (384,000 | ) | (144,400 | ) | ||||||||
| Return of capital | – | – | – | – | ||||||||||||
| Total distributions | (2,895,600 | ) | (566,840 | ) | (384,000 | ) | (144,400 | ) | ||||||||
| Capital Share Transactions | ||||||||||||||||
| Proceeds from sale of shares | 49,846,849 | 18,267,027 | 417,606,919 | 60,889,897 | ||||||||||||
| Cost of shares redeemed | (38,832,565 | ) | (4,462,904 | ) | (198,121,747 | ) | (14,139,144 | ) | ||||||||
| Net increase (decrease) from capital share transactions | 11,014,284 | 13,804,123 | 219,485,172 | 46,750,753 | ||||||||||||
| Total increase (decrease) in net assets | 5,681,947 | 10,852,789 | 228,345,511 | 51,398,562 | ||||||||||||
| Net Assets | ||||||||||||||||
| Beginning of period | 39,801,824 | 28,949,035 | 62,938,364 | 11,539,802 | ||||||||||||
| End of period | $ | 45,483,771 | $ | 39,801,824 | $ | 291,283,875 | $ | 62,938,364 | ||||||||
| Accumulated undistributed net investment income (loss) at end of period | $ | (895,320 | ) | $ | 320,104 | $ | 2,626,163 | $ | 371,936 | |||||||
| Changes in Shares Outstanding | ||||||||||||||||
| Shares sold | 2,800,000 | 1,360,000 | 16,720,000 | 3,680,000 | ||||||||||||
| Shares redeemed | (2,320,000 | ) | (400,000 | ) | (7,840,000 | ) | (1,120,000 | ) | ||||||||
| Shares outstanding, beginning of period | 2,360,000 | 1,400,000 | 3,040,000 | 480,000 | ||||||||||||
| Shares outstanding, end of period | 2,840,000 | 2,360,000 | 11,920,000 | 3,040,000 | ||||||||||||
1 Commencement of investment operations - June 12, 2008
See notes to financial statements.
52 | Annual Report | May 31, 2010
| Claymore/Beacon Global Exchanges, | Claymore/Beacon Global | Claymore/BNY Mellon | ||||||||||||||||||||
| Brokers & Asset Managers Index ETF (EXB) | Timber Index ETF (CUT) | Frontier Markets ETF (FRN) | ||||||||||||||||||||
| For the Year | For the Year | For the Year | For the Year | For the Year | For the Period | |||||||||||||||||
| Ended | Ended | Ended | Ended | Ended | Ended | |||||||||||||||||
| May 31, 2010 | May 31, 2009 | May 31, 2010 | May 31, 2009 | May 31, 2010 | May 31, 20091 | |||||||||||||||||
| $ | 45,333 | $ | 180,701 | $ | 1,343,463 | $ | 1,185,510 | $ | 775,416 | $ | 315,512 | |||||||||||
| (642,760 | ) | (9,738,981 | ) | 1,464,395 | (9,967,554 | ) | (1,153,784 | ) | (3,113,016 | ) | ||||||||||||
| 592,692 | 1,912,486 | 6,848,762 | (9,992,215 | ) | 4,581,281 | (4,069,860 | ) | |||||||||||||||
| (4,735 | ) | (7,645,794 | ) | 9,656,620 | (18,774,259 | ) | 4,202,913 | (6,867,364 | ) | |||||||||||||
| (84,000 | ) | (320,160 | ) | (264,600 | ) | (995,520 | ) | (582,160 | ) | (85,440 | ) | |||||||||||
| – | – | – | – | – | – | |||||||||||||||||
| (84,000 | ) | (320,160 | ) | (264,600 | ) | (995,520 | ) | (582,160 | ) | (85,440 | ) | |||||||||||
| – | – | 109,556,989 | 14,397,765 | 13,201,433 | 22,018,805 | |||||||||||||||||
| – | (6,389,593 | ) | (52,322,621 | ) | (5,989,634 | ) | – | – | ||||||||||||||
| – | (6,389,593 | ) | 57,234,368 | 8,408,131 | 13,201,433 | 22,018,805 | ||||||||||||||||
| (88,735 | ) | (14,355,547 | ) | 66,626,388 | (11,361,648 | ) | 16,822,186 | 15,066,001 | ||||||||||||||
| 2,989,204 | 17,344,751 | 45,915,076 | 57,276,724 | 15,066,001 | – | |||||||||||||||||
| $ | 2,900,469 | $ | 2,989,204 | $ | 112,541,464 | $ | 45,915,076 | $ | 31,888,187 | $ | 15,066,001 | |||||||||||
| $ | 4,159 | $ | 33,800 | $ | 705,154 | $ | 221,740 | $ | 453,043 | $ | 259,787 | |||||||||||
| – | – | 6,160,000 | 1,040,000 | 720,000 | 1,040,000 | |||||||||||||||||
| – | (560,000 | ) | (2,960,000 | ) | (480,000 | ) | – | – | ||||||||||||||
| 240,000 | 800,000 | 3,160,000 | 2,600,000 | 1,040,000 | – | |||||||||||||||||
| 240,000 | 240,000 | 6,360,000 | 3,160,000 | 1,760,000 | 1,040,000 | |||||||||||||||||
See notes to financial statements.
Annual Report | May 31, 2010 | 53
| Claymore/Robb Report | ||||||||
| Global Luxury Index ETF (ROB) | ||||||||
| For the Year | For the Year | |||||||
| Ended | Ended | |||||||
| May 31, 2010 | May 31, 2009 | |||||||
| Increase in Net Assets Resulting from Operations | ||||||||
| Net investment income (loss) | $ | 89,906 | $ | 67,586 | ||||
| Net realized gain (loss) | (516,673 | ) | (1,300,083 | ) | ||||
| Net unrealized appreciation (depreciation) | 1,259,297 | (2,442,787 | ) | |||||
| Net increase (decrease) in net assets resulting from operations | 832,530 | (3,675,284 | ) | |||||
| Distribution to Shareholders from | ||||||||
| Net investment income | (55,200 | ) | (92,160 | ) | ||||
| Return of capital | – | – | ||||||
| Total distributions | (55,200 | ) | (92,160 | ) | ||||
| Capital Share Transactions | ||||||||
| Proceeds from sale of shares | 10,276,562 | – | ||||||
| Cost of shares redeemed | – | (923,218 | ) | |||||
| Net increase (decrease) from capital share transactions | 10,276,562 | (923,218 | ) | |||||
| Total increase (decrease) in net assets | 11,053,892 | (4,690,662 | ) | |||||
| Net Assets | ||||||||
| Beginning of period | 4,189,304 | 8,879,966 | ||||||
| End of period | $ | 15,243,196 | $ | 4,189,304 | ||||
| Accumulated undistributed net investment income (loss) at end of period | $ | 66,009 | $ | 33,430 | ||||
| Changes in Shares Outstanding | ||||||||
| Shares sold | 560,000 | – | ||||||
| Shares redeemed | – | (80,000 | ) | |||||
| Shares outstanding, beginning of period | 320,000 | 400,000 | ||||||
| Shares outstanding, end of period | 880,000 | 320,000 | ||||||
See notes to financial statements.
54 | Annual Report | May 31, 2010
| Claymore/SWM Canadian | Claymore/Zacks | Claymore/Zacks International | |||||||||||||||||||
| Energy Income Index ETF (ENY) | Country Rotation ETF (CRO) | Multi-Asset Income Index ETF (HGI) | |||||||||||||||||||
| For the Year | For the Year | For the Year | For the Year | For the Year | For the Year | ||||||||||||||||
| Ended | Ended | Ended | Ended | Ended | Ended | ||||||||||||||||
| May 31, 2010 | May 31, 2009 | May 31, 2010 | May 31, 2009 | May 31, 2010 | May 31, 2009 | ||||||||||||||||
| $ | 1,840,875 | $ | 1,825,359 | $ | 133,206 | $ | 189,051 | $ | 1,582,459 | $ | 576,806 | ||||||||||
| (9,617,992 | ) | (5,516,116 | ) | (545,609 | ) | (3,218,658 | ) | 6,495,041 | (6,288,439 | ) | |||||||||||
| 17,999,682 | (13,091,889 | ) | 930,278 | (845,691 | ) | (5,707,088 | ) | 2,505,286 | |||||||||||||
| 10,222,565 | (16,782,646 | ) | 517,875 | (3,875,298 | ) | 2,370,412 | (3,206,347 | ) | |||||||||||||
| (2,279,600 | ) | (1,686,160 | ) | (153,600 | ) | (240,000 | ) | (1,403,200 | ) | (633,473 | ) | ||||||||||
| – | – | – | – | – | (65,127 | ) | |||||||||||||||
| (2,279,600 | ) | (1,686,160 | ) | (153,600 | ) | (240,000 | ) | (1,403,200 | ) | (698,600 | ) | ||||||||||
| 34,917,516 | 30,113,303 | 3,438,725 | – | 63,084,752 | 8,981,783 | ||||||||||||||||
| (6,002,230 | ) | (7,956,217 | ) | (6,586,529 | ) | – | (23,627,204 | ) | – | ||||||||||||
| 28,915,286 | 22,157,086 | (3,147,804 | ) | – | 39,457,548 | 8,981,783 | |||||||||||||||
| 36,858,251 | 3,688,280 | (2,783,529 | ) | (4,115,298 | ) | 40,424,760 | 5,076,836 | ||||||||||||||
| 37,790,749 | 34,102,469 | 5,648,502 | 9,763,800 | 14,311,174 | 9,234,338 | ||||||||||||||||
| $ | 74,649,000 | $ | 37,790,749 | $ | 2,864,973 | $ | 5,648,502 | $ | 54,735,934 | $ | 14,311,174 | ||||||||||
| $ | (189,452 | ) | $ | 486,023 | $ | 31,496 | $ | 59,645 | $ | (12,537 | ) | $ | (21,447 | ) | |||||||
| 2,240,000 | 1,920,000 | 200,000 | – | 3,800,000 | 600,000 | ||||||||||||||||
| (400,000 | ) | (320,000 | ) | (400,000 | ) | – | (1,400,000 | ) | – | ||||||||||||
| 2,680,000 | 1,080,000 | 400,000 | 400,000 | 1,000,000 | 400,000 | ||||||||||||||||
| 4,520,000 | 2,680,000 | 200,000 | 400,000 | 3,400,000 | 1,000,000 | ||||||||||||||||
See notes to financial statements.
Annual Report | May 31, 2010 | 55
Financial Highlights |
TAO | Claymore/AlphaShares China Real Estate ETF
| For the Period | ||||||||||||
| For the Year | For the Year | December 18, 2007** | ||||||||||
| Per share operating performance | Ended | Ended | through | |||||||||
| for a share outstanding throughout the period | May 31, 2010 | May 31, 2009 | May 31, 2008 | |||||||||
Net asset value, beginning of period | $ | 16.87 | $ | 20.68 | $ | 23.50 | ||||||
| Income from investment operations | ||||||||||||
Net investment income (a) | 0.29 | 0.39 | 0.17 | |||||||||
| Net realized and unrealized loss | (0.57 | ) | (3.82 | ) | (2.99 | ) | ||||||
| Total from investment operations | (0.28 | ) | (3.43 | ) | (2.82 | ) | ||||||
| Distributions to Shareholders from | ||||||||||||
| Net investment income | (0.57 | ) | (0.38 | ) | – | |||||||
| Net asset value, end of period | $ | 16.02 | $ | 16.87 | $ | 20.68 | ||||||
| Market value, end of period | $ | 15.89 | $ | 17.27 | $ | 20.91 | ||||||
Total return*(b) | ||||||||||||
| Net asset value | -2.10 | % | -15.44 | % | -12.00 | % | ||||||
| Ratios and supplemental data | ||||||||||||
| Net assets, end of period (thousands) | $ | 45,484 | $ | 39,802 | $ | 28,949 | ||||||
| Ratio of net expenses to average net assets* | 0.70 | % | 0.78 | % | 0.95 | %(c) | ||||||
| Ratio of net investment income to average net assets* | 1.64 | % | 3.00 | % | 1.64 | %(c) | ||||||
Portfolio turnover rate (d) | 15 | % | 47 | % | 1 | % | ||||||
| * If certain expenses had not been waived or reimbursed by the Adviser, total return would have been lower and the ratios would have been as follows: | ||||||||||||
| Ratio of total expenses to average net assets | 0.92 | % | 1.74 | % | 1.50 | %(c) | ||||||
| Ratio of net investment income to average net assets | 1.42 | % | 2.04 | % | 1.09 | %(c) | ||||||
** Commencement of investment operations.
| (a) | Based on average shares outstanding during the period. |
| (b) | Total investment return is calculated assuming a purchase of a common share at the beginning of the period and a sale on the last day of the period reported at net asset value (“NAV”). Dividends and distributions are assumed to be reinvested at NAV. Total investment return does not reflect brokerage commissions. A return calculated for a period of less than one year is not annualized. |
| (c) | Annualized. |
| (d) | Portfolio turnover is not annualized for periods less than one year and does not include securities received or delivered from processing creations or redemptions. |
See notes to financial statements.
56 | Annual Report | May 31, 2010
HAO | Claymore/AlphaShares China Small Cap Index ETF
| For the Periiod | ||||||||||||
| For the | For the | January 30, 2008** | ||||||||||
| Per share operating performance | Year Ended | Year Ended | through | |||||||||
| for a share outstanding throughout the period | May 31, 2010 | May 31, 2009 | May 31, 2008 | |||||||||
Net asset value, beginning of period | $ | 20.70 | $ | 24.04 | $ | 24.34 | ||||||
| Income from investment operations | ||||||||||||
Net investment income (loss) (a) | 0.25 | 0.27 | 0.27 | |||||||||
| Net realized and unrealized gain (loss) | 3.52 | (3.51 | ) | (0.57 | ) | |||||||
| Total from investment operations | 3.77 | (3.24 | ) | (0.30 | ) | |||||||
| Distributions to shareholders from | ||||||||||||
| Net investment income | (0.03 | ) | (0.10 | ) | – | |||||||
| Net asset value, end of period | $ | 24.44 | $ | 20.70 | $ | 24.04 | ||||||
| Market value, end of period | $ | 24.30 | $ | 21.22 | $ | 24.39 | ||||||
Total return *(b) | ||||||||||||
| Net asset value | 18.20 | % | -13.27 | % | -1.23 | % | ||||||
| Ratios and supplemental data | ||||||||||||
| Net assets, end of period (thousands) | $ | 291,284 | $ | 62,938 | $ | 11,540 | ||||||
| Ratio of net expenses to average net assets* | 0.75 | % | 0.88 | % | 1.00 | %(c) | ||||||
| Ratio of net investment income (loss) to average net assets* | 1.00 | % | 1.86 | % | 3.44 | %(c) | ||||||
Portfolio turnover rate (d) | 46 | % | 65 | % | 1 | % | ||||||
| * If certain expenses had not been waived or reimbursed by the Adviser total return would have been lower and the ratios would have been as follows: | ||||||||||||
| Ratio of total expenses to average net assets | 0.91 | % | 1.64 | % | 3.16 | %(c) | ||||||
| Ratio of net investment income (loss) to average net assets | 0.84 | % | 1.10 | % | 1.28 | %(c) | ||||||
** Commencement of investment operations.
| (a) | Based on average shares outstanding during the period. |
| (b) | Total investment return is calculated assuming a purchase of a common share at the beginning of the period and a sale on the last day of the period reported at net asset value (“NAV”). Dividends and distributions are assumed to be reinvested at NAV. Total investment return does not reflect brokerage commissions. A return calculated for a period less than one year is not annualized. |
| (c) | Annualized. |
| (d) | Portfolio turnover is not annualized for periods of less than one year and does not include securities received or delivered from processing creations or redemptions. |
See notes to financial statements.
Annual Report | May 31, 2010 | 57
EXB | Claymore/Beacon Global Exchanges, Brokers & Asset Managers Index ETF
| For the Period | ||||||||||||
| For the | For the | June 27, 2007** | ||||||||||
| Per share operating performance | Year Ended | Year Ended | through | |||||||||
| for a share outstanding throughout the period | May 31, 2010 | May 31, 2009 | May 31, 2008 | |||||||||
Net asset value, beginning of period | $ | 12.46 | $ | 21.68 | $ | 24.56 | ||||||
| Income from investment operations | ||||||||||||
Net investment income (loss) (a) | 0.19 | 0.32 | 0.20 | |||||||||
| Net realized and unrealized gain (loss) | (0.21 | ) | (8.87 | ) | (3.06 | ) | ||||||
| Total from investment operations | (0.02 | ) | (8.55 | ) | (2.86 | ) | ||||||
| Distributions to Shareholders from | ||||||||||||
| Net investment income | (0.35 | ) | (0.67 | ) | (0.02 | ) | ||||||
| Net asset value, end of period | $ | 12.09 | $ | 12.46 | $ | 21.68 | ||||||
| Market value, end of period | $ | 12.18 | $ | 12.28 | $ | 21.75 | ||||||
Total return*(b) | ||||||||||||
| Net asset value | -0.42 | % | -38.56 | % | -11.65 | % | ||||||
| Ratios and supplemental data | ||||||||||||
| Net assets, end of period (thousands) | $ | 2,900 | $ | 2,989 | $ | 17,345 | ||||||
| Ratio of net expenses to average net assets* | 0.70 | % | 0.70 | % | 0.87 | %(c) | ||||||
| Ratio of net investment income to average net assets* | 1.43 | % | 2.32 | % | 0.90 | %(c) | ||||||
Portfolio turnover rate (d) | 31 | % | 66 | % | 83 | % | ||||||
| * If certain expenses had not been waived or reimbursed by the Adviser, total return would have been lower and the ratios would have been as follows: | ||||||||||||
| Ratio of expenses to average net assets | 4.51 | % | 2.55 | % | 1.43 | %(c) | ||||||
| Ratio of net investment income (loss) to average net assets | -2.38 | % | 0.47 | % | 0.34 | %(c) | ||||||
** Commencement of investment operations.
| (a) | Based on average shares outstanding during the period. |
| (b) | Total investment return is calculated assuming a purchase of a common share at the beginning of the period and a sale on the last day of the period reported at net asset value (“NAV”). Dividends and distributions are assumed to be reinvested at NAV. Total investment return does not reflect brokerage commissions. A return calculated for a period of less than one year is not annualized. |
| (c) | Annualized. |
| (d) | Portfolio turnover is not annualized for periods less than one year and does not include securities received or delivered from processing creations or redemptions. |
See notes to financial statements.
58 | Annual Report | May 31, 2010
CUT | Claymore/Beacon Global Timber Index ETF
| For the Period | ||||||||||||
| For the Year | For the Year | November 9, 2007** | ||||||||||
| Per share operating performance | Ended | Ended | through | |||||||||
| for a share outstanding throughout the period | May 31, 2010 | May 31, 2009 | May 31, 2008 | |||||||||
Net asset value, beginning of period | $ | 14.53 | $ | 22.03 | $ | 24.91 | ||||||
| Income from investment operations | ||||||||||||
Net investment income (loss) (a) | 0.25 | 0.47 | 0.33 | |||||||||
| Net realized and unrealized gain (loss) | 2.97 | (7.56 | ) | (3.13 | ) | |||||||
| Total from investment operations | 3.22 | (7.09 | ) | (2.80 | ) | |||||||
Distributions to Shareholders from | ||||||||||||
| Net investment income | (0.05 | ) | (0.41 | ) | (0.08 | ) | ||||||
| Net asset value, end of period | $ | 17.70 | $ | 14.53 | $ | 22.03 | ||||||
| Market value, end of period | $ | 17.65 | $ | 14.69 | $ | 22.25 | ||||||
Total return* (b) | ||||||||||||
| Net asset value | 22.15 | % | -31.77 | % | -11.25 | % | ||||||
| Ratios and supplemental data | ||||||||||||
| Net assets, end of period (thousands) | $ | 112,541 | $ | 45,915 | $ | 57,277 | ||||||
| Ratio of net expenses to average net assets* | 0.70 | % | 0.71 | % | 0.95 | %(c) | ||||||
| Ratio of net investment income to average net assets* | 1.46 | % | 3.36 | % | 2.72 | %(c) | ||||||
Portfolio turnover rate (d) | 39 | % | 58 | % | 23 | % | ||||||
| * If certain expenses had not been waived or reimbursed by the Adviser, total return would have been lower and the ratios would have been as follows: | ||||||||||||
| Ratio of total expenses to average net assets | 0.86 | % | 1.08 | % | 1.43 | %(c) | ||||||
| Ratio of net investment income (loss) to average net assets | 1.30 | % | 2.99 | % | 2.24 | %(c) | ||||||
** Commencement of investment operations.
| (a) | Based on average shares outstanding during the period. |
| (b) | Total investment return is calculated assuming a purchase of a common share at the beginning of the period and a sale on the last day of the period reported at net asset value (“NAV”). Dividends and distributions are assumed to be reinvested at NAV. Total investment return does not reflect brokerage commissions. A return calculated for a period of less than one year is not annualized. |
| (c) | Annualized. |
| (d) | Portfolio turnover is not annualized for periods less than one year and does not include securities received or delivered from processing creations or redemptions. |
See notes to financial statements.
Annual Report | May 31, 2010 | 59
FRN | Claymore/BNY Mellon Frontier Markets ETF
| For the period | ||||||||
| For the | June 12, 2008** | |||||||
| Per share operating performance | Year Ended | through | ||||||
| for a share outstanding throughout the period | May 31, 2010 | May 31, 2009 | ||||||
Net asset value, beginning of period | $ | 14.49 | $ | 24.34 | ||||
| Income from investment operations | ||||||||
Net investment income (loss) (a) | 0.55 | 0.36 | ||||||
| Net realized and unrealized gain (loss) | 3.46 | (10.12 | ) | |||||
| Total from investment operations | 4.01 | (9.76 | ) | |||||
| Distributions to Shareholders from | ||||||||
| Net investment income | (0.38 | ) | (0.09 | ) | ||||
| Net asset value, end of period | $ | 18.12 | $ | 14.49 | ||||
| Market value, end of period | $ | 18.67 | $ | 14.48 | ||||
Total return*(b) | ||||||||
| Net asset value | 27.69 | % | -40.03 | % | ||||
| Ratios and supplemental data | ||||||||
| Net assets, end of period (thousands) | $ | 31,888 | $ | 15,066 | ||||
| Ratio of net expenses to average net assets* | 0.70 | % | 0.95 | %(c) | ||||
| Ratio of net investment income to average net assets* | 3.09 | % | 2.65 | %(c) | ||||
Portfolio turnover rate (d) | 25 | % | 29 | % | ||||
* If certain expenses had not been waived or reimbursed by the Adviser, total return would have been lower and the ratios would have been as follows: | ||||||||
| Ratio of expenses to average net assets | 1.11 | % | 2.22 | %(c) | ||||
| Ratio of net investment income (loss) to average net assets | 2.68 | % | 1.38 | %(c) | ||||
** Commencement of investment operations.
| (a) | Based on average shares outstanding during the period. |
| (b) | Total investment return is calculated assuming a purchase of a common share at the beginning of the period and a sale on the last day of the period reported at net asset value (“NAV”). Dividends and distributions are assumed to be reinvested at NAV. Total investment return does not reflect brokerage commissions. A return calculated for a period of less than one year is not annualized. |
| (c) | Annualized. |
| (d) | Portfolio turnover is not annualized for periods less than one year and does not include securities received or delivered from processing creations or redemptions. |
See notes to financial statements.
60 | Annual Report | May 31, 2010
ROB | Claymore/Robb Report Global Luxury Index ETF
| For the Period | ||||||||||||
| For the Year | For the Year | July 30, 2007** | ||||||||||
| Per share operating performance | Ended | Ended | through | |||||||||
| for a share outstanding throughout the period | May 31, 2010 | May 31, 2009 | May 31, 2008 | |||||||||
Net asset value, beginning of period | $ | 13.09 | $ | 22.20 | $ | 23.80 | ||||||
| Income from investment operations | ||||||||||||
Net investment income (loss) (a) | 0.19 | 0.19 | 0.14 | |||||||||
| Net realized and unrealized gain (loss) | 4.18 | (9.01 | ) | (1.70 | ) | |||||||
| Total from investment operations | 4.37 | (8.82 | ) | (1.56 | ) | |||||||
| Distributions to Shareholders from | ||||||||||||
| Net investment income | (0.14 | ) | (0.29 | ) | (0.04 | ) | ||||||
| Net asset value, end of period | $ | 17.32 | $ | 13.09 | $ | 22.20 | ||||||
| Market value, end of period | $ | 17.18 | $ | 12.96 | $ | 22.28 | ||||||
Total return* (b) | ||||||||||||
| Net asset value | 33.37 | % | -39.58 | % | -6.57 | % | ||||||
| Ratios and supplemental data | ||||||||||||
| Net assets, end of period (thousands) | $ | 15,243 | $ | 4,189 | $ | 8,880 | ||||||
| Ratio of net expenses to average net assets* | 0.75 | % | 0.75 | % | 1.21 | %(c) | ||||||
| Ratio of net investment income to average net assets* | 1.12 | % | 1.32 | % | 0.73 | %(c) | ||||||
Portfolio turnover rate (d) | 16 | % | 14 | % | 26 | % | ||||||
* If certain expenses had not been waived or reimbursed by the Adviser, total return would have been lower and the ratios would have been as follows: | ||||||||||||
| Ratio of total expenses to average net assets | 3.16 | % | 4.75 | % | 3.81 | %(c) | ||||||
| Ratio of net investment income (loss) to average net assets | -1.29 | % | -2.68 | % | -1.87 | %(c) | ||||||
| ** | Commencement of investment operations. |
| (a) | Based on average shares outstanding during the period. |
| (b) | Total investment return is calculated assuming a purchase of a common share at the beginning of the period and a sale on the last day of the period reported at net asset value (“NAV”). Dividends and distributions are assumed to be reinvested at NAV. Total investment return does not reflect brokerage commissions. A return calculated for a period of less than one year is not annualized. |
| (c) | Annualized. |
| (d) | Portfolio turnover is not annualized for periods less than one year and does not include securities received or delivered from processing creations or redemptions. |
See notes to financial statements.
Annual Report | May 31, 2010 | 61
ENY | Claymore/SWM Canadian Energy Income Index ETF
| For the Period | ||||||||||||
| For the | For the | July 3, 2007** | ||||||||||
| Per share operating performance | Year Ended | Year Ended | through | |||||||||
| for a share outstanding throughout the period | May 31, 2010 | May 31, 2009 | May 31, 2008 | |||||||||
Net asset value, beginning of period | $ | 14.10 | $ | 31.58 | $ | 25.05 | ||||||
| Income from investment operations | ||||||||||||
Net investment income (loss) (a) | 0.47 | 1.08 | 0.85 | |||||||||
| Net realized and unrealized gain (loss) | 2.55 | (17.49 | ) | 6.41 | ||||||||
| Total from investment operations | 3.02 | (16.41 | ) | 7.26 | ||||||||
| Distributions to shareholders from | ||||||||||||
| Net investment income | (0.60 | ) | (1.07 | ) | (0.73 | ) | ||||||
| Net asset value, end of period | $ | 16.52 | $ | 14.10 | $ | 31.58 | ||||||
| Market value, end of period | $ | 16.50 | $ | 14.38 | $ | 31.71 | ||||||
Total return *(b) | ||||||||||||
| Net asset value | 21.75 | % | -51.89 | % | 29.62 | % | ||||||
| Ratios and supplemental data | ||||||||||||
| Net assets, end of period (thousands) | $ | 74,649 | $ | 37,791 | $ | 34,102 | ||||||
| Ratio of net expenses to average net assets* | 0.70 | % | 0.71 | % | 0.83 | %(c) | ||||||
| Ratio of net investment income (loss) to average net assets* | 2.89 | % | 7.03 | % | 3.57 | %(c) | ||||||
Portfolio turnover rate (d) | 58 | % | 68 | % | 31 | % | ||||||
* If certain expenses had not been waived or reimbursed by the Adviser, total return would have been lower and the ratios would have been as follows: | ||||||||||||
| Ratio of total expenses to average net assets | 0.89 | % | 1.23 | % | 1.24 | %(c) | ||||||
| Ratio of net investment income (loss) to average net assets | 2.70 | % | 6.51 | % | 3.16 | %(c) | ||||||
| ** | Commencement of investment operations. |
| (a) | Based on average shares outstanding during the period. |
| (b) | Total investment return is calculated assuming a purchase of a common share at the beginning of the period and a sale on the last day of the period reported at net asset value (“NAV”). Dividends and distributions are assumed to be reinvested at NAV. Total investment return does not reflect brokerage commissions. A return calculated for a period of less than one year is not annualized. |
| (c) | Annualized. |
| (d) | Portfolio turnover is not annualized for periods less than one year and does not include securities received or delivered from processing creations or redemptions. |
See notes to financial statements.
62 | Annual Report | May 31, 2010
CRO | Claymore/Zacks Country Rotation ETF
| For the Period | ||||||||||||
| For the Year | For the Year | July 11, 2007** | ||||||||||
| Per share operating performance | Ended | Ended | through | |||||||||
| for a share outstanding throughout the period | May 31, 2010 | May 31, 2009 | May 31, 2008 | |||||||||
Net asset value, beginning of period | $ | 14.12 | $ | 24.41 | $ | 25.08 | ||||||
| Income from investment operations | ||||||||||||
Net investment income (loss) (a) | 0.35 | 0.47 | 0.59 | |||||||||
| Net realized and unrealized gain (loss) | 0.23 | (10.16 | ) | (1.08 | ) | |||||||
| Total from investment operations | 0.58 | (9.69 | ) | (0.49 | ) | |||||||
| Distributions to Shareholders from | ||||||||||||
| Net investment income | (0.38 | ) | (0.60 | ) | (0.18 | ) | ||||||
| Net asset value, end of period | $ | 14.32 | $ | 14.12 | $ | 24.41 | ||||||
| Market value, end of period | $ | 14.42 | $ | 14.20 | $ | 24.60 | ||||||
Total return*(b) | ||||||||||||
| Net asset value | 3.77 | % | -39.47 | % | -2.00 | % | ||||||
| Ratios and supplemental data | ||||||||||||
| Net assets, end of period (thousands) | $ | 2,865 | $ | 5,649 | $ | 9,764 | ||||||
| Ratio of net expenses to average net assets* | 0.70 | % | 0.70 | % | 1.24 | %(c) | ||||||
| Ratio of net investment income to average net assets* | 2.17 | % | 3.07 | % | 2.53 | %(c) | ||||||
Portfolio turnover rate (d) | 63 | % | 170 | % | 51 | % | ||||||
* If certain expenses had not been waived or reimbursed by the Adviser, total return would have been lower and the ratios would have been as follows: | ||||||||||||
| Ratio of expenses to average net assets | 3.29 | % | 3.06 | % | 2.98 | %(c) | ||||||
| Ratio of net investment income (loss) to average net assets | -0.42 | % | 0.71 | % | 0.79 | %(c) | ||||||
| ** | Commencement of investment operations. |
| (a) | Based on average shares outstanding during the period. |
| (b) | Total investment return is calculated assuming a purchase of a common share at the beginning of the period and a sale on the last day of the period reported at net asset value (“NAV”). Dividends and distributions are assumed to be reinvested at NAV. Total investment return does not reflect brokerage commissions. A return calculated for a period of less than one year is not annualized. |
| (c) | Annualized. |
| (d) | Portfolio turnover is not annualized for periods less than one year and does not include securities received or delivered from processing creations or redemptions. |
See notes to financial statements.
Annual Report | May 31, 2010 | 63
HGI | Claymore/Zacks International Multi-Asset Income Index ETF
| For the Period | ||||||||||||
| For the Year | For the Year | July 11, 2007** | ||||||||||
| Per share operating performance | Ended | Ended | through | |||||||||
| for a share outstanding throughout the period | May 31, 2010 | May 31, 2009 | May 31, 2008 | |||||||||
Net asset value, beginning of period | $ | 14.31 | $ | 23.09 | $ | 24.98 | ||||||
| Income from investment operations | ||||||||||||
Net investment income (a) | 0.68 | 0.78 | 0.88 | |||||||||
| Net realized and unrealized gain (loss) | 1.74 | (8.61 | ) | (2.15 | ) | |||||||
| Total from investment operations | 2.42 | (7.83 | ) | (1.27 | ) | |||||||
| Distributions to Shareholders from | ||||||||||||
| Net investment income | (0.63 | ) | (0.86 | ) | (0.62 | ) | ||||||
| Return of capital | – | (0.09 | ) | – | ||||||||
| Total distribution to shareholders | (0.63 | ) | (0.95 | ) | (0.62 | ) | ||||||
| Net asset value, end of period | $ | 16.10 | $ | 14.31 | $ | 23.09 | ||||||
| Market value, end of period | $ | 16.09 | $ | 14.44 | $ | 24.00 | ||||||
Total return*(b) | ||||||||||||
| Net asset value | 16.81 | % | -33.80 | % | -5.02 | % | ||||||
| Ratios and supplemental data | ||||||||||||
| Net assets, end of period (thousands) | $ | 54,736 | $ | 14,311 | $ | 9,234 | ||||||
Ratio of net expenses to average net assets*(e) | 0.70 | % | 0.70 | % | 1.10 | %(c) | ||||||
| Ratio of net investment income (loss) to average net assets* | 4.01 | % | 5.56 | % | 4.26 | %(c) | ||||||
Portfolio turnover rate(d) | 42 | % | 114 | % | 114 | % | ||||||
* If certain expenses had not been waived or reimbursed by the Adviser, total return would have been lower and the ratios would have been as follows: | ||||||||||||
Ratio of total expenses to average net assets(e) | 1.04 | % | 1.98 | % | 2.61 | %(c) | ||||||
| Ratio of net investment income (loss) to average net assets | 3.67 | % | 4.28 | % | 2.75 | %(c) | ||||||
| ** | Commencement of investment operations. |
| (a) | Based on average shares outstanding during the period. |
| (b) | Total investment return is calculated assuming a purchase of a common share at the beginning of the period and a sale on the last day of the period reported at net asset value (“NAV”). Dividends and distributions are assumed to be reinvested at NAV. Total investment return does not reflect brokerage commissions. A return calculated for a period of less than one year is not annualized. |
| (c) | Annualized. |
| (d) | Portfolio turnover is not annualized for periods less than one year and does not include securities received or delivered from processing creations or redemptions. |
| (e) | Expense ratio does not reflect fees and expenses incurred indirectly by the Fund as a result of its investments in shares of other investment companies. If these fees were included in the expense ratio, the net impact to the expense ratio would be approximately 0.19% for the year ended May 31, 2010, 0.16% for the year ended May 31, 2009, and 0.24% for the period July 11, 2007 through May 31, 2008. |
See notes to financial statements.
64 | Annual Report | May 31, 2010
Notes to Financial Statements | May 31, 2010
Note 1 – Organization:
Claymore Exchange-Traded Fund Trust 2 (the “Trust”), which is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), is organized as an open-end, management investment company that was organized as a Delaware business trust on June 8, 2006. At the end of the period, the Trust consisted of 15 portfolios. The following 9 portfolios have an annual reporting period-end on May 31, 2010:
| Claymore/AlphaShares China Real Estate ETF | “AlphaShares China Real Estate” |
| Claymore/AlphaShares China Small Cap Index ETF | “AlphaShares China Small Cap” |
| Claymore/Beacon Global Exchanges, Brokers & Asset Managers Index ETF | “Beacon Global Exchanges, Brokers & Asset Managers” |
| Claymore/Beacon Global Timber Index ETF | “Beacon Global Timber” |
| Claymore/BNY Mellon Frontier Markets ETF | “BNY Mellon Frontier Markets” |
| Claymore/Robb Report Global Luxury Index ETF | “Robb Report Global Luxury” |
| Claymore/SWM Canadian Energy Income Index ETF | “SWM Canadian Energy Income” |
| Claymore/Zacks Country Rotation ETF | “Zacks Country Rotation” |
| Claymore/Zacks International Multi-Asset Income Index ETF | “Zacks International Multi-Asset Income” |
Each portfolio represents a separate series of the Trust (each a “Fund” or collectively the “Funds”). Each Fund’s shares are listed and traded on the NYSE Arca, Inc. (“NYSE Arca”). The Funds’ market prices may differ to some degree from the net asset value (“NAV”) of the shares of each Fund. Unlike conventional mutual funds, each Fund issues and redeems shares on a continuous basis, at NAV, only in a large specified number of shares; each called a “Creation Unit.” Creation Units are issued and redeemed principally in-kind for securities included in the relevant index. Except when aggregated in Creation Units, shares are not individually redeemable securities of the Funds. The investment objective of each of the Funds is to replicate as closely as possible, before fees and expenses, the performance of the following market indices:
| Fund | Index |
| AlphaShares China Real Estate | AlphaShares China Real Estate Index |
| AlphaShares China Small Cap | AlphaShares China Small Cap Index |
| Beacon Global Exchanges, Brokers & Asset Managers | Beacon Global Exchanges, Brokers & Asset Managers Index |
| Beacon Global Timber | Beacon Global Timber Index |
| BNY Mellon Frontier Markets | BNY Mellon New Frontier DR Index |
| Robb Report Global Luxury | Robb Report Global Luxury Index |
| SWM Canadian Energy Income | Sustainable Canadian Energy Income Index |
| Zacks Country Rotation | Zacks Country Rotation Index |
| Zacks International Multi-Asset Income | Zacks International Multi-Asset Income Index |
Note 2 – Accounting Policies:
The preparation of the financial statements in accordance with U.S. generally accepted accounting principles (“GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from these estimates.
In June 2009, the Financial Accounting Standards Board (“FASB”) established the FASB Accounting Standards Codification™ (“ASC”) as the single source of authoritative accounting principles reorganized by the FASB in preparation of financial statements in conformity with GAAP. The ASC superseded existing non-grandfathered, non-U.S. Securities and Exchange Commission (“SEC”) accounting and reporting standards. The ASC did not change GAAP but rather organized it into a hierarchy where all guidance with the ASC carried an equal level of authority. The ASC became effective for financial statements issued for interim and annual periods ending after September 15, 2009. The implementation of ASC did not have a material effect on the Fund’s financial statements.
The following is a summary of the significant accounting policies followed by the Funds.
(a) Valuation of Investments
Securities listed on an exchange are valued at the last reported sale price on the principal exchange or on the principal over-the-counter market on which such securities are traded, as of the close of regular trading on the NYSE on the day the securities are being valued or, if there are no sales, at the mean of the most recent bid and asked prices. Equity securities that are traded primarily on the NASDAQ Stock Market are valued at the NASDAQ Official Closing Price. Events occurring after the close of trading on non-United States exchanges may result in adjustments to the valuation of foreign securities to more accurately reflect their fair value as of the close of regular trading on the NYSE. Debt securities are valued at the last available bid price for such securities or, if such prices are not available, at prices for securities of comparable maturity, quality and type. Short-term securities with maturities of 60 days or less at time of purchase are valued at amortized cost, which approximates market value.
For those securities where quotations or prices are not available, the valuations are determined in accordance with procedures established in good faith by the Board of Trustees. Valuations in accordance with these procedures are intended to reflect each security’s (or asset’s) “fair value”. Such “fair value” is the amount that the Fund might reasonably expect to receive for the security (or asset) upon its current sale. Each such determination should be 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: (i) the type of security, (ii) the initial cost of the security, (iii) the existence of any contractual restrictions on the security’s disposition, (iv) the price and extent of public trading in similar securities of the issuer or of comparable companies, (v) quotations or evaluated prices from broker-dealers and/or pricing services, (vi) information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange traded securities), (vii) an analysis of the company’s financial statements, and (viii) an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold (e.g. the existence of pending merger activity, public offerings or tender offers that might affect the value of the security).
In accordance with ASC 820, Fair Value Measurements and Disclosures (“ASC820”) (formerly known as the Statement of Financial Accounting Standard No. 157), 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. ASC820 establishes three different categories for valuations. Level 1 valuations are those based upon quoted prices in active markets. Level 2 valuations are those based upon quoted prices in inactive markets or based upon significant observable inputs (e.g. yield curves; benchmark interest rates; indices).
Annual Report | May 31, 2010 | 65
Level 3 valuations are those based upon unobservable inputs (e.g. discounted cash flow analysis; non-market based methods used to determine fair valuation). The following table represents the Funds’ investments carried on the Statement of Assets and Liabilities by caption and by level within the fair value hierarchy as of May 31, 2010:
| AlphaShares China Real Estate | ||||||||||||||||
| Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| (value in $000s) | ||||||||||||||||
| Assets: | ||||||||||||||||
| Common Stocks: | ||||||||||||||||
| Financials | $ | 44,838 | $ | 61 | $ | – | $ | 44,899 | ||||||||
| Industrials | 257 | – | – | 257 | ||||||||||||
| Warrants | – | – | – | – | ||||||||||||
| Total | $ | 45,095 | $ | 61 | $ | – | $ | 45,156 | ||||||||
| AlphaShares China Small Cap | ||||||||||||||||
| Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| (value in $000s) | ||||||||||||||||
| Assets: | ||||||||||||||||
| Common Stocks: | ||||||||||||||||
| Consumer Discretionary | $ | 39,740 | $ | – | $ | – | $ | 39,740 | ||||||||
| Consumer Staples | 20,223 | – | – | 22,223 | ||||||||||||
| Energy | 478 | – | – | 478 | ||||||||||||
| Financials | 34,723 | – | – | 34,723 | ||||||||||||
| Health Care | 15,611 | – | – | 15,611 | ||||||||||||
| Industrials | 86,117 | – | – | 86,117 | ||||||||||||
| Information Technology | 33,772 | 525 | – | 34,297 | ||||||||||||
| Materials | 41,797 | – | – | 41,797 | ||||||||||||
| Telecommunication Services | 2,490 | – | – | 2,490 | ||||||||||||
| Utilities | 14,086 | – | – | 14,086 | ||||||||||||
| Total | $ | 289,037 | $ | 525 | $ | – | $ | 289,562 | ||||||||
| Beacon Global Exchanges, Brokers & Asset Managers | ||||||||||||||||
| Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| (value in $000s) | ||||||||||||||||
| Assets: | ||||||||||||||||
| Common Stocks: | ||||||||||||||||
| Financials | $ | 2,853 | $ | 2 | $ | – | $ | 2,855 | ||||||||
| Master Limited Partnerships | 38 | – | – | 38 | ||||||||||||
| Total | $ | 2,891 | $ | 2 | $ | – | $ | 2,893 | ||||||||
| BNY Mellon Frontier Markets | ||||||||||||||||
| Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| (value in $000s) | ||||||||||||||||
| Assets: | ||||||||||||||||
| Common Stocks: | ||||||||||||||||
| Consumer Staples | $ | 1,105 | $ | – | $ | – | $ | 1,105 | ||||||||
| Energy | 3,867 | 188 | – | 4,055 | ||||||||||||
| Financials | 6,918 | 4,951 | – | 11,869 | ||||||||||||
| Industrials | 2,240 | – | – | 2,240 | ||||||||||||
| Materials | 2,893 | – | – | 2,893 | ||||||||||||
| Telecommunication Services | 1,643 | 1,705 | – | 3,348 | ||||||||||||
| Utilities | 4,112 | – | – | 4,112 | ||||||||||||
| Preferred Stocks | 1,728 | – | – | 1,728 | ||||||||||||
| Exchange Traded Funds | 215 | – | – | 215 | ||||||||||||
| Total | $ | 24,721 | $ | 6,844 | $ | – | $ | 31,565 | ||||||||
| Zacks Country Rotation | ||||||||||||||||
| Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| (value in $000s) | ||||||||||||||||
| Assets: | ||||||||||||||||
| Common Stocks | $ | 2,820 | $ | – | $ | – | $ | 2,820 | ||||||||
| Exchange-Traded Funds | 45 | – | – | 45 | ||||||||||||
| Rights | – | 1 | – | 1 | ||||||||||||
| Warrants | – | – | – | – | ||||||||||||
| Total | $ | 2,865 | $ | 1 | $ | – | $ | 2,866 | ||||||||
| Zacks International Multi-Asset Income | ||||||||||||||||
| Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| (value in $000s) | ||||||||||||||||
| Assets: | ||||||||||||||||
| Common Stocks | $ | 44,139 | $ | – | $ | – | $ | 44,139 | ||||||||
| Preferred Stocks | 244 | – | – | 244 | ||||||||||||
| Income Trusts | 4,559 | – | – | 4,559 | ||||||||||||
| Closed End Funds | 5,323 | – | – | 5,323 | ||||||||||||
| Rights | 30 | 20 | – | 50 | ||||||||||||
| Total | $ | 54,295 | $ | 20 | $ | – | $ | 54,315 | ||||||||
All securities held by Beacon Global Timber, Robb Report Global Luxury and SWM Canadian Energy Income were valued using quoted prices in active markets (Level 1).
| Level 3 | Beginning | Total | Change in | Net | Net | Ending | |||||||
| Holdings | Balance | Realized | Unrealized | Purchases | Transfers | Balance | |||||||
| (Value in $000’s) | At 5/31/09 | Gain/Loss | Gain/Loss | and Sales | In/Out | At 5/31/10 | |||||||
| AlphaShares China Small Cap | $ –* | $(254) | $254 | $ – | $ – | $ – |
*At 5/31/09, this security was fair valued. During the year the company was deemed insolvent and the security was delisted. The Fund wrote-off its investment in this security.
66 | Annual Report | May 31, 2010
(b) Investment Transactions and Investment Income
Investment transactions are accounted for on the trade date. Realized gains and losses on investments are determined on the identified cost basis. Dividend income is recorded net of applicable withholding taxes on the ex-dividend date and interest income is recorded on an accrual basis. Discounts or premiums on debt securities purchased are accreted or amortized to interest income over the lives of the respective securities using the effective interest method.
The Funds record the character of dividends received from master limited partnerships (“MLPs”) based on estimates made at the time such distributions are received. These estimates are based upon a historical review of information available from each MLP and other industry sources. The characterization of the estimates may subsequently be revised based on information received from MLPs after their tax reporting periods conclude.
REIT distributions received by a Fund are generally comprised of ordinary income, long-term and short-term capital gains and return of capital. The actual character of amounts received during the year are not known until after the fiscal year end. A Fund records the character of distributions received from REITs during the year based on historical information available. A Fund’s characterization may be subsequently revised based on information received from REITs after their tax reporting periods conclude.
(c) Currency Translation
Assets and liabilities denominated in foreign currencies are translated into U.S. dollars at the mean of the bid and asked price of respective exchange rates on the last day of the period. Purchases and sales of investments denominated in foreign currencies are translated at the exchange rate on the date of the transaction.
Foreign exchange gain or loss resulting from holding of a foreign currency, expiration of a currency exchange contract, difference in exchange rates between the trade date and settlement date of an investment purchased or sold, and the difference between dividends actually received compared to the amount shown in a Fund’s accounting records on the date of receipt are included as net realized gains or losses on foreign currency transactions in the Fund’s Statement of Operations.
Foreign exchange gain or loss on assets and liabilities, other than investments, are included in unrealized appreciation/(depreciation) on foreign currency translations.
(d) Distributions
The Funds intend to pay substantially all of their net investment income to Shareholders through annual distributions, except for SWM Canadian Energy Income and Zacks International Multi-Asset Income which will pay a quarterly distribution. In addition, the Funds intend to distribute any capital gains to Shareholders as capital gain dividends at least annually. The amount and timing of distributions are determined in accordance with federal income tax regulations, which may differ from GAAP.
(e) Securities Lending
Each Fund may lend portfolio securities to certain creditworthy borrowers, including the Funds’ securities lending agent. The loans are collateralized at all times by cash and/or high grade debt obligations in an amount at least equal to 102% of the market value of domestic securities loaned and 105% of foreign securities loaned as determined at the close of business on the preceding business day. Each Fund receives compensation for lending securities from interest or dividends earned on the cash, cash equivalents or U.S. government securities held as collateral, net of fee rebates paid to the borrower plus reasonable administrative and custody fees. 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. The Funds retain all or a portion of the interest received on investment of cash collateral or receives a fee from the borrower.
Lending portfolio securities could result in a loss or delay in recovering each Fund’s securities if the borrower defaults. The securities lending income earned by the Funds is disclosed on the Statement of Operations. The Funds did not participate in securities lending during the fiscal year ended May 31, 2010.
Note 3 – Investment Advisory Agreement, Sub-Advisory Agreement and Other Agreements:
Pursuant to an Investment Advisory Agreement (the “Agreement”) between the Trust, on behalf of each Fund, and Claymore Advisors, LLC (the “Adviser”),the Adviser manages the investment and reinvestment of each Fund’s assets and administers the affairs of each Fund to the extent requested by the Board of Trustees.
Pursuant to the Agreement, each Fund pays the Adviser an advisory fee payable on a monthly basis at the annual rate set forth below based on each Fund’s average daily net assets:
| Fund | Rate | |||
| AlphaShares China Real Estate | 0.50 | % | ||
| AlphaShares China Small Cap | 0.55 | % | ||
| Beacon Global Exchanges, Brokers & Asset Managers | 0.50 | % | ||
| Beacon Global Timber | 0.50 | % | ||
| BNY Mellon Frontier Markets | 0.50 | % | ||
| Robb Report Global Luxury | 0.50 | % | ||
| SWM Canadian Energy Income | 0.50 | % | ||
| Zacks Country Rotation | 0.50 | % | ||
| Zacks International Multi-Asset Income | 0.50 | % | ||
On October 15, 2009, Guggenheim Partners LLC, (“Guggenheim”), a global diversified financial services firm, and Claymore Group Inc., parent of each Fund’s Adviser, announced the completion of a previously announced merger. The transaction closed on October 14, 2009 (the “Effective Date”), whereby GuggClay Acquisition, Inc. merged into Claymore Group Inc. the surviving entity. This transaction resulted in a change-of-control whereby Claymore Group Inc. and its subsidiaries, including the Adviser, became indirect, wholly-owned subsidiaries of Guggenheim. The transaction has not affected the daily operations of the Funds or the investment management activities of the Adviser.
Under the 1940 Act, the consummation of this transaction resulted in the automatic termination of the Advisory Agreement. Accordingly, on September 28, 2009, the Board of Trustees approved an interim investment advisory agreement between the Trust and the Adviser (the “Interim Advisory Agreement”).
With respect to Robb Report Global Luxury, the term of the Interim Advisory Agreement was extended until the earlier of (a) April 27, 2010 or (b) the approval of a new investment advisory agreement by the shareholders of the Fund. The terms and conditions of the Interim Advisory Agreement continued in effect through April 27, 2010 without change, except that the Adviser did not receive any compensation or reimbursement of its costs for services provided to the Fund under the Interim Advisory Agreement during this extension period.
On September 28, 2009, the Board of Trustees approved a new investment advisory agreement between each Fund and the Adviser (the “New Advisory Agreement”) and recommended that each New Advisory Agreement be submitted to the shareholders of each Fund for their approval. Each New Advisory Agreement will have an initial term of one year. On January 12, 2010, shareholders of the Beacon Global Timber and Zacks Country Rotation approved the New Advisory Agreement on behalf of the Fund. On February 2, 2010, shareholders of AlphaShares China Real Estate, BNY Mellon Frontier Markets, and Zacks International Multi-Asset Income approved the New Advisory Agreement on behalf of such Fund. On February 18, 2010, shareholders of the SWM Canadian Energy Income and Beacon Global Exchanges, Broker & Asset Managers approved the New Advisory Agreement on behalf of such Fund. On March 2, 2010,
Annual Report | May 31, 2010 | 67
shareholders of AlphaShares China Small Cap approved the New Advisory Agreement on behalf of the Fund. On April 14, 2010, shareholders of Robb Report Global Luxury approved the New Advisory Agreement on behalf of the Fund. Thereafter, each New Advisory Agreement will continue in effect only if its continuance is approved by the Board of Trustees. Other than effective dates, there are no material differences between the terms of each New Advisory Agreement and those of each Advisory Agreement.
Under a separate Fund Administration agreement, Claymore Advisors, LLC provides Fund Administration services to the Funds. Claymore Advisors, LLC receives a fund administration fee payable monthly at the annual rate set forth below as a percentage of the average daily net assets of each Fund:
| Net Assets | Rate | |||
| First $200,000,000 | 0.0275 | % | ||
| Next $300,000,000 | 0.0200 | % | ||
| Next $500,000,000 | 0.0150 | % | ||
| Over $1,000,000,000 | 0.0100 | % | ||
For the year ended May 31, 2010, each Fund recognized Fund Administration expenses and waived Fund Administration expenses as follows:
| Fund Administration | Fund Administration | |||||||
| Expense | Expense Waived | |||||||
| AlphaShares China Real Estate | $ | 19,172 | $ | – | ||||
| AlphaShares China Small Cap | 64,415 | – | ||||||
| Beacon Global Exchanges, Brokers & Asset Managers | 873 | 873 | ||||||
| Beacon Global Timber | 25,307 | – | ||||||
| BNY Mellon Frontier Markets | 6,921 | – | ||||||
| Robb Report Global Luxury | 2,215 | 2,215 | ||||||
| SWM Canadian Energy Income | 17,533 | – | ||||||
| Zacks Country Rotation | 1,685 | 1,685 | ||||||
| Zacks International Multi-Asset Income | 10,845 | – | ||||||
The Bank of New York Mellon (“BNY”) acts as the Funds’ custodian, accounting agent and transfer agent. As custodian, BNY is responsible for the custody of the Funds’ assets. As accounting agent, BNY is responsible for maintaining the books and records of the Funds. As transfer agent, BNY is responsible for performing transfer agency services for the Funds.
The Funds’ Adviser has contractually agreed to waive fees and/or pay Fund expenses to the extent necessary to prevent the operating expenses of each Fund (excluding interest expense, a portion of the Fund’s licensing fees, offering costs, brokerage commissions and other trading expenses, taxes and extraordinary expenses such as litigation and other expenses not incurred in the ordinary course of the Fund’s business) from exceeding the following percentages of average net assets per year, at least until December 31, 2012:
| Fund | Rate | |||
| AlphaShares China Real Estate | 0.65 | % | ||
| AlphaShares China Small Cap | 0.70 | % | ||
| Beacon Global Exchanges, Brokers & Asset Managers | 0.65 | % | ||
| Beacon Global Timber | 0.65 | % | ||
| BNY Mellon Frontier Markets | 0.65 | % | ||
| Robb Report Global Luxury | 0.70 | % | ||
| SWM Canadian Energy Income | 0.65 | % | ||
| Zacks Country Rotation | 0.65 | % | ||
| Zacks International Multi-Asset Income | 0.65 | % | ||
The Trust and the Adviser have entered into an Expense Reimbursement Agreement in which for a period of five years subsequent to each Fund’s commencement of operations, the Adviser may recover from the Fund fees and expenses waived or reimbursed during the prior three years if the Fund’s expense ratio, including the recovered expenses, falls below the expense cap.
For the year ended May 31, 2010, the Adviser waived fees and assumed the following fees and expenses:
| Potentially Recoverable | ||||||||||||||||||||||||
| Expenses Expiring May 31, | ||||||||||||||||||||||||
| Advisory | ||||||||||||||||||||||||
| Fees | Expenses | |||||||||||||||||||||||
| Waived | Assumed | 2011 | 2012 | 2013 | Total | |||||||||||||||||||
| AlphaShares China Real Estate | $ | 153,613 | $ | – | $ | 70,959 | $ | 198,366 | $ | 153,613 | $ | 422,938 | ||||||||||||
| AlphaShares China Small Cap | 421,560 | – | 60,641 | 160,181 | 421,560 | 642,382 | ||||||||||||||||||
| Beacon Global Exchanges, Brokers & Asset Managers | 15,872 | 105,004 | 121,096 | 143,860 | 120,876 | 385,832 | ||||||||||||||||||
| Beacon Global Timber | 148,408 | – | 89,294 | 129,172 | 148,408 | 366,874 | ||||||||||||||||||
| BNY Mellon Frontier Markets | 101,101 | – | – | 150,912 | 101,101 | 252,013 | ||||||||||||||||||
| Robb Report Global Luxury | 40,272 | 153,874 | 175,921 | 204,569 | 194,146 | 574,636 | ||||||||||||||||||
| SWM Canadian Energy Income | 119,621 | – | 105,078 | 135,980 | 119,621 | 360,679 | ||||||||||||||||||
| Zacks Country Rotation | 30,646 | 127,911 | 107,912 | 145,273 | 158,557 | 411,742 | ||||||||||||||||||
| Zacks International Multi-Asset Income | 133,566 | – | 124,233 | 132,947 | 133,566 | 390,746 | ||||||||||||||||||
Certain officers and/or trustees of the Trust are officers and/or directors of the Adviser. The Trust does not compensate its officers and /or trustees who are officers or directors of the Adviser.
68 | Annual Report | May 31, 2010
Licensing Fee Agreements:
The Adviser has entered into licensing agreements on behalf of each Fund with the following Licensors:
| Fund | Licensor |
| AlphaShares China Real Estate | AlphaShares LLC |
| AlphaShares China Small Cap | AlphaShares LLC |
| Beacon Global Exchanges, Brokers & Asset Managers | Beacon Indexes LLC |
| Beacon Global Timber | Beacon Indexes LLC |
| BNY Frontier Markets | The Bank of New York Mellon |
| Robb Report Global Luxury | CurtCo Robb Media, LLC, Publisher of Robb Report Magazine |
| SWM Canadian Energy Income | Sustainable Wealth Management, Ltd. |
| Zacks Country Rotation | Zacks Investment Research, Inc. |
| Zacks International Multi-Asset Income | Zacks Investment Research, Inc. |
The above trademarks are trademarks owned by the respective Licensors. These trademarks have been licensed to the Adviser for use for certain purposes with the Funds. The Funds are not sponsored, endorsed, sold or promoted by the Licensors and the Licensors make no representation regarding the advisability of investing in shares of the Funds. Up to 5 basis points of licensing fees are excluded from the expense cap.
Note 4 – Federal Income Taxes:
The Funds intend to comply with the requirements of Subchapter M of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies. Accordingly, no provision for U.S. federal income taxes is required. In addition, by distributing substantially all of its ordinary income and long-term capital gains, if any, during each calendar year, the Funds intend not to be subject to U.S. federal excise tax.
At May 31, 2010, the cost of investments, accumulated unrealized appreciation/depreciation on investments, excluding foreign currency, for federal income tax purposes were as follows:
| Net Tax | ||||||||||||||||||||
| Unrealized | ||||||||||||||||||||
| Cost of | Gross | Gross | Net Tax | Appreciation | ||||||||||||||||
| Investments | Tax | Tax | Unrealized | (Depreciation) | ||||||||||||||||
| for Tax | Unrealized | Unrealized | Appreciation | on Foreign | ||||||||||||||||
| Purposes | Appreciation | Depreciation | (Depreciation) | Currency | ||||||||||||||||
| AlphaShares China | ||||||||||||||||||||
| Real Estate | $ | 51,155,953 | $ | 707,045 | $ | (6,707,253 | ) | $ | (6,000,208 | ) | $ | (549 | ) | |||||||
| AlphaShares China | ||||||||||||||||||||
| Small Cap | 314,689,603 | 12,782,129 | (37,909,749 | ) | (25,127,620 | ) | (2,722 | ) | ||||||||||||
| Beacon Global Exchanges, | ||||||||||||||||||||
| Brokers & Asset Managers | 5,001,894 | 38,044 | (2,147,383 | ) | (2,109,339 | ) | (187 | ) | ||||||||||||
| Beacon Global Timber | 116,392,208 | 3,518,865 | (7,541,740 | ) | (4,022,875 | ) | 967 | |||||||||||||
| BNY Mellon Frontier Markets | 31,142,973 | 3,415,391 | (2,993,519 | ) | 421,872 | — | ||||||||||||||
| Robb Report Global Luxury | 17,218,706 | 113,333 | (2,067,328 | ) | (1,953,995 | ) | (666 | ) | ||||||||||||
| SWM Canadian | ||||||||||||||||||||
| Energy Income | 64,665,191 | 11,708,563 | (1,839,023 | ) | 9,869,540 | 798 | ||||||||||||||
| Zacks Country Rotation | 3,223,205 | 133,320 | (490,447 | ) | (357,127 | ) | (1,075 | ) | ||||||||||||
| Zacks International | ||||||||||||||||||||
| Multi-Asset Income | 57,847,594 | 1,187,129 | (4,719,370 | ) | (3,532,241 | ) | (5,933 | ) | ||||||||||||
| Undistributed Ordinary | Undistributed Long-Term | |||||||
| Income/(Accumulated | Gains/(Accumulated | |||||||
| Ordinary Loss) | Capital & Other Loss) | |||||||
| AlphaShares China Real Estate | $ | (460,140 | ) | $ | (14,547,535 | ) | ||
| AlphaShares China Small Cap | 4,197,040 | (8,605,208 | ) | |||||
| Beacon Global Exchanges, Brokers | ||||||||
| & Asset Managers | 5,133 | (6,526,033 | ) | |||||
| Beacon Global Timber | 705,154 | (22,128,323 | ) | |||||
| BNY Mellon Frontier Markets | 453,043 | (4,177,251 | ) | |||||
| Robb Report Global Luxury | 66,009 | (1,654,192 | ) | |||||
| SWM Canadian Energy Income | (189,452 | ) | (17,021,200 | ) | ||||
| Zacks Country Rotation | 48,412 | (4,127,165 | ) | |||||
| Zacks International Multi-Asset Income | 115,017 | (7,411,550 | ) | |||||
Distributions to Shareholders:
The tax character of distributions paid during the year ended May 31, 2010 was as follows:
| Distributions paid from | ||||
| Ordinary Income | ||||
| AlphaShares China Real Estate | $ | 2,895,600 | ||
| AlphaShares China Small Cap | 384,000 | |||
| Beacon Global Exchanges, Brokers & Asset Managers | 84,000 | |||
| Beacon Global Timber | 264,600 | |||
| BNY Mellon Frontier Markets | 582,160 | |||
| Robb Report Global Luxury | 55,200 | |||
| SWM Canadian Energy Income | 2,279,600 | |||
| Zacks Country Rotation | 153,600 | |||
| Zacks International Multi-Asset Income | 1,403,200 | |||
The tax character of distributions paid during the year ended May 31, 2009 was as follows:
| Distributions paid | ||||
| from Ordinary Income | ||||
| AlphaShares China Real Estate | $ | 566,840 | ||
| AlphaShares China Small Cap | 144,400 | |||
| Beacon Global Exchanges, Brokers & Asset Managers | 320,160 | |||
| Beacon Global Timber | 995,520 | |||
| BNY Mellon Frontier Markets | 85,440 | |||
| Robb Report Global Luxury | 92,160 | |||
| SWM Canadian Energy Income | 1,686,160 | |||
| Zacks Country Rotation | 240,000 | |||
| Zacks International Multi-Asset Income | 633,473 | |||
| Distributions paid from | ||||
| Return of capital | ||||
| Zacks International Multi-Asset Income | $ | 65,127 | ||
At May 31, 2010, for Federal income tax purposes, the Funds have capital loss carryforwards available as shown in the table below, to the extent provided by the regulations, to offset future capital gains through the years indicated. To the extent that these loss carryforwards are used to offset future capital gains, it is probable that the capital gains so offset will not be distributed to shareholders.
Annual Report | May 31, 2010 | 69
| Capital Loss | Capital Loss | Capital Loss | ||||||||||||||
| Available | Available | Available | ||||||||||||||
| Through 2016 | Through 2017 | Through 2018 | Total | |||||||||||||
| AlphaShares China | ||||||||||||||||
| Real Estate | $ | – | $ | 563,033 | $ | 7,324,066 | $ | 7,887,099 | ||||||||
| AlphaShares China | ||||||||||||||||
| Small Cap | – | 212,550 | 8,054,336 | 8,266,886 | ||||||||||||
| Beacon Global Exchanges, | ||||||||||||||||
| Brokers & | ||||||||||||||||
| Asset Managers | 735 | 4,028,500 | 2,382,742 | 6,411,977 | ||||||||||||
| Beacon Global Timber | – | 3,823,203 | 18,282,954 | 22,106,157 | ||||||||||||
| BNY Mellon | ||||||||||||||||
| Frontier Markets | – | 241,589 | 3,686,218 | 3,927,807 | ||||||||||||
| Robb Report | ||||||||||||||||
| Global Luxury | 432 | 709,898 | 488,203 | 1,198,533 | ||||||||||||
| SWM Canadian | ||||||||||||||||
| Energy Income | – | 3,706,876 | 12,869,693 | 16,576,569 | ||||||||||||
| Zacks Country Rotation | – | 507,192 | 3,405,609 | 3,912,801 | ||||||||||||
| Zacks International | ||||||||||||||||
| Multi-Asset Income | 434,730 | 2,191,498 | 4,095,993 | 6,722,221 | ||||||||||||
Capital and foreign currency losses incurred after October 31 (“post-October losses”) within the taxable year are deemed to arise on the first business day of each Fund’s next taxable year. During the year ended May 31, 2010, the following Funds incurred and will elect to defer net capital and currency losses as follows:
| Post-October | ||||||||
| Post-October | Foreign Currency | |||||||
| Capital Losses | and PFIC Losses | |||||||
| AlphaShares China Real Estate | $ | 6,660,436 | $ | 760,222 | ||||
| AlphaShares China Small Cap | 338,322 | – | ||||||
| Beacon Global Exchanges, Brokers & Asset Managers | 114,056 | 8,069 | ||||||
| Beacon Global Timber | 22,166 | 44,878 | ||||||
| BNY Mellon Frontier Markets | 249,444 | – | ||||||
| Robb Report Global Luxury | 455,659 | 1,319 | ||||||
| SWM Canadian Energy Income | 444,631 | 452,572 | ||||||
| Zacks Country Rotation | 214,364 | 37,876 | ||||||
| Zacks International Multi-Asset Income | 689,329 | 149,661 | ||||||
At May 31, 2010 the following reclassifications were made to the capital accounts of the Funds, to reflect permanent book/tax differences and income and gains available for distributions under income tax regulations, which are primarily due to the inherent differences between book and tax treatment of investment in real estate investment trusts, investments in partnerships, wash sales from redemption in-kind transactions, return of capital, and net investment losses. Net investment income, net realized gains and net assets were not affected by these changes.
| Undistributed | ||||||||||||
| Net | Accumulated | |||||||||||
| Investment | Net Realized | |||||||||||
| Income/(Loss) | Gain/(Loss) | Paid In Capital | ||||||||||
| AlphaShares China Real Estate | $ | 538,118 | $ | (8,724,675 | ) | $ | 8,186,557 | |||||
| AlphaShares China Small Cap | 85,683 | (45,355,396 | ) | 45,269,713 | ||||||||
| Beacon Global Exchanges, Brokers & | ||||||||||||
| Asset Managers | 9,026 | (8,800 | ) | (226 | ) | |||||||
| Beacon Global Timber | (595,449 | ) | (15,178,632 | ) | 15,774,081 | |||||||
| BNY Mellon Frontier Markets | – | – | – | |||||||||
| Robb Report Global Luxury | (2,127 | ) | 2,127 | – | ||||||||
| SWM Canadian Energy Income | (236,750 | ) | (2,105,466 | ) | 2,342,216 | |||||||
| Zacks Country Rotation | (7,755 | ) | (402,638 | ) | 410,393 | |||||||
| Zacks International Multi-Asset Income | (170,349 | ) | (7,006,165 | ) | 7,176,514 | |||||||
For all open tax years and all major jurisdictions, management of the Trust has concluded that there are no significant uncertain tax positions that would require recognition in the financial statements. Open tax years are those that are open for examination by taxing authorities (i.e. generally the last four tax year ends and the interim tax period since then). Furthermore, management of the Trust is also not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.
Note 5 – Investment Transactions:
For the year ended May 31, 2010, the cost of investments purchased and proceeds from sales of investments, excluding short-term investments and in-kind transactions, were as follows:
| Purchases | Sales | |||||||
| AlphaShares China Real Estate | $ | 10,291,078 | $ | 12,213,448 | ||||
| AlphaShares China Small Cap | 113,824,297 | 113,313,400 | ||||||
| Beacon Global Exchanges, Brokers & Asset Managers | 984,796 | 1,049,798 | ||||||
| Beacon Global Timber | 36,048,599 | 35,071,522 | ||||||
| BNY Mellon Frontier Markets | 6,452,238 | 6,161,735 | ||||||
| Robb Report Global Luxury | 1,364,792 | 1,311,183 | ||||||
| SWM Canadian Energy Income | 36,351,765 | 36,830,619 | ||||||
| Zacks Country Rotation | 3,798,785 | 3,816,341 | ||||||
| Zacks International Multi-Asset Income | 16,406,484 | 16,492,019 | ||||||
| For the year ended May 31, 2010, in-kind transactions were as follows: | ||||||||
| Purchases | Sales | |||||||
| AlphaShares China Real Estate | $ | 49,810,025 | $ | 38,792,569 | ||||
| AlphaShares China Small Cap | 416,914,614 | 196,470,032 | ||||||
| Beacon Global Exchanges, Brokers & Asset Managers | – | – | ||||||
| Beacon Global Timber | 109,515,481 | 52,143,677 | ||||||
| BNY Mellon Frontier Markets | 13,020,958 | – | ||||||
| Delta Global Shipping | 68,818,059 | 26,563,828 | ||||||
| Robb Report Global Luxury | 10,286,235 | – | ||||||
| SWM Canadian Energy Income | 34,970,722 | 5,987,984 | ||||||
| Zacks Country Rotation | 3,435,560 | 6,582,356 | ||||||
| Zacks International Multi-Asset Income | 64,874,934 | 25,458,665 | ||||||
70 | Annual Report | May 31, 2010
Claymore Exchange-Traded Fund Trust 2 | Notes to Financial Statements continued
Note 6 – Capital:
Shares are issued and redeemed by the Funds only in Creation Unit size aggregations of 80,000 to 200,000 shares. Such transactions are only permitted on an in-kind basis, with separate cash payment, which is balancing each component to equate the transaction to the net asset value per shares of the Fund on the transaction date. Creation or Redemption transaction fees ranging from $1,000 to $7,000 are charged to those persons creating or redeeming Creation Units. An additional charge of up to four times the Creation or Redemption Transaction Fee may be imposed with respect to transactions effected outside of the Clearing Process or to the extent that cash is used in lieu of securities to purchase Creation Units or redeem for cash.
Note 7 – Distribution Agreement:
The Board of Trustees of the Trust has adopted a distribution and services plan (the “Plan”) pursuant to Rule 12b-1 under the 1940 Act. Under the Plan, each Fund is authorized to pay distribution fees in connection with the sale and distribution of its shares and pay service fees in connection with the provision of ongoing services to shareholders of each class and the maintenance of shareholder accounts in an amount up to 0.25% of its average daily net assets each year. No 12b-1 fees are currently paid by the Funds, and there are no current plans to impose these fees. No such fee may be paid in the future without further approval by the Board of Trustees.
Note 8 – Indemnifications:
In the normal course of business, the Funds enter into contracts that contain a variety of representations, which provide general indemnifications. Each Fund’s maximum exposure under these arrangements is unknown, as this would require future claims that may be made against a Fund that have not yet occurred. However, the Funds expect the risk of loss to be remote.
Note 9 – Recent Accounting Pronouncements:
On January 21, 2010, the FASB issued an ASU, Fair Value Measurements and Disclosures (Topic 820): Improving Disclosures about Fair Value Measurements which provides guidance on how investment assets and liabilities are to be valued and disclosed. Specifically, the amendment requires reporting entities to disclose i) the input and valuation techniques used to measure fair value for both recurring and nonrecurring fair value measurements, for Level 2 or Level 3 positions ii) transfers between all levels (including Level 1 and Level 2) on a gross basis (i.e. transfers out must be disclosed separately from transfers in) as well as the reason(s) for the transfer and iii) purchases, sales, issuances and settlements on a gross basis in the Level 3 rollforward rather than as one net number. The effective date of the amendment is for interim and annual periods beginning after December 15, 2009 however, the requirement to provide the Level 3 activity for purchases, sales, issuances and settlements on a gross basis will be effective for interim and annual periods beginning after December 15, 2010. At this time the Fund is evaluating the implications of the amendment to ASC820 and the impact to the financial statements.
Note 10 – Subsequent Event:
Subsequent to May 31, 2010, the Board of Trustees declared the following dividends payable on June 30, 2010 to shareholders of record on June 28, 2010. The dividend rates per common share were as follows:
| Fund | Rate | |||
| SWM Canadian Energy Income | $ | 0.113 | ||
| Zacks International Multi-Asset Income | $ | 0.201 | ||
Annual Report | May 31, 2010 |71
Report of Independent Registered Public Accounting Firm |
The Board of Trustees and Shareholders of
Claymore Exchange-Traded Fund Trust 2
We have audited the accompanying statements of assets and liabilities of Claymore/AlphaShares China Real Estate ETF, Claymore/AlphaShares China Small Cap Index ETF, Claymore/Beacon Global Exchanges, Brokers & Asset Managers Index ETF, Claymore/Beacon Global Timber Index ETF, Claymore/BNY Mellon Frontier Markets ETF, Claymore/Robb Report Global Luxury Index ETF, Claymore/SWM Canadian Energy Income Index ETF, Claymore/Zacks Country Rotation ETF, and Claymore/Zacks International Multi-Asset Income Index ETF, (nine of the portfolios constituting the Claymore Exchange-Traded Fund Trust 2) (collectively the Funds), comprising the Claymore Exchange –Traded Fund Trust 2, including the portfolios of investments, as of May 31, 2010, and the related statements of operations for the year then ended, and the statements of changes in net assets and financials highlights for the 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 May 31, 2010, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. 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, financial position of each of the respective nine Funds comprising the Claymore Exchange-Traded Fund Trust 2 at May 31, 2010, and the results of their operations for the year then ended, and the changes in their net assets and financial highlights for the periods indicated therein, in conformity with U.S. generally accepted accounting principles.
Chicago, Illinois
July 28, 2010
72 | Annual Report | May 31, 2010
Supplemental Information | (unaudited)
Federal Income Tax Information
The Trust intends to designate the maximum amount of dividends that qualify for the reduced tax rate pursuant to the Jobs and Growth Tax Relief Reconciliation Act of 2003.
In January 2011, 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 2010.
Beacon Global Timber intends to designate $133,082 of foreign tax withholding on foreign source income of $1,214,146.
BNY Mellon Frontier Markets intends to designate $164,210 of foreign tax withholding on foreign source income of $1,113,133.
SWM Canadian Energy Income intends to designate $403,574 of foreign tax withholding on foreign source income of $2,690,363.
Zacks Country Rotation intends to designate $14,323 of foreign tax withholding on foreign source income of $190,236.
Zacks International Multi-Asset Income intends to designate $167,668 of foreign tax withholding on foreign source income of $1,594,152.
The Trust’s investment income (dividend income plus short-term gains, if any) qualifies as follows:
| Qualified dividend | Dividends-received | |||||||
| income | deduction | |||||||
| AlphaShares China Real Estate | 0.18 | % | 0.00 | % | ||||
| AlphaShares China Small Cap | 19.99 | % | 0.00 | % | ||||
| Beacon Global Exchanges, Brokers & Asset Managers | 100.00 | % | 62.60 | % | ||||
| Beacon Global Timber | 100.00 | % | 33.77 | % | ||||
| BNY Mellon Frontier Markets | 100.00 | % | 0.00 | % | ||||
| Robb Report Global Luxury | 100.00 | % | 33.65 | % | ||||
| SWM Canadian Energy Income | 100.00 | % | 0.00 | % | ||||
| Zacks Country Rotation | 92.85 | % | 0.00 | % | ||||
| Zacks International Multi-Asset Income | 96.42 | % | 4.18 | % | ||||
| Trustees | |||||
| The Trustees of the Claymore Exchange-Traded Fund Trust 2 and their principal business occupations during the past five years: | |||||
| Name, Address*, Year | Term of Office** | Principal Occupations during | Number of Funds in | ||
| of Birth and Position(s) | and Length of | the Past Five Years and | the Fund Complex*** | Other Directorships | |
| held with Registrant | Time Served | Other Affiliations | Overseen by Trustee | Held by Trustee | |
| Independent Trustees: | |||||
Randall C. Barnes Year of Birth: 1951 Trustee | Since 2006 | Private Investor (2001-present). Formerly, Senior Vice President & Treasurer, PepsiCo, Inc. (1993-1997), President, Pizza Hut International (1991-1993) and Senior Vice President, Strategic Planning and New Business Development (1987-1990) of PepsiCo, Inc. (1987-1997). | 43 | None | |
Ronald A. Nyberg Year of Birth: 1953 Trustee | Since 2006 | Partner of Nyberg & Cassioppi, LLC, a law firm specializing in corporate law, estate planning and business transactions (2000-present). Formerly, Executive Vice President, General Counsel and Corporate Secretary of Van Kampen Investments (1982-1999). | 46 | None | |
Ronald E. Toupin, Jr. Year of Birth: 1958 Trustee | Since 2006 | Retired. Formerly, Vice President, Manager and Portfolio Manager of Nuveen Asset Management (1998-1999), Vice President of Nuveen Investment Advisory Corp. (1992-1999), Vice President and Manager of Nuveen Unit Investment Trusts (1991-1999), and Assistant Vice President and Portfolio Manager of Nuveen Unit Investment Trusts (1988-1999), each of John Nuveen & Co., Inc. (1982-1999). | 43 | None | |
| * | Address for all Trustees unless otherwise noted: 2455 Corporate West Drive, Lisle, IL 60532 |
| ** | This is the period for which the Trustee began serving the Trust. Each Trustee is expected to serve an indefinite term, until his successor is elected. |
| *** | The Claymore Fund Complex consists of U.S. registered investment companies advised or serviced by Claymore Advisors, LLC or Claymore Securities, Inc. The Claymore Fund Complex is overseen by multiple Boards of Trustees. |
Annual Report | May 31, 2010 |73
Officers
The Officers of the Trust and their principal occupations during the past five years:
| Name, Address*, Year of Birth and | Term of Office** and | Principal Occupations During the Past Five Years |
| Position(s) held with Registrant | Length of Time Served | and Other Affiliations |
| Officers: | ||
J. Thomas Futrell Year of Birth: 1955 Chief Executive Officer | Since 2008 | Senior Managing Director and Chief Investment Officer of Claymore Advisors, LLC and Claymore Securities, Inc. Chief Executive Officer of certain other funds in the Fund Complex (2008-present). Formerly, Managing Director of Research, Nuveen Asset Management (2000-2007). |
Steven M. Hill Year of Birth: 1964 Chief Accounting Officer, Chief Financial Officer and Treasurer | Since 2006 | Senior Managing Director of Claymore Advisors, LLC and Claymore Securities, Inc. (2005-present); Formerly, Chief Financial Officer of Claymore Group Inc. (2005-2006); Managing Director of Claymore Advisors, LLC and Claymore Securities, Inc. (2003-2005); Formerly, Treasurer of Henderson Global Funds and Operations Manager for Henderson Global Investors (NA) Inc., (2002-2003); Managing Director, FrontPoint Partners LLC (2001-2002); Vice President, Nuveen Investments (1999-2001). |
Kevin Robinson Year of Birth: 1959 Chief Legal Officer | Since 2008 | Senior Managing Director and General Counsel of Claymore Advisors, LLC, Claymore Securities, Inc. and Claymore Group, Inc. (2007-present). Chief Legal Officer of certain other funds in the Fund Complex. Formerly, Associate General Counsel and Assistant Corporate Secretary of NYSE Euronext, Inc. (2000-2007). |
Bruce Saxon Year of Birth: 1957 Chief Compliance Officer | Since 2006 | Vice President, Fund Compliance Officer of Claymore Group Inc. (2006-present). Formerly, Chief Compliance Officer/Assistant Secretary of Harris Investment Management, Inc. (2003-2006). Director-Compliance of Harrisdirect LLC (1999-2003). |
Melissa J. Nguyen Year of Birth: 1978 Secretary | Since 2006 | Vice President, Assistant General Counsel of Claymore Group Inc. (2005-present). Secretary of certain funds in the Fund Complex. Formerly, Associate, Vedder Price, P.C. (2003-2005). |
William H. Belden, III Year of Birth: 1965 Vice President | Since 2006 | Managing Director of Claymore Advisors, LLC (2005-present). Formerly, Vice President of Product Management at Northern Trust Global Investments (1999-2005). |
David A. Botset Year of birth: 1974 Vice President | Since 2010 | Senior Vice President, Claymore Securities, Inc. from 2008 to present, formerly Vice President, Claymore Securities, Inc. (2007-2008); Assistant Vice President, Investment Development and Oversight, Nuveen Investments (2004 - 2007); Assistant Vice President Internal Sales and Service, Nuveen Investments. |
Chuck Craig Year of Birth: 1967 Vice President | Since 2006 | Managing Director (2006-present), Vice President (2003-2006) of Claymore Advisors, LLC. Formerly, Assistant Vice President, First Trust Portfolios, L.P. (1999-2003). |
| * | Address for all Officers: 2455 Corporate West Drive, Lisle, IL 60532 |
| ** | Officers serve at the pleasure of the Board of Trustees and until his or her successor is appointed and qualified or until his or her earlier resignation or removal. |
74 | Annual Report | May 31, 2010
Claymore Exchange-Traded Fund Trust 2
Board Considerations Regarding the Investment Advisory Agreement
Claymore Exchange-Traded Fund Trust and Claymore Exchange-Traded Fund Trust 2 (each a “Trust”)
At an in-person joint special meeting on March 12, 2010, the Boards of Trustees of the Trusts, including a majority of the trustees of each Trust who are not “interested persons” as defined by the Investment Company Act of 1940, as amended, determined that it would be in the best interests of the Remaining Funds1 and their shareholders for: (i) Claymore Advisors, LLC to continue to serve as investment adviser to each Remaining Fund pursuant to the terms and conditions of the Interim Advisory Agreements for an additional period after the expiration of the original 150-day period of the Interim Investment Advisory Agreement (the “Additional Period”), subject to certain additional terms and conditions as set forth below and in an SEC no-action letter, while continuing efforts to obtain a quorum for each Remaining Fund; (ii) Claymore Advisors to serve as investment adviser to each Remaining Fund pursuant to each New Advisory Agreement; and (iii) the shareholders of each Remaining Fund to approve such Fund’s New Advisory Agreement.
In reaching these determinations, the Board considered that:
(1) in September 2009 it had determined that it was in the best interests of the Funds and their shareholders for (a) Claymore Advisors to continue serving as investment adviser during the 150 day period after the automatic termination of the original advisory agreements (the “Interim Period”) in compliance with the requirements of Rule 15a-4 and (b) for the New Advisory Agreement to be approved by the shareholders, and that nothing had occurred since September 2009 which would cause the Board to reach a different conclusion with respect to either of these initial determinations;
(2) Claymore Advisors had undertaken extensive efforts to obtain a quorum for each Fund during the Interim Period and would be taking more extensive steps during the proposed Additional Period, in order to afford each Remaining Fund the best opportunity to obtain a quorum necessary for a vote on the approval of the New Advisory Agreement (which, as set forth above, the Board determined was in the best interests of the Remaining Funds and their shareholders);
(3) if it was not possible for Claymore Advisors to receive relief from the SEC or the SEC Staff regarding the proposed Additional Period and any Remaining Fund did not vote to approve the New Advisory Agreement by the original date that the Interim Advisory Agreements were scheduled to expire, which was Saturday, March 13, 2010 (the “Termination Date”), the only other practical option would be for such Remaining Fund to be liquidated immediately as (a) it would not be feasible for such Remaining Fund to continue to operate without an investment adviser2, and (b) any other advisory arrangements would themselves require shareholder approval which could not be obtained prior to the Termination Date;
(4) any such liquidation would likely be disorderly and not in the best interests of the Remaining Funds and their shareholders, as the Remaining Funds would be forced to quickly sell portfolio securities prematurely or otherwise at an inopportune time or under inopportune circumstances;
(5) while liquidation would still likely be the only feasible option with respect to any such Remaining Funds which did not obtain the necessary vote by the end of the proposed Additional Period, in such event the ensuing liquidation of such Remaining Funds could proceed in a more orderly fashion and thus would be less likely to be detrimental to shareholders; and
(6) an overwhelming majority of the votes received on behalf of the shareholders of each Remaining Fund were in favor of approval of the New Advisory Agreements.
The Board noted that Claymore Advisors had agreed to continue serving as investment adviser to the Remaining Funds during the Additional Period, subject to the following conditions:
| • | The Additional Period with respect to any Remaining Fund will not exceed the earlier of (a) the date on which such Remaining Fund obtains the votes necessary to achieve a quorum and holds a shareholder vote and (b) forty-five calendar days after the Termination Date. |
| • | Claymore Advisors will serve as investment adviser to the Remaining Funds during the Additional Period without any compensation or any reimbursement of its costs. |
| • | As set forth above, during the Additional Period, each Trust, upon the recommendation of its Board, will continue to seek the approval of the New Advisory Agreement by the shareholders of each Remaining Fund and Claymore Advisors, in conjunction with its proxy solicitor, will continue to undertake extensive efforts to obtain the votes necessary to achieve a quorum and hold a shareholder vote with respect to the New Advisory Agreements. |
| • | Other than changes to reflect the new termination date and the absence of any compensation or reimbursement of costs to Claymore Advisors for the Additional Period, the terms and conditions of the Interim Advisory Agreements will remain the same and in effect during the Additional Period. |
| • | Fund shareholders have not incurred any expenses associated with the transaction whereby Claymore Group and its subsidiaries became wholly-owned subsidiaries of Guggenheim Partners, LLC (the “Guggenheim Transaction”) or the New Advisory Agreements, including the solicitation of requisite shareholder approval of such agreements, and Claymore Advisors has borne all postage, printing, tabulation and proxy solicitation costs relating to the Guggenheim Transaction and the approval of the New Advisory Agreements, including all of the expenses associated with the preparation and filing of a proxy statement and other relevant filings with the Commission. During the Additional Period, Claymore Advisors will continue to bear all costs and expenses related to the Guggenheim Transaction and the New Advisory Agreements. |
1 The “Remaining Funds” are the following series of the Trusts which as of the close of business on March 10, 2010, had not obtained a quorum of votes: (a) Claymore/Raymond James SB-1 Equity ETF and Claymore/S&P Global Dividend Opportunity Index ETF, each a series of Claymore Exchange-Traded Fund Trust, and (b) Claymore/Delta Global Shipping Index ETF, Claymore/MAC Global Solar Energy Index ETF and Claymore/Robb Report Global Luxury Index ETF, each a series of Claymore Exchange-Traded Fund Trust 2.
2 As noted in the no-action letter request, there are certain daily functions that must be performed by an adviser of an index-based ETF aside from formal index rebalances, such as: (a) designating the identities and amounts of the portfolio securities in the daily creation and redemption baskets, (b) investing any cash that may come in as a result of a creation (such as in the case of a custom order) and processing any redemptions, (c) reflecting any minor adjustments to an index as a result of a corporate action, and (d) implementing a Fund’s valuation procedures in the event of a “significant event” or other issue relating to the valuation of a portfolio security.
Annual Report | May 31, 2010 |75
Trust Information |
Board of Trustees Randall C. Barnes Ronald A. Nyberg Ronald E. Toupin, Jr. | Officers J. Thomas Futrell Chief Executive Officer Steven M. Hill Chief Accounting Officer, Chief Financial Officer and Treasurer Kevin Robinson Chief Legal Officer Bruce Saxon Chief Compliance Officer Melissa J. Nguyen Secretary William H. Belden III Vice President David A. Botset Vice President Chuck Craig Vice President | Investment Adviser Claymore Advisors, LLC Lisle, IL Distributor Claymore Securities, Inc. Lisle, IL Administrator Claymore Advisors, LLC Lisle, IL Accounting Agent, Custodian and Transfer Agent The Bank of New York Mellon New York, NY Legal Counsel Dechert LLP New York, NY Independent Registered Public Accounting Firm Ernst & Young LLP Chicago, IL |
Privacy Principles of the Trust for Shareholders
The Funds are committed to maintaining the privacy of their shareholders and to safeguarding the non-public personal information. The following information is provided to help you understand what personal information the Funds collect, how we protect that information and why, in certain cases, we may share information with select other parties.
Generally, the Funds do not receive any non-public personal information relating to their shareholders, although certain non-public personal information of their shareholders may become available to the Funds. The Funds do not disclose any non-public personal information about their shareholders or former shareholders to anyone, except as permitted by law or as is necessary in order to service shareholder accounts (for example, to a transfer agent or third party administrator).
The Funds restrict access to non-public personal information about the shareholders to Claymore Advisors, LLC employees with a legitimate business need for the information. The Funds maintain physical, electronic and procedural safeguards designed to protect the non-public personal information of their shareholders.
Questions concerning your shares of the Trust?
• If your shares are held in a Brokerage Account, contact your Broker.
This report is sent to shareholders of the Funds for their information. It is not a Prospectus, circular or representation intended for use in the purchase or sale of shares of the Funds or of any securities mentioned in this report.
A description of the Funds’ proxy voting policies and procedures related to portfolio securities is available without charge, upon request, by calling the Funds at (888) 949-3837.
Information regarding how the Funds voted proxies for portfolio securities, if applicable, during the most recent 12-month period ended June 30, is also available, without charge and upon request by calling (888) 949-3837, visiting Claymore’s website at www.claymore.com or by accessing the Funds’ Form N-PX on the SEC’s website at www.sec.gov.
The Funds file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Funds’ Form N-Q is available on the SEC website at www.sec.gov or by visiting Claymore’s website at www.claymore.com. The Funds’ Form N-Q may also be viewed and copied at the SEC’s Public Reference Room in Washington, DC; information on the operation of the Public Reference Room may be obtained by calling (800) SEC-0330.
Claymore Exchange-Traded Fund Trust 2
About the Fund Manager |
Claymore Advisors, LLC
Claymore Advisors, LLC manages the investment and reinvestment of each Fund’s assets and administers the affairs of each Fund to the extent requested by the Board of Trustees. Claymore Advisors, LLC also acts as investment adviser to closed-end and open-end management investment companies. Claymore entities have provided supervision, management or servicing on approximately $15.2 billion in assets as of May 31, 2010. Claymore currently offers exchange-traded funds, closed-end funds, and unit investment trusts.
Portfolio Management
The portfolio managers who are currently responsible for the day-to-day management of the Fund’s portfolio are Chuck Craig, CFA, and Saroj Kanuri, CFA. Mr. Craig has managed the Fund’s portfolio since its inception, and Mr. Kanuri has managed the Fund’s portfolio since May 2010. Mr. Craig is a Managing Director, Portfolio Management and Supervision, of the Investment Adviser and Claymore Securities, Inc. and joined Claymore Securities, Inc. in May of 2003. Mr. Craig received a M.S. in Financial Markets from the Center for Law and Financial Markets at the Illinois Institute of Technology. He also earned a B.S. in Finance from Northern Illinois University.
Mr. Kanuri is a Vice President, ETF Portfolio Management, of the Investment Adviser and Claymore Securities, Inc. and joined Claymore Securities, Inc. in October of 2006. Prior to joining Claymore, Mr. Kanuri served as an analyst at Northern Trust Corporation from 2001-2006. Mr. Kanuri received a B.S. in Finance from the University of Illinois at Chicago.
Claymore Exchange-Traded Fund Trust 2 Overview
The Claymore Exchange-Traded Fund Trust 2 (the “Trust”) is an investment company consisting of 15 separate exchange-traded “index funds” as of May 31, 2010. The investment objective of each of the funds is to replicate as closely as possible, before fees and expenses, the performance of a specified market index.
This material must be preceded or accompanied by a prospectus for the fund being offered. The prospectus contains information about the fund including a discussion of investment objectives, risks, ongoing expenses and sales charges. If a prospectus did not accompany this report, you can obtain one from your financial adviser, from our website at http://www.claymore.com or by calling (888) 949-3837. Please read the prospectus carefully before investing. The Statement of Additional Information that includes additional information about the Trustees is also available, without charge, upon request via our website at http://www.claymore.com or by calling (888) 949-3837. All funds are subject to market risk and shares when sold may be worth more or less than their original cost. You can lose money investing in the funds.
| Claymore Securities, Inc. | NOT FDIC-INSURED | NOT BANK-GUARANTEED | MAY LOSE VALUE |
| 2455 Corporate West Drive | |
| Lisle, IL 60532 | |
| Member FINRA/SIPC |
ETFT-002-AR-0510
(07/10)
Item 2. Code of Ethics.
(a) The registrant has adopted a code of ethics that applies to its principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions (the "Code of Ethics").
(b) No information need be disclosed pursuant to this paragraph.
(c) The registrant has not amended its Code of Ethics during the period covered by the report presented in Item 1 hereto.
(d) The registrant has not granted a waiver or an implicit waiver to its principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions from a provision of its Code of Ethics during the period covered by this report.
(e) Not applicable.
(f) (1) The registrant's Code of Ethics is attached hereto as an exhibit.
(2) Not applicable.
(3) Not applicable.
Item 3. Audit Committee Financial Expert.
The registrant's Board of Trustees has determined that it has at least one audit committee financial expert serving on its audit committee, Ronald E. Toupin, Jr. Mr. Toupin is an “independent” Trustee as defined in Item 3 of Form N-CSR. Mr. Toupin qualifies as an audit committee financial expert by virtue of his experience obtained as a portfolio manager and research analyst, which included review and analysis of offering documents and audited and un-audited financial statements using GAAP to show accounting estimates, accruals and reserves.
(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 amended, 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. The designation or identification of a person as an audit committee financial expert does not affect the duties, obligations or liability of any other member of the audit committee or Board of Trustees.)
Item 4. Principal Accountant Fees and Services.
(a) Audit Fees: the aggregate fees billed for professional services rendered by the principal accountant for the audit of the registrant's annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements were $156,915 and $193,767 for the fiscal years ending May 31, 2010, and May 31, 2009, respectively.
(b) Audit-Related Fees: the aggregate fees billed for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph 4(a), including agreed upon procedures reports performed for rating agencies and the issuance of comfort letters, were $0 and $0 for the fiscal years ending May 31, 2010, and May 31, 2009, respectively.
Ernst & Young LLP did not bill fees for non-audit services that required preapproval by the Audit Committee pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X during the Registrant’s last two fiscal years.
(c) Tax Fees: the aggregate fees billed for professional services rendered by the principal accountant for tax compliance, tax advice and tax planning, including federal, state and local income tax return preparation and related advice and determination of taxable income and miscellaneous tax advice were $62,100 and $60,000 for the fiscal years ending May 31, 2010, and May 31, 2009, respectively.
Ernst & Young LLP did not bill fees for tax services that required preapproval by the Audit Committee pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X during the Registrant’s last two fiscal years.
(d) All Other Fees: the aggregate fees billed for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item were $0 and $0 for the fiscal years ending May 31, 2010, and May 31, 2009, respectively.
Ernst & Young LLP did not bill fees for services not included in Items 4(a), (b) or (c) above that required preapproval by the Audit Committee pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X during the Registrant’s last two fiscal years.
(e) Audit Committee Pre-Approval Policies and Procedures.
(i) The Audit Committee reviews, and in its sole discretion, pre-approves, pursuant to written pre-approval procedures (A) all engagements for audit and non-audit services to be provided by the principal accountant to the registrant and (B) all engagements for non-audit services to be provided by the principal accountant (1) to the registrant’s investment adviser (not including a sub-adviser whose role is primarily portfolio management and is sub-contracted or overseen by another investment adviser) and (2) to any entity controlling, controlled by or under common control with the registrant’s investment adviser that provides ongoing services to the registrant; but in the case of the services described in subsection (B)(1) or (2), only if the engagement relates directly to the operations and financial reporting of the registrant; provided that such pre-approval need not be obtained in circumstances in which the pre-approval requirement is waived under rules promulgated by the Securities and Exchange Commission or New York Stock Exchange listing standards. Sections IV.C.2 and IV.C.3 of the Audit Committee’s revised Audit Committee Charter contain the Audit Committee’s Pre-Approval Policies and Procedures and such sections are included below.
| IV.C.2 | Pre-approve any engagement of the independent auditors to provide any non-prohibited services to the Trust, including the fees and other compensation to be paid to the independent auditors (unless an exception is available under Rule 2-01 of Regulation S-X). |
| (a) | The Chairman or any member of the Audit Committee may grant the pre-approval of services to the Fund for non-prohibited services up to $10,000. All such delegated pre-approvals shall be presented to the Audit Committee no later than the next Audit Committee meeting. |
| IV.C.3 | Pre-approve any engagement of the independent auditors, including the fees and other compensation to be paid to the independent auditors, to provide any non-audit services to the Adviser (or any “control affiliate” of the Adviser providing ongoing services to the Trust), if the engagement relates directly to the operations and financial reporting of the Trust (unless an exception is available under Rule 2-01 of Regulation S-X). |
| (a) | The Chairman or any member of the Audit Committee may grant the pre-approval for non-audit services to the Adviser up to $10,000. All such delegated pre-approvals shall be presented to the Audit Committee no later than the next Audit Committee meeting. |
(ii) None of the services described in each of Items 4(b) through (d) were approved by the Audit Committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
(f) Not applicable.
(g) The aggregate non-audit fees billed by the registrant's accountant for services rendered to the registrant, the registrant’s investment adviser (not including a sub-adviser whose role is primarily portfolio management and is sub-contracted with or overseen by another investment adviser) and/or any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant that directly related to the operations and financial reporting of the registrant were $69,000 and $60,000 for the fiscal years ending May 31, 2010, and May 31, 2009, respectively.
(h) Not applicable.
Item 5. Audit Committee of Listed Registrants.
(a)The Audit Committee was established in accordance with Section 3(a)(58)(A) of the Securities Exchange Act of 1934, as amended. The Audit Committee of the Registrant is comprised of: Ronald A. Nyberg; Ronald E. Toupin, Jr., and Randall C. Barnes.
(b) Not applicable.
Item 6. Schedule of Investments.
The Schedule of Investments is included as part of Item 1.
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.
Registrant has not made any material changes to the procedures by which shareholders may recommend nominees to the registrant’s Board of Trustees.
Item 11. Controls and Procedures.
(a) The registrant's principal executive officer and principal financial officer have evaluated the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) as of a date within 90 days of this filing and have concluded that based on such evaluation, as required by Rule 30a-3(b) under the Investment Company Act, 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 within the time periods specified in the Securities and Exchange Commission’s rules and forms.
(b) There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the registrant’s second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12. Exhibits.
(a)(1) Code of Ethics for Chief Executive and Senior Financial Officer.
(a)(2) Certifications of principal executive officer and principal financial officer pursuant to Rule 30a-2(a) of the Investment Company Act.
(b) Certifications of principal executive officer and principal financial officer pursuant to Rule 30a-2(b) of the Investment Company Act and Section 906 of the Sarbanes-Oxley Act of 2002.
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) Claymore Exchange-Traded Fund Trust 2
By: /s/ J. Thomas Futrell
_____________________________________________________________________
Name: J. Thomas Futrell
Title: Chief Executive Officer
Date: August 6, 2010
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: /s/ J. Thomas Futrell
_____________________________________________________________________
Name: J. Thomas Futrell
Title: Chief Executive Officer
Date: August 6, 2010
By: /s/ Steven M. Hill
_____________________________________________________________________
Name: Steven M. Hill
Title: Treasurer and Chief Financial Officer
Date: August 6, 2010