Fund Summary

The Guggenheim Insider Sentiment ETF (NYSE Arca: NFO), seeks investment results that correspond generally to the performance, before the Fund’s fees and expenses, of an equity index called the Sabrient Insider Sentiment Index (the “Insider Sentiment Index” or “Index”). The Fund will invest at least 90% of its total assets in common stock, American depositary receipts ("ADRs") and master limited partnerships ("MLPs") that comprise the Index and depositary receipts representing common stocks included in the Index (or underlying securities representing ADRs included in the Index). Guggenheim Funds Investment Advisors, LLC (the "Investment 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, using a low cost “passive” or “indexing” investment approach, seeks to replicate, before fees and expenses, the performance of the Insider Sentiment Index. The Index is comprised of approximately 100 securities selected, based on investment and other criteria, from a broad universe of U.S.-traded securities, including MLPs, and ADRs. The depositary receipts included in the Index may be sponsored or unsponsored. The universe of companies eligible for inclusion in the Index includes approximately 6,000 listed companies without limitations on market capitalization.

Top Fund Holdings

as of 5/17/13 View All Holdings
ALKERMES PLC 1.29 %
ABIOMED INC 1.28 %
MOODY'S CORP 1.24 %
LEXMARK INTL-A 1.22 %
CABELA'S INC 1.20 %
VISTAPRINT NV 1.19 %
CORNING INC 1.18 %
MARTIN MIDSTREAM PARTNERS LP 1.18 %
MEMC ELEC MATER 1.16 %
TEXAS ROADHOUS 1.15 %

TOP FUND SECTORS

as of 3/31/13

SECTOR WEIGHTING
Financials 22.82 %
Consumer Discretionary 16.08 %
Industrials 15.79 %
Information Technology 12.89 %
Energy 9.10 %
Consumer Staples 7.10 %
Materials 6.91 %
Health Care 5.23 %
Utilities 4.05 %

All data is provided by Guggenheim Funds Distributors, LLC, or Morningstar. Data is subject to change on a daily basis and represents a percentage of the Fund’s holdings, excluding cash. The securities mentioned are provided for informational purposes only and should not be deemed as a recommendation to buy or sell.

*Morningstar category is based on the underlying securities of the ETF and not the objective. The Morningstar Rating™ is provided for those exchange-traded funds (“ETFs”) with at least a three-year history. Ratings are based on the ETF’s Morningstar Risk-Adjusted Return measure which accounts for variation in monthly performance, placing more emphasis on downward variations and rewarding consistent performance. An ETF’s risk-adjusted return includes a brokerage commission estimate. This estimate is intended to reflect what an average investor would pay when buying or selling an ETF. PLEASE NOTE, this estimate is subject to change and the actual brokerage commission an investor pays may be higher or lower than this estimate. Morningstar compares each ETF’s risk-adjusted return to the open-end mutual fund rating breakpoints for that category. Consistent with the open-end mutual fund ratings, the top 10% of ETFs in each category receive 5 stars, the next 22.5% receive 4 stars, the next 35% receive 3 stars, the next 22.5% receive 2 stars and the bottom 10% receive 1 star. The overall rating for an ETF is based on a weighted average of the time-period ratings (e.g., the ETF’s 3-, 5-, and 10-year rating). The determination of an ETF’s rating does not affect the retail open end mutual fund data published by Morningstar. Past performance is no guarantee of future results.

Overall Morningstar RatingTM *

as of 3/31/13

Among Mid-Cap Blend Funds

This Fund was rated 3 stars for 3 years, 4 stars for 5 years, and 4 stars Overall out of 16, 16, and 16 Mid-Cap Blend funds, respectively.

Fund Profile

Symbol NFO
Exchange NYSE Arca
NAV Symbol (IIV) NFA
CUSIP 18383M209
Fund Inception Date 9/21/06
Distribution Schedule (if any) Annually
Gross Expense Ratio 0.78 %
Net Expense Ratio 0.60 %
Fiscal Year-End 8/31
Investment Adviser Guggenheim Funds Investment Advisors, LLC
Distributor Guggenheim Funds Distributors, LLC
Sabrient Insider Sentiment IndexSBRINTR
Index Provider Sabrient

Per the prospectus dated December 31, 2012, the Fund’s total annual operating expense ratio, gross of any waivers or expense reimbursements, is 0.78%. There is a contractual fee waiver currently in place for this Fund through December 31,2015 to the extent necessary to keep Fund expenses from exceeding 0.60% of average net assets per year. However, some expenses fall outside of this expense cap and therefore net operating expenses were 0.65%. Without this expense cap, actual returns would be lower.

Fund Statistics

as of 5/17/13 Price History
  MARKET PRICE NAV
Close $41.57 $41.54
Change $0.54 $0.49
52-Week High $41.57 $41.54
52-Week Low $30.16 $30.19
Bid/Ask Midpoint $41.55
Bid/Ask Premium (Discount) 0.01 %
Volume 7,835
Shares Outstanding 2,750,800
Total Managed Assets $114,261,751

Fund Characteristics

as of 3/31/13

Number of Securities101
Average Market Capitalization $14.1 Mil
Price/Earnings (P/E) 14.2 x
Price/Book (P/B) 1.7 x
Beta 1.30
Alpha -2.66
Standard Deviation (Fund / S&P 500 Index) 20.28/15.01

P/E ratio is a harmonic weighted average and is equal to a security’s market capitalization divided by it after-tax earnings over the most recent 12-month period.

P/B ratio is a harmonic weighted average and is equal to a security’s market capitalization divided by its book value.

Alpha is a statistical measurement that depicts the performance difference between a fund’s return and an underlying performance benchmark, given a fund’s level of volatility, measured by beta. The benchmark will always reflect an alpha of 0.00%. A positive alpha indicates a fund has performed better than its beta would predict in the stated period.

Beta is the measure of a fund’s sensitivity to an index. By definition, the beta of an index is 1.00. Any fund with a higher beta is more volatile than the index. Likewise, any portfolio with a lower beta will be less volatile than the index in the stated period.

Standard deviation is a measure of historical volatility that indicates the degree to which an investment’s returns fluctuate around its average return. Generally, a higher standard deviation indicates a more risky investment.

Average market capitalization is the geometric mean of the market capitalization s for all securities in a fund’s portfolio.

Weighted average coupon is calculated by weighting each bond’s coupon by its relative size in the portfolio.

Weighted average bond price is a weighted average of individual bond prices.

Weighted average option-adjusted duration is a weighted average which measures the sensitivity of the price (the value of principal), incorporating the expected duration-shortening effect of an embedded call provision, of a fixed-income investment to a change in interest rates. The larger the duration number, the greater the interest-rate risk for bond prices.

Average maturity is the length of time until the principal amount of a bond must be repaid.

Average effective duration measures the sensitivity of the price (value of principal) of a fixed income investment to a change in interest rates. The larger the duration number, the greater the interest rate risk for bond prices.

Current Distribution

View Distribution History
Ex-Date 12/24/12
Record Date 12/27/12
Payable Date 12/31/12
Distribution per Share $0.603000

The extent the Current Distribution is comprised of something other than Income, such as Return of Capital, please refer to the applicable Rule 19a-1 Notice found on the Fund's website under the Literature section. If the Current Distribution is comprised solely from Income, a Rule 19a-1 Notice will not be produced and posted.

Past performance is not a guarantee of future results.

INDEX METHODOLOGY

The Index methodology is published at www.sabrient.com. The Index selection methodology is designed to identify companies with potentially superior risk-return profiles as determined by Sabrient. The objective of the Index is to actively represent a group of securities that are reflecting favorable corporate insider buying trends (determined via the public filings of such corporate insiders) and Wall Street analyst earnings estimate increases. Pursuant to Sabrient’s proprietary methodology, Sabrient evaluates both corporate insider buying trends and Wall Street analyst earnings estimate increases in ranking companies for possible Index inclusion, and it is possible for a company that scores highly enough under either one of those factors to be included in the Index based on that factor alone.

The Index constituent selection methodology utilizes multi-factor proprietary selection rules to identify those securities that are believed to offer the greatest potential from a risk/return perspective while maintaining industry diversification. The approach is specifically designed to enhance investment applications and investability. The Index is adjusted quarterly.

INDEX CONSTRUCTION

  1. Potential Index constituents include all equities trading on major U.S. exchanges.
  2. The Insider Sentiment Index is comprised of the 100 highest-ranking securities chosen from a subset of companies covered by more than one analyst.
  3. Each company is ranked using a 100% quantitative rules-based methodology that includes composite scoring of a handful of specially-targeted factors, and is sorted from highest to lowest.
  4. The 100 highest-ranking securities are chosen and given an equal weighting in the portfolio.
  5. The constituent selection process and portfolio rebalance is repeated once per quarter.

RISKS AND OTHER CONSIDERATIONS

 

Investors should consider the following risk factors and special considerations associated with investing in the fund, which may cause you to lose money, including the entire principal amount that you invest.

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

Foreign Investment Risk: The fund’s investments in non-U.S. issuers, although generally limited to ADRs, may involve unique risks compared to investing in securities of U.S. issuers, including less market liquidity, generally greater market volatility than U.S. securities and less complete financial information than for U.S. issuers.

Small- and Medium-Sized Company Risk: Investing in securities of small and medium-sized companies involves greater risk than is customarily associated with investing in larger, more established companies.

MLP Risk: 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.

Consumer Discretionary Sector Risk: The success of consumer product manufacturers and retailers is tied closely to the performance of the overall domestic and international economy, interest rates, competitive and consumer confidence. Success depends heavily on disposable household income and consumer spending. Changes in demographics and consumer tastes can also affect the demand for, and success of, consumer products in the marketplace.

Concentration Risk: If the Index concentrates in an industry or group of industries the fund’s investments will be concentrated accordingly. In such event, the value of the fund’s shares may rise and fall more than the value of shares of a fund that invests in securities of companies in a broader range of industries. In addition the fund is subject to Non-Correlation Risk, Replication Management Risk and Issuer-Specific Changes. Please read the fund’s prospectus for more detailed information on these risks and considerations.

The Fund’s Shares will change in value, and you could lose money by investing in the Fund. The Fund may not achieve its investment objective. An investment in the Fund has not been guaranteed, sponsored, recommended, or approved by the United States, or any agency, instrumentality or officer of the United States, has not been insured by the Federal Deposit Insurance Corporation (FDIC) and is not guaranteed by and is not otherwise an obligation of any bank or insured depository institution.

As with any investment, you should consider how your investment will be taxed. The tax information contained in the prospectus is provided as general information. Investors should consult their own tax professional about the tax consequences of an investment as Guggenheim Funds Distributors, LLC, does not offer tax advice.

The Fund will issue and redeem Shares at NAV only in a large specified number of Shares called a “Creation Unit” or multiples thereof. A Creation Unit consists of 50,000 Shares. The Fund generally issues and redeems Creation Units principally in-kind. Except when aggregated in Creation Units, the Shares are not redeemable securities of the Fund. Individual Shares of the Fund may only be purchased and sold in secondary market transactions through brokers. Shares of the Fund are listed for trading on NYSE Arca, Inc. (“NYSE Arca”) and because Shares trade at market prices rather than NAV, Shares of the Fund may trade at a price greater than or less than NAV.

Investors buying or selling ETF shares on the secondary market may incur brokerage costs and other transactional fees. Shares of ETFs may fluctuate in price due to daily changes in trading volume. At times, shares may not have a high volume of trading.

The product is not sponsored, endorsed, sold or promoted by Sabrient Systems, LLC. Sabrient makes not representation or warranty, express or implied, to the owners of the product or any member of the public regarding the advisability of investing in securities generally or in the product particularly or the ability of the Index to track general market performance. Sabrient’s only relationship to Guggenheim Funds Investment Advisors, LLC is the licensing of the Index which is determing, composed and calculated by Sabrient without regard to Guggenheim Funds Investment Advisors, LLC or the product. Sabrient has no obligation to take the needs of Guggenheim Funds Investment Advisors, LLC or the owners of the product into consideration in determining, composing or calculating the Index. Sabrient is not responsible for and has not participated in the determination of the timing of, prices at, or quantities of the product to be issued or in the determination or calculation of the equation by which the product is to be converted into cash. Sabrient has no obligation or liability in connection with the administration, marketing or trading of the product.

© 2013 Morningstar, Inc. All Rights Reserved. The information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information. Past performance is no guarantee of future results.

Guggenheim Funds Investment Advisors, LLC, an affiliate of Guggenheim Funds Distributors, LLC, serves as the investment adviser.

 

2013 Guggenheim Investments. All Rights Reserved.

• Not FDIC Insured • No Bank Guarantee • May Lose Value

Read a prospectus and summary prospectus (if available) carefully before investing. It contains the investment objectives, risks, charges, expenses and other information, which should be considered carefully before investing. To obtain a prospectus and summary prospectus (if available) click here or contact us.

Guggenheim Investments represents the investment management businesses of Guggenheim Partners, LLC (“GP”), which includes Security Investors, LLC (“SI”), Guggenheim Funds Investment Advisors, LLC (“GFIA”) and Guggenheim Partners Investment Management (“GPIM”), the investment advisers to the referenced funds. Securities offered through Guggenheim Funds Distributors, LLC and Guggenheim Distributors, LLC, affiliates of GP, SI, GFIA and GPIM.


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