Guggenheim European Capital Strength Portfolio Series 1

Under normal circumstances, the Trust will invest at least 80% of the value of its assets in common stocks of European companies. The Trust invests in a diversified portfolio of 30 European companies that the Sponsor believes have had strong valuations, returns on capital and balance sheets. To determine whether a company has an attractive valuation, the Sponsor compares valuation metrics against the selected company’s peer group. Strong returns on capital are evidenced by the company’s return on capital compared to the selected company’s peer group. Companies with strong balance sheets are typically those entities that are less levered than their peers. The Trust's investment process is designed to favor strong cash flow generating companies that trade at reasonable multiples of their excess profits. However, there can be no assurance that the Trust's investment strategy will identify companies that will perform well in the future.

See “Investment Policies” in Part B of the prospectus for more information.

The Trust’s portfolio is constructed by the Sponsor using the methodology described below:

• Begin with the largest 30% of companies headquartered in developed Western European countries.

• Focus on companies which have demonstrated several years of consistently higher return on equity, and which have debt leverage levels lower than the market or their industry peers.

• Filter out “value traps,” which are those companies with the worst fundamentals in their sector, as determined by the Sponsor, or with steep market declines that imply a turn in fundamentals.

• Select a portfolio of 30 securities from the remaining universe by favoring companies undervalued, as determined by the Sponsor, based on cash flow & earnings, while maintaining diversification with limits on sector and country concentration.

As with all investments, you may lose some or all of your investment in the Trust. No assurance can be given that the Trust’s investment objective will be achieved. The Trust also might not perform as well as you expect. This can happen for reasons such as these:

• Securities prices can be volatile. The value of your investment may fall over time. Market value fluctuates in response to various factors. These can include stock market movements, purchases or sales of securities by the Trust, government policies, litigation, and changes in interest rates, inflation, the financial condition of the securities’ issuer or even perceptions of the issuer. Units of the Trust are not deposits of any bank and are not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency.

• Due to the current state of the economy, the value of the securities held by the Trust may be subject to steep declines or increased volatility due to changes in performance or perception of the issuers. Starting in December 2007, economic activity declined across all sectors of the economy, and many countries experienced increased unemployment. The economic crisis affected the global economy with European and Asian markets also suffering historic losses. Standard & Poor’s Rating Services lowered its longterm sovereign credit rating on the United States to “AA+” from “AAA,” which could lead to increased interest rates and volatility. Extraordinary steps have been taken by the governments of several leading countries to combat the economic crisis; however, the impact of these measures is not yet fully known and cannot be predicted.

• Share prices or dividend rates on the securities in the Trust may decline during the life of the Trust. There is no guarantee that the issuers of the securities will declare dividends in the future and, if declared, whether they will remain at current levels or increase over time.

• The Trust invests in foreign securities, American Depositary Receipts (“ADRs”) and Global Depositary Receipts (“GDRs”). The trust’s investment in foreign securities, ADRs and GDRs presents additional risk. ADRs and GDRs are issued by a bank or trust company to evidence ownership of underlying securities issued by foreign corporations. Securities of foreign issuers present risks beyond those of domestic securities. More specifically, foreign risk is the risk that foreign securities will be more volatile than U.S. securities due to such factors as adverse economic, currency, political, social or regulatory developments in a country, including government seizure of assets, excessive taxation, limitations on the use or transfer of assets, the lack of liquidity or regulatory controls with respect to certain industries or differing legal and/or accounting standards.

• The Trust includes securities issued by companies headquartered or incorporated in Great Britain. As a result, political, economic or social developments in Great Britain may have a significant impact on the securities included in the trust. See “Investment Risks” for additional information concerning the risks associated with an investment in securities issued by companies located in Great Britain.

• The Trust includes securities whose value may be dependent on currency exchange rates. The U.S. dollar value of these securities may vary with fluctuations in foreign exchange rates. Most foreign currencies have fluctuated widely in value against the U.S. dollar for various economic and political reasons such as the activity level of large international commercial banks, various central banks, speculators, hedge funds and other buyers and sellers of foreign currencies.

• The Trust includes securities of companies in the consumer products sector. General risks of companies in the consumer products sector include cyclicality of revenues and earnings, economic recession, currency fluctuations, changing consumer tastes, extensive competition, product liability litigation and increased government regulation. A weak economy and its effect on consumer spending would adversely affect companies in the consumer products sector.

• The Trust includes securities issued by companies in the industrials sector. Companies in the industrials sector are affected by a number of factors including the general state of the economy, intense competition, domestic and international politics, excess capacity and spending trends.

• Inflation may lead to a decrease in the value of assets or income from investments.

• The Sponsor does not actively manage the portfolio. The Trust will generally hold, and may, when creating additional units, continue to buy, the same securities even though a security’s outlook, market value or yield may have changed.

See “Risk Factors” in Part B of the prospectus and “Investment Risks” in Part A of the prospectus for additional information.