Dow Jones Value Dividend Focus Portfolio Series 40

The Sponsor, with the assistance of Guggenheim Partners Investment Management, LLC (“GPIM”), an affiliate of the Sponsor and Guggenheim Partners, LLC, has selected the securities to be included in the Trust’s portfolio The U.S.-listed common stocks held by the Trust may include the common stocks of U.S. and non-U.S. companies. The Trust may include securities of real estate investment Trusts (“REITs”).

As a result of the strategy, the Trust invests significantly in the financial sector.

The Trust’s portfolio is constructed and the securities are selected using the methodology described below.

In constructing the Trust portfolio, securities will be selected based on the following fundamentally-based quantitative criteria:

• Begin with all companies listed in the Dow Jones U.S. Top-Cap Value Total Stock Index, which is a combination of the Dow Jones U.S. Large-Cap Value Total Stock Index and the Dow Jones U.S. Mid-Cap Value Total Stock Market Index.
• Exclude companies with a price per share of less than $5 and more than $500.
• Exclude companies with a 90-day median daily traded value of less than $1 million.
• Exclude companies with an indicated dividend yield of zero. Indicated dividend yield is a company’s most recently announced dividend, annualized based on dividend frequency and divided by market price (abnormal or special dividends are not included).
• Exclude 20% of the remaining companies with the lowest indicated dividend yield.
• Exclude 20% of the companies in the starting index with the highest standard deviation of daily returns for the trailing year, as provided by FactSet.
• Select the 100 companies with the highest Santa Monica Quantitative (SMQ) Alpha Score based on the methodology described below.
• Select the final portfolio by indicated dividend yield and weight the portfolio by indicated dividend yield, subject to a 5% cap for each individual security on the day the strategy generates the final portfolio, except for financial sector securities which are subject to a 4% cap. (A company’s weight in the portfolio is derived by dividing the indicated dividend yield of each company by the sum of all indicated dividend yields for the selected companies.) Please note that due to the fluctuating nature of security prices, the weighting of an individual security in the Trust may be greater than the cap described above after the portfolio selection date.

GIQ Implied Stock Risk Premium

The Santa Monica Quantitative (SMQ) Alpha Score seeks to measure the market implied discount rate (in excess to risk free rates) that is embedded in the price of a company’s stock. To determine the Alpha Score for a given company, the company’s future cash flows are estimated through a forward-looking discounted free cash flow (“FCF”) model that takes into account each firm’s current balance sheet composition, returns on capital, and normalization assumptions that include excess returns on capital approaching industry average levels over a long-term horizon. The market price of the stock of each firm is used to solve for the discount rate that is required to equate future modeled cash flow streams to current equity value.

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.
• Share prices or dividend rates on the securities in the Trust may decline during the life of the Trust. There is no guarantee that share prices of the securities in the Trust will not decline and 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 significantly in the financial sector. As a result, the factors that impact the financial sector will likely have a greater effect on this Trust than on a more broadly diversified Trust. Companies in the financial sector include banks, insurance companies and investment firms. The profitability of companies in the financial sector is largely dependent upon the availability and cost of capital which may fluctuate significantly in response to changes in interest rates and general economic developments. Financial sector companies are especially subject to the adverse effects of economic recession, decreases in the availability of capital, volatile interest rates, portfolio concentrations in geographic markets and in commercial and residential real estate loans, and competition from new entrants in their fields of business.
• The Trust invests in securities issued by mid-capitalization companies. These securities customarily involve more investment risk than securities of large-capitalization companies. Mid-capitalization companies may have limited product lines, markets or financial resources and may be more vulnerable to adverse general market or economic developments.
• The Trust may be susceptible to potential risks through breaches in cybersecurity. A breach in cybersecurity refers to both intentional and unintentional events that may cause the Trust to lose proprietary information, suffer data corruption or lose operational capacity. Such events could cause the Sponsor of the Trust to incur regulatory penalties, reputational damage, additional compliance costs associated with corrective measures and/or financial loss. In addition, cybersecurity breaches of the Trust’s third-party service providers, or issuers in which the Trust invests, can also subject the Trust to many of the same risks associated with direct cybersecurity breaches.
• 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 “Investment Risks” in Part A of the prospectus and “Risk Factors” in Part B of the prospectus for additional information.