Dow Jones Sustainable Growth Portfolio Series 13

The Trust invests substantially all of its assets in securities included in the Dow Jones Top Cap Growth Index that the Sponsor believes have the highest sustainable growth potential. 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 by utilizing GPIM’s proprietary process to select the top 50 stocks that the Sponsor believes have the highest sustainable growth potential. The Trust may invest in companies with small-, mid- and large-capitalizations. The Trust will include U.S.-listed common stocks, which may include the common stocks of U.S. and non-U.S. companies and may include the securities of issuers located in emerging market countries. The Trust may include the securities of real estate investment Trusts (“REITs”). As a result of the strategy, the Trust is concentrated in the information technology sector and invests significantly in the consumer products and health care sectors.

The Trust’s portfoliis 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 Top Cap Growth Index, which is a combination of the Dow Jones U.S. Large-Cap Growth Total Stock Market Index and the Dow Jones U.S. Mid-Cap Growth Total Stock Market Index.
• Exclude companies with a price per share of less than $5.
• Exclude companies with a market value of less than $500 million.
• Exclude companies with a 90-day median daily traded value of less than $1 million.
• Concurrently filter the starting universe of securities by the following: Exclude 20% of the companies whose asset growth exceeds their sales growth by the highest percentage;
  • Exclude 20% of the companies with the highest 1 year standard deviation of daily returns for the trailing year;
  • Exclude 20% of the companies that have the lowest forward year earnings per share (EPS) growth estimates (analyst consensus); and
  • Exclude 20% of the companies that have the lowest momentum as measured by 6 month total returns.
• Select the 100 companies with the highest Santa Monica Quantitative (SMQ) Alpha Score.
• Select the final portfoliby selecting the top 50 companies based on highest sustainable growth rate (return on equity multiplied by retained earnings) and weight the portfoliby sustainable growth rate, subject ta 5% cap for each individual security on the day the strategy generates the final portfolio, except for financial sector securities which are subject ta 4% cap. (A company’s weight in the portfoliis derived by dividing the sustainable growth rate of each company by the sum of all sustainable growth rates for the selected companies.) Please note that due tthe fluctuating nature of security prices, the weighting of an individual security in the Trust may be greater than the cap described above after the portfoliselection date. Portfolisector weights will be constrained t+/- 10% of the benchmark weights as of the day of deposit.

Strategy Definitions

Asset growth: The one year growth of a company’s total assets calculated by finding the percent change of total assets from a company’s most recently reported total asset compared tthat company’s total asset one year prior.

Retained earnings: The most recently reported last twelve month earnings per share minus the most recently reported last twelve month dividends per share, divided by most recently reported last twelve month earnings per share.

Return on equity: The most recently reported last twelve month net income before extraordinary items divided by the one-year average of total stockholders equity, multiplied by 100.

Santa Monica Quantitative (SMQ) Alpha Score: A proprietary value score that incorporates elements of forward looking growth and profitability testimate future cash flows and value them relative tcurrent market prices.

Sales growth: The one year growth of a company’s sales calculated by finding the percent change of quarterly sales from a company’s most recently reported last twelve month sales compared tthat company’s last twelve month sales one year prior.

INDEX DEFINITIONS: The Dow Jones Top Cap Growth Index is a combination of the Dow Jones U.S. Large-Cap Growth Total Stock Market Index and the Dow Jones U.S. Mid-Cap Growth Total Stock Market Index. The Dow Jones U.S. Large-Cap Growth Total Stock Market Index is designed to measure the performance of large-cap U.S. equity securities that are classifi ed as “growth” based on multi-factor analysis. The Dow Jones U.S. Mid-Cap Growth Total Stock Market Index is designed to measure the performance of mid-cap U.S. equity securities that are classified as “growth” based on multi-factor analysis. Indexes are unmanaged and it is not possible to invest directly in an index.

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. Changes in legal, political, regulatory, tax and economic conditions may cause fluctuations in markets and securities prices, which could negatively impact the value of the Trust. Additionally, event such war, terrorism, natural and environmental disasters and the spread of infectious illnesses or other public health emergencies may adversely affect the economy, various markets and issuers. Recently, the outbreak of a novel and highly contagious form of coronavirus (“COVID-19”) has adversely impacted global commercial activity and contributed to significant volatility in certain markets. Many governments and businesses have instituted quarantines and closures, which has resulted in significant disruption in manufacturing, supply chains, consumer demand and economic activity. The potential impacts are increasingly uncertain, difficult to assess and impossible to predict, and may result in significant losses. Any adverse event could materially and negatively impact the value and performance of Trust and the Trust’s ability to achieve its investment objectives. 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.
• Securities selected according to this strategy may not perform as intended. The Trust is exposed to additional risk due to its policy of investing in accordance with an investment strategy. Although the Trust's investment strategy is designed to achieve the Trust's investment objective, the strategy may not prove to be successful. The investment decisions, including the use of the Santa Monica Quantitative (SMQ) Alpha Score, may not produce the intended results and there is no guarantee that the investment objective will be achieved.
• The Trust invests in “growth” stocks. Growth stocks are issued by companies which are expected to experience greater earnings growth rates relative to other companies in the same industry or the economy as a whole. Securities of growth companies may be more volatile than other stocks. If the perception of a company’s growth potential is not realized, the securities purchased may not perform as expected, reducing the Trust’s return. In addition, because different types of stocks tend to shift in and out of favor depending on market and economic conditions, “growth” stocks may perform differently from the market as a whole and other types of securities.
• The Trust is concentrated in the information technology sector. As a result, the factors that impact the information technology sector will likely have a greater effect on this Trust than on a more broadly diversified Trust. 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 significantly in the consumer products sector. As a result, the factors that impact the consumer products sector will likely have a greater effect on this Trust than on a more broadly diversified Trust. 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 invests significantly in the health care sector. As a result, the factors that impact the health care sector will likely have a greater effect on this Trust than on a more broadly diversified Trust. General risks of companies in the health care sector include extensive competition, generic drug sales, the loss of patent protection, product liability litigation and increased government regulation.
• The Trust invests in securities issued by small- and mid-capitalization companies. These securities customarily involve more investment risk than securities of large-capitalization companies. Small- 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.
• 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.
• The Trust is subject to risks arising from various operational factors and their service providers. Operational factors include, but not limited to, human error, processing and communication errors, errors of the Trust’s service providers, counterparties or other third-parties, failed or inadequate processes and technology or systems failures. Additionally, the Trust may be subject to the risk that a service provider may not be willing or able to perform their duties as required or contemplated by their agreements with the Trust. Although the Trust seeks to reduce these operational risks through controls and procedures, there is no way to completely protect against such risks.
• 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.