Guggenheim Low Beta Equity Portfolio Series 1

As of the initial date of deposit (the “Inception Date”), the Trust will invest at least 80% of the value of its assets in U.S.-listed stocks determined by the Sponsor to be “low beta” securities. Beta of a security is a number describing the relation of its returns with that of the market as a whole. By definition, the market has a beta of 1.0. A security whose returns vary more than the market’s returns have a beta greater than 1.0. A security whose returns vary less than the market’s returns have a beta less than 1.0. In general, stocks with higher beta tend to be more volatile and therefore riskier than those with lower beta. The Sponsor has selected securities that have a beta no greater than 0.9 over the most recent two-year period according to its quantitative evaluation process. The Sponsor considers such securities as low beta securities. However, there is no assurance that the individual stocks selected for the portfolio will have a risk profile and provide returns consistent with the beta measurements assigned by the Sponsor.

The Trust employs a quantitative method that uses a multi-factor risk model that attributes the monthly returns of all companies in the selection universe based on exposure to common risk factors (referred to as “beta”) as well as company-specific return that is not explained by the common risk exposures (referred to as “alpha”). The risk model seeks to target expected risk versus the desired benchmark, and uses rules-based mathematical models to try to predict future common factor returns, future company-specifc returns and the riskiness of the factors and individual companies. A mean-variance optimization step is used on the security selection date which aims to maximize predicted return while meeting all portfolio specific holding constraints and the overall portfolio risk limits.

The Sponsor, with the assistance of Guggenheim Partners Investment Management, LLC ("GPIM"), an affiliate of Guggenheim Partners, LLC, has selected the securities to be included in the Trust’s portfolio.

The Trust’s portfolio is constructed and the securities are selected approximately seven business days prior to the Inception Date using the methodology described below.

In constructing the Trust’s portfolio, the securities are selected based on the following criteria:

1. The initial universe begins with all companies in the S&P Composite 1500 Index.

   The S&P Composite 1500 Index combines three leading indices - S&P 500, S&P MidCap 400 and S&P SmallCap 600 - to form an investable benchmark of the U.S. equity market. Covering approximately 85% of the U.S. market capitalization, S&P Composite 1500 offers investors an index with the familiar characteristics of the S&P 500 but with broader market exposure.

2. A multi-factor risk model is utilized to assign beta risk scores to each company in the initial universe against each of the common risk factors to identify security sensitivity to each broad category of risk. The beta value is calculated through a regression of trailing monthly security return data versus trailing return data for the factor overall. The factor returns are determined by top percentile minus bottom percentile return spreads of the entire universe (for numerical factors that can be sorted), or group returns for membership factors (like sectors). All historic data used in return averages and regressions are based on publicly available data from 12/31/1986 through the selection date. The common factors are:
   • Market capitalization for the common shares outstanding,
   • Earnings before interest, taxes, depreciation and amortization (EBITDA)/Enterprise value (EV),
   • Free cash flow per share (FCF/Share),
   • Return on assets (ROA),
   • The ten S&P Global Industry Classification Standard (GICS) sectors, and
   • Market exposure
3. Predicted common factor returns are calculated for each of the above common factors based on the historical factor returns to determine which risk factors paid-off in the past during economic business cycles similar to today’s business cycle. The business cycle is categorized as early expansion, late expansion, early contraction, or late contraction and determined by the publicly disclosed year-over-year change in the Leading Economic Indicators, as provided by The Conference Board, an independent research organization. All historic data is from 12/31/1986 through the selection date.
4. Predicted security alphas are calculated for each company in the universe using the following price momentum based quantitative model:
   • Each security’s realized alpha is calculated as the portion of historic monthly returns that is over or under what would have been predicted by that security’s factor beta at the start of the month (as described in Section 2 above).
   • Each security in the universe is placed in a matrix of three month trailing total return groups versus one month trailing total return groups. The securities placement in the matrix on the selection date is its “alpha bucket.”
   • An “alpha multiplier” score is calculated for each bucket as the average realized alphas of that bucket’s members, divided by standard deviation across the member alphas. A historic running average alpha multiplier is maintained for each bucket.
   • At the selection date, each security in the universe is assigned a predicted alpha based on that security’s current alpha multiplier (based on most recent realized momentum) multiplied by the standard deviation of that security’s trailing realized alpha history.
5. Predicted company-specifc risk (volatility of alpha) is calculated for each security based on average historic volatilities of alpha.
6. Create a sub-universe by applying the following filters to the initial universe:
   1. Remove from the universe companies with equity market caps less than $200 million.
   2. Remove from the universe companies that have less than $600,000 in average daily dollar volume of trading over the prior twenty trading days.
   3. Remove from the universe any company with an announced corporate action that would result in a merger takeover, liquidation, or other change that would result in delisting.
   4. Remove from the universe companies with trailing “traditional beta” of greater than 0.9, where traditional beta is the market relative coefficient calculated from a regression of the securities’ weekly returns for two years against the S&P 500 Index weekly return.
7. From the remaining securities in the sub-universe, an optimizer calculation step is used to create the most efficient portfolio as measured by the maximum predicted return while remaining within total portfolio risk limits. The optimizer uses a standard meanvariance computational algorithm to cycle through numerous combinations of securities and weights and calculates the following metrics of each potential portfolio:
   1. The predicted total return of each potential portfolio (a weighted average combination of “predicted alpha” and “predicted common factor” returns described above),
   2. The total portfolio risk, which is the combination of total common factor risks (as determined by weighted average betas), the effect of actual historical correlations between those common factors, plus the total predicted company-specifc risks.

   The selected “best” portfolio solution is the one with the greatest predicted return while satisfying all of the following specific holding and risk constraints desired for this strategy:

   1. Maximum security weight equal to the security’s weight in the S&P 500 Index on that date plus 5%.
   2. Total portfolio weighted market capitalization beta is greater than the market capitalization beta of the smallest quintile of companies in the universe.
   3. Maximum predicted annual tracking error of 11% versus the S&P 500 Index.
8. If the optimizer produces a portfolio with more than 100 holdings, then only the 100 top-weighted positions are used and their weights are rescaled upwards to maintain a 100% total weight.

Guggenheim Partners Investment Management, LLC

Guggenheim Partners Investment Management, LLC, is a subsidiary of Guggenheim Partners, LLC and an affiliate of the Sponsor, which offers financial services expertise within its asset management, investment advisory, capital markets, institutional finance and merchant banking business lines. Clients consist of an elite mix of individuals, family offices, endowments, foundations, insurance companies, pension plans and other institutions that together have entrusted the firm with supervision of more than $100 billion in assets. A global diversified financial services firm, Guggenheim Partners, LLC office locations include New York, Chicago, Los Angeles, Miami, Boston, Philadelphia, St. Louis, Houston, London, Dublin, Geneva, Hong Kong, Singapore, Mumbai and Dubai.

The Sponsor is also a subsidiary of Guggenheim Partners, LLC. See “General Information” in the prospectus for additional information.

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 the United States experienced increased unemployment. The economic crisis affected the global economy with European and Asian markets also suffering historic losses. 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 includes securities issued by companies in the information technology sector. The Trust is diversified across the information technology sector and includes stocks of companies from the following industries: communications equipment, computers and peripherals, electronic equipment and instruments, internet software and services, IT services, office electronics, semiconductors and semiconductor equipment and software. Adverse developments in the sector may affect the value of your investment. Companies involved in this sector must contend with rapid changes in technology, intense competition, government regulation and the rapid obsolescence of products and services. Furthermore, sector predictions may not materialize and the companies selected for the Trust may not represent the entire sector and may not participate in the overall sector growth.
• The Trust invests in securities issued by small-capitalization and mid-capitalization companies. These securities customarily involve more investment risk than securities of larger capitalization companies. Small-capitalization and mid-capitalization companies may have limited product lines, markets or financial resources and may be more vulnerable to adverse general market or economic developments.
• 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 continue to buy, the same securities even though a security’s outlook, market value or yield may have changed.