-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, CXiK5JhFkAcrZzLVBTaahs94Tm5Ob0a3tjixW320vo5xrzE8jNnoLet81hQvmUiq wk6d6eFPp3NJvqVkqqpCQw== 0000891804-10-000683.txt : 20100211 0000891804-10-000683.hdr.sgml : 20100211 20100211130624 ACCESSION NUMBER: 0000891804-10-000683 CONFORMED SUBMISSION TYPE: N-CSRS PUBLIC DOCUMENT COUNT: 3 CONFORMED PERIOD OF REPORT: 20091130 FILED AS OF DATE: 20100211 DATE AS OF CHANGE: 20100211 EFFECTIVENESS DATE: 20100211 FILER: COMPANY DATA: COMPANY CONFORMED NAME: Claymore Exchange-Traded Fund Trust CENTRAL INDEX KEY: 0001364089 IRS NUMBER: 000000000 STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: N-CSRS SEC ACT: 1940 Act SEC FILE NUMBER: 811-21906 FILM NUMBER: 10590622 BUSINESS ADDRESS: STREET 1: C/O CLAYMORE ADVISORS, LLC STREET 2: 2455 CORPORATE WEST DRIVE CITY: LISLE STATE: IL ZIP: 60532 BUSINESS PHONE: 630-505-3700 MAIL ADDRESS: STREET 1: C/O CLAYMORE ADVISORS, LLC STREET 2: 2455 CORPORATE WEST DRIVE CITY: LISLE STATE: IL ZIP: 60532 0001364089 S000018439 CLAYMORE/MORNINGSTAR INFORMATION SUPER SECTOR INDEX ETF C000050979 CLAYMORE/MORNINGSTAR INFORMATION SUPER SECTOR INDEX ETF MZN 0001364089 S000018440 CLAYMORE/MORNINGSTAR SERVICES SUPER SECTOR INDEX ETF C000050980 CLAYMORE/MORNINGSTAR SERVICES SUPER SECTOR INDEX ETF MZO 0001364089 S000018441 CLAYMORE/MORNINGSTAR MANUFACTURING SUPER SECTOR INDEX ETF C000050981 CLAYMORE/MORNINGSTAR MANUFACTURING SUPER SECTOR INDEX ETF MZG 0001364089 S000020361 CLAYMORE U.S.-1 - THE CAPITAL MARKETS INDEX ETF C000057147 CLAYMORE U.S.-1 - THE CAPITAL MARKETS INDEX ETF UEM N-CSRS 1 clay48124-ncsr.txt CLAYMORE EXCHANGE-TRADED FUND TRUST UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM N-CSR CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES Investment Company Act file number 811-21906 --------- Claymore Exchange-Traded Fund Trust ---------------------------------------------------------------- (Exact name of registrant as specified in charter) 2455 Corporate West Drive, Lisle, IL 60532 ---------------------------------------------------------------- (Address of principal executive offices) (Zip code) J. Thomas Futrell 2455 Corporate West Drive, Lisle, IL 60532 ---------------------------------------------------------------- (Name and address of agent for service) Registrant's telephone number, including area code: (630) 505-3700 ---------------- Date of fiscal year end: May 31 ------ Date of reporting period: November 30, 2009 ----------------- Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles. A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. Section 3507. ITEM 1. REPORTS TO STOCKHOLDERS. The registrant's semi-annual report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940, as amended (the "Investment Company Act"), is as follows: ECONOMIC AND MARKET OVERVIEW During the six-month period ended November 30, 2009, capital markets continued the recovery that began in March 2009, following a period of extreme dislocations in financial markets. The Standard & Poor's 500 Index, which is generally regarded as an indicator of the broad U.S. stock market, returned 20.50% for the six months ended November 30, 2009. The pace of recovery in international equity markets was similar to that of the U.S. stock markets with the Morgan Stanley Capital International ("MSCI") World Index, which measures performance of world equity markets, returning 19.53% for the same six-month period. The return differential between developed and emerging markets was not as significant over this period as it was in previous periods, though emerging markets did outperform. The MSCI Europe-Australasia-Far East Index ("EAFE") Index, which is composed of approximately 1,100 companies in 20 developed countries in Europe and the Pacific Basin, returned 19.65%, while the return of the MSCI Emerging Market Index, which measures market performance in global emerging markets, was 24.56% over the same period. In the bond market, lower rated issues performed better than the highest rated bonds, reflecting investors' increasing willingness to embrace credit risk. The Barclays Capital U.S. Aggregate Bond Index, which measures the return of the investment grade rated segment of the U.S. bond market as a whole, returned 6.21% for the six months ended November 30, 2009. The return of the Barclays U.S. Corporate High Yield Index, which measures performance of high yield bonds, often referred to as "junk bonds," was 20.80%. The Barclays U.S. Treasury Composite Index, which measures performance of U.S. Treasury notes with a variety of maturities, returned 3.25%. Reflecting the Federal Reserve's highly accommodative monetary policy, interest rates on short-term securities were at their lowest levels in many years: the return of the Barclays U.S. Treasury Bill 1-3 Months Index was 0.08% for the period. The U.S. equity market demonstrated considerable resiliency during the last few weeks of the period. The bond market strengthened throughout the period, with credit spreads narrowing, the availability of credit improving and liquidity returning to the markets. Strength in the markets, despite economic news that was not entirely positive, seems to indicate that investors believe the economy and markets will improve in the months ahead. In late October, the Bureau of Economic Analysis of the U.S. Department of Commerce reported positive growth in real gross domestic product (GDP) for the third quarter of 2009. While most economists believe that a period of economic recovery began in the summer of 2009, the National Bureau of Economic Research ("NBER") has not yet officially declared an end to the recession that began in December 2007. Business indicators, particularly statistics on inventory and business investment, have begun to strengthen. The housing market has shown some signs of improvement, although recovery will likely be constrained by excess supply. The Federal Reserve has indicated that it will keep short-term rates near zero until they are confident that the economy is progressing toward a self-sustaining recovery. As powerful as these factors are in spurring a recovery, because the U.S. economy is largely driven by consumer activity, stabilization or improvement in the labor markets is essential for a consumer-led recovery. Recent employment reports raise the probability that the U.S. economy will begin to experience job growth, which should support economic growth, in 2010. World economies also appear to be recovering from a severe economic and financial crisis, with particular strength in emerging Asian markets. FUND OVERVIEW The CLAYMORE/MORNINGSTAR INFORMATION SUPER SECTOR INDEX ETF, NYSE ARCA TICKER MZN (the "Fund"), ceased trading on the NYSE Arca, Inc. on December 11, 2009. All shareholders of record on December 18, 2009 were paid the value of their shares effective on that date. The Fund sought investment results that corresponded generally to the performance, before the Fund's fees and expenses, of an equity index called the Morningstar Information Super Sector Index (the "Index"). The Index is designed to identify and track companies in industries that support and facilitate the exchange of ideas and information as a basis for commerce. Eligible Index securities include the total investable universe of the software, hardware, media and telecommunications sectors. Morningstar Inc. ("Morningstar"), the Fund's index provider, classifies companies into the industry that best reflects each company's underlying business activities based on the largest source of revenue and income. Industry classification is based on publicly available information about each company, and is primarily obtained from such company's annual report and Form 10-K. The securities in the universe are selected using a proprietary methodology developed by Morningstar. The Fund at all times invested at least 90% of its total assets in securities that comprise the Index and investments with economic characteristics substantially identical to the economic characteristics of the component securities that comprise the Index. Claymore Advisors, LLC, the Fund's adviser (the "Adviser"), sought 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 generally invested in all of the stocks comprising the Index in proportion to their weightings in the Index. FUND PERFORMANCE All Fund returns cited--whether based on net asset value ("NAV") or market price--assume the reinvestment of all distributions. This report discusses the semiannual fiscal period ended November 30, 2009. On a market price basis, the Fund generated a total return of 26.95%, representing a change in market price to $20.63 on November 30, 2009, from $16.25 May 31, 2009. On an NAV basis, the Fund generated a total return of 23.51%, representing a change in NAV to $20.96 on November 30, 2009, from $16.97 May 31, 2009. At the end of the period the Fund's shares were trading at a market price discount to NAV, which is to be expected from time to time. For underlying index and broad market comparison purposes, the Morningstar Information Super Sector Index returned 23.67% and the Standard & Poor's 500 Index ("S&P 500") returned 20.50% for the same period. On December 18, 2009, the Fund made a final distribution of $0.2613 per share to shareholders of record. PERFORMANCE ATTRIBUTION Since more than 70% of the Fund's investments are in the technology sector, performance is driven mainly by individual positions in this sector, which made the major contribution to return for the six-month period ended November 30, 2009. The industrials sector had a negative return for the period, detracting from the Fund's return. Positions that contributed most significantly to performance included software developer Microsoft Corp.; Apple Inc., which designs, manufactures and markets computers and other electronic devices; and Hewlett-Packard Company, a provider of technology products and services (9.7%, 7.4% and 4.8% of total investments at period end, respectively). Positions that detracted most significantly from performance included Sprint Nextel Corp., a provider of wireless and wireline communications products and services; First Solar, Inc., which designs and manufactures solar modules; and MetroPCS Communications, Inc., a wireless communications provider (0.4%, 0.2% and 0.1% of total investments at period end, respectively). FUND OVERVIEW The CLAYMORE/MORNINGSTAR MANUFACTURING SUPER SECTOR INDEX ETF, NYSE ARCA TICKER: MZG (the "Fund"), ceased trading on the NYSE Arca, Inc. on December 11, 2009. All shareholders of record on December 18, 2009 were paid the value of their shares effective December 21, 2009. The Fund sought investment results that corresponded generally to the performance, before the Fund's fees and expenses, of an equity index called the Morningstar Manufacturing Super Sector Index (the "Index"). The Index is designed to identify and track companies in "smokestack" industries that process raw materials into physical goods that are sold into industrial and consumer markets. Eligible Index securities include the total investable universe of the consumer goods, industrial materials, energy, and utilities sectors. Morningstar Inc. ("Morningstar"), the Fund's index provider, classifies companies into the industry that best reflects each company's underlying business activities based on the largest source of revenue and income. Industry classification is based on publicly available information about each company, and is primarily obtained from such company's annual report and Form 10-K. The securities in the universe are selected using a proprietary methodology developed by Morningstar. The Fund at all times invested at least 90% of its total assets in securities that comprise the Index and investments with economic characteristics substantially identical to the economic characteristics of the component securities that comprise the Index. Claymore Advisors, LLC, the Fund's adviser (the "Adviser"), sought 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 generally invested in all of the stocks comprising the Index in proportion to their weights in the Index. FUND PERFORMANCE All Fund returns cited--whether based on net asset value ("NAV") or market price--assume the reinvestment of all distributions. This report discusses the semiannual period ended November 30, 2009. On a market price basis, the Fund generated a total return of 14.49%, representing a change in market price to $20.70 on November 30, 2009, from $18.08 on May 31, 2009. On an NAV basis, the Fund generated a total return of 17.79%, representing a change in NAV to $20.46 on November 30, 2009, from $17.37 on May 31, 2009. At the end of the period the Fund's shares were trading at a market price premium to NAV, which is to be expected from time to time. For underlying index and broad market comparison purposes, the Manufacturing Super Sector Index returned 18.07% and the Standard & Poor's 500 Index ("S&P 500") returned 20.50% for the same period. PERFORMANCE ATTRIBUTION For the six-month period ended November 30, 2009, the consumer staples sector made the strongest contribution to return, followed by the industrials sector. The financials sector was the only sector with a negative return. Positions that contributed most significantly to performance included The Procter & Gamble Co., which produces and markets branded consumer products; General Electric Company, a diversified manufacturing and financial services company; and The Coca-Cola Company, a leading soft drink company (4.4%, 4.0% and 2.9% of total investments at period end, respectively). Positions that detracted from returns included Hess Corp., a global integrated energy company; oil refiner Valero Energy Corporation; and Weatherford International Ltd., a provider of equipment and services used in oil and natural gas drilling and production (0.4%, 0.2% and 0.3% of total investments at period end, respectively). FUND OVERVIEW The CLAYMORE/MORNINGSTAR SERVICES SUPER SECTOR INDEX ETF, NYSE ARCA TICKER: MZO (the "Fund"), ceased trading on the NYSE Arca, Inc. on December 11, 2009. All shareholders remaining on December 18, 2009 were paid the value of their shares. Prior to termination, the Fund sought investment results that corresponded generally to the performance, before the Fund's fees and expenses, of an equity index called the Morningstar Services Super Sector Index (the "Index"). The Index is designed to identify and track companies in industries whose main source of revenue comes from the provision of services. Eligible Index securities include the total investable universe of the healthcare, consumer services, business services and financial services sectors. Morningstar Inc. ("Morningstar") the Fund's index provider, classifies companies into the industry that best reflects each company's underlying business activities based on the largest source of revenue and income. Industry classification is based on publicly available information about each company, and is primarily obtained from such company's annual report and Form 10-K. The securities in the universe are selected using a proprietary methodology developed by Morningstar. The Fund at all times invested at least 90% of its total assets in securities that comprise the Index and investments with economic characteristics substantially identical to the economic characteristics of the component securities that comprise the Index. Claymore Advisors, LLC, the Fund's adviser (the "Adviser"), sought 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 generally invested in all of the stocks comprising the Index in proportion to their weightings in the Index. FUND PERFORMANCE All Fund returns cited--whether based on net asset value ("NAV") or market price--assume the reinvestment of all distributions. This report discusses the semiannual fiscal period ended November 30, 2009. On a market price basis, the Fund generated a total return of 23.22%, representing a change in market price to $17.78 on November 30, 2009, from $14.43 on May 31, 2009. On an NAV basis, the Fund generated a total return of 20.57%, representing a change in NAV to $17.64 on November 30, 2009, from $14.63 on May 31, 2009. At the end of the period the Fund's shares were trading at a market price premium to NAV, which is to be expected from time to time. For underlying index and broad market comparison purposes, the Morningstar Services Super Sector Index returned 20.59% and the Standard & Poor's 500 Index ("S&P 500") returned 20.50% for the same period. On December 18, 2009, the Fund made a final distribution of $0.2024 per share to shareholders of record. PERFORMANCE ATTRIBUTION For the six-month period ended November 30, 2009, the financials sector made the strongest contribution to return, followed by the health care sector. The energy and telecommunication services sectors detracted from return. Positions that contributed most significantly to performance included two large banks, Bank of America Corp. and JP Morgan Chase & Co. (2.8% and 3.4% of total investments at period end, respectively), and search engine provider Google, Inc. (2.9% of total investments at period end). Positions that detracted most significantly from performance included Genzyme Corp., a biotechnology company; CME Group, Inc., which operates trading floors and an electronic trading platform; and NYSE Euronext, a diverse exchange group that offers a range of investment-related products and services (0.3%, 0.5% and 0.1% of total investments at period end, respectively). FUND OVERVIEW The CLAYMORE U.S.- 1 - THE CAPITAL MARKETS ETF, NYSE ARCA TICKER: UEM (the "Fund"), ceased trading on the NYSE Arca, Inc. on December 11, 2009. All shareholders remaining on December 18, 2009 were paid the value of their shares on that date. Prior to the termination, the Fund sought investment results that correspond generally to the performance, before the Fund's fees and expenses, of the CPMKTS - - The Capital Markets IndexSM (the "CPMKTS Index" or the "Index"). The Index is a total return index that includes common stock equity securities, micro-term investment grade fixed income securities and money market instruments, and long-term investment grade fixed income securities. During the previous 10-year period, the number of securities included in the Index has ranged from approximately 5,100 to 7,800 long-term U.S. investment grade fixed income securities selected monthly; approximately 1,000 to 2,350 micro-term U.S. investment grade fixed income securities and money market instruments selected monthly; and 2,000 equity securities selected quarterly, based on market capitalization of the common stock of actively-traded United States corporations, generally with market capitalizations between $300 million and $500 billion. The Index may also include U.S. registered, dollar-denominated bonds of foreign corporations, governments, agencies and supra-national agencies. Dorchester Capital Management LLC, the Fund's index provider, defines "actively traded" as common stocks that are listed on a major U.S. exchange and have been traded within the past 45 days. The Index Provider defines "micro-term" fixed income securities as those with a redemption date of less than a year from the start of the month, as determined by yield to worst calculation. The number of securities included in the Index varies from month to month and may be higher or lower than the historical ranges. During each quarter, the number of equity securities may decrease as the common stocks are either delisted or not actively traded for any reason including, but not limited to, mergers, acquisitions and bankruptcies. Once removed, an equity security will not be returned to or replaced in the Index for any reason before the start of the next quarter. The Fund at all times invested at least 80% of its total assets in equity, fixed income and money market securities that comprise the Index and investments with economic characteristics substantially identical to the economic characteristics of the component securities that comprise the Index. The Fund also normally invested at least 80% of its net assets in U.S. securities. Claymore Advisors, LLC, was the Fund's adviser. Mellon Capital Management Corporation, the Fund's investment subadviser, sought 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 used a sampling approach in seeking to achieve its objective. Sampling means that the Investment Subadviser uses quantitative analysis to select securities from the Index universe to obtain a representative sample of securities resembling the Index in terms of key risk factors, performance attributes and other characteristics. FUND PERFORMANCE All Fund returns cited--whether based on net asset value ("NAV") or market price--assume the reinvestment of all distributions. This report discusses the semiannual fiscal period ended November 30, 2009. On a market price basis, the Fund generated a total return of 28.71%, representing a change in market price to $45.99 on November 30, 2009, from $36.00 on May 31, 2009. On an NAV basis, the Fund generated a total return of 9.28%, representing a change in NAV to $46.49 on November 30, 2009, from $42.84 on May 31, 2009. At the end of the period the Fund's shares were trading at a market price discount to NAV, which is to be expected from time to time. For underlying index and broad market comparison purposes, the CPMKTS Index returned 8.55% for the same period. The Standard & Poor's 500 Index returned 20.50% for the same period. The Barclays Capital U.S. Aggregate Bond Index returned 6.21% for the same period. The Barclays Capital 1-3 Month U.S.Treasury Bill Index returned 0.08% for the same period. The Fund made quarterly income distributions of $0.1620 per share on June 30, 2009, and $0.1460 on September 30, 2009. PERFORMANCE ATTRIBUTION Among the asset classes in which the Fund invests, the equity portion of the Fund's portfolio, which represents 42.6% of the Fund's total investments as of November 30, 2009, had a higher return than the Fund's bond or short-term investments. Within the equity portion of the portfolio all sectors had positive returns with the information technology sector contributing most significantly to the Fund's return and the telecommunication services sector contributing least. Equity positions that contributed most significantly to performance included software producer Microsoft Corp.; Apple, Inc., which designs and markets computers and other electronic devices; and internet search engine provider Google, Inc. (0.8%, 0.6% and 0.6% of total investments at period end, respectively). Positions that detracted most significantly from performance included First Solar, Inc., which designs and manufactures solar modules; MetroPCS Communications, Inc., a wireless communications provider; and Sprint Nextel Corp., which provides wireless and wireline communication products and services (less than 0.1% of total investments for each of the three aforementioned holdings at period end). Within the corporate bond portion of the portfolio, which represented 8.2% of the Fund's total investments as of November 30, 2009, bonds with lower credit ratings contributed most significantly to returns while higher rated bonds contributed less, but still positively contributed to returns, as investors became increasingly comfortable with credit risk. Corporate bonds in the financials and industrials sectors were among the best performing securities in the portfolio, reflecting a dramatic tightening in credit spreads, as markets became more liquid and more stable. Returns of the short-term investment portion of the portfolio were only slightly positive, since interest rates on short-term securities were at their lowest levels in many years, reflecting the Federal Reserve's highly accommodative monetary policy. INDEX DEFINITIONS All indices described below are unmanaged, reflect no expenses and it is not possible to invest directly in any index. Standard and Poor's 500 Index is a capitalization-weighted index of 500 stocks. The index is designed to measure performance of the broad domestic economy through changes in the aggregate market value of 500 stocks representing all major industries. Barclays Capital U.S. Aggregate Bond Index is an unmanaged market value-weighted measure of U.S. Treasury issues, corporate bond issues, mortgage-backed securities and other asset-backed securities. Barclays Capital U.S. Treasury Bill 1-3 Months Index tracks the performance of U.S. Treasury bills with a remaining maturity of one to three months. U.S. Treasury bills, which are short-term loans to the U.S. government, are full-faith-and-credit obligations of the U.S. Treasury and are generally regarded as being free of any risk of default. RISKS AND OTHER CONSIDERATIONS The views expressed in this report reflect those of the portfolio managers and Claymore only through the report period as stated on the cover. These views are subject to change at any time, based on market and other conditions and should not be construed as a recommendation of any kind. The material may also contain forward looking statements that involve risk and uncertainty, and there is no guarantee they will come to pass. This information does not represent an offer to sell securities of the Funds and it is not soliciting an offer to buy securities of the Funds. An investment in the various Claymore ETFs is subject to certain risks and other considerations. Below are some general risks and considerations associated with investing in the Fund, which may cause you to lose money, including the entire principal that you invest. Please refer to the individual ETF prospectus for a more detailed discussion of the Fund-specific risks and considerations. EQUITY RISK: The value of the securities held by the Funds will fall due to general market and economic conditions, perceptions regarding the industries in which the issuers of securities held by the Funds participate, or factors relating to specific companies in which the Funds invest. MICRO-, SMALL- AND MEDIUM-SIZED COMPANY RISK: If the Fund invests in securities of these companies, it will be subject to greater risk as their stocks may be more volatile and less liquid than investing in more established companies. These stocks may have returns that vary, sometimes significantly, from the overall stock market. Micro-cap companies may be newly formed, less developed and there may be less available information about the company. NON-CORRELATION RISK: The Fund's return may not match the return of the Index including, but not limited to, operating expenses and costs in buying and selling securities to reflect changes in the Index. The Fund may not be fully invested at times. If the Fund utilizes a sampling approach or futures or other derivative positions, its return may not correlate with the Index return, as would be the case if it purchased all of the stocks with the same weightings as the Index. REPLICATION MANAGEMENT RISK: The Fund is not "actively" managed. Therefore, it would not necessarily sell a stock because the stock's issuer was in financial trouble unless that stock is removed from the Index. ISSUER-SPECIFIC CHANGES:The value of an individual security or particular type of security can be more volatile than the market as a whole and can perform differently from the value of the market as a whole. The value of securities of smaller issuers can be more volatile than that of larger issuers. NON-DIVERSIFIED FUND RISK:The Fund can invest a greater portion of assets in securities of individual issuers than a diversified fund. Changes in the market value of a single investment could cause greater fluctuations in share price than would occur in a diversified fund. FOREIGN ISSUERS RISK (UEM): Investing in U.S. registered, dollar-denominated bonds of foreign corporations, governments, agencies and supra-national agencies which have different risks than investing in U.S. companies. These include currency, political, and economic risk, as well as less market liquidity, generally greater market volatility and less complete financial information than for U.S. issuers. INDUSTRY RISK: If the Index is comprised of issuers in a particular industry or sector, the Fund would therefore be focused in that industry or sector. Accordingly, the Fund may be subject to more risks than if it were broadly diversified over numerous industries and sectors of the economy. THE CLAYMORE/MORNINGSTAR INFORMATION SUPER SECTOR INDEX ETF is also subject to Software/Hardware Sector Risk, Media Sector Risk, and Telecommunications Sector Risk. THE CLAYMORE/MORNINGSTAR SERVICES SUPER SECTOR INDEX ETF is also subject to Health Care Sector Risk, Consumer Services Sector Risk, Business Services Sector Risk, and Financial Services Sector Risk. THE CLAYMORE/MORNINGSTAR MANUFACTURING SUPER SECTOR INDEX ETF is also subject to Consumer Goods Sector Risk, Energy Sector Risk, and Utilities Sector Risk. THE CLAYMORE U.S.-1-THE CAPITAL MARKETS INDEX ETF is also subject to Asset Class Risk, Call Risk/Prepayment Risk, Credit/Default Risk, Derivatives Risk, Extension Risk, Income Risk, Interest Rate Risk, Liquidity Risk, Mortgage-Backed Securities Risk, Finance Services Sector Risk, and Sampling Risk. IN ADDITION TO THE RISKS DESCRIBED, THERE ARE CERTAIN OTHER RISKS RELATED TO INVESTING IN THE FUNDS. THESE RISKS ARE DESCRIBED FURTHER IN THE PROSPECTUS AND STATEMENT OF ADDITIONAL INFORMATION. MZN | CLAYMORE/MORNINGSTAR INFORMATION SUPER SECTOR INDEX ETF FUND SUMMARY & PERFORMANCE NOVEMBER 30, 2009 (UNAUDITED) FUND STATISTICS - -------------------------------------------------------------- Share Price $ 20.63 Net Asset Value $ 20.96 Premium/Discount to NAV -1.57% Net Assets ($000) $ 3,144 - -------------------------------------------------------------- TOTAL RETURNS - -------------------------------------------------------------------------------- (INCEPTION 8/22/07) Six Month One Year Since Inception (Annualized) - -------------------------------------------------------------------------------- Claymore/Morningstar Information Super Sector Index ETF NAV 23.51% 42.71% -6.88% Market 26.95% 44.71% -7.54% - -------------------------------------------------------------------------------- Morningstar Information Super Sector Index 23.67% 43.01% -6.10% - -------------------------------------------------------------------------------- S&P 500 Index 20.50% 25.23% -9.38% - -------------------------------------------------------------------------------- Performance data quoted represents past performance, which is no guarantee of future results, and current performance may be lower or higher than the figures shown. The deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares is not reflected in the total returns. The investment return and principal value of an investment will fluctuate with changes in market conditions and other factors so that an investor's shares, when redeemed, may be worth more or less than their original cost. Since inception returns assume a purchase of the Fund at the initial share price of $25.09 per share for share price returns or initial net asset value (NAV) of $25.09 per share for NAV returns. Returns for periods of less than one year are not annualized. The Fund's total annual operating expense ratio was 7.24%, per the most recent prospectus, gross of any fee waivers or expense reimbursements. In the Financial Highlights section of this Semiannual Report, the Fund's annualized net operating expense ratio was determined to be 0.45%, while the Fund's annualized gross operating expense ratio was determined to be 6.79%. There was a contractual fee waiver in place for this Fund through December 31, 2012 to the extent necessary in keeping the Fund's operating expense ratio from exceeding 0.40% of average net assets per year. Some expenses fall outside of this expense cap and actual expenses may be higher than 0.40%. Without this expense cap, actual returns would be lower. PORTFOLIO BREAKDOWN % OF NET ASSETS - ------------------------------------------------------------------------ Information Technology 72.3% Telecommunication Services 13.7% Consumer Discretionary 11.9% Industrials 1.0% Health Care 0.3% Financials 0.1% Energy 0.1% - ------------------------------------------------------------------------ Total Common Stocks 99.4% Exchange-Traded Funds 0.5% - ------------------------------------------------------------------------ Total Investments 99.9% Other Assets in excess of Liabilities 0.1% - ------------------------------------------------------------------------ Net Assets 100.0% - ------------------------------------------------------------------------ % OF TOTAL TOP TEN HOLDINGS INVESTMENTS - ------------------------------------------------------------------------ Microsoft Corp. 9.7% Apple, Inc. 7.4% International Business Machines Corp. 6.9% AT&T, Inc. 6.6% Cisco Systems, Inc. 5.6% Hewlett-Packard Co. 4.8% Intel Corp. 4.4% Verizon Communications, Inc. 3.7% Oracle Corp. 3.5% Qualcomm, Inc. 3.1% - ------------------------------------------------------------------------ Portfolio breakdown is shown as a percentage of net assets. Holdings are shown as a percentage of total investments. Both are subject to change daily. For more current Fund information, please visit www.claymore.com. The above summaries are provided for informational purposes only, and should not be viewed as recommendations. MZG | CLAYMORE/MORNINGSTAR MANUFACTURING SUPER SECTOR INDEX ETF FUND SUMMARY NOVEMBER 30, 2009 (UNAUDITED) FUND STATISTICS - ------------------------------------------------------------------------- Share Price $ 20.70 Net Asset Value $ 20.46 Premium/Discount to NAV 1.17% Net Assets ($000) $ 3,069 - ------------------------------------------------------------------------- TOTAL RETURNS - -------------------------------------------------------------------------------- (INCEPTION 8/22/07) Six Month One Year Since Inception (Annualized) - -------------------------------------------------------------------------------- Claymore/Morningstar Manufacturing Super Sector Index ETF NAV 17.79% 20.65% -7.03% Market 14.49% 31.67% -6.56% - -------------------------------------------------------------------------------- Morningstar Manufacturing Super Sector Index 18.07% 20.78% -6.33% - -------------------------------------------------------------------------------- S&P 500 Index 20.50% 25.23% -9.38% - -------------------------------------------------------------------------------- Performance data quoted represents past performance, which is no guarantee of future results, and current performance may be lower or higher than the figures shown. The deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares is not reflected in the total returns. The investment return and principal value of an investment will fluctuate with changes in market conditions and other factors so that an investor's shares, when redeemed, may be worth more or less than their original cost. Since inception returns assume a purchase of the ETF at the initial share price of $24.90 per share for share price returns or initial net asset value (NAV) of $24.90 per share for NAV returns. Returns for periods of less than one year are not annualized. The Fund's total annual operating expense ratio was 7.00%, per the most recent prospectus, gross of any fee waivers or expense reimbursements. In the Financial Highlights section of this Semiannual Report, the Fund's annualized net operating expense ratio was determined to be 0.45%, while the Fund's annualized gross operating expense ratio was determined to be 7.07%. There was a contractual fee waiver in place for this Fund through December 31, 2012 to the extent necessary in keeping the Fund's operating expense ratio from exceeding 0.40% of average net assets per year. Some expenses fall outside of this expense cap and actual expenses may be higher than 0.40%. Without this expense cap, actual returns would be lower. PORTFOLIO BREAKDOWN % OF NET ASSETS - ------------------------------------------------------------------------- Energy 31.2% Consumer Staples 21.1% Industrials 20.0% Materials 10.6% Utilities 10.2% Consumer Discretionary 4.6% Information Technology 1.1% Financials 0.3% Health Care 0.1% - ------------------------------------------------------------------------- Total Common Stock 99.2% Exchange-Traded Funds 0.6% - ------------------------------------------------------------------------- Total Investments 99.8% Other Assets in excess of Liabilities 0.2% - ------------------------------------------------------------------------- NET ASSETS 100.0% - ------------------------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS INVESTMENTS - ------------------------------------------------------------------------ Exxon Mobil Corp. 8.6% Procter & Gamble Co. (The) 4.4% General Electric Co. 4.0% Chevron Corp. 3.7% Coca-Cola Co. (The) 2.9% PepsiCo., Inc. 2.3% Philip Morris International, Inc. 2.2% Schlumberger Ltd. 1.8% ConocoPhillips 1.6% Occidental Petroleum Corp. 1.6% - ------------------------------------------------------------------------- Portfolio breakdown is as a percentage of net assets. Holdings are as a percentage of total investments. Both are subject to change daily. For more current Fund information, please visit www.claymore.com.The above summaries are provided for informational purposes only, and should not be viewed as recommendations. MZO | CLAYMORE/MORNINGSTAR SERVICES SUPER SECTOR INDEX ETF FUND SUMMARY & PERFORMANCE NOVEMBER 30, 2009 (UNAUDITED) FUND STATISTICS - -------------------------------------------------------------- Share Price $ 17.78 Net Asset Value $ 17.64 Premium/Discount to NAV 0.79% Net Assets ($000) $ 2,646 - -------------------------------------------------------------- TOTAL RETURNS - -------------------------------------------------------------------------------- (INCEPTION 8/22/07) Six Month One Year Since Inception (Annualized) - -------------------------------------------------------------------------------- Claymore/Morningstar Services Super Sector Index ETF NAV 20.57% -26.31% -13.15% Market 23.22% -26.08% -12.85% - -------------------------------------------------------------------------------- Morningstar Services Super Sector 20.59% 25.95% -12.60% S&P 500 Index 20.50% 25.23% -9.38% - -------------------------------------------------------------------------------- Performance data quoted represents past performance, which is no guarantee of future results, and current performance may be lower or higher than the figures shown. The deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares is not reflected in the total returns. The investment return and principal value of an investment will fluctuate with changes in market conditions and other factors so that an investor's shares, when redeemed, may be worth more or less than their original cost. Since inception returns assume a purchase of the Fund at the initial share price of $25.12 per share for share price returns or initial net asset value (NAV) of $25.12 per share for NAV returns. Returns for periods of less than one year are not annualized. The Fund's total annual operating expense ratio was 8.77%, per the most recent prospectus, gross of any fee waivers or expense reimbursements. In the Financial Highlights section of this Semiannual Report, the Fund's annualized net operating expense ratio was determined to be 0.45% while the Fund's annualized gross operating expense ratio was determined to be 8.19%. There was a contractual fee waiver in place for this Fund through December 31, 2012 to the extent necessary in keeping the Fund's operating expense ratio from exceeding 0.40% of average net assets per year. Some expenses fall outside of this expense cap and actual expenses may be higher than 0.40%. Without this expense cap, actual returns would be lower. PORTFOLIO BREAKDOWN % OF NET ASSETS - ------------------------------------------------------------------------- Financials 33.7% Health Care 29.5% Consumer Discretionary 13.3% Industrials 7.7% Information Technology 7.5% Consumer Staples 6.0% Energy 0.1% Telecommunication Services 0.0% * - ------------------------------------------------------------------------- Total Common Stocks 97.8% Exchange Traded Funds 1.9% Tracking Stocks 0.2% Master Limited Partnerships 0.1% - ------------------------------------------------------------------------- Total Investments 100.0% Other Assets in excess of Liabilities 0.00% * - ------------------------------------------------------------------------- NET ASSETS 100.0% - ------------------------------------------------------------------------- *Less than 0.1% % OF TOTAL TOP TEN HOLDINGS INVESTMENTS - ------------------------------------------------------------------------ Johnson & Johnson 3.6% JPMorgan Chase & Co. 3.4% Pfizer, Inc. 3.0% Google, Inc. - Class A 2.9% Bank of America Corp. 2.8% Wells Fargo & Co. 2.6% Wal-Mart Stores, Inc. 2.5% Merck & Co., Inc. 2.3% SPDR Trust Series 1 1.9% Abbott Laboratories 1.7% - ------------------------------------------------------------------------ Portfolio breakdown is shown as a percentage of net assets. Holdings are shown as a percentage of total investments. Both are subject to change daily. For more current Fund information, please visit www.claymore.com. The above summaries are provided for informational purposes only, and should not be viewed as recommendations. UEM | CLAYMORE U.S.-1 - THE CAPITAL MARKETS INDEX ETF FUND SUMMARY & PERFORMANCE 11/30/2009 (UNAUDITED) FUND STATISTICS - -------------------------------------------------------------- Share Price $ 45.99 Net Asset Value $ 46.49 Premium/Discount to NAV -1.08% Net Assets ($000) $ 9,297 - --------------------------------------------------------------
TOTAL RETURNS - ---------------------------------------------------------------------------------------------- SINCE INCEPTION (Inception 2/12/08) Six Months One Year ANNUALIZED - ---------------------------------------------------------------------------------------------- Claymore-U.S.-1 - The Capital Markets Index ETF NAV 9.28% 13.44% -2.49% Market 28.71% 17.16% -3.01% - ---------------------------------------------------------------------------------------------- CPMKTS - The Capital Markets Index 8.55% 11.62% -2.52% Barclays Capital 1-3 Month U.S. Treasury Bill Index 0.08% 0.15% 0.86% Barclays Capital U.S. Aggregate Bond Index 6.21% 11.63% 6.15% S&P 500 Index 20.50% 25.23% -8.30% - ----------------------------------------------------------------------------------------------
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE, WHICH IS NO GUARANTEE OF FUTURE RESULTS, AND CURRENT PERFORMANCE MAY BE LOWER OR HIGHER THAN THE FIGURES SHOWN. THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR THE REDEMPTION OF FUND SHARES IS NOT REFLECTED IN THE TOTAL RETURNS. FOR THE MOST RECENT MONTH-END PERFORMANCE FIGURES, PLEASE VISIT WWW.CLAYMORE.COM. THE INVESTMENT RETURN AND PRINCIPAL VALUE OF AN INVESTMENT WILL FLUCTUATE WITH CHANGES IN MARKET CONDITIONS AND OTHER FACTORS SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. Since inception returns assume a purchase of the Fund at the initial share price of $50.00 per share for share price returns or initial net asset value (NAV) of $50.00 per share for NAV returns. Returns for periods of less than one year are not annualized. The Fund's total annual operating expense ratio was 1.89%, per the most recent prospectus, gross of any fee waivers or expense reimbursements. In the Financial Highlights section of this Semiannual Report, the Fund's annualized net operating expense ratio was determined to be 0.42% while the Fund's annualized gross operating expense ratio was determined to be 1.45%. There is a contractual fee waiver currently in place for this Fund through December 31, 2012 to the extent necessary in keeping the Fund's operating expense ratio from exceeding 0.37% of average net assets. Some expenses fall outside of this expense cap and actual expenses may be higher than 0.37%. Without this expense cap, actual returns would be lower. PORTFOLIO BREAKDOWN % OF NET ASSETS - -------------------------------------------------------------------------- Financials 8.6% Information Technology 8.2% Health Care 6.0% Consumer Staples 5.2% Energy 5.1% Consumer Discretionary 4.8% Industrials 4.6% Utilities 2.2% Telecommunication Services 1.8% Materials 1.8% - -------------------------------------------------------------------------- Total Common Stocks, Corporate Bonds and Master Limited Partnerships 48.3% Mortgage Backed Securities 12.0% U.S. Treasury Securities 9.3% U.S. Government Agency Securities 3.3% - -------------------------------------------------------------------------- Total Long-Term Investments 72.9% Total Short-Term Investments 22.2% - -------------------------------------------------------------------------- Total Investments 95.1% Other Assets in excess of Liabilities 4.9% - -------------------------------------------------------------------------- NET ASSETS 100.0% - -------------------------------------------------------------------------- PORTFOLIO COMPOSITION - -------------------------------------------------------- ASSET CLASS % OF TOTAL INVESTMENTS - -------------------------------------------------------- Common Stock 42.6% Short-Term Investments 23.3% Mortgage Backed Securities 12.7% U.S. Treasury Securities 9.7% Corporate Bonds 8.2% U.S. Government Agency Securities 3.5% Master Limited Partnerships 0.0% - -------------------------------------------------------- % OF LONG-TERM TOP TEN HOLDINGS INVESTMENTS - ------------------------------------------------------------------------- Freddie Mac - 6.000%; TBA 3.3% Fannie Mae - 5.500%; TBA 2.8% Ginnie Mae - 5.500%; TBA 2.5% Fannie Mae - 6.500%; TBA 2.4% Freddie Mac - 5.500%; TBA 2.4% Fannie Mae - 4.500%; 12/1/2024 2.2% Exxon Mobil Corp. 1.6% United States Treasury Note/Bond - 2.750%; 7/31/2010 1.3% United States Treasury Note/Bond - 4.250%; 9/30/2012 1.1% Microsoft Corp. 1.1% - ------------------------------------------------------------------------- TBA - To be announced; maturity date has not yet been established Portfolio breakdown is shown as a percentage of net assets. Portfolio composition is shown as a percentage of total investments. Holdings are shown as a percentage of long-term investments. All are subject to change daily. For more current Fund information, please visit www.claymore.com. The above summaries are provided for informational purposes only, and should not be viewed as recommendations. HISTORICAL PREMIUM/DISCOUNT DATA The tables that follow present information about the differences between the daily market price on secondary markets for shares of a Fund and that Fund's net asset value ("NAV"). NAV is the price per share at which each Fund issues and redeems shares. It is calculated in accordance with the standard formula for valuing mutual fund shares. The "Market Price" of each Fund generally is determined using the midpoint between the highest bid and the lowest offer on the stock exchange on which the shares of such Fund is listed for trading, as of the time that the Fund's NAV is calculated. Each Fund's Market Price may be at, above or below its NAV. The NAV of each Fund will fluctuate with changes in the market value of its portfolio holdings. The Market Price of each Fund will fluctuate in accordance with changes in its NAV, as well as market supply and demand. Premiums or discounts are the differences (expressed as a percentage) between the NAV and Market Price of a Fund on a given day, generally at the time NAV is calculated. A premium is the amount that a Fund is trading above the reported NAV, expressed as a percentage of the NAV. A discount is the amount that a Fund is trading below the reported NAV, expressed as a percentage of the NAV. The following information shows the frequency distributions of premiums and discounts for each of the Funds included in this report. The information shown for each Fund is for five years (or since the Fund's inception date if the Fund has been in existence for less than five years). The inception date for each Fund is disclosed at the end of the Historical Premium/Discount Data section. Each line in the table shows the number of trading days in which the Fund traded within the premium/discount range indicated. The number of trading days in each premium/discount range is also shown as a percentage of the total number of trading days in the period covered by each table. All data presented here represents past performance, which cannot be used to predict future results. MZN | Claymore/Morningstar Information Super Sector Index ETF(1) - ------------------------------------------------------------------- Number Percentage Premium/Discount Range of Days of Total Days - ------------------------------------------------------------------- Greater than 2.0% 22 3.83% Between 1.5% and 2.0% 7 1.22% Between 1.0% and 1.5% 10 1.74% Between 0.5% and 1.0% 14 2.44% Between -0.5% and 0.5% 340 59.23% Between -0.5% and -1.0% 53 9.23% Between -1.0% and -1.5% 33 5.75% Between -1.5% and -2.0% 30 5.23% Below -2.0% 65 11.33% - ------------------------------------------------------------------- UEM | Claymore U.S.-1 - The Capital Markets Index ETF(2) - ------------------------------------------------------------------- Number Percentage Premium/Discount Range of Days of Total Days - ------------------------------------------------------------------- Greater than 2.0% 2 0.44% Between 1.5% and 2.0% 2 0.44% Between 1.0% and 1.5% 7 1.54% Between 0.5% and 1.0% 21 4.61% Between -0.5% and 0.5% 189 41.54% Between -0.5% and -1.0% 14 3.08% Between -1.0% and -1.5% 2 0.44% Between -1.5% and -2.0% 2 0.44% Below -2.0% 216 47.47% - ------------------------------------------------------------------- MZG | Claymore/Morningstar Manufacturing Super Sector Index ETF(1) - ------------------------------------------------------------------- Number Percentage Premium/Discount Range of Days of Total Days - ------------------------------------------------------------------- Greater than 2.0% 61 10.63% Between 1.5% and 2.0% 6 1.05% Between 1.0% and 1.5% 8 1.39% Between 0.5% and 1.0% 31 5.40% Between -0.5% and 0.5% 396 68.99% Between -0.5% and -1.0% 35 6.10% Between -1.0% and -1.5% 13 2.26% Between -1.5% and -2.0% 2 0.35% Below -2.0% 22 3.83% - ------------------------------------------------------------------- MZO | Claymore/Morningstar Services Super Sector Index ETF(1) - ------------------------------------------------------------------- Number Percentage Premium/Discount Range of Days of Total Days - ------------------------------------------------------------------- Greater than 2.0% 17 2.96% Between 1.5% and 2.0% 6 1.05% Between 1.0% and 1.5% 4 0.70% Between 0.5% and 1.0% 13 2.26% Between -0.5% and 0.5% 465 81.01% Between -0.5% and -1.0% 43 7.49% Between -1.0% and -1.5% 6 1.05% Between -1.5% and -2.0% 5 0.87% Below -2.0% 15 2.61% - ------------------------------------------------------------------- (1) Commenced operations August 22, (2007.) (2) Commenced operations February 12, (2008.) Overview of Fund Expenses AS OF NOVEMBER 30, 2009 (UNAUDITED) As a shareholder of Claymore/Morningstar Information Super Sector Index ETF; Claymore/Morningstar Manufacturing Super Sector Index ETF; Claymore/Morningstar Services Super Sector Index ETF; and Claymore U.S.-1-The Capital Markets Index ETF, you incur advisory fees and other Fund expenses. The expense examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other funds. The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire six month period ended November 30, 2009. ACTUAL EXPENSE The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing cost of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) or contingent deferred sales charges. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Annualized Expense Beginning Ending Account Ratio for the Expenses Paid Account Value Value Period Ended During Period(1) ------------------------------------------------------------------------ 6/1/09 11/30/09 11/30/09 6/1/09-11/30/09 ------------------------------------------------------------------------ Claymore/Morningstar Information Super Sector Index ETF(2) Actual $ 1,000.00 $ 1,235.13 0.45% $ 2.52 Hypothetical 1,000.00 1,022.81 0.45% 2.28 (5% annual return before expenses) Claymore/Morningstar Manufacturing Super Sector Index ETF(2) Actual 1,000.00 1,177.90 0.45% 2.46 Hypothetical 1,000.00 1,022.81 0.45% 2.28 (5% annual return before expenses) Claymore/Morningstar Services Super Sector Index ETF(2) Actual 1,000.00 1,205.75 0.45% 2.49 Hypothetical 1,000.00 1,022.81 0.45% 2.28 (5% annual return before expenses) Claymore U.S.-1-The Capital Markets Index ETF(2) Actual 1,000.00 1,092.79 0.42% 2.20 Hypothetical 1,000.00 1,022.96 0.42% 2.13 (5% annual return before expenses)
(1) Actual and hypothetical expenses are calculated using the annualized expense ratio. This represents the ongoing expenses of the Fund as a percentage of net assets for the six months ended November 30, 2009. Expenses are calculated by multiplying the Fund's annualized expense ratio by the average account value over the period; then multiplying the result by 183/365. (2) The expense ratios reflect an expense waiver. Please see the Notes to Financial Statements for more information. Assumes all dividends and distributions were reinvested. MZN / CLAYMORE/MORNINGSTAR INFORMATION SUPER SECTOR INDEX ETF PORTFOLIO OF INVESTMENTS NOVEMBER 30, 2009 (UNAUDITED)
NUMBER OF SHARES DESCRIPTION VALUE - -------------------------------------------------------------------------------------------------------- COMMON STOCKS - 99.4% CONSUMER DISCRETIONARY - 11.9% 322 Cablevision Systems Corp. - Class A $ 8,056 18 CBS Corp. - Class A 232 755 CBS Corp. - Class B 9,672 91 CKX, Inc. (a) 497 2,683 Comcast Corp. - Class A 39,360 1,048 Comcast Corp. - Special Class A 14,473 1,241 DIRECTV - Class A (a) 39,253 175 Discovery Communications, Inc. - Class A (a) 5,591 183 Discovery Communications, Inc. - Class C (a) 5,131 274 DISH Network Corp. - Class A 5,674 91 DreamWorks Animation SKG, Inc. - Class A (a) 3,046 300 Gannett Co., Inc. 2,967 155 Garmin Ltd. (Cayman Islands) 4,631 60 Harte-Hanks, Inc. 577 63 John Wiley & Sons, Inc. - Class A 2,359 162 Liberty Global, Inc. - Series A (a) 3,125 163 Liberty Global, Inc. - Series C (a) 3,161 414 McGraw-Hill Cos., Inc. 12,403 46 Meredith Corp. 1,212 22 Morningstar, Inc. (a) (b) 1,020 146 New York Times Co. - Class A (a) 1,232 2,366 News Corp. - Class A 27,114 562 News Corp. - Class B 7,694 42 Scholastic Corp. 1,059 113 Scripps Networks Interactive, Inc. - Class A 4,469 5,028 Sirius XM Radio, Inc. (a) 3,168 459 Time Warner Cable, Inc. 19,227 1,555 Time Warner, Inc. 47,770 15 Viacom, Inc. - Class A (a) 470 716 Viacom, Inc. - Class B (a) 21,222 376 Virgin Media, Inc. 6,189 2,261 Walt Disney Co. 68,327 87 Warner Music Group Corp. (a) 436 8 Washington Post Co. - Class B 3,309 --------------------- 374,126 --------------------- ENERGY - 0.1% 136 BPZ Resources, Inc. (a) 990 --------------------- FINANCIALS - 0.1% 130 MSCI, Inc. - Class A (a) 3,961 --------------------- HEALTH CARE - 0.3% 66 Allscripts-Misys Healthcare Solutions, Inc. (a) 1,267 82 Cerner Corp. (a) 6,174 70 Eclipsys Corp. (a) 1,284 26 Quality Systems, Inc. 1,547 --------------------- 10,272 --------------------- INDUSTRIALS - 1.0% 67 Belden, Inc. 1,482 37 ESCO Technologies, Inc. (a) 1,236 62 First Solar, Inc. (a) 7,385 39 GT Solar International, Inc. (a) 185 154 L-3 Communications Holdings, Inc. 12,069 69 MasTec, Inc. (a) 880 22 Raven Industries, Inc. 594 25 Stanley, Inc. (a) 667 69 Sunpower Corp. - Class A (a) 1,426 61 Sunpower Corp. - Class B (a) 1,090 40 SYKES Enterprises, Inc. (a) 982 69 Thomas & Betts Corp. (a) 2,519 --------------------- 30,515 --------------------- INFORMATION TECHNOLOGY - 72.3% 517 3Com Corp. (a) 3,810 43 3PAR, Inc. (a) 441 755 Accenture PLC - Class A (Ireland) 30,985 45 ACI Worldwide, Inc. (a) 742 764 Activision Blizzard, Inc. (a) 8,702 168 ADC Telecommunications, Inc. (a) 1,030 683 Adobe Systems, Inc. (a) 23,960 81 ADTRAN, Inc. 1,711 799 Advanced Micro Devices, Inc. (a) 5,601 22 Advent Software, Inc. (a) 834 118 Affiliated Computer Services, Inc. - Class A (a) 6,514 452 Agilent Technologies, Inc. (a) 13,072 225 Akamai Technologies, Inc. (a) 5,400 387 Altera Corp. 8,139 252 Amdocs Ltd. (Guernsey) (a) 6,660 124 Amkor Technology, Inc. (a) 688 226 Amphenol Corp. - Class A 9,311 375 Analog Devices, Inc. 11,246 114 ANSYS, Inc. (a) 4,439 1,159 Apple, Inc. (a) 231,696 1,764 Applied Materials, Inc. 21,715 108 Ariba, Inc. (a) 1,171 160 Arris Group, Inc. (a) 1,598 87 Atheros Communications, Inc. (a) 2,477 577 Atmel Corp. (a) 2,291 295 Autodesk, Inc. (a) 6,918 49 Avid Technology, Inc. (a) 583 61 Avocent Corp. (a) 1,524 62 AVX Corp. 748 87 Benchmark Electronics, Inc. (a) 1,569 25 Black Box Corp. 705 42 Blue Coat Systems, Inc. (a) 1,110 237 BMC Software, Inc. (a) 9,179 60 Brightpoint, Inc. (a) 431 573 Broadcom Corp. - Class A (a) 16,732 513 Brocade Communications Systems, Inc. (a) 3,637 551 CA, Inc. 12,177 29 Cabot Microelectronics Corp. (a) 887 333 Cadence Design Systems, Inc. (a) 1,998 46 Cavium Networks, Inc. (a) 928 110 Ciena Corp. (a) 1,336 7,518 Cisco Systems, Inc. (a) 175,921 233 Citrix Systems, Inc. (a) 8,896 48 Cogent, Inc. (a) 409 49 Cognex Corp. 807 381 Cognizant Technology Solutions Corp. - Class A (a) 16,737 123 CommScope, Inc. (a) 3,091 51 CommVault Systems, Inc. (a) 1,061 195 Computer Sciences Corp. (a) 10,785 317 Compuware Corp. (a) 2,200 36 Comtech Telecommunications Corp. (a) 1,035 55 Concur Technologies, Inc. (a) 2,038 122 Cree, Inc. (a) 5,835 50 CSG Systems International, Inc. (a) 968 38 Cymer, Inc. (a) 1,271 191 Cypress Semiconductor Corp. (a) 1,828 53 DealerTrack Holdings, Inc. (a) 904 2,269 Dell, Inc. (a) 32,038 84 Diebold, Inc. 2,112 42 Diodes, Inc. (a) 737 147 Earthlink, Inc. 1,210 51 EchoStar Corp. - Class A (a) 991 420 Electronic Arts, Inc. (a) 7,094 69 Electronics for Imaging, Inc. (a) 829 2,624 EMC Corp./Massachusetts (a) 44,162 104 Emulex Corp. (a) 1,013 103 F5 Networks, Inc. (a) 4,844 149 Fairchild Semiconductor International, Inc. (a) 1,207 54 FEI Co. (a) 1,319 59 Formfactor, Inc. (a) 1,000 114 Harmonic, Inc. (a) 577 174 Harris Corp. 7,639 3,090 Hewlett-Packard Co. 151,595 25 Hittite Microwave Corp. (a) 943 117 Infinera Corp. (a) 963 114 Informatica Corp. (a) 2,559 236 Integrated Device Technology, Inc. (a) 1,336 7,249 Intel Corp. 139,181 56 InterDigital, Inc. (a) 1,332 1,722 International Business Machines Corp. 217,575 101 International Rectifier Corp. (a) 1,891 161 Intersil Corp. - Class A 2,080 380 Intuit, Inc. (a) 11,100 24 IPG Photonics Corp. (a) 359 53 Itron, Inc. (a) 3,222 59 j2 Global Communications, Inc. (a) 1,173 246 Jabil Circuit, Inc. 3,274 36 JDA Software Group, Inc. (a) 845 292 JDS Uniphase Corp. (a) 2,158 694 Juniper Networks, Inc. (a) 18,134 218 KLA-Tencor Corp. 6,810 93 L-1 Identity Solutions, Inc. (a) 571 161 Lam Research Corp. (a) 5,472 172 Lawson Software, Inc. (a) 1,127 101 Lexmark International, Inc. - Class A (a) 2,542 266 Linear Technology Corp. 7,174 841 LSI Corp. (a) 4,449 30 Mantech International Corp. - Class A (a) 1,298 622 Marvell Technology Group Ltd. (Bermuda) (a) 9,591 406 Maxim Integrated Products, Inc. 7,146 204 McAfee, Inc. (a) 7,783 290 MEMC Electronic Materials, Inc. (a) 3,492 114 Mentor Graphics Corp. (a) 840 68 Micrel, Inc. 486 235 Microchip Technology, Inc. 6,169 1,092 Micron Technology, Inc. (a) 8,212 104 Micros Systems, Inc. (a) 2,918 110 Microsemi Corp. (a) 1,675 10,312 Microsoft Corp. 303,276 61 MKS Instruments, Inc. (a) 924 83 Molex, Inc. 1,543 94 Molex, Inc. - Class A 1,542 38 Monolithic Power Systems, Inc. (a) 817 2,825 Motorola, Inc. 22,628 82 National Instruments Corp. 2,339 299 National Semiconductor Corp. 4,365 220 NCR Corp. (a) 2,070 431 NetApp, Inc. (a) 13,283 64 Netezza Corp. (a) 649 22 Netlogic Microsystems, Inc. (a) 898 24 NetSuite, Inc. (a) 335 101 NeuStar, Inc. - Class A (a) 2,363 444 Novell, Inc. (a) 1,736 128 Novellus Systems, Inc. (a) 2,648 285 Nuance Communications, Inc. (a) 4,329 710 Nvidia Corp. (a) 9,273 548 ON Semiconductor Corp. (a) 4,252 4,987 Oracle Corp. 110,113 165 Palm, Inc. (a) 1,800 149 Parametric Technology Corp. (a) 2,244 20 Pegasystems, Inc. 575 71 Plantronics, Inc. 1,644 55 Plexus Corp. (a) 1,494 279 PMC - Sierra, Inc. (a) 2,212 110 Polycom, Inc. (a) 2,372 38 Power Integrations, Inc. 1,276 49 Progress Software Corp. (a) 1,180 164 QLogic Corp. (a) 2,942 2,139 Qualcomm, Inc. 96,255 78 Quest Software, Inc. (a) 1,313 151 Rambus, Inc. (a) 2,691 245 Red Hat, Inc. (a) 6,541 319 RF Micro Devices, Inc. (a) 1,378 73 Riverbed Technology, Inc. (a) 1,486 106 Rovi Corp. (a) 3,160 136 Salesforce.com, Inc. (a) 8,524 296 SanDisk Corp. (a) 5,837 117 Sapient Corp. (a) 861 50 SAVVIS, Inc. (a) 626 632 Seagate Technology (Cayman Islands) 9,562 77 Semtech Corp. (a) 1,234 59 Silicon Laboratories, Inc. (a) 2,492 212 Skyworks Solutions, Inc. (a) 2,610 89 Solera Holdings, Inc. 3,111 262 Sonus Networks, Inc. (a) 571 55 Starent Networks Corp. (a) 1,897 46 STEC, Inc. (a) 570 949 Sun Microsystems, Inc. (a) 8,076 108 Sybase, Inc. (a) 4,346 226 Sycamore Networks, Inc. (a) 640 1,070 Symantec Corp. (a) 18,992 46 Synaptics, Inc. (a) 1,239 187 Synopsys, Inc. (a) 4,202 111 Take-Two Interactive Software, Inc. (a) 1,249 86 Tekelec (a) 1,223 468 Tellabs, Inc. (a) 2,625 212 Teradyne, Inc. (a) 1,878 63 Tessera Technologies, Inc. (a) 1,491 1,660 Texas Instruments, Inc. 41,981 256 TIBCO Software, Inc. (a) 2,202 157 Trimble Navigation Ltd. (a) 3,506 162 TriQuint Semiconductor, Inc. (a) 881 591 Tyco Electronics Ltd. (Switzerland) 13,717 105 United Online, Inc. 714 93 Varian Semiconductor Equipment Associates, Inc. (a) 2,709 79 VeriFone Holdings, Inc. (a) 1,048 251 VeriSign, Inc. (a) 5,632 44 Viasat, Inc. (a) 1,349 248 Vishay Intertechnology, Inc. (a) 1,798 69 VMware, Inc. - Class A (a) 2,897 59 Websense, Inc. (a) 928 284 Western Digital Corp. (a) 10,463 357 Xilinx, Inc. 8,082 1,706 Yahoo!, Inc. (a) 25,539 83 Zebra Technologies Corp. - Class A (a) 2,209 --------------------- 2,272,185 --------------------- TELECOMMUNICATION SERVICES - 13.7% 521 American Tower Corp. - Class A (a) 21,319 7,743 AT&T, Inc. 208,596 36 Cbeyond, Inc. (a) 465 381 CenturyTel, Inc. 13,560 294 Cincinnati Bell, Inc. (a) 876 87 Clearwire Corp. - Class A (a) 492 322 Crown Castle International Corp. (a) 11,814 406 Frontier Communications Corp. 3,207 40 Global Crossing Ltd. (Bermuda) (a) 452 79 Leap Wireless International, Inc. (a) 1,140 2,071 Level 3 Communications, Inc. (a) 2,589 318 MetroPCS Communications, Inc. (a) 2,003 43 Neutral Tandem, Inc. (a) 992 213 NII Holdings, Inc. (a) 6,347 42 NTELOS Holdings Corp. 706 1,800 Qwest Communications International, Inc. 6,570 150 SBA Communications Corp. - Class A (a) 4,806 3,591 Sprint Nextel Corp. (a) 13,323 88 Syniverse Holdings, Inc. (a) 1,396 68 Telephone & Data Systems, Inc. 2,073 64 Telephone & Data Systems, Inc. - Special Shares 1,840 190 tw telecom, inc. (a) 2,765 19 United States Cellular Corp. (a) 708 3,728 Verizon Communications, Inc. 117,283 568 Windstream Corp. 5,635 --------------------- 430,957 --------------------- TOTAL COMMON STOCKS - 99.4% (Cost $3,447,723) 3,123,006 --------------------- EXCHANGE-TRADED FUNDS - 0.5% 300 iShares S&P 500 Growth Index Fund (Cost $15,698) 17,103 --------------------- TOTAL INVESTMENTS - 99.9% (Cost $3,463,421) 3,140,109 Other Assets in excess of Liabilities - 0.1% 3,480 --------------------- NET ASSETS - 100.0% $ 3,143,589 =====================
PLC - Public Limited Company (a) Non-income producing security. (b) Security issuer deemed to be an affiliate due to Fund's licensing agreement with Licensor. Security represents less than 0.1% of net assets. Securities are classified by sectors that represent broad groupings of related industries. See notes to financial statements. MZG | CLAYMORE/MORNINGSTAR MANUFACTURING SUPER SECTOR INDEX ETF PORTFOLIO OF INVESTMENTS NOVEMBER 30, 2009 (UNAUDITED)
NUMBER OF SHARES DESCRIPTION VALUE - ------------------------------------------------------------------------------------------------------- COMMON STOCKS - 99.2% CONSUMER DISCRETIONARY - 4.6% 46 Black & Decker Corp. $ 2,792 10 Blue Nile, Inc. (a) 559 81 BorgWarner, Inc. 2,447 64 Brunswick Corp. 643 46 Callaway Golf Co. 330 41 Carter's, Inc. (a) 892 7 Churchill Downs, Inc. 242 30 Cinemark Holdings, Inc. 380 239 Coach, Inc. 8,305 11 Columbia Sportswear Co. 423 42 Cooper Tire & Rubber Co. 753 9 Deckers Outdoor Corp. (a) 834 201 Eastman Kodak Co. 814 18 Federal Mogul Corp. - Class A (a) 243 2,283 Ford Motor Co. (a) 20,296 107 Fortune Brands, Inc. 4,110 33 Fossil, Inc. (a) 1,018 98 Gentex Corp. 1,629 169 Goodyear Tire & Rubber Co. (The) (a) 2,317 45 Guess?, Inc. 1,667 173 Harley-Davidson, Inc. 5,041 51 Harman International Industries, Inc. 1,918 88 Hasbro, Inc. 2,609 45 Hillenbrand, Inc. 824 52 Iconix Brand Group, Inc. (a) 586 21 International Speedway Corp. - Class A 566 64 Jarden Corp. 1,757 430 Johnson Controls, Inc. 11,632 75 Jones Apparel Group, Inc. 1,271 123 Leggett & Platt, Inc. 2,394 30 Life Time Fitness, Inc. (a) 678 67 Liz Claiborne, Inc. 279 101 LKQ Corp. (a) 1,760 39 Marvel Entertainment, Inc. (a) 2,030 264 Mattel, Inc. 5,137 22 Matthews International Corp. - Class A 762 38 Mohawk Industries, Inc. (a) 1,561 4 National Presto Industries, Inc. 373 194 Newell Rubbermaid, Inc. 2,815 197 NIKE, Inc. - Class B 12,783 23 NutriSystem, Inc. 568 40 Phillips-Van Heusen Corp. 1,600 24 Polaris Industries, Inc. 1,047 42 Polo Ralph Lauren Corp. 3,228 35 Pool Corp. 632 52 Regal Entertainment Group - Class A 712 76 Sherwin-Williams Co. (The) 4,624 9 Speedway Motorsports, Inc. 144 26 Thor Industries, Inc. 740 95 Tiffany & Co. 4,055 35 Timberland Co. (The) - Class A (a) 585 17 True Religion Apparel, Inc. (a) 313 50 TRW Automotive Holdings Corp. (a) 1,088 42 Tupperware Brands Corp. 1,955 23 Under Armour, Inc. - Class A (a) 589 63 VF Corp. 4,581 49 WABCO Holdings, Inc. 1,158 32 Warnaco Group, Inc. (The) (a) 1,303 308 Wendy's/Arby's Group, Inc. - Class A 1,263 55 Whirlpool Corp. 4,079 38 Wolverine World Wide, Inc. 972 ---------------- 142,706 ---------------- CONSUMER STAPLES - 21.1% 62 Alberto-Culver Co. 1,745 1,504 Altria Group, Inc. 28,290 15 American Italian Pasta Co. - Class A (a) 478 425 Archer-Daniels-Midland Co. 13,094 312 Avon Products, Inc. 10,686 49 Bare Escentuals, Inc. (a) 627 11 Brown-Forman Corp. - Class A 589 69 Brown-Forman Corp. - Class B 3,531 98 Bunge Ltd. (Bermuda) 6,066 9 Cal-Maine Foods, Inc. 247 165 Campbell Soup Co. 5,770 36 Central European Distribution Corp. (a) 1,004 13 Central Garden and Pet Co. (a) 113 51 Church & Dwight Co., Inc. 3,011 101 Clorox Co. 6,087 1,554 Coca-Cola Co. (The) 88,889 226 Coca-Cola Enterprises, Inc. 4,441 368 Colgate-Palmolive Co. 30,982 320 ConAgra Foods, Inc. 7,101 140 Constellation Brands, Inc. - Class A (a) 2,395 51 Corn Products International, Inc. 1,430 57 Darling International, Inc. (a) 406 128 Dean Foods Co. (a) 2,035 137 Del Monte Foods Co. 1,437 185 Dr. Pepper Snapple Group, Inc. 4,845 49 Energizer Holdings, Inc. (a) 2,761 80 Estee Lauder Cos., Inc. (The) - Class A 3,746 62 Flowers Foods, Inc. 1,419 31 Fresh Del Monte Produce, Inc. (Cayman Islands) (a) 674 224 General Mills, Inc. 15,232 28 Green Mountain Coffee Roasters, Inc. (a) 1,763 26 Hain Celestial Group, Inc. (The) (a) 451 52 Hansen Natural Corp. (a) 1,818 112 Hershey Co. (The) 3,961 229 HJ Heinz Co. 9,721 51 Hormel Foods Corp. 1,914 10 J&J Snack Foods Corp. 361 83 JM Smucker Co. (The) 4,904 174 Kellogg Co. 9,149 303 Kimberly-Clark Corp. 19,989 981 Kraft Foods, Inc. - Class A 26,075 17 Lancaster Colony Corp. 811 21 Lance, Inc. 511 122 Lorillard, Inc. 9,505 75 McCormick & Co., Inc. 2,676 23 Mead Johnson Nutrition Co. - Class A 1,009 115 Molson Coors Brewing Co. - Class B 5,199 104 Pepsi Bottling Group, Inc. 3,947 44 PepsiAmericas, Inc. 1,302 1,143 PepsiCo., Inc. 71,117 1,423 Philip Morris International, Inc. 68,432 2,140 Procter & Gamble Co. (The) 133,429 41 Ralcorp Holdings, Inc. (a) 2,375 123 Reynolds American, Inc. 6,145 12 Sanderson Farms, Inc. 482 507 Sara Lee Corp. 6,155 98 Smithfield Foods, Inc. (a) 1,517 16 Tootsie Roll Industries, Inc. 407 21 TreeHouse Foods, Inc. (a) 732 225 Tyson Foods, Inc. - Class A 2,705 18 Universal Corp. 772 24 Vector Group Ltd. 334 ---------------- 648,799 ---------------- ENERGY - 31.2% 114 Alpha Natural Resources, Inc. (a) 4,218 362 Anadarko Petroleum Corp. 21,550 243 Apache Corp. 23,153 119 Arch Coal, Inc. 2,482 28 Arena Resources, Inc. (a) 1,145 41 Atlas Energy, Inc. 1,054 37 Atwood Oceanics, Inc. (a) 1,394 224 Baker Hughes, Inc. 9,126 16 Basic Energy Services, Inc. (a) 110 31 Berry Petroleum Co. - Class A 847 24 Bill Barrett Corp. (a) 685 214 BJ Services Co. 4,019 20 Bristow Group, Inc. (a) 686 73 Cabot Oil & Gas Corp. 2,796 28 Cal Dive International, Inc. (a) 203 178 Cameron International Corp. (a) 6,713 14 CARBO Ceramics, Inc. 830 18 Carrizo Oil & Gas, Inc. (a) 379 455 Chesapeake Energy Corp. 10,884 1,462 Chevron Corp. 114,094 57 Cimarex Energy Co. 2,670 19 CNX Gas Corp. (a) 518 46 Complete Production Services, Inc. (a) 478 34 Comstock Resources, Inc. (a) 1,262 52 Concho Resources, Inc. (a) 2,126 949 ConocoPhillips 49,130 133 Consol Energy, Inc. 6,107 10 Contango Oil & Gas Co. (a) 444 22 Continental Resources, Inc. (a) 828 16 Core Laboratories NV (Netherlands) 1,700 40 CVR Energy, Inc. (a) 293 182 Denbury Resources, Inc. (a) 2,415 306 Devon Energy Corp. 20,609 48 Diamond Offshore Drilling, Inc. 4,778 59 Dresser-Rand Group, Inc. (a) 1,657 19 Dril-Quip, Inc. (a) 1,026 506 El Paso Corp. 4,837 39 Encore Acquisition Co. (a) 1,756 103 ENSCO International, Inc. 4,532 184 EOG Resources, Inc. 15,914 121 EXCO Resources, Inc. 2,047 46 Exterran Holdings, Inc. (a) 964 3,508 Exxon Mobil Corp. 263,346 92 FMC Technologies, Inc. (a) 5,011 72 Forest Oil Corp. (a) 1,319 76 Frontier Oil Corp. 876 75 Global Industries Ltd. (a) 440 16 Goodrich Petroleum Corp. (a) 354 19 Gulfmark Offshore, Inc. (a) 518 649 Halliburton Co. 19,055 69 Helix Energy Solutions Group, Inc. (a) 811 71 Helmerich & Payne, Inc. 2,666 216 Hess Corp. 12,519 32 Holly Corp. 814 83 International Coal Group, Inc. (a) 346 20 James River Coal Co. (a) 367 91 Key Energy Services, Inc. (a) 693 10 Lufkin Industries, Inc. 602 519 Marathon Oil Corp. 16,930 74 Mariner Energy, Inc. (a) 926 62 Massey Energy Co. 2,335 58 McMoRan Exploration Co. (a) 421 139 Murphy Oil Corp. 7,838 202 Nabors Industries Ltd. (Bermuda) (a) 4,171 305 National Oilwell Varco, Inc. 13,121 96 Newfield Exploration Co. (a) 4,059 187 Noble Corp. (Switzerland) 7,725 127 Noble Energy, Inc. 8,287 591 Occidental Petroleum Corp. 47,747 38 Oceaneering International, Inc. (a) 2,076 34 Oil States International, Inc. (a) 1,220 75 Parker Drilling Co. (a) 375 56 Patriot Coal Corp. (a) 686 108 Patterson-UTI Energy, Inc. 1,662 193 Peabody Energy Corp. 8,581 26 Penn Virginia Corp. 471 220 PetroHawk Energy Corp. (a) 4,915 83 Pioneer Natural Resources Co. 3,432 100 Plains Exploration & Production Co. (a) 2,721 125 Pride International, Inc. (a) 3,954 76 Quicksilver Resources, Inc. (a) 1,012 113 Range Resources Corp. 5,326 35 Rosetta Resources, Inc. (a) 551 76 Rowan Cos., Inc. 1,876 27 RPC, Inc. 261 106 SandRidge Energy, Inc. (a) 994 870 Schlumberger Ltd. (Netherlands Antilles) 55,584 17 SEACOR Holdings, Inc. (a) 1,302 160 Smith International, Inc. 4,349 69 Southern Union Co. 1,430 249 Southwestern Energy Co. (a) 10,946 462 Spectra Energy Corp. 8,967 43 St. Mary Land & Exploration Co. 1,392 84 Sunoco, Inc. 2,117 57 Superior Energy Services, Inc. (a) 1,205 21 Swift Energy Co. (a) 451 100 Tesoro Corp. 1,278 50 Tetra Technologies, Inc. (a) 518 39 Tidewater, Inc. 1,753 233 Transocean Ltd. (Switzerland) (a) 19,896 110 Ultra Petroleum Corp. (Canada) (a) 5,169 32 Unit Corp. (a) 1,204 80 USEC, Inc. (a) 293 404 Valero Energy Corp. 6,420 18 W&T Offshore, Inc. 186 506 Weatherford International Ltd. (Switzerland) (a) 8,450 20 Western Refining, Inc. (a) 93 36 Whiting Petroleum Corp. (a) 2,241 417 Williams Cos., Inc. (The) 8,294 19 World Fuel Services Corp. 1,010 421 XTO Energy, Inc. 17,867 ---------------- 958,284 ---------------- FINANCIALS - 0.3% 141 Leucadia National Corp. 3,034 121 Plum Creek Timber Co., Inc. - REIT 4,173 57 Rayonier, Inc. - REIT 2,265 ---------------- 9,472 ---------------- HEALTH CARE - 0.1% 29 Teleflex, Inc. 1,511 23 West Pharmaceutical Services, Inc. 887 ---------------- 2,398 ---------------- INDUSTRIALS - 20.0% 468 3M Co. 36,242 25 AAR Corp. (a) 467 38 Actuant Corp. - Class A 621 30 Acuity Brands, Inc. 968 10 Aerovironment, Inc. (a) 287 64 AGCO Corp. (a) 1,940 31 Aircastle Ltd. (Bermuda) 275 24 Alliant Techsystems, Inc. (a) 2,057 27 American Superconductor Corp. (a) 896 6 Ameron International Corp. 342 77 AMETEK, Inc. 2,815 14 A.O. Smith Corp. 587 27 Applied Industrial Technologies, Inc. 560 12 Armstrong World Industries, Inc. (a) 497 11 Astec Industries, Inc. (a) 275 82 Avery Dennison Corp. 3,080 11 Badger Meter, Inc. 387 29 Baldor Electric Co. 747 29 Barnes Group, Inc. 450 74 BE Aerospace, Inc. (a) 1,426 478 Boeing Co. (The) 25,052 34 Brady Corp. - Class A 1,009 35 Briggs & Stratton Corp. 660 23 Broadwind Energy, Inc. (a) 164 52 Bucyrus International, Inc. 2,693 44 Carlisle Cos., Inc. 1,413 454 Caterpillar, Inc. 26,509 17 Ceradyne, Inc. (a) 287 12 CIRCOR International, Inc. 290 35 CLARCOR, Inc. 1,115 123 Cooper Industries PLC - Class A (Ireland) 5,251 35 Crane Co. 978 11 Cubic Corp. 383 130 Cummins, Inc. 5,837 30 Curtiss-Wright Corp. 854 178 Danaher Corp. 12,624 314 Deere & Co. 16,802 132 Dover Corp. 5,396 17 DynCorp International, Inc. - Class A (a) 238 121 Eaton Corp. 7,732 550 Emerson Electric Co. 22,776 38 Ener1, Inc. (a) 223 32 Energy Conversion Devices, Inc. (a) 317 26 EnerSys (a) 592 22 Esterline Technologies Corp. (a) 889 40 Flowserve Corp. 3,978 50 Force Protection, Inc. (a) 258 11 Franklin Electric Co., Inc. 303 36 Gardner Denver, Inc. 1,347 37 General Cable Corp. (a) 1,086 236 General Dynamics Corp. 15,552 7,710 General Electric Co. 123,514 90 Goodrich Corp. 5,341 46 Graco, Inc. 1,296 87 GrafTech International Ltd. (a) 1,280 48 Griffon Corp. (a) 499 59 Harsco Corp. 1,831 5 HEICO Corp. 187 10 HEICO Corp. - Class A 320 43 Herman Miller, Inc. 653 65 Hexcel Corp. (a) 686 27 HNI Corp. 682 502 Honeywell International, Inc. 19,312 35 Hubbell, Inc. - Class B 1,589 60 IDEX Corp. 1,778 17 II-VI, Inc. (a) 484 316 Illinois Tool Works, Inc. 15,370 229 Ingersoll-Rand PLC (Ireland) 8,100 130 ITT Corp. 6,724 76 Joy Global, Inc. 4,069 25 Kaydon Corp. 889 55 Kennametal, Inc. 1,238 28 Lincoln Electric Holdings, Inc. 1,439 9 Lindsay Corp. 316 231 Lockheed Martin Corp. 17,840 91 Manitowoc Co., Inc. (The) 894 259 Masco Corp. 3,517 161 McDermott International, Inc. (Panama) (a) 3,371 12 Middleby Corp. (a) 538 22 Mine Safety Appliances Co. 544 24 Mobile Mini, Inc. (a) 365 26 Moog, Inc. - Class A (a) 687 25 Mueller Industries, Inc. 588 79 Mueller Water Products, Inc. - Class A 398 45 Navistar International Corp. (a) 1,485 21 Nordson Corp. 1,126 220 Northrop Grumman Corp. 12,056 41 Orbital Sciences Corp. (a) 514 64 Oshkosh Corp. 2,543 23 Otter Tail Corp. 530 61 Owens Corning (a) 1,441 251 PACCAR, Inc. 9,307 120 Parker Hannifin Corp. 6,475 150 Pitney Bowes, Inc. 3,456 102 Precision Castparts Corp. 10,575 144 Quanta Services, Inc. (a) 2,700 301 Raytheon Co. 15,511 14 RBC Bearings, Inc. (a) 324 26 Regal-Beloit Corp. 1,234 18 Robbins & Myers, Inc. 414 97 Rockwell Automation, Inc. 4,219 112 Rockwell Collins, Inc. 5,988 66 Roper Industries, Inc. 3,435 60 Shaw Group, Inc. (The) (a) 1,712 26 Simpson Manufacturing Co., Inc. 646 40 Snap-On, Inc. 1,446 71 Spirit Aerosystems Holdings, Inc. - Class A (a) 1,294 39 SPX Corp. 2,078 57 Stanley Works (The) 2,768 22 Teledyne Technologies, Inc. (a) 737 72 Terex Corp. (a) 1,356 13 Textainer Group Holdings Ltd. (Bermuda) 207 197 Textron, Inc. 3,950 52 Timken Co. 1,283 27 Toro Co. 1,076 27 TransDigm Group, Inc. 1,170 19 Tredegar Corp. 274 55 Trinity Industries, Inc. 1,038 12 Triumph Group, Inc. 576 347 Tyco International Ltd. (Switzerland) 12,447 19 United Stationers, Inc. (a) 968 640 United Technologies Corp. 43,034 13 Universal Forest Products, Inc. 467 50 USG Corp. (a) 692 15 Valmont Industries, Inc. 1,150 33 Wabtec Corp. 1,271 20 Watsco, Inc. 1,003 22 Watts Water Technologies, Inc. - Class A 674 31 WESCO International, Inc. (a) 809 42 Woodward Governor Co. 977 ---------------- 612,302 ---------------- INFORMATION TECHNOLOGY - 1.1% 22 Anixter International, Inc. (a) 951 1,142 Corning, Inc. 19,049 38 Dolby Laboratories, Inc. - Class A (a) 1,699 109 FLIR Systems, Inc. (a) 3,128 32 Intermec, Inc. (a) 393 22 Rofin-Sinar Technologies, Inc. (a) 501 147 SAIC, Inc. (a) 2,620 18 Scansource, Inc. (a) 419 70 TiVo, Inc. (a) 693 629 Xerox Corp. 4,843 ---------------- 34,296 ---------------- MATERIALS - 10.6% 144 Air Products & Chemicals, Inc. 11,942 49 Airgas, Inc. 2,266 78 AK Steel Holding Corp. 1,560 65 Albemarle Corp. 2,194 701 Alcoa, Inc. 8,777 67 Allegheny Technologies, Inc. 2,280 17 AMCOL International Corp. 463 44 Aptargroup, Inc. 1,589 17 Arch Chemicals, Inc. 456 49 Ashland, Inc. 1,761 70 Ball Corp. 3,459 79 Bemis Co., Inc. 2,315 42 Cabot Corp. 963 39 Calgon Carbon Corp. (a) 546 36 Carpenter Technology Corp. 834 106 Celanese Corp. - Class A 3,155 22 Century Aluminum Co. (a) 215 41 CF Industries Holdings, Inc. 3,500 93 Cliffs Natural Resources, Inc. 4,098 50 Coeur d'Alene Mines Corp. (a) 1,140 81 Commercial Metals Co. 1,288 22 Compass Minerals International, Inc. 1,432 112 Crown Holdings, Inc. (a) 2,819 36 Cytec Industries, Inc. 1,223 8 Deltic Timber Corp. 306 835 Dow Chemical Co. (The) 23,196 33 Eagle Materials, Inc. 890 50 Eastman Chemical Co. 3,006 173 Ecolab, Inc. 7,769 614 EI Du Pont de Nemours & Co. 21,232 55 FMC Corp. 3,079 299 Freeport-McMoRan Copper & Gold, Inc. 24,757 31 Glatfelter 345 16 Greif, Inc. - Class A 894 7 Greif, Inc. - Class B 349 42 H.B. Fuller Co. 855 157 Hecla Mining Co. (a) 1,038 118 Huntsman Corp. 1,123 57 International Flavors & Fragrances, Inc. 2,321 308 International Paper Co. 7,839 31 Intrepid Potash, Inc. (a) 944 10 Kaiser Aluminum Corp. 386 11 Koppers Holdings, Inc. 311 71 Louisiana-Pacific Corp. (a) 443 48 Lubrizol Corp. 3,481 32 Martin Marietta Materials, Inc. 2,729 115 MeadWestvaco Corp. 3,148 13 Minerals Technologies, Inc. 687 395 Monsanto Co. 31,896 109 Mosaic Co. (The) 5,935 99 Nalco Holding Co. 2,421 10 NewMarket Corp. 1,047 349 Newmont Mining Corp. 18,720 207 Nucor Corp. 8,779 44 Olin Corp. 738 20 OM Group, Inc. (a) 613 118 Owens-Illinois, Inc. (a) 3,690 80 Packaging Corp. of America 1,594 96 Pactiv Corp. (a) 2,338 119 PPG Industries, Inc. 7,072 224 Praxair, Inc. 18,375 46 Reliance Steel & Aluminum Co. 1,880 25 Rock-Tenn Co. - Class A 1,129 37 Rockwood Holdings, Inc. (a) 833 29 Royal Gold, Inc. 1,561 93 RPM International, Inc. 1,823 15 Schnitzer Steel Industries, Inc. - Class A 669 32 Scotts Miracle-Gro Co. (The) - Class A 1,278 110 Sealed Air Corp. 2,452 32 Sensient Technologies Corp. 811 77 Sigma-Aldrich Corp. 4,107 18 Silgan Holdings, Inc. 964 87 Solutia, Inc. (a) 937 70 Sonoco Products Co. 1,973 157 Steel Dynamics, Inc. 2,656 33 Stillwater Mining Co. (a) 314 78 Temple-Inland, Inc. 1,403 75 Terra Industries, Inc. 2,894 19 Texas Industries, Inc. 660 60 Titanium Metals Corp. 586 105 United States Steel Corp. 4,689 8 Valhi, Inc. 83 65 Valspar Corp. 1,704 82 Vulcan Materials Co. 3,975 39 Walter Energy, Inc. 2,675 13 Westlake Chemical Corp. 340 150 Weyerhaeuser Co. 5,841 47 Worthington Industries, Inc. 550 39 WR Grace & Co. (a) 892 ---------------- 324,300 ---------------- UTILITIES - 10.2% 478 AES Corp. (The) (a) 6,090 55 AGL Resources, Inc. 1,900 120 Allegheny Energy, Inc. 2,638 17 Allete, Inc. 568 78 Alliant Energy Corp. 2,143 152 Ameren Corp. 3,950 346 American Electric Power Co., Inc. 11,138 12 American States Water Co. 397 65 American Water Works Co., Inc. 1,446 97 Aqua America, Inc. 1,583 66 Atmos Energy Corp. 1,808 36 Avista Corp. 749 26 Black Hills Corp. 613 13 California Water Service Group 476 262 Calpine Corp. (a) 2,913 222 CenterPoint Energy, Inc. 2,946 11 CH Energy Group, Inc. 444 41 Cleco Corp. 1,046 154 CMS Energy Corp. 2,193 199 Consolidated Edison, Inc. 8,539 128 Constellation Energy Group, Inc. 4,073 428 Dominion Resources, Inc. 15,571 84 DPL, Inc. 2,256 118 DTE Energy Co. 4,733 934 Duke Energy Corp. 15,579 349 Dynegy, Inc. - Class A (a) 632 215 Edison International 7,321 32 El Paso Electric Co. (a) 634 24 Empire District Electric Co. (The) 435 52 Energen Corp. 2,262 142 Entergy Corp. 11,168 92 EQT Corp. 3,786 482 Exelon Corp. 23,223 220 FirstEnergy Corp. 9,478 272 FPL Group, Inc. 14,136 97 Great Plains Energy, Inc. 1,727 66 Hawaiian Electric Industries, Inc. 1,311 32 IDACORP, Inc. 946 52 Integrys Energy Group, Inc. 2,004 34 ITC Holdings Corp. 1,512 14 Laclede Group, Inc. (The) 438 118 MDU Resources Group, Inc. 2,667 14 MGE Energy, Inc. 481 113 Mirant Corp. (a) 1,609 48 National Fuel Gas Co. 2,248 28 New Jersey Resources Corp. 986 31 Nicor, Inc. 1,214 192 NiSource, Inc. 2,736 125 Northeast Utilities 3,014 19 Northwest Natural Gas Co. 815 24 NorthWestern Corp. 619 192 NRG Energy, Inc. (a) 4,596 77 NSTAR 2,551 165 NV Energy, Inc. 1,921 69 OGE Energy Corp. 2,387 71 Oneok, Inc. 2,841 12 Ormat Technologies, Inc. 494 158 Pepco Holdings, Inc. 2,575 271 PG&E Corp. 11,474 47 Piedmont Natural Gas Co., Inc. 1,114 70 Pinnacle West Capital Corp. 2,456 47 PNM Resources, Inc. 524 53 Portland General Electric Co. 1,039 272 PPL Corp. 8,301 202 Progress Energy, Inc. 7,896 368 Public Service Enterprise Group, Inc. 11,540 124 Questar Corp. 4,919 244 RRI Energy, Inc. (a) 1,200 79 SCANA Corp. 2,781 163 Sempra Energy 8,662 20 South Jersey Industries, Inc. 721 581 Southern Co. 18,644 29 Southwest Gas Corp. 760 143 TECO Energy, Inc. 2,109 78 UGI Corp. 1,831 22 UIL Holdings Corp. 593 23 Unisource Energy Corp. 686 59 Vectren Corp. 1,386 78 Westar Energy, Inc. 1,606 34 WGL Holdings, Inc. 1,070 85 Wisconsin Energy Corp. 3,834 327 Xcel Energy, Inc. 6,645 ---------------- 312,350 ---------------- TOTAL COMMON STOCK - 99.2% (Cost $3,783,468) 3,044,907 ---------------- EXCHANGE-TRADED FUNDS - 0.6% 160 SPDR Trust Series 1 (Cost $14,956) 17,581 ---------------- TOTAL INVESTMENTS - 99.8% (Cost $3,798,424) 3,062,488 Other Assets in Excess of Liabilities - 0.2% 6,236 ---------------- NET ASSETS - 100.0% $ 3,068,724 ================
NV - Legal Entity PLC - Public Limited Company REIT - Real Estate Investment Trust (a) Non-income producing security. See notes to financial statements. MZO | CLAYMORE/MORNINGSTAR SERVICES SUPER SECTOR INDEX ETF PORTFOLIO OF INVESTMENTS NOVEMBER 30, 2009 (UNAUDITED)
NUMBER OF SHARES DESCRIPTION VALUE - -------------------------------------------------------------------------------------------------------- COMMON STOCKS - 97.8% CONSUMER DISCRETIONARY - 13.3% 29 99 Cents Only Stores (a) $ 349 25 Aaron's, Inc. 627 47 Abercrombie & Fitch Co. - Class A 1,877 52 Advance Auto Parts, Inc. 2,044 42 Aeropostale, Inc. (a) 1,323 170 Amazon.com, Inc. (a) 23,105 102 American Eagle Outfitters, Inc. 1,569 7 American Public Education, Inc. (a) 224 13 Ameristar Casinos, Inc. 226 38 AnnTaylor Stores Corp. (a) 531 78 Apollo Group, Inc. - Class A (a) 4,451 16 Arbitron, Inc. 344 62 AutoNation, Inc. (a) 1,094 19 AutoZone, Inc. (a) 2,809 26 Bally Technologies, Inc. (a) 1,080 29 Barnes & Noble, Inc. 677 13 Bebe Stores, Inc. 70 150 Bed Bath & Beyond, Inc. (a) 5,604 187 Best Buy Co., Inc. 8,009 46 Big Lots, Inc. (a) 1,061 20 Bob Evans Farms, Inc. 505 31 Boyd Gaming Corp. (a) 253 62 Brinker International, Inc. 856 25 Brink's Home Security Holdings, Inc. (a) 818 12 Buckle, Inc. (The) 328 9 Buffalo Wild Wings, Inc. (a) 359 53 Burger King Holdings, Inc. 901 24 Cabela's, Inc. (a) 289 6 Capella Education Co. (a) 428 51 Career Education Corp. (a) 1,327 117 Carmax, Inc. (a) 2,326 232 Carnival Corp. (Panama) 7,431 18 CEC Entertainment, Inc. (a) 525 37 Cheesecake Factory, Inc. (a) 697 95 Chico's FAS, Inc. (a) 1,337 13 Children's Place Retail Stores, Inc. (The) (a) 415 8 Chipotle Mexican Grill, Inc. - Class A (a) 668 10 Chipotle Mexican Grill, Inc. - Class B (a) 831 20 Choice Hotels International, Inc. 627 14 Coinstar, Inc. (a) 375 36 Collective Brands, Inc. (a) 696 47 Corinthian Colleges, Inc. (a) 697 14 Cracker Barrel Old Country Store, Inc. 526 70 Darden Restaurants, Inc. 2,200 33 DeVry, Inc. 1,793 46 Dick's Sporting Goods, Inc. (a) 955 1 DIRECTV - Class A (a) 33 53 Dollar Tree, Inc. (a) 2,595 148 DR Horton, Inc. 1,521 25 Dress Barn, Inc. (a) 537 115 Expedia, Inc. (a) 2,930 78 Family Dollar Stores, Inc. 2,380 85 Foot Locker, Inc. 807 84 GameStop Corp. - Class A (a) 2,050 298 Gap, Inc. (The) 6,383 22 Gaylord Entertainment Co. (a) 387 92 Genuine Parts Co. 3,296 18 Gymboree Corp. (a) 719 190 H&R Block, Inc. 3,857 52 Hanesbrands, Inc. (a) 1,249 16 Helen of Troy Ltd. (Bermuda) (a) 329 17 Hibbett Sports, Inc. (a) 321 924 Home Depot, Inc. 25,281 19 Interactive Data Corp. 485 173 International Game Technology 3,268 254 Interpublic Group of Cos., Inc. (a) 1,608 22 ITT Educational Services, Inc. (a) 2,002 33 J Crew Group, Inc. (a) 1,412 34 Jack in the Box, Inc. (a) 635 107 JC Penney Co., Inc. 3,075 42 KB Home 569 158 Kohl's Corp. (a) 8,396 38 Lamar Advertising Co. - Class A (a) 1,052 238 Las Vegas Sands Corp. (a) 3,646 68 Lennar Corp. - Class A 862 6 Lennar Corp. - Class B 58 151 Limited Brands, Inc. 2,505 816 Lowe's Cos., Inc. 17,797 238 Macy's, Inc. 3,882 169 Marriott International, Inc. - Class A 4,336 594 McDonald's Corp. 37,571 19 MDC Holdings, Inc. 564 27 Men's Wearhouse, Inc. 551 132 MGM Mirage (a) 1,395 28 NetFlix, Inc. (a) 1,642 98 Nordstrom, Inc. 3,278 3 NVR, Inc. (a) 2,019 151 Office Depot, Inc. (a) 927 40 OfficeMax, Inc. 423 173 Omnicom Group, Inc. 6,353 75 O'Reilly Automotive, Inc. (a) 2,909 17 Panera Bread Co. - Class A (a) 1,070 12 Papa John's International, Inc. (a) 265 41 Penn National Gaming, Inc. (a) 1,098 22 Penske Auto Group, Inc. 325 74 PetSmart, Inc. 1,905 14 PF Chang's China Bistro, Inc. (a) 457 23 priceline.com, Inc. (a) 4,925 178 Pulte Homes, Inc. 1,627 74 RadioShack Corp. 1,396 25 Regis Corp. 392 38 Rent-A-Center, Inc. (a) 672 75 Ross Stores, Inc. 3,299 77 Royal Caribbean Cruises, Ltd. (Liberia) (a) 1,892 23 Ryland Group, Inc. 421 66 Saks, Inc. (a) 403 46 Sally Beauty Holdings, Inc. (a) 321 38 Scientific Games Corp. - Class A (a) 538 34 Sears Holdings Corp. (a) 2,412 160 Service Corp. International 1,235 36 Sonic Corp. (a) 347 36 Sotheby's 683 395 Staples, Inc. 9,211 410 Starbucks Corp. (a) 8,979 98 Starwood Hotels & Resorts Worldwide, Inc. 3,138 8 Strayer Education, Inc. 1,580 6 Systemax, Inc. 92 382 Target Corp. 17,786 43 Tempur-Pedic International, Inc. (a) 927 30 Texas Roadhouse, Inc. - Class A (a) 308 238 TJX Cos., Inc. 9,134 73 Toll Brothers, Inc. (a) 1,423 19 Tractor Supply Co. (a) 887 16 Ulta Salon Cosmetics & Fragrance, Inc. (a) 263 8 Unifirst Corp. 352 64 Urban Outfitters, Inc. (a) 2,025 17 Vail Resorts, Inc. (a) 659 20 Weight Watchers International, Inc. 554 48 Williams-Sonoma, Inc. 975 24 WMS Industries, Inc. (a) 933 99 Wyndham Worldwide Corp. 1,838 42 Wynn Resorts, Ltd. (a) 2,711 258 Yum! Brands, Inc. 9,100 --------------- 351,690 --------------- CONSUMER STAPLES - 6.0% 35 BJ's Wholesale Club, Inc. (a) 1,215 27 Casey's General Stores, Inc. 826 8 Chattem, Inc. (a) 527 242 Costco Wholesale Corp. 14,498 779 CVS Caremark Corp. 24,157 340 Kroger Co. (The) 7,732 33 NBTY, Inc. (a) 1,325 28 Nu Skin Enterprises, Inc. - Class A 750 7 Pricesmart, Inc. 132 329 Rite Aid Corp. (a) 421 24 Ruddick Corp. 639 244 Safeway, Inc. 5,490 118 SUPERVALU, Inc. 1,632 324 Sysco Corp. 8,761 21 United Natural Foods, Inc. (a) 529 553 Walgreen Co. 21,506 1,190 Wal-Mart Stores, Inc. 64,915 6 Weis Markets, Inc. 209 76 Whole Foods Market, Inc. (a) 1,949 29 Winn-Dixie Stores, Inc. (a) 313 --------------- 157,526 --------------- ENERGY - 0.1% 20 General Maritime Corp. (Marshall Islands) 141 13 Hornbeck Offshore Services, Inc. (a) 297 16 Overseas Shipholding Group, Inc. 613 26 Ship Finance International, Ltd. (Bermuda) 339 --------------- 1,390 --------------- FINANCIALS - 33.7% 16 Acadia Realty Trust - REIT 260 23 Affiliated Managers Group, Inc. (a) 1,500 260 Aflac, Inc. 11,968 1 Alexander's, Inc. - REIT (a) 278 18 Alexandria Real Estate Equities, Inc. - REIT 1,015 3 Alleghany Corp. (a) 801 20 Allied World Assurance Co. Holdings, Ltd. (Bermuda) 956 303 Allstate Corp. (The) 8,608 80 AMB Property Corp. - REIT 1,884 22 American Campus Communities, Inc. - REIT 593 571 American Express Co. 23,885 38 American Financial Group, Inc. 922 65 American International Group, Inc. (a) 1,846 9 American National Insurance Co. 977 64 AmeriCredit Corp. (a) 1,181 139 Ameriprise Financial, Inc. 5,299 14 Amtrust Financial Services, Inc. 167 292 Annaly Capital Management, Inc. - REIT 5,376 56 Anworth Mortgage Asset Corp. - REIT 403 131 AON Corp. 5,074 62 Apartment Investment & Management Co. - Class A - REIT 838 30 Arch Capital Group, Ltd. (Bermuda) (a) 2,095 19 Argo Group International Holdings, Ltd. (Bermuda) (a) 554 54 Arthur J Gallagher & Co. 1,210 41 Aspen Insurance Holdings, Ltd. (Bermuda) 1,062 65 Associated Banc-Corp. 737 66 Assurant, Inc. 2,018 68 Assured Guaranty, Ltd. (Bermuda) 1,542 48 Astoria Financial Corp. 498 44 AvalonBay Communities, Inc. - REIT 3,178 77 Axis Capital Holdings, Ltd. (Bermuda) 2,155 4 Bancfirst Corp. 150 42 Bancorpsouth, Inc. 974 27 Bank Mutual Corp. 189 4,706 Bank of America Corp. 74,590 27 Bank of Hawaii Corp. 1,234 658 Bank of New York Mellon Corp. (The) 17,529 371 BB&T Corp. 9,238 22 Beneficial Mutual Bancorp, Inc. (a) 205 36 BioMed Realty Trust, Inc. - REIT 493 11 BlackRock, Inc. 2,498 12 BOK Financial Corp. 558 75 Boston Properties, Inc. - REIT 5,023 47 Brandywine Realty Trust - REIT 461 28 BRE Properties, Inc. - REIT 877 33 Brookline Bancorp, Inc. 314 62 Brown & Brown, Inc. 1,107 31 Camden Property Trust - REIT 1,201 249 Capital One Financial Corp. 9,552 126 CapitalSource, Inc. 462 12 Capitol Federal Financial 350 33 Capstead Mortgage Corp. - REIT 471 16 Cash America International, Inc. 514 24 Cathay General Bancorp 187 110 CB Richard Ellis Group, Inc. - Class A (a) 1,257 37 CBL & Associates Properties, Inc. - REIT 343 527 Charles Schwab Corp. (The) 9,660 12 Chemical Financial Corp. 282 333 Chimera Investment Corp. - REIT 1,342 196 Chubb Corp. 9,827 88 Cincinnati Financial Corp. 2,246 8,307 Citigroup, Inc. 34,142 9 City Holding Co. 294 22 City National Corp. 868 37 CME Group, Inc. 12,144 16 CNA Financial Corp. (a) 364 9 CNA Surety Corp. (a) 121 9 Cohen & Steers, Inc. 172 85 Comerica, Inc. 2,420 36 Commerce Bancshares, Inc. 1,435 16 Community Bank System, Inc. 297 25 Corporate Office Properties Trust - REIT 855 22 Cousins Properties, Inc. - REIT 158 32 Cullen/Frost Bankers, Inc. 1,537 36 CVB Financial Corp. 279 91 DCT Industrial Trust, Inc. - REIT 432 24 Delphi Financial Group, Inc. - Class A 525 73 Developers Diversified Realty Corp. - REIT 739 52 DiamondRock Hospitality Co. - REIT 418 37 Digital Realty Trust, Inc. - REIT 1,800 292 Discover Financial Services 4,514 61 Douglas Emmett, Inc. - REIT 837 91 Duke Realty Corp. - REIT 1,020 232 E*Trade Financial Corp. (a) 380 31 East West Bancorp, Inc. 452 13 EastGroup Properties, Inc. - REIT 493 68 Eaton Vance Corp. 2,050 29 Employers Holdings, Inc. 444 32 Endurance Specialty Holdings, Ltd. (Bermuda) 1,196 14 Entertainment Properties Trust - REIT 442 12 Equity Lifestyle Properties, Inc. - REIT 576 20 Equity One, Inc. - REIT 323 149 Equity Residential - REIT 4,799 18 Erie Indemnity Co. - Class A 665 14 Essex Property Trust, Inc. - REIT 1,117 32 Everest Re Group, Ltd. (Bermuda) 2,724 35 Extra Space Storage, Inc. - REIT 385 21 Ezcorp, Inc. - Class A (a) 310 31 Federal Realty Investment Trust - REIT 1,994 54 Federated Investors, Inc. - Class B 1,392 118 Fidelity National Financial, Inc. - Class A 1,639 433 Fifth Third Bancorp 4,365 15 Financial Federal Corp. 407 47 First American Corp. 1,491 3 First Citizens BancShares, Inc. - Class A 472 36 First Commonwealth Financial Corp. 153 10 First Financial Bankshares, Inc. 518 112 First Horizon National Corp. (a) 1,518 27 First Midwest Bancorp, Inc. 282 58 First Niagara Financial Group, Inc. 765 41 FirstMerit Corp. 859 48 FNB Corp. 312 35 Forest City Enterprises, Inc. - Class A 376 91 Franklin Resources, Inc. 9,831 35 Franklin Street Properties Corp. - REIT 395 94 Fulton Financial Corp. 810 261 Genworth Financial, Inc. - Class A (a) 2,811 28 Glacier Bancorp, Inc. 366 111 GLG Partners, Inc. 327 236 Goldman Sachs Group, Inc. (The) 40,040 6 Greenhill & Co., Inc. 490 15 Hancock Holding Co. 621 28 Hanover Insurance Group, Inc. (The) 1,166 8 Harleysville Group, Inc. 252 209 Hartford Financial Services Group, Inc. 5,112 20 Hatteras Financial Corp. - REIT 612 61 HCC Insurance Holdings, Inc. 1,594 140 HCP, Inc. - REIT 4,382 57 Health Care REIT, Inc. - REIT 2,539 26 Healthcare Realty Trust, Inc. - REIT 574 31 Highwoods Properties, Inc. - REIT 949 26 Hilltop Holdings, Inc. (a) 316 9 Home Bancshares, Inc. 206 18 Home Properties, Inc. - REIT 809 51 Hospitality Properties Trust - REIT 990 286 Host Hotels & Resorts, Inc. - REIT 3,009 114 HRPT Properties Trust - REIT 700 275 Hudson City Bancorp, Inc. 3,655 299 Huntington Bancshares, Inc. 1,142 6 IBERIABANK Corp. 340 11 Infinity Property & Casualty Corp. 440 32 Inland Real Estate Corp. - REIT 251 24 Interactive Brokers Group, Inc. - Class A (a) 406 41 IntercontinentalExchange, Inc. (a) 4,378 29 International Bancshares Corp. 486 24 Investment Technology Group, Inc. (a) 438 25 Investors Bancorp, Inc. (a) 276 33 Investors Real Estate Trust - REIT 291 94 Janus Capital Group, Inc. 1,230 59 Jefferies Group, Inc. 1,384 20 Jones Lang LaSalle, Inc. 1,017 2,139 JPMorgan Chase & Co. 90,886 16 KBW, Inc. (a) 393 12 Kearny Financial Corp. 118 389 Keycorp 2,280 18 Kilroy Realty Corp. - REIT 542 207 Kimco Realty Corp. - REIT 2,550 57 Knight Capital Group, Inc. - Class A (a) 834 22 LaSalle Hotel Properties - REIT 410 79 Legg Mason, Inc. 2,235 37 Lexington Realty Trust - REIT 180 50 Liberty Property Trust - REIT 1,482 147 Lincoln National Corp. 3,368 199 Loews Corp. 7,049 42 M&T Bank Corp. 2,754 40 Macerich Co. (The) - REIT 1,190 37 Mack-Cali Realty Corp. - REIT 1,136 5 Markel Corp. (a) 1,695 286 Marsh & McLennan Cos., Inc. 6,449 143 Marshall & Ilsley Corp. 822 26 Max Capital Group Ltd. (Bermuda) 567 20 MB Financial, Inc. 373 130 MBIA, Inc. (a) 450 14 Mercury General Corp. 517 319 MetLife, Inc. 10,907 53 MF Global, Ltd. (Bermuda) (a) 333 128 MFA Financial, Inc. - REIT 969 67 MGIC Investment Corp. (a) 268 14 Mid-America Apartment Communities, Inc. - REIT 651 106 Moody's Corp. 2,462 668 Morgan Stanley 21,095 90 Nasdaq OMX Group (The) (a) 1,681 14 National Health Investors, Inc. - REIT 462 39 National Penn Bancshares, Inc. 215 36 National Retail Properties, Inc. - REIT 721 60 Nationwide Health Properties, Inc. - REIT 2,041 7 Navigators Group, Inc. (a) 326 19 NBT Bancorp, Inc. 391 192 New York Community Bancorp, Inc. 2,244 57 NewAlliance Bancshares, Inc. 671 125 Northern Trust Corp. 6,188 11 Northwest Bancorp, Inc. 255 143 NYSE Euronext 3,615 36 Old National Bancorp 419 126 Old Republic International Corp. 1,341 36 Omega Healthcare Investors, Inc. - REIT 651 25 optionsXpress Holdings, Inc. 383 15 PacWest Bancorp 276 6 Park National Corp. 359 31 PartnerRe, Ltd. (Bermuda) 2,388 93 People's United Financial, Inc. 1,515 29 PHH Corp. (a) 401 7 Pico Holdings, Inc. (a) 210 13 Pinnacle Financial Partners, Inc. (a) 154 10 Piper Jaffray Cos. (a) 434 31 Platinum Underwriters Holdings, Ltd. (Bermuda) 1,094 245 PNC Financial Services Group, Inc. 13,967 9 Portfolio Recovery Associates, Inc. (a) 405 23 Post Properties, Inc. - REIT 424 21 Potlatch Corp. - REIT 618 162 Principal Financial Group, Inc. 4,113 12 PrivateBancorp, Inc. 119 17 ProAssurance Corp. (a) 905 355 Progressive Corp. (The) 5,953 233 Prologis - REIT 3,048 24 Prosperity Bancshares, Inc. 956 38 Protective Life Corp. 629 34 Provident Financial Services, Inc. 360 251 Prudential Financial, Inc. 12,512 9 PS Business Parks, Inc. - REIT 428 72 Public Storage - REIT 5,730 52 Raymond James Financial, Inc. 1,263 55 Realty Income Corp. - REIT 1,391 28 Redwood Trust, Inc. - REIT 402 38 Regency Centers Corp. - REIT 1,272 607 Regions Financial Corp. 3,557 40 Reinsurance Group of America, Inc. 1,860 36 RenaissanceRe Holdings, Ltd. (Bermuda) 1,918 17 Riskmetrics Group, Inc. (a) 254 11 RLI Corp. 555 14 S&T Bancorp, Inc. 223 9 Safety Insurance Group, Inc. 321 6 Saul Centers, Inc. - REIT 185 78 SEI Investments Co. 1,366 30 Selective Insurance Group 468 66 Senior Housing Properties Trust - REIT 1,371 16 Signature Bank (a) 496 155 Simon Property Group, Inc. - REIT 11,262 32 SL Green Realty Corp. - REIT 1,421 262 SLM Corp. (a) 2,874 11 Sovran Self Storage, Inc. - REIT 356 51 St. Joe Co. (The) (a) 1,270 29 StanCorp Financial Group, Inc. 1,076 8 State Auto Financial Corp. 130 267 State Street Corp. 11,027 40 Sterling Bancshares, Inc. 201 14 Stifel Financial Corp. (a) 752 2 Student Loan Corp. (The) 99 255 SunTrust Banks, Inc. 6,026 47 Susquehanna Bancshares, Inc. 270 19 SVB Financial Group (a) 719 230 Synovus Financial Corp. 449 145 T Rowe Price Group, Inc. 7,095 17 Tanger Factory Outlet Centers - REIT 667 29 Taubman Centers, Inc. - REIT 996 67 TCF Financial Corp. 880 131 TD Ameritrade Holding Corp. (a) 2,573 55 TFS Financial Corp. 615 52 Torchmark Corp. 2,261 20 Tower Group, Inc. 494 31 Transatlantic Holdings, Inc. 1,675 309 Travelers Cos., Inc. (The) 16,189 40 Trustco Bank Corp. 246 28 Trustmark Corp. 536 79 UDR, Inc. - REIT 1,183 17 UMB Financial Corp. 668 34 Umpqua Holdings Corp. 400 24 United Bankshares, Inc. 410 12 United Fire & Casualty Co. 207 26 Unitrin, Inc. 580 197 Unum Group 3,751 1,040 US Bancorp 25,095 43 Validus Holdings, Ltd. (Bermuda) 1,140 72 Valley National Bancorp 952 77 Ventas, Inc. - REIT 3,306 91 Vornado Realty Trust - REIT 5,957 46 Waddell & Reed Financial, Inc. - Class A 1,340 47 Washington Federal, Inc. 895 25 Washington Real Estate Investment Trust - REIT 653 43 Weingarten Realty Investors - REIT 835 2,412 Wells Fargo & Co. 67,632 14 WesBanco, Inc. 181 16 Westamerica Bancorporation 851 4 White Mountains Insurance Group, Ltd. (Bermuda) 1,303 36 Whitney Holding Corp. 290 37 Wilmington Trust Corp. 454 13 Wintrust Financial Corp. 338 79 WR Berkley Corp. 1,952 176 XL Capital, Ltd. - Class A (Cayman Islands) 3,223 20 Zenith National Insurance Corp. 572 59 Zions Bancorporation 776 --------------- 892,491 --------------- HEALTH CARE - 29.5% 837 Abbott Laboratories 45,608 5 Abraxis Bioscience, Inc. (a) 167 20 Acorda Therapeutics, Inc. (a) 482 254 Aetna, Inc. 7,394 40 Alexion Pharmaceuticals, Inc. (a) 1,814 32 Align Technology, Inc. (a) 523 55 Alkermes, Inc. (a) 494 173 Allergan, Inc. 10,056 16 Alnylam Pharmaceuticals, Inc. (a) 269 9 AMAG Pharmaceuticals, Inc. (a) 336 14 Amedisys, Inc. (a) 518 40 American Medical Systems Holdings, Inc. (a) 703 28 AMERIGROUP Corp. (a) 664 168 AmerisourceBergen Corp. 4,148 557 Amgen, Inc. (a) 31,387 16 Amsurg Corp. (a) 331 71 Amylin Pharmaceuticals, Inc. (a) 1,012 8 Analogic Corp. 324 12 athenahealth, Inc. (a) 503 17 Auxilium Pharmaceuticals, Inc. (a) 593 329 Baxter International, Inc. 17,947 34 Beckman Coulter, Inc. 2,209 125 Becton Dickinson & Co. 9,350 167 Biogen Idec, Inc. (a) 7,839 52 BioMarin Pharmaceutical, Inc. (a) 859 10 Bio-Rad Laboratories, Inc. - Class A (a) 967 830 Boston Scientific Corp. (a) 6,947 1,098 Bristol-Myers Squibb Co. 27,790 28 Brookdale Senior Living, Inc. 436 28 Bruker Corp. (a) 317 202 Cardinal Health, Inc. 6,510 18 Catalyst Health Solutions, Inc. (a) 612 42 Celera Corp. (a) 262 254 Celgene Corp. (a) 14,084 24 Centene Corp. (a) 452 36 Cephalon, Inc. (a) 1,978 30 Cepheid, Inc. (a) 371 36 Charles River Laboratories International, Inc. (a) 1,157 14 Chemed Corp. 633 156 Cigna Corp. 5,004 52 Community Health Systems, Inc. (a) 1,587 24 Cooper Cos., Inc. (The) 804 35 Covance, Inc. (a) 1,859 85 Coventry Health Care, Inc. (a) 1,917 281 Covidien PLC (Ireland) 13,156 57 CR Bard, Inc. 4,686 30 Cubist Pharmaceuticals, Inc. (a) 500 57 DaVita, Inc. (a) 3,377 63 Dendreon Corp. (a) 1,722 77 DENTSPLY International, Inc. 2,566 10 Dionex Corp. (a) 701 32 Edwards Lifesciences Corp. (a) 2,633 540 Eli Lilly & Co. 19,834 13 Emeritus Corp. (a) 203 60 Endo Pharmaceuticals Holdings, Inc. (a) 1,322 35 ev3, Inc. (a) 445 138 Express Scripts, Inc. (a) 11,840 171 Forest Laboratories, Inc. (a) 5,243 8 Genomic Health, Inc. (a) 152 28 Gen-Probe, Inc. (a) 1,167 16 Gentiva Health Services, Inc. (a) 378 151 Genzyme Corp. (a) 7,656 508 Gilead Sciences, Inc. (a) 23,393 13 Greatbatch, Inc. (a) 239 14 Haemonetics Corp. (a) 747 131 Health Management Associates, Inc. - Class A (a) 803 61 Health Net, Inc. (a) 1,294 43 Healthsouth Corp. (a) 754 24 Healthspring, Inc. (a) 397 48 Henry Schein, Inc. (a) 2,384 32 Hill-Rom Holdings, Inc. 710 14 HMS Holdings Corp. (a) 619 140 Hologic, Inc. (a) 2,026 85 Hospira, Inc. (a) 3,991 95 Humana, Inc. (a) 3,943 34 Idexx Laboratories, Inc. (a) 1,702 66 Illumina, Inc. (a) 1,909 37 Immucor, Inc. (a) 683 106 IMS Health, Inc. 2,264 10 Integra LifeSciences Holdings Corp. (a) 327 14 InterMune, Inc. (a) 150 22 Intuitive Surgical, Inc. (a) 6,172 17 Invacare Corp. 423 40 Inverness Medical Innovations, Inc. (a) 1,682 45 Isis Pharmaceuticals, Inc. (a) 482 1,504 Johnson & Johnson 94,511 18 Kindred Healthcare, Inc. (a) 267 29 Kinetic Concepts, Inc. (a) 978 131 King Pharmaceuticals, Inc. (a) 1,550 59 Laboratory Corp. of America Holdings (a) 4,305 5 Landauer, Inc. 284 8 LHC Group, Inc. (a) 246 31 LifePoint Hospitals, Inc. (a) 900 96 Life Technologies Corp. (a) 4,779 46 Lincare Holdings, Inc. (a) 1,634 22 Luminex Corp. (a) 301 21 Magellan Health Services, Inc. (a) 772 17 Martek Biosciences Corp. (a) 296 23 Masimo Corp. (a) 606 151 McKesson Corp. 9,365 258 Medco Health Solutions, Inc. (a) 16,295 28 Medicines Co. (The) (a) 220 30 Medicis Pharmaceutical Corp. - Class A 708 16 Medivation, Inc. (a) 491 26 Mednax, Inc. (a) 1,461 604 Medtronic, Inc. 25,634 1,658 Merck & Co., Inc. 60,036 20 Meridian Bioscience, Inc. 414 21 Mettler-Toledo International, Inc. (a) 2,089 29 Millipore Corp. (a) 1,975 8 Molina Healthcare, Inc. (a) 167 166 Mylan, Inc. (a) 2,966 52 Myriad Genetics, Inc. (a) 1,202 52 Nektar Therapeutics (a) 453 19 NuVasive, Inc. (a) 617 66 Omnicare, Inc. 1,530 30 Onyx Pharmaceuticals, Inc. (a) 858 31 OSI Pharmaceuticals, Inc. (a) 1,033 22 Owens & Minor, Inc. 853 30 Parexel International Corp. (a) 360 56 Patterson Cos., Inc. (a) 1,440 82 PDL BioPharma, Inc. 533 67 PerkinElmer, Inc. 1,264 42 Perrigo Co. 1,686 4,419 Pfizer, Inc. 80,293 57 Pharmaceutical Product Development, Inc. 1,222 16 PharMerica Corp. (a) 241 23 Phase Forward, Inc. (a) 351 37 PSS World Medical, Inc. (a) 716 29 Psychiatric Solutions, Inc. (a) 643 82 Quest Diagnostics, Inc. 4,751 35 Regeneron Pharmaceuticals, Inc. (a) 642 41 Resmed, Inc. (a) 2,061 24 Seattle Genetics, Inc. (a) 223 10 Sirona Dental Systems, Inc. (a) 291 192 St. Jude Medical, Inc. (a) 7,048 35 STERIS Corp. 1,131 167 Stryker Corp. 8,417 24 Sun Healthcare Group, Inc. (a) 203 20 Techne Corp. 1,358 257 Tenet Healthcare Corp. (a) 1,169 29 Theravance, Inc. (a) 382 222 Thermo Fisher Scientific, Inc. (a) 10,485 26 Thoratec Corp. (a) 775 28 United Therapeutics Corp. (a) 1,277 632 UnitedHealth Group, Inc. 18,119 21 Universal American Corp. (a) 218 27 Universal Health Services, Inc. - Class B 1,509 39 Valeant Pharmaceuticals International (a) 1,275 17 Varian, Inc. (a) 870 69 Varian Medical Systems, Inc. (a) 3,225 45 VCA Antech, Inc. (a) 1,020 90 Vertex Pharmaceuticals, Inc. (a) 3,494 44 Viropharma, Inc. (a) 333 13 Volcano Corp. (a) 191 47 Warner Chilcott PLC - Class A (Ireland) (a) 1,155 55 Waters Corp. (a) 3,233 55 Watson Pharmaceuticals, Inc. (a) 2,040 20 WellCare Health Plans, Inc. (a) 660 258 WellPoint, Inc. (a) 13,940 19 Wright Medical Group, Inc. (a) 342 12 XenoPort, Inc. (a) 198 126 Zimmer Holdings, Inc. (a) 7,455 --------------- 781,927 --------------- INDUSTRIALS - 7.7% 24 ABM Industries, Inc. 442 14 Administaff, Inc. 312 52 Aecom Technology Corp. (a) 1,321 66 Airtran Holdings, Inc. (a) 272 23 Alaska Air Group, Inc. (a) 688 23 Alexander & Baldwin, Inc. 703 8 Allegiant Travel Co. (a) 330 4 Amerco, Inc. (a) 205 5 American Science & Engineering, Inc. 348 157 AMR Corp. (a) 948 12 Arkansas Best Corp. 295 25 Beacon Roofing Supply, Inc. (a) 384 22 Brink's Co. (The) 494 152 Burlington Northern Santa Fe Corp. 14,942 28 CBIZ, Inc. (a) 193 93 CH Robinson Worldwide, Inc. 5,184 74 Cintas Corp. 2,079 9 Clean Harbors, Inc. (a) 482 52 Continental Airlines, Inc. - Class B (a) 742 25 Con-way, Inc. 758 36 Copart, Inc. (a) 1,167 20 Corporate Executive Board Co. 419 66 Corrections Corp. of America (a) 1,649 10 CoStar Group, Inc. (a) 397 70 Covanta Holding Corp. (a) 1,195 225 CSX Corp. 10,683 388 Delta Air Lines, Inc. (a) 3,178 28 Deluxe Corp. 361 38 Donaldson Co., Inc. 1,615 32 Dun & Bradstreet Corp. 2,515 34 EMCOR Group, Inc. (a) 809 43 EnergySolutions, Inc. 369 72 Equifax, Inc. 2,063 116 Expeditors International of Washington, Inc. 3,704 76 Fastenal Co. 2,818 163 FedEx Corp. 13,765 98 Fluor Corp. 4,163 17 Forward Air Corp. 385 28 FTI Consulting, Inc. (a) 1,295 12 G&K Services, Inc. - Class A 265 25 GATX Corp. 722 17 Genco Shipping & Trading, Ltd. (Marshall Islands) 399 20 Genesee & Wyoming, Inc. - Class A (a) 622 27 Geo Group, Inc. (The) (a) 537 19 Granite Construction, Inc. 569 20 Healthcare Services Group, Inc. 394 33 Heartland Express, Inc. 487 72 Hertz Global Holdings, Inc. (a) 706 21 HUB Group, Inc. - Class A (a) 555 10 Huron Consulting Group, Inc. (a) 228 27 IHS, Inc. - Class A (a) 1,358 99 Iron Mountain, Inc. (a) 2,376 66 Jacobs Engineering Group, Inc. (a) 2,309 56 JB Hunt Transport Services, Inc. 1,784 90 JetBlue Airways Corp. (a) 496 51 Kansas City Southern (a) 1,460 91 KBR, Inc. 1,695 29 Kirby Corp. (a) 967 30 Knight Transportation, Inc. 510 23 Korn/Ferry International (a) 373 30 Landstar System, Inc. 1,120 10 Layne Christensen Co. (a) 260 35 Lennox International, Inc. 1,299 46 Manpower, Inc. 2,266 12 Mcgrath Rentcorp 248 63 Monster Worldwide, Inc. (a) 920 56 MPS Group, Inc. (a) 764 26 MSC Industrial Direct Co. - Class A 1,193 23 Navigant Consulting, Inc. (a) 305 205 Norfolk Southern Corp. 10,537 18 Old Dominion Freight Line, Inc. (a) 477 66 Pall Corp. 2,101 54 Pentair, Inc. 1,625 170 Republic Services, Inc. 4,794 25 Resources Connection, Inc. (a) 482 91 Robert Half International, Inc. 2,032 28 Rollins, Inc. 498 119 RR Donnelley & Sons Co. 2,449 26 RSC Holdings, Inc. (a) 165 33 Ryder System, Inc. 1,338 35 Skywest, Inc. 515 403 Southwest Airlines Co. 3,708 48 Stericycle, Inc. (a) 2,627 31 Tetra Tech, Inc. (a) 817 11 Tutor Perini Corp. (a) 183 63 UAL Corp. (a) 489 281 Union Pacific Corp. 17,776 384 United Parcel Service, Inc. - Class B 22,068 47 URS Corp. (a) 1,953 44 Waste Connections, Inc. (a) 1,428 277 Waste Management, Inc. 9,097 23 Watson Wyatt Worldwide, Inc. - Class A 951 29 Werner Enterprises, Inc. 541 37 WW Grainger, Inc. 3,615 --------------- 203,125 --------------- INFORMATION TECHNOLOGY - 7.5% 37 Acxiom Corp. (a) 427 38 Alliance Data Systems Corp. (a) 2,318 67 Arrow Electronics, Inc. (a) 1,761 280 Automatic Data Processing, Inc. 12,166 81 Avnet, Inc. (a) 2,207 24 Blackbaud, Inc. 534 14 Blackboard, Inc. (a) 584 76 Broadridge Financial Solutions, Inc. 1,670 16 CACI International, Inc. - Class A (a) 743 21 Checkpoint Systems, Inc. (a) 298 75 Convergys Corp. (a) 839 38 Cybersource Corp. (a) 652 22 Digital River, Inc. (a) 555 23 DST Systems, Inc. (a) 977 612 eBay, Inc. (a) 14,976 19 Equinix, Inc. (a) 1,828 25 Euronet Worldwide, Inc. (a) 531 24 Factset Research Systems, Inc. 1,736 31 Fair Isaac Corp. 566 172 Fidelity National Information Services, Inc. 3,887 91 Fiserv, Inc. (a) 4,208 10 Forrester Research, Inc. (a) 251 38 Gartner, Inc. (a) 719 20 Genpact, Ltd. (Bermuda) (a) 260 43 Global Payments, Inc. 2,204 131 Google, Inc. - Class A (a) 76,373 10 GSI Commerce, Inc. (a) 223 47 Hewitt Associates, Inc. - Class A (a) 1,888 53 IAC/InterActiveCorp. (a) 1,031 80 Ingram Micro, Inc. - Class A (a) 1,359 45 Jack Henry & Associates, Inc. 1,028 53 Lender Processing Services, Inc. 2,214 52 Mastercard, Inc. - Class A 12,525 12 MAXIMUS, Inc. 558 185 Paychex, Inc. 5,800 41 Rackspace Hosting, Inc. (a) 759 23 SRA International, Inc. - Class A (a) 415 9 SYNNEX Corp. (a) 255 7 Syntel, Inc. 265 30 Tech Data Corp. (a) 1,263 22 TeleTech Holdings, Inc. (a) 424 102 Teradata Corp. (a) 2,989 108 Total System Services, Inc. 1,866 20 Tyler Technologies, Inc. (a) 400 19 Unisys Corp. (a) 610 54 Valueclick, Inc. (a) 509 246 Visa, Inc. - Class A 19,926 22 VistaPrint NV (Netherlands) (a) 1,255 394 Western Union Co. (The) 7,269 22 Wright Express Corp. (a) 642 --------------- 198,743 --------------- TELECOMMUNICATION SERVICES - 0.0% 31 Premiere Global Services, Inc. (a) 234 --------------- TOTAL COMMON STOCKS - 97.8% (Cost $3,496,868) 2,587,126 --------------- EXCHANGE-TRADED FUNDS - 1.9% 460 SPDR Trust Series 1 50,545 (Cost $49,824) --------------- TRACKING STOCKS (B) - 0.2% CONSUMER DISCRETIONARY - 0.2% 47 Liberty Media Corp. - Capital (a) 1,038 318 Liberty Media Corp. - Interactive (a) 3,384 27 Liberty Media Corp. - Starz (a) 1,297 (Cost $7,504) --------------- 5,719 --------------- MASTER LIMITED PARTNERSHIPS - 0.1% FINANCIALS - 0.1% 38 Lazard, Ltd. - Class A (Bermuda) 1,473 (Cost $1,567) --------------- TOTAL INVESTMENTS - 100.0% (Cost $3,555,763) 2,644,863 Other Assets in excess of Liabilities - 0.0% 996 --------------- NET ASSETS - 100.0% $ 2,645,859 ===============
NV - Publicly Traded Company PLC - Public Limited Company REIT - Real Estate Investment Trust (a) Non-income producing security. (b) A tracking stock is a security issued by a parent company to track the performance of a subsidiary, division or line of business. Securities are classified by sectors that represent broad groups of related industries. See notes to financial statements. UEM | CLAYMORE U.S.-1 - THE CAPITAL MARKETS INDEX ETF PORTFOLIO OF INVESTMENTS NOVEMBER 30, 2009 (UNAUDITED)
NUMBER OF SHARES DESCRIPTION VALUE - -------------------------------------------------------------------------------------------------------- LONG-TERM INVESTMENTS - 72.9% COMMON STOCKS - 40.5% CONSUMER DISCRETIONARY - 4.3% 36 Abercrombie & Fitch Co. - Class A $ 1,437 74 Advance Auto Parts, Inc. 2,908 147 Amazon.com, Inc. (a) 19,979 126 American Eagle Outfitters, Inc. 1,938 85 Apollo Group, Inc. - Class A (a) 4,851 50 AutoZone, Inc. (a) 7,393 120 Bed Bath & Beyond, Inc. (a) 4,483 115 Best Buy Co., Inc. 4,925 39 Black & Decker Corp. 2,367 68 BorgWarner, Inc. 2,054 106 Burger King Holdings, Inc. 1,802 155 Cablevision Systems Corp. - Class A 3,878 151 Carmax, Inc. (a) 3,002 211 Carnival Corp. (Panama) 6,758 256 CBS Corp. - Class B 3,279 32 Chipotle Mexican Grill, Inc. - Class A (a) 2,670 80 Coach, Inc. 2,780 948 Comcast Corp. - Class A 13,907 102 Darden Restaurants, Inc. 3,206 73 DeVry, Inc. 3,965 95 Dick's Sporting Goods, Inc. (a) 1,972 345 DIRECTV - Class A (a) 10,912 148 Discovery Communications, Inc. - Class A (a) 4,729 183 DISH Network Corp. - Class A 3,790 186 DR Horton, Inc. 1,912 169 Eastman Kodak Co. 684 142 Expedia, Inc. (a) 3,618 837 Ford Motor Co. (a) 7,441 51 Fortune Brands, Inc. 1,959 75 GameStop Corp. - Class A (a) 1,831 140 Gannett Co., Inc. 1,385 254 Gap, Inc. (The) 5,441 137 Genuine Parts Co. 4,909 123 Goodyear Tire & Rubber Co. (The) (a) 1,686 184 H&R Block, Inc. 3,735 61 Harley-Davidson, Inc. 1,778 104 Hasbro, Inc. 3,084 464 Home Depot, Inc. 12,695 34 International Game Technology 642 377 Interpublic Group of Cos., Inc. (a) 2,386 102 JC Penney Co., Inc. 2,931 138 Johnson Controls, Inc. 3,733 99 Kohl's Corp. (a) 5,261 84 Lamar Advertising Co. - Class A (a) 2,325 124 Las Vegas Sands Corp. (a) 1,900 126 Lennar Corp. - Class A 1,596 128 Liberty Global, Inc. - Class A (a) 2,469 439 Lowe's Cos., Inc. 9,575 112 Limited Brands, Inc. 1,858 126 Macy's, Inc. 2,055 91 Marriott International, Inc. - Class A 2,348 181 Mattel, Inc. 3,522 309 McDonald's Corp. 19,544 131 McGraw-Hill Cos., Inc. (The) 3,925 95 MGM Mirage (a) 1,004 44 Mohawk Industries, Inc. (a) 1,808 122 Newell Rubbermaid, Inc. 1,770 806 News Corp. - Class A 9,237 110 NIKE, Inc. - Class B 7,138 100 Nordstrom, Inc. 3,345 152 Office Depot, Inc. (a) 933 105 Omnicom Group, Inc. 3,856 50 Penn National Gaming, Inc. (a) 1,340 39 Polo Ralph Lauren Corp. 2,997 23 priceline.com, Inc. (a) 4,925 175 Pulte Homes, Inc. 1,600 167 Ross Stores, Inc. 7,345 52 Sears Holdings Corp. (a) 3,689 58 Sherwin-Williams Co. (The) 3,529 209 Staples, Inc. 4,874 246 Starbucks Corp. (a) 5,387 37 Starwood Hotels & Resorts Worldwide, Inc. 1,185 196 Target Corp. 9,126 213 Thomson Reuters Corp. (Canada) 6,754 67 Tiffany & Co. 2,860 255 Time Warner Cable, Inc. 10,682 361 Time Warner, Inc. 11,090 122 TJX Cos., Inc. 4,682 99 Urban Outfitters, Inc. (a) 3,132 50 VF Corp. 3,636 203 Viacom, Inc. - Class B (a) 6,017 255 Virgin Media, Inc. 4,197 541 Walt Disney Co. (The) 16,349 6 Washington Post Co. - Class B 2,482 67 Weight Watchers International, Inc. 1,855 39 Whirlpool Corp. 2,892 142 Wyndham Worldwide Corp. 2,637 46 Wynn Resorts Ltd. (a) 2,969 151 Yum! Brands, Inc. 5,326 -------------- 399,861 -------------- CONSUMER STAPLES - 4.6% 547 Altria Group, Inc. 10,289 229 Archer-Daniels-Midland Co. 7,055 124 Avon Products, Inc. 4,247 75 Brown-Forman Corp. - Class B 3,838 46 Bunge Ltd. (Bermuda) 2,847 156 Campbell Soup Co. 5,455 105 Church & Dwight Co., Inc. 6,199 70 Clorox Co. 4,219 619 Coca-Cola Co. (The) 35,407 204 Coca-Cola Enterprises, Inc. 4,009 142 Colgate-Palmolive Co. 11,955 223 ConAgra Foods, Inc. 4,948 167 Constellation Brands, Inc. - Class A (a) 2,857 145 CostCo Wholesale Corp. 8,687 458 CVS Caremark Corp. 14,202 158 Dean Foods Co. (a) 2,512 38 Energizer Holdings, Inc. (a) 2,141 98 Estee Lauder Cos., Inc. (The) - Class A 4,589 168 General Mills, Inc. 11,424 66 Hansen Natural Corp. (a) 2,308 121 Hershey Co. (The) 4,280 117 HJ Heinz Co. 4,967 91 Hormel Foods Corp. 3,414 122 Kellogg Co. 6,415 125 Kimberly-Clark Corp. 8,246 458 Kraft Foods, Inc. - Class A 12,174 262 Kroger Co. (The) 5,958 101 McCormick & Co., Inc. 3,604 96 Molson Coors Brewing Co. - Class B 4,340 92 Pepsi Bottling Group, Inc. 3,491 409 PepsiCo, Inc. 25,448 634 Philip Morris International, Inc. 30,489 877 Procter & Gamble Co. 54,681 100 Reynolds American, Inc. 4,996 194 Safeway, Inc. 4,365 344 Sara Lee Corp. 4,176 119 Smithfield Foods, Inc. (a) 1,842 116 SUPERVALU, Inc. 1,604 231 Sysco Corp. 6,246 226 Tyson Foods, Inc. - Class A 2,717 75 USANA Health Sciences, Inc. (a) 2,407 333 Walgreen Co. 12,950 1,161 Wal-Mart Stores, Inc. 63,333 91 Whole Foods Market, Inc. (a) 2,334 -------------- 423,665 -------------- ENERGY - 4.6% 49 Alpha Natural Resources, Inc. (a) 1,813 158 Anadarko Petroleum Corp. 9,406 107 Apache Corp. 10,195 75 Arch Coal, Inc. 1,564 120 Baker Hughes, Inc. 4,889 186 BJ Services Co. 3,493 68 Cabot Oil & Gas Corp. 2,604 98 Cameron International Corp. (a) 3,704 184 Chesapeake Energy Corp. 4,401 653 Chevron Corp. 50,960 58 Clayton Williams Energy, Inc. (a) 1,640 96 CNX Gas Corp. (a) 2,619 431 ConocoPhillips 22,313 72 Consol Energy, Inc. 3,306 113 Continental Resources, Inc. (a) 4,254 122 Denbury Resources, Inc. (a) 1,619 124 Devon Energy Corp. 8,351 52 Diamond Offshore Drilling, Inc. 5,176 305 El Paso Corp. 2,916 76 ENSCO International, Inc. 3,344 74 EOG Resources, Inc. 6,400 52 Exterran Holdings, Inc. (a) 1,089 1,490 Exxon Mobil Corp. 111,854 70 FMC Technologies, Inc. (a) 3,813 67 Forest Oil Corp. (a) 1,227 91 Frontier Oil Corp. 1,049 278 Halliburton Co. 8,162 83 Helmerich & Payne, Inc. 3,117 114 Hess Corp. 6,607 97 James River Coal Co. (a) 1,778 219 Marathon Oil Corp. 7,144 75 Murphy Oil Corp. 4,229 150 National Oilwell Varco, Inc. 6,453 74 Newfield Exploration Co. (a) 3,129 118 Noble Corp. (Switzerland) 4,875 69 Noble Energy, Inc. 4,502 235 Occidental Petroleum Corp. 18,986 32 Patriot Coal Corp. (a) 392 114 Peabody Energy Corp. 5,068 80 Pioneer Natural Resources Co. 3,308 71 Plains Exploration & Production Co. (a) 1,932 118 Pride International, Inc. (a) 3,732 100 Quicksilver Resources, Inc. (a) 1,331 71 Range Resources Corp. 3,346 93 Rowan Cos., Inc. 2,296 88 SandRidge Energy, Inc. (a) 825 329 Schlumberger Ltd. (Netherlands Antilles) 21,020 93 Smith International, Inc. 2,528 191 Southwestern Energy Co. (a) 8,396 264 Spectra Energy Corp. 5,124 69 Sunoco, Inc. 1,739 103 Tesoro Corp. 1,316 47 Ultra Petroleum Corp. (Canada) (a) 2,209 171 Valero Energy Corp. 2,717 234 Weatherford International Ltd. (Switzerland) (a) 3,908 186 Williams Cos., Inc. (The) 3,700 152 XTO Energy, Inc. 6,451 -------------- 424,319 -------------- FINANCIALS - 5.3% 92 Aflac, Inc. 4,235 172 Allstate Corp. (The) 4,886 73 AMB Property Corp. - REIT 1,719 144 American Capital Ltd. (a) 423 249 American Express Co. 10,416 34 American International Group, Inc. (a) 966 96 Ameriprise Financial, Inc. 3,659 434 Annaly Capital Management, Inc. - REIT 7,990 111 AON Corp. 4,299 136 Apartment Investment & Management Co. - REIT - Class A 1,837 60 Assurant, Inc. 1,834 45 AvalonBay Communities, Inc. - REIT 3,251 1,600 Bank of America Corp. 25,360 335 Bank of New York Mellon Corp. (The) 8,924 216 BB&T Corp. 5,378 40 BlackRock, Inc. 9,083 59 BOK Financial Corp. 2,742 53 Boston Properties, Inc. - REIT 3,550 155 Capital One Financial Corp. 5,946 189 CB Richard Ellis Group, Inc. - Class A (a) 2,160 401 Charles Schwab Corp. (The) 7,350 108 Chubb Corp. 5,415 113 Cincinnati Financial Corp. 2,884 1,544 Citigroup, Inc. 6,346 17 CME Group, Inc. 5,580 169 CNA Financial Corp. (a) 3,845 113 Comerica, Inc. 3,217 309 Crawford & Co. - Class B (a) 1,187 105 Developers Diversified Realty Corp. - REIT 1,063 231 Discover Financial Services 3,571 830 E*Trade Financial Corp. (a) 1,361 94 Eaton Vance Corp. 2,833 122 Equity Residential - REIT 3,930 47 Federal Realty Investment Trust - REIT 3,023 198 Fidelity National Financial, Inc. - Class A 2,750 237 Fifth Third BanCorp. 2,389 89 First American Corp. 2,823 110 First Financial Corp. 3,147 111 Forest City Enterprises, Inc. - Class A 1,191 71 Franklin Resources, Inc. 7,670 208 Genworth Financial, Inc. - Class A (a) 2,240 126 Goldman Sachs Group, Inc. (The) 21,377 109 Hartford Financial Services Group, Inc. 2,666 130 HCP, Inc. - REIT 4,069 126 Health Care REIT, Inc. - REIT 5,613 286 Hudson City BanCorp, Inc. 3,801 262 Huntington Bancshares, Inc. 1,001 30 IntercontinentalExchange, Inc. (a) 3,204 120 Janus Capital Group, Inc. 1,571 1,184 JPMorgan Chase & Co. 50,308 207 KeyCorp 1,213 127 KimCo Realty Corp. - REIT 1,565 65 Legg Mason, Inc. 1,839 88 Leucadia National Corp. 1,894 109 Lincoln National Corp. 2,497 155 Loews Corp. 5,490 50 M&T Bank Corp. 3,279 60 Macerich Co. (The) - REIT 1,786 8 Markel Corp. (a) 2,712 195 Marsh & McLennan Cos., Inc. 4,397 154 Marshall & Ilsley Corp. 886 193 MetLife, Inc. 6,599 341 MGIC Investment Corp. (a) 1,364 127 Moody's Corp. 2,950 353 Morgan Stanley 11,148 85 NASDAQ OMX Group, Inc. (The) (a) 1,588 284 New York Community BanCorp, Inc. 3,320 75 Northern Trust Corp. 3,713 105 NYSE Euronext 2,654 231 Old Republic International Corp. 2,458 286 People's United Financial, Inc. 4,659 79 Plum Creek Timber Co., Inc. - REIT 2,725 123 PNC Financial Services Group, Inc. 7,012 95 Principal Financial Group, Inc. 2,412 56 PrivateBanCorp, Inc. 554 263 Progressive Corp. (The) 4,411 95 ProLogis - REIT 1,243 126 Prudential Financial, Inc. 6,281 65 Public Storage - REIT 5,173 60 Regency Centers Corp. - REIT 2,008 297 Regions Financial Corp. 1,740 65 Reinsurance Group of America, Inc. 3,023 169 Republic BanCorp, Inc. - Class A 3,187 76 SEI Investments Co. 1,331 72 Simon Property Group, Inc. - REIT 5,232 47 SL Green Realty Corp. - REIT 2,088 278 SLM Corp. (a) 3,050 121 State Street Corp. 4,997 133 SunTrust Banks, Inc. 3,143 265 Synovus Financial Corp. 517 76 T Rowe Price Group, Inc. 3,719 257 TD Ameritrade Holding Corp. (a) 5,047 383 TFS Financial Corp. 4,282 34 Torchmark Corp. 1,478 52 Transatlantic Holdings, Inc. 2,810 177 Travelers Cos., Inc. (The) 9,273 190 Unum Group 3,618 413 US BanCorp 9,966 83 Ventas, Inc. - REIT 3,563 64 Vornado Realty Trust - REIT 4,189 1,164 Wells Fargo & Co. 32,639 9 White Mountains Insurance Group Ltd. (Bermuda) 2,932 135 WR Berkley Corp. 3,336 79 Zions BanCorporation 1,039 -------------- 492,112 -------------- HEALTH CARE - 5.1% 542 Abbott Laboratories 29,533 30 Abraxis Bioscience, Inc. (a) 1,004 164 Aetna, Inc. 4,774 120 Allergan, Inc. 6,976 178 AmerisourceBergen Corp. 4,395 358 Amgen, Inc. (a) 20,173 118 Amylin Pharmaceuticals, Inc. (a) 1,683 217 Baxter International, Inc. 11,837 48 Beckman Coulter, Inc. 3,118 61 Becton Dickinson and Co. 4,563 114 Biogen Idec, Inc. (a) 5,351 68 BioMarin Pharmaceutical, Inc. (a) 1,123 511 Boston Scientific Corp. (a) 4,277 722 Bristol-Myers Squibb Co. 18,274 114 Cardinal Health, Inc. 3,674 156 Celgene Corp. (a) 8,650 77 Cephalon, Inc. (a) 4,231 76 Cerner Corp. (a) 5,722 51 Charles River Laboratories International, Inc. (a) 1,640 120 CIGNA Corp. 3,850 41 Covance, Inc. (a) 2,178 73 Coventry Health Care, Inc. (a) 1,646 39 CR Bard, Inc. 3,206 75 DaVita, Inc. (a) 4,443 78 DENTSPLY International, Inc. 2,599 331 Eli Lilly & Co. 12,158 96 Express Scripts, Inc. (a) 8,237 137 Forest Laboratories, Inc. (a) 4,200 102 Genzyme Corp. (a) 5,171 298 Gilead Sciences, Inc. (a) 13,723 86 Health Net, Inc. (a) 1,825 56 Henry Schein, Inc. (a) 2,781 138 Hologic, Inc. (a) 1,997 86 Hospira, Inc. (a) 4,038 67 Humana, Inc. (a) 2,781 451 Idenix Pharmaceuticals, Inc. (a) 843 52 Idexx Laboratories, Inc. (a) 2,603 86 Illumina, Inc. (a) 2,487 169 IMS Health, Inc. 3,610 14 Intuitive Surgical, Inc. (a) 3,928 73 Inverness Medical Innovations, Inc. (a) 3,070 793 Johnson & Johnson 49,832 58 Kinetic Concepts, Inc. (a) 1,955 53 Laboratory Corp. of America Holdings (a) 3,867 77 Life Technologies Corp. (a) 3,833 97 McKesson Corp. 6,016 166 Medco Health Solutions, Inc. (a) 10,485 290 Medtronic, Inc. 12,308 937 Merck & Co., Inc. 33,929 51 Millipore Corp. (a) 3,473 202 Mylan, Inc. (a) 3,610 110 Patterson Cos., Inc. (a) 2,828 2,433 Pfizer, Inc. 44,208 80 Pharmaceutical Product Development, Inc. 1,715 129 Quest Diagnostics, Inc. 7,474 378 Questcor Pharmaceuticals, Inc. (a) 1,625 73 ResMed, Inc. (a) 3,670 237 Rigel Pharmaceuticals, Inc. (a) 1,794 192 Sequenom, Inc. (a) 787 136 St Jude Medical, Inc. (a) 4,993 115 Stryker Corp. 5,796 152 Thermo Fisher Scientific, Inc. (a) 7,179 353 UnitedHealth Group, Inc. 10,121 70 Varian Medical Systems, Inc. (a) 3,272 415 Viropharma, Inc. (a) 3,137 60 Waters Corp. (a) 3,527 157 WellPoint, Inc. (a) 8,483 85 Zimmer Holdings, Inc. (a) 5,029 -------------- 477,318 -------------- INDUSTRIALS - 4.5% 204 3M Co. 15,798 53 AGCO Corp. (a) 1,606 82 AMETEK, Inc. 2,998 180 AMR Corp. (a) 1,087 77 Avery Dennison Corp. 2,892 85 BE Aerospace, Inc. (a) 1,638 224 Boeing Co. (The) 11,740 109 Burlington Northern Santa Fe Corp. 10,715 178 Caterpillar, Inc. 10,393 83 CH Robinson Worldwide, Inc. 4,626 124 Cintas Corp. 3,483 110 Covanta Holding Corp. (a) 1,878 132 CSX Corp. 6,267 97 Cummins, Inc. 4,355 105 Danaher Corp. 7,447 130 Deere & Co. 6,956 284 Delta Air Lines, Inc. (a) 2,326 114 Dover Corp. 4,660 36 Dun & Bradstreet Corp. 2,829 67 Eaton Corp. 4,281 233 Emerson Electric Co. 9,649 369 Ener1, Inc. (a) 2,162 79 Energy Conversion Devices, Inc. (a) 784 98 EnergySolutions, Inc. 841 96 Equifax, Inc. 2,750 107 Expeditors International of Washington, Inc. 3,417 100 Fastenal Co. 3,708 97 FedEx Corp. 8,192 31 First Solar, Inc. (a) 3,692 36 Flowserve Corp. 3,581 78 Fluor Corp. 3,313 66 Foster Wheeler AG (Switzerland) (a) 1,969 122 General Dynamics Corp. 8,040 2,847 General Electric Co. 45,609 68 Goodrich Corp. 4,035 63 Harsco Corp. 1,955 245 Hertz Global Holdings, Inc. (a) 2,401 225 Honeywell International, Inc. 8,656 43 IHS, Inc. - Class A (a) 2,162 181 Illinois Tool Works, Inc. 8,804 124 Iron Mountain, Inc. (a) 2,976 94 ITT Corp. 4,862 58 Jacobs Engineering Group, Inc. (a) 2,029 105 JB Hunt Transport Services, Inc. 3,345 54 Joy Global, Inc. 2,891 107 KBR, Inc. 1,993 52 L-3 Communications Holdings, Inc. 4,075 113 Lockheed Martin Corp. 8,727 85 Manitowoc Co., Inc. 835 59 Manpower, Inc. 2,906 238 Masco Corp. 3,232 98 McDermott International, Inc. (Panama) (a) 2,052 105 Monster Worldwide, Inc. (a) 1,534 137 Norfolk Southern Corp. 7,042 112 Northrop Grumman Corp. 6,138 148 PACCAR, Inc. 5,488 108 Pall Corp. 3,438 79 Parker Hannifin Corp. 4,263 91 Pitney Bowes, Inc. 2,097 55 Precision Castparts Corp. 5,702 143 Quanta Services, Inc. (a) 2,681 133 Raytheon Co. 6,853 245 Republic Services, Inc. 6,909 133 Robert Half International, Inc. 2,970 75 Rockwell Automation, Inc. 3,262 86 Rockwell Collins, Inc. 4,598 70 Roper Industries, Inc. 3,643 123 RR Donnelley & Sons Co. 2,531 53 Ryder System, Inc. 2,149 49 Shaw Group, Inc. (The) (a) 1,398 359 Southwest Airlines Co. 3,303 141 Spirit Aerosystems Holdings, Inc. - Class A (a) 2,570 34 SPX Corp. 1,812 34 Stanley Works (The) 1,651 56 Stericycle, Inc. (a) 3,065 40 SunPower Corp. - Class A (a) 827 65 Terex Corp. (a) 1,224 92 Textron, Inc. 1,845 96 UAL Corp. (a) 745 160 Union Pacific Corp. 10,122 203 United Parcel Service, Inc. - Class B 11,666 270 United Technologies Corp. 18,155 79 USG Corp. (a) 1,093 154 Waste Management, Inc. 5,057 54 WW Grainger, Inc. 5,276 -------------- 414,725 -------------- INFORMATION TECHNOLOGY - 7.8% 469 Activision Blizzard, Inc. (a) 5,342 202 Adobe Systems, Inc. (a) 7,086 476 Advanced Micro Devices, Inc. (a) 3,337 71 Affiliated Computer Services, Inc. - Class A (a) 3,919 144 Agilent Technologies, Inc. (a) 4,164 100 Akamai Technologies, Inc. (a) 2,400 61 Alliance Data Systems Corp. (a) 3,720 226 Altera Corp. 4,753 126 Amphenol Corp. - Class A 5,191 154 Analog Devices, Inc. 4,618 283 Apple, Inc. (a) 56,574 316 Applied Materials, Inc. 3,890 127 Arrow Electronics, Inc. (a) 3,337 126 Autodesk, Inc. (a) 2,955 171 Automatic Data Processing, Inc. 7,430 113 Avnet, Inc. (a) 3,079 112 BMC Software, Inc. (a) 4,338 249 Broadcom Corp. - Class A (a) 7,271 229 CA, Inc. 5,061 1,816 Cisco Systems, Inc. (a) 42,494 112 Citrix Systems, Inc. (a) 4,276 153 Cognizant Technology Solutions Corp. - Class A (a) 6,721 92 Computer Sciences Corp. (a) 5,089 475 Corning, Inc. 7,923 606 Dell, Inc. (a) 8,557 77 Dolby Laboratories, Inc. - Class A (a) 3,443 38 DST Systems, Inc. (a) 1,614 342 eBay, Inc. (a) 8,369 127 Electronic Arts, Inc. (a) 2,145 777 EMC Corp. (a) 13,077 98 Fidelity National Information Services, Inc. 2,215 81 Fiserv, Inc. (a) 3,745 109 FLIR Systems, Inc. (a) 3,128 98 Google, Inc. - Class A (a) 57,134 102 Harris Corp. 4,478 73 Hewitt Associates, Inc. - Class A (a) 2,933 720 Hewlett-Packard Co. 35,323 163 IAC/InterActiveCorp (a) 3,170 1,589 Intel Corp. 30,509 383 International Business Machines Corp. 48,392 154 Intuit, Inc. (a) 4,498 241 Juniper Networks, Inc. (a) 6,297 90 Kla-Tencor Corp. 2,812 83 Lam Research Corp. (a) 2,821 185 Linear Technology Corp. 4,989 607 LSI Corp. (a) 3,211 46 Mastercard, Inc. - Class A 11,080 101 McAfee, Inc. (a) 3,853 79 MEMC Electronic Materials, Inc. (a) 951 133 Microchip Technology, Inc. 3,491 481 Micron Technology, Inc. (a) 3,617 2,435 Microsoft Corp. 71,613 185 Molex, Inc. 3,439 951 Motorola, Inc. 7,618 173 National Semiconductor Corp. 2,526 181 NCR Corp. (a) 1,703 213 Nvidia Corp. (a) 2,782 1,511 Oracle Corp. 33,363 153 Paychex, Inc. 4,797 588 QUALCOMM, Inc. 26,460 163 Red Hat, Inc. (a) 4,352 63 Salesforce.com, Inc. (a) 3,949 149 SanDisk Corp. (a) 2,938 303 Sun Microsystems, Inc. (a) 2,579 343 Symantec Corp. (a) 6,088 154 Teradata Corp. (a) 4,512 341 Texas Instruments, Inc. 8,624 149 Total System Services, Inc. 2,575 109 VeriSign, Inc. (a) 2,446 200 Visa, Inc. - Class A 16,200 147 VMware, Inc. - Class A (a) 6,171 157 Western Digital Corp. (a) 5,784 282 Western Union Co. (The) 5,203 449 Xerox Corp. 3,457 295 Xilinx, Inc. 6,679 465 Yahoo!, Inc. (a) 6,961 -------------- 723,639 -------------- MATERIALS - 1.7% 55 Air Products & Chemicals, Inc. 4,561 55 Airgas, Inc. 2,544 54 AK Steel Holding Corp. 1,080 79 Albemarle Corp. 2,666 257 Alcoa, Inc. 3,218 45 Allegheny Technologies, Inc. 1,531 63 Ball Corp. 3,113 81 Celanese Corp. - Class A 2,411 28 CF Industries Holdings, Inc. 2,390 116 Crown Holdings, Inc. (a) 2,920 262 Dow Chemical Co. (The) 7,278 44 Eastman Chemical Co. 2,645 93 Ecolab, Inc. 4,177 213 EI Du Pont de Nemours & Co. 7,366 46 FMC Corp. 2,576 129 Freeport-McMoRan Copper & Gold, Inc. 10,681 121 Huntsman Corp. 1,152 125 Innophos Holdings, Inc. 3,096 72 International Flavors & Fragrances, Inc. 2,932 155 International Paper Co. 3,945 51 Lubrizol Corp. 3,699 27 Martin Marietta Materials, Inc. 2,303 100 MeadWestvaco Corp. 2,737 157 Monsanto Co. 12,678 146 Mosaic Co. (The) 7,950 141 Newmont Mining Corp. 7,563 102 Nucor Corp. 4,326 63 Owens-Illinois, Inc. (a) 1,970 123 Pactiv Corp. (a) 2,995 69 PPG Industries, Inc. 4,101 87 Praxair, Inc. 7,137 49 Reliance Steel & Aluminum Co. 2,003 119 Sealed Air Corp. 2,653 51 Sigma-Aldrich Corp. 2,720 269 Southern Copper Corp. 9,372 106 Steel Dynamics, Inc. 1,794 60 Terra Industries, Inc. 2,315 127 Titanium Metals Corp. 1,241 46 United States Steel Corp. 2,054 52 Vulcan Materials Co. 2,521 9 Walter Energy, Inc. 617 79 Weyerhaeuser Co. 3,076 -------------- 160,107 -------------- TELECOMMUNICATION SERVICES - 1.1% 142 American Tower Corp. - Class A (a) 5,811 1,697 AT&T, Inc. 45,717 209 CenturyTel, Inc. 7,438 80 Crown Castle International Corp. (a) 2,935 287 Frontier Communications Corp. 2,267 189 MetroPCS Communications, Inc. (a) 1,191 86 NII Holdings, Inc. (a) 2,563 725 Qwest Communications International, Inc. 2,646 915 Sprint Nextel Corp. (a) 3,395 56 Telephone & Data Systems, Inc. 1,707 37 United States Cellular Corp. (a) 1,379 883 Verizon Communications, Inc. 27,779 206 Windstream Corp. 2,044 -------------- 106,872 -------------- UTILITIES - 1.5% 255 AES Corp. (The) (a) 3,249 58 Allegheny Energy, Inc. 1,275 111 Alliant Energy Corp. 3,050 78 Ameren Corp. 2,027 113 American Electric Power Co., Inc. 3,637 294 Centerpoint Energy, Inc. 3,901 213 CMS Energy Corp. 3,033 101 Consolidated Edison, Inc. 4,334 44 Constellation Energy Group, Inc. 1,400 20 Dominion Resources, Inc. 728 105 DTE Energy Co. 4,212 387 Duke Energy Corp. 6,455 515 Dynegy, Inc. - Class A (a) 932 85 Edison International 2,894 53 Energen Corp. 2,306 42 Entergy Corp. 3,303 58 EQT Corp. 2,387 107 Exelon Corp. 5,155 24 FirstEnergy Corp. 1,034 68 FPL Group, Inc. 3,534 94 Integrys Energy Group, Inc. 3,623 149 MDU Resources Group, Inc. 3,367 64 Mirant Corp. (a) 911 85 National Fuel Gas Co. 3,981 238 NiSource, Inc. 3,392 152 Northeast Utilities 3,665 111 NRG Energy, Inc. (a) 2,657 255 NSTAR 8,448 79 Oneok, Inc. 3,162 144 Pepco Holdings, Inc. 2,347 106 PG&E Corp. 4,488 108 Pinnacle West Capital Corp. 3,790 58 PPL Corp. 1,770 91 Progress Energy, Inc. 3,557 114 Public Service Enterprise Group, Inc. 3,575 52 Questar Corp. 2,063 172 RRI Energy, Inc. (a) 846 101 SCANA Corp. 3,555 75 Sempra Energy 3,986 296 Southern Co. (The) 9,499 277 TECO Energy, Inc. 4,086 78 Wisconsin Energy Corp. 3,518 203 Xcel Energy, Inc. 4,125 -------------- 143,257 -------------- TOTAL COMMON STOCKS - 40.5% 3,765,875 (Cost $4,517,737) --------------
PRINCIPAL AMOUNT DESCRIPTION RATING (S&P)* COUPON MATURITY VALUE - -------------------------------------------------------------------------------------------------------- CORPORATE BONDS -- 7.8% CONSUMER DISCRETIONARY - 0.5% $ 3,000 CBS Corp. BBB- 7.875% 7/30/30 $ 3,136 6,000 Home Depot, Inc. BBB+ 5.200% 3/1/11 6,259 2,000 Home Depot, Inc. BBB+ 5.400% 3/1/16 2,132 1,000 McDonald's Corp. A 6.300% 10/15/37 1,145 4,000 Omnicom Group, Inc. A- 5.900% 4/15/16 4,332 4,000 Thomson Reuters Corp. (Canada) A- 5.700% 10/1/14 4,509 4,000 Time Warner Cable, Inc. BBB 5.850% 5/1/17 4,264 6,000 Time Warner, Inc. BBB 6.750% 4/15/11 6,403 2,000 Time Warner, Inc. BBB 7.625% 4/15/31 2,319 1,000 Viacom, Inc. BBB 6.875% 4/30/36 1,080 12,000 Walt Disney Co. (The) A 6.375% 3/1/12 13,276 -------------- 48,855 -------------- CONSUMER STAPLES - 0.6% 4,000 Bottling Group LLC A 5.500% 4/1/16 4,465 4,000 Coca-Cola Enterprises, Inc. A 8.500% 2/1/22 5,418 4,000 CVS Caremark Corp. BBB+ 5.750% 6/1/17 4,299 12,000 Kellogg Co. BBB+ 6.600% 4/1/11 12,863 4,000 Kimberly-Clark Corp. A 6.125% 8/1/17 4,611 6,000 Kraft Foods, Inc. BBB+ 5.625% 11/1/11 6,416 2,000 Kroger Co. (The) BBB 6.400% 8/15/17 2,244 8,000 Procter & Gamble Co. (The) AA- 5.550% 3/5/37 8,613 4,000 SABMiller PLC (United Kingdom) (b) BBB+ 5.500% 8/15/13 4,335 3,000 Safeway, Inc. BBB 5.800% 8/15/12 3,293 -------------- 56,557 -------------- ENERGY - 0.5% 5,000 Anadarko Petroleum Corp. BBB- 5.950% 9/15/16 5,456 4,000 ConocoPhillips Holding Co. A 6.950% 4/15/29 4,643 1,000 Energy Transfer Partners LP BBB- 6.625% 10/15/36 1,022 3,000 Enterprise Products Operating LLC BBB- 5.600% 10/15/14 3,264 7,000 Hess Corp. BBB- 6.650% 8/15/11 7,585 6,000 Kinder Morgan Energy Partners LP BBB 5.000% 12/15/13 6,380 4,000 ONEOK Partners LP BBB 6.150% 10/1/16 4,239 3,000 Spectra Energy Capital LLC BBB 8.000% 10/1/19 3,558 4,000 Transocean, Inc. (Cayman Islands) BBB+ 6.000% 3/15/18 4,376 1,000 Valero Energy Corp. BBB 6.625% 6/15/37 966 3,000 Williams Cos., Inc. (The) BB+ 8.750% 3/15/32 3,512 2,000 XTO Energy, Inc. BBB 6.750% 8/1/37 2,221 -------------- 47,222 -------------- FINANCIALS - 3.3% 3,000 Allstate Corp. (The) A- 5.550% 5/9/35 2,970 6,000 American Express Co. BBB+ 5.500% 9/12/16 6,280 4,000 American International Group, Inc. A- 5.850% 1/16/18 3,037 15,000 Bank of America Corp. A 5.625% 10/14/16 15,387 5,000 Bank of America Corp. A 5.750% 12/1/17 5,099 10,000 Bear Stearns Cos. LLC (The) A+ 4.500% 10/28/10 10,345 6,000 Bear Stearns Cos. LLC (The) A+ 5.700% 11/15/14 6,638 10,000 Berkshire Hathaway Finance Corp. AAA 4.125% 1/15/10 10,045 3,000 Capital One Financial Corp. BBB- 6.150% 9/1/16 3,038 1,000 Chubb Corp. A+ 6.000% 5/11/37 1,091 6,000 Citigroup, Inc. A 5.300% 10/17/12 6,293 9,000 Citigroup, Inc. A 6.125% 11/21/17 9,042 3,000 Citigroup, Inc. A- 6.625% 6/15/32 2,772 10,000 Credit Suisse USA, Inc. A+ 6.125% 11/15/11 10,896 1,000 Daimler Finance North America LLC BBB+ 8.500% 1/18/31 1,237 6,000 Devon Financing Corp. ULC (Canada) BBB+ 6.875% 9/30/11 6,557 15,000 General Electric Capital Corp. AA+ 5.250% 10/19/12 16,181 9,000 General Electric Capital Corp. AA+ 5.375% 10/20/16 9,486 4,000 General Electric Capital Corp. AA+ 5.875% 2/15/12 4,322 10,000 General Electric Capital Corp. AA+ 6.750% 3/15/32 10,255 15,000 Goldman Sachs Group, Inc. A 6.125% 2/15/33 15,422 10,000 HSBC Finance Corp. A 6.375% 10/15/11 10,702 3,000 Jefferies Group, Inc. BBB 6.250% 1/15/36 2,428 12,000 John Deere Capital Corp. A 7.000% 3/15/12 13,496 15,000 JPMorgan Chase & Co. A 5.150% 10/1/15 15,820 1,000 JPMorgan Chase & Co. A+ 6.000% 1/15/18 1,084 3,000 Marsh & McLennan Cos., Inc. BBB- 5.375% 7/15/14 3,158 9,000 Merrill Lynch & Co., Inc. A 6.400% 8/28/17 9,443 6,000 MetLife, Inc. A- 5.700% 6/15/35 6,117 10,000 Morgan Stanley A- 4.750% 4/1/14 10,175 4,000 Morgan Stanley A 5.300% 3/1/13 4,275 21,000 National Rural Utilities Cooperative Finance Corp. A 7.250% 3/1/12 23,455 4,000 News America, Inc. BBB+ 6.400% 12/15/35 4,103 3,000 Principal Financial Group, Inc. BBB+ 6.050% 10/15/36 2,700 3,000 ProLogis BBB- 5.625% 11/15/16 2,848 3,000 Prudential Financial, Inc. A 6.000% 12/1/17 3,102 3,000 Realty Income Corp. BBB 6.750% 8/15/19 3,072 3,000 Simon Property Group LP A- 5.250% 12/1/16 3,035 3,000 Swiss Re Insurance Solutions Holding Corp. A- 7.000% 2/15/26 2,993 3,000 Travelers Cos., Inc. (The) A- 6.250% 6/15/37 3,350 15,000 Wachovia Corp. A+ 5.250% 8/1/14 15,780 10,000 Wells Fargo & Co. AA- 4.875% 1/12/11 10,388 -------------- 307,917 -------------- HEALTH CARE - 0.9% 15,000 Abbott Laboratories AA 5.600% 5/15/11 16,055 4,000 Abbott Laboratories AA 5.875% 5/15/16 4,556 4,000 Aetna, Inc. A- 6.000% 6/15/16 4,310 4,000 Bristol-Myers Squibb Co. A+ 5.875% 11/15/36 4,328 3,000 CIGNA Corp. BBB 7.875% 5/15/27 2,947 2,000 Humana, Inc. BBB- 6.450% 6/1/16 2,032 15,000 Merck & Co., Inc AA- 4.750% 3/1/15 16,352 3,000 Schering-Plough Corp. AA- 6.000% 9/15/17 3,408 15,000 UnitedHealth Group, Inc. A- 5.250% 3/15/11 15,630 6,000 WellPoint, Inc. A- 5.250% 1/15/16 6,252 4,000 Wyeth AA 5.950% 4/1/37 4,391 -------------- 80,261 -------------- INDUSTRIALS - 0.1% 3,000 Caterpillar, Inc. A 6.050% 8/15/36 3,380 2,000 Lockheed Martin Corp. A- 6.150% 9/1/36 2,202 1,000 Norfolk Southern Corp. BBB+ 7.050% 5/1/37 1,218 4,000 United Technologies Corp. A 4.875% 5/1/15 4,426 -------------- 11,226 -------------- INFORMATION TECHNOLOGY - 0.4% 3,000 Cisco Systems, Inc. A+ 5.250% 2/22/11 3,167 21,000 International Business Machines Corp. A+ 4.750% 11/29/12 22,956 4,000 Oracle Corp. A 5.250% 1/15/16 4,413 4,000 Western Union Co. (The) A- 5.930% 10/1/16 4,412 -------------- 34,948 -------------- MATERIALS - 0.1% 6,000 Weyerhaeuser Co. BBB- 6.750% 3/15/12 6,376 -------------- TELECOMMUNICATION SERVICES - 0.7% 15,000 AT&T, Inc. A 5.100% 9/15/14 16,333 3,000 AT&T, Inc. A 5.625% 6/15/16 3,296 7,000 Comcast Cable Communications Holdings, Inc. BBB+ 8.375% 3/15/13 8,195 6,000 COX Communications, Inc. BBB- 5.450% 12/15/14 6,532 4,000 Historic TW, Inc. BBB 9.125% 1/15/13 4,697 12,000 New Cingular Wireless Services, Inc. A 7.875% 3/1/11 12,979 11,000 Verizon Global Funding Corp. A 7.375% 9/1/12 12,579 2,000 Verizon Global Funding Corp. A 7.750% 12/1/30 2,382 -------------- 66,993 -------------- UTILITIES - 0.7% 8,000 Arizona Public Service Co. BBB- 6.375% 10/15/11 8,574 4,000 Commonwealth Edison Co. A- 5.950% 8/15/16 4,405 4,000 Consolidated Edison Co. of New York, Inc. A- 5.500% 9/15/16 4,316 4,000 Constellation Energy Group, Inc. BBB- 4.550% 6/15/15 4,097 3,000 Duke Energy Ohio, Inc. A- 5.700% 9/15/12 3,307 2,000 Energy East Corp. A- 6.750% 7/15/36 2,271 3,000 FirstEnergy Corp. BBB- 7.375% 11/15/31 3,354 3,000 Indiana Michigan Power Co. BBB 6.050% 3/15/37 3,123 6,000 Midamerican Energy Holdings Co. BBB+ 6.125% 4/1/36 6,431 3,000 Pacific Gas & Electric Co. BBB+ 6.050% 3/1/34 3,236 4,000 Pepco Holdings, Inc. BBB- 6.450% 8/15/12 4,333 2,000 Progress Energy, Inc. BBB 6.850% 4/15/12 2,199 8,000 Progress Energy, Inc. BBB 7.100% 3/1/11 8,523 4,000 Southern Power Co. BBB+ 4.875% 7/15/15 4,275 3,000 Virginia Electric and Power Co. A- 6.000% 5/15/37 3,247 -------------- 65,691 -------------- TOTAL CORPORATE BONDS - 7.8% (Amortized Cost $693,122) 726,046 -------------- U.S. GOVERNMENT AND AGENCY SECURITIES - 24.6% MORTGAGE BACKED SECURITIES-- 12.0% 140,000 Fannie Mae (d) AAA 4.500% TBA 146,650 60,000 Fannie Mae (d) AAA 5.000% TBA 62,925 180,000 Fannie Mae (d) AAA 5.500% TBA 191,419 150,000 Fannie Mae (d) AAA 6.500% TBA 162,023 150,000 Freddie Mac (d) AAA 5.500% TBA 159,656 210,000 Freddie Mac (d) AAA 6.000% TBA 225,258 160,000 Ginnie Mae (d) AAA 5.500% TBA 170,325 -------------- 1,118,256 -------------- U.S. GOVERNMENT AGENCY SECURITIES - 3.3% 41,000 Fannie Mae AAA 5.375% 7/15/16 47,128 6,000 Fannie Mae AAA 5.500% 3/15/11 6,385 36,000 Fannie Mae AAA 6.000% 5/15/11 38,880 2,000 Fannie Mae AAA 6.625% 11/15/30 2,507 12,000 Federal Farm Credit Bank AAA 4.875% 2/18/11 12,633 10,000 Federal Home Loan Banks AAA 3.875% 6/14/13 10,783 25,000 Federal Home Loan Banks AAA 4.375% 3/17/10 25,306 20,000 Federal Home Loan Banks AAA 4.625% 2/18/11 21,005 10,000 Federal Home Loan Banks AAA 4.750% 12/16/16 11,080 15,000 Federal Home Loan Banks AAA 4.875% 11/18/11 16,194 20,000 Federal Home Loan Banks AAA 5.750% 5/15/12 22,286 36,000 Freddie Mac AAA 4.500% 1/15/14 39,700 40,000 Freddie Mac AAA 5.125% 7/15/12 44,116 11,000 Freddie Mac AAA 6.250% 7/15/32 13,506 -------------- 311,509 -------------- U.S. TREASURY SECURITIES - 9.3% 25,000 United States Treasury Note/Bond NR 2.000% 9/30/10 25,366 90,000 United States Treasury Note/Bond NR 2.750% 7/31/10 91,529 25,000 United States Treasury Note/Bond NR 2.875% 1/31/13 26,338 15,000 United States Treasury Note/Bond NR 3.625% 5/15/13 16,191 15,000 United States Treasury Note/Bond NR 3.750% 11/15/18 15,731 5,000 United States Treasury Note/Bond NR 3.875% 2/15/13 5,424 9,000 United States Treasury Note/Bond NR 4.000% 11/15/12 9,774 27,000 United States Treasury Note/Bond NR 4.000% 2/15/14 29,597 49,000 United States Treasury Note/Bond NR 4.000% 4/15/10 49,699 40,000 United States Treasury Note/Bond NR 4.125% 5/15/15 44,050 16,000 United States Treasury Note/Bond NR 4.250% 11/15/13 17,690 15,000 United States Treasury Note/Bond NR 4.250% 8/15/14 16,644 70,000 United States Treasury Note/Bond NR 4.250% 9/30/12 76,371 3,000 United States Treasury Note/Bond NR 4.250% 11/15/17 3,287 30,000 United States Treasury Note/Bond NR 4.500% 2/15/36 31,556 10,000 United States Treasury Note/Bond NR 4.500% 5/15/38 10,500 9,000 United States Treasury Note/Bond NR 4.500% 11/30/11 9,688 24,000 United States Treasury Note/Bond NR 4.625% 11/15/16 27,051 24,000 United States Treasury Note/Bond NR 4.750% 8/15/17 27,176 14,000 United States Treasury Note/Bond NR 5.125% 5/15/16 16,225 8,000 United States Treasury Note/Bond NR 5.750% 8/15/10 8,313 18,000 United States Treasury Note/Bond NR 6.125% 8/15/29 23,043 30,000 United States Treasury Note/Bond NR 6.250% 8/15/23 38,006 14,000 United States Treasury Note/Bond NR 6.375% 8/15/27 18,244 28,000 United States Treasury Note/Bond NR 6.625% 2/15/27 37,310 35,000 United States Treasury Note/Bond NR 7.250% 5/15/16 44,808 6,000 United States Treasury Note/Bond NR 7.875% 2/15/21 8,456 27,000 United States Treasury Note/Bond NR 8.000% 11/15/21 38,682 14,000 United States Treasury Note/Bond NR 8.750% 8/15/20 20,733 35,000 United States Treasury Note/Bond NR 8.875% 2/15/19 50,966 15,000 United States Treasury Note/Bond NR 9.125% 5/15/18 21,920 -------------- 860,368 -------------- TOTAL U.S. GOVERNMENT AND AGENCY SECURITIES - 24.6% (Amortized Cost $2,232,683) 2,290,133 --------------
NUMBER OF SHARES DESCRIPTION VALUE - -------------------------------------------------------------------------------------------------------- Master Limited Partnership - 0.0% 113 Och-Ziff Capital Management Group LLC - Class A 1,322 (Cost $2,419) -------------- TOTAL LONG-TERM INVESTMENTS - 72.9% 6,783,376 (Cost $7,445,961) --------------
YIELD/ PRINCIPAL AMOUNT DESCRIPTION RATING (S&P) COUPON MATURITY VALUE - -------------------------------------------------------------------------------------------------------- SHORT-TERM INVESTMENTS - 22.2% COMMERCIAL PAPER - 2.2% 100,000 Erasums Capital Corp. A-1+ 0.220% 1/4/10 99,961 100,000 Grampian Funding LLC A-1 0.280% 12/15/09 99,984 -------------- 199,945 -------------- CORPORATE BONDS - 2.7% FINANCIALS - 1.5% 50,000 Citigroup, Inc. A 4.125% 2/22/10 50,299 90,000 FleetBoston Financial Corp. NR 7.375% 12/1/09 90,000 -------------- 140,299 -------------- TELECOMMUNICATION SERVICES - 0.5% 50,000 Cox Communications, Inc. BBB- 4.625% 1/15/10 50,194 -------------- UTILITIES - 0.7% 65,000 Dominion Resources, Inc. A- 5.125% 12/15/09 65,020 -------------- TOTAL CORPORATE BONDS - 2.7% 255,513 -------------- U.S. GOVERNMENT AND AGENCY SECURITIES - 11.3% 100,000 Fannie Mae AAA 4.625% 12/15/09 100,171 400,000 Freddie Mac AAA 4.000% 12/15/09 400,587 100,000 Freddie Mac Discount Notes (c) AAA 0.293% 1/11/10 99,997 450,000 Freddie Mac Discount Notes (c) AAA 0.218% 3/15/10 449,922 -------------- 1,050,677 -------------- U.S. TREASURY SECURITIES - 6.0% 150,000 United States Treasury Bill (c) NR 0.137% 12/31/09 149,991 100,000 United States Treasury Bill (c) NR 0.273% 1/14/10 100,000 150,000 United States Treasury Bill (c) NR 0.074% 1/21/10 149,998 100,000 United States Treasury Bill (c) NR 0.063% 1/28/10 99,999 27,000 United States Treasury Note/Bond NR 2.125% 1/31/10 27,091 26,000 United States Treasury Note/Bond NR 2.875% 6/30/10 26,407 -------------- 553,486 -------------- TOTAL SHORT-TERM INVESTMENTS - 22.2% (Amortized Cost $2,059,447) 2,059,621 -------------- TOTAL INVESTMENTS - 95.1% (Cost $9,505,408) 8,842,997 Other Assets in excess of Liabilities - 4.9% 454,129 -------------- NET ASSETS - 100.0% $ 9,297,126 ==============
AG - Stock Corporation LLC - Limited Liability Company LP - Limited Partnership PLC - Public Limited Company REIT - Real Estate Investment Trust TBA - To be announced; maturity date has not yet been established (a) Non-income producing security. (b) Securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At November 30, 2009, these securities amounted to $4,335 which represents 0.05% of net assets. (c) Zero-coupon bond. Interest rate shown reflects yield as of November 30, 2009. (d) When-Issued Security. Securities are classified by sectors that represent broad groupings of related industries. The obligations of certain United States Government sponsored entities are neither issued nor guaranteed by the United States Treasury. * Ratings shown are per Standard & Poor's. For securities not rated by Standard and Poor's Rating Group, the rating by Moody's Investor Services, Inc. is provided. Securities classified as NR are not rated by Standard & Poor's or Moody's. Although not rated, U.S.Treasury Securities have an implied rating of AAA/Aaa. Ratings are unaudited. See notes to financial statements.
STATEMENT OF ASSETS AND LIABILITIES NOVEMBER 30, 2009 (UNAUDITED) Claymore/Morningstar Claymore/Morningstar Information Super Sector Manufacturing Super Sector Index ETF Index ETF (MZN) (MZG) --------------------- ------------------------ ASSETS Investments in securities, at value $ 3,140,109 $ 3,062,488 Cash 12,873 11,357 Receivables: Dividends 5,670 9,905 Interest - - Investments sold - - Due from Adviser 70,609 71,636 Other assets 4,105 4,703 --------------------- ------------------------ Total assets 3,233,366 3,160,089 --------------------- ------------------------ LIABILITIES Payables: Investments purchased - - Accrued expenses 89,777 91,365 --------------------- ------------------------ Total liabilities 89,777 91,365 --------------------- ------------------------ NET ASSETS $ 3,143,589 $ 3,068,724 ===================== ======================== COMPOSITION OF NET ASSETS Paid-in capital $ 3,755,469 $ 3,728,434 Accumulated undistributed net investment income (loss) 38,299 57,996 Accumulated net realized gain (loss) on investments and currency transactions (326,867) 18,230 Net unrealized appreciation (depreciation) on investments and currency translation (323,312) (735,936) --------------------- ------------------------ NET ASSETS $ 3,143,589 $ 3,068,724 ===================== ======================== Shares outstanding ($0.01 par value with unlimited amount authorized) 150,000 150,000 Net Asset Value $ 20.96 $ 20.46 ==================== ======================== Investments in securities, at cost $ 3,463,421 $ 3,798,424
See notes to financial statements.
STATEMENT OF ASSETS AND LIABILITIES NOVEMBER 30, 2009 (UNAUDITED) Claymore/Morningstar Claymore U.S. - 1 Services Super Sector The Capital Markets Index ETF Index ETF (MZO) (UEM) ------------------- ------------------ ASSETS Investments in securities, at value $ 2,644,863 $ 8,842,997 Cash 13,284 1,516,645 Receivables: Dividends 4,894 8,932 Interest - 38,170 Investments sold 8,517 6,366 Due from Adviser 73,224 81,416 Other assets 664 797 ------------------- ------------------ Total assets 2,745,446 10,495,323 ------------------- ------------------ LIABILITIES Payables: Investments purchased 10,977 1,105,382 Accrued expenses 88,610 92,815 ------------------- ------------------ Total liabilities 99,587 1,198,197 ------------------- ------------------ NET ASSETS $ 2,645,859 $ 9,297,126 =================== ================== COMPOSITION OF NET ASSETS Paid-in capital $ 3,772,802 $ 9,976,596 Accumulated undistributed net investment income (loss) 29,248 26,544 Accumulated net realized gain (loss) on investments and currency transactions (245,291) (43,603) Net unrealized appreciation (depreciation) on investments and currency translation (910,900) (662,411) ------------------- ------------------ NET ASSETS $ 2,645,859 $ 9,297,126 =================== ================== Shares outstanding ($0.01 par value with unlimited amount authorized) 150,000 200,000 Net Asset Value $ 17.64 $ 46.49 =================== ================== Investments in securities, at cost $ 3,555,763 $ 9,505,408
See notes to financial statements.
STATEMENT OF OPERATIONS For the six months ended November 30, 2009 (unaudited) Claymore/Morningstar Claymore/Morningstar Information Super Manufacturing Super Sector Index ETF Sector Index ETF (MZN) (MZG) ------------------ ------------------- INVESTMENT INCOME Dividend income $ 24,723 $ 38,270 Return of capital distributions received - (248) Foreign taxes withheld - (2) ------------------ ------------------- Net dividend income 24,723 38,020 Interest - - ------------------ ------------------- Total investment income 24,723 38,020 ------------------ ------------------- EXPENSES Advisory fee 5,818 5,725 Administration fee 400 394 Custodian fee 23,132 26,906 Licensing fee 41,781 41,781 Listing fee and expenses 1,000 1,000 Miscellaneous 4,420 3,763 Offering costs - - Printing expenses 5,429 5,155 Professional fees 14,886 14,601 Trustees' fees and expenses 1,900 1,900 ------------------ ------------------- Total expenses 98,766 101,225 Advisory fees waived (5,818) (5,725) Other expenses waived or reimbursed (86,403) (89,060) ------------------ ------------------- Net Expenses 6,545 6,440 ------------------ ------------------- NET INVESTMENT INCOME (LOSS) 18,178 31,580 ------------------ ------------------- REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS Net realized gain (loss) on Investments (4,341) (26,936) In-kind transactions - 89,068 Net realized gain (loss) (4,341) 62,132 ------------------ ------------------- Net change in unrealized appreciation (depreciation) on Investments 580,052 362,267 ------------------ ------------------- Net unrealized appreciation (depreciation) 580,052 362,267 ------------------ ------------------- Net realized and unrealized gain (loss) 575,711 424,399 ------------------ ------------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 593,889 $ 455,979 ================== =================== See notes to financial statements.
Claymore/Morningstar Claymore U.S. -1 Services Super The Capital Markets Sector Index ETF Index ETF (MZO) (UEM) ------------------ --------------- INVESTMENT INCOME Dividend income $ 20,826 $ 36,342 Return of capital distributions received - (17) Foreign taxes withheld - (18) ------------------ --------------- Net dividend income 20,826 36,307 Interest - 41,990 ------------------ --------------- Total investment income 20,826 78,297 ------------------ --------------- EXPENSES Advisory fee 4,891 11,194 Administration fee 336 1,232 Custodian fee 25,872 18,753 Licensing fee 41,781 3,134 Listing fee and expenses 1,000 1,000 Miscellaneous 4,459 5,906 Offering costs - - Printing expenses 5,440 6,206 Professional fees 14,517 15,740 Trustees' fees and expenses 1,900 1,900 ------------------ --------------- Total expenses 100,196 65,065 Advisory fees waived (4,891) (11,194) Other expenses waived or reimbursed (89,802) (35,065) ------------------ --------------- Net Expenses 5,503 18,806 ------------------ --------------- NET INVESTMENT INCOME (LOSS) 15,323 59,491 ------------------ --------------- REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS Net realized gain (loss) on Investments (50,296) 37,346 In-kind transactions - - Net realized gain (loss) (50,296) 37,346 ------------------ --------------- Net change in unrealized appreciation (depreciation) on Investments 482,368 694,207 ------------------ --------------- Net unrealized appreciation (depreciation) 482,368 694,207 ------------------ --------------- Net realized and unrealized gain (loss) 432,072 731,553 ------------------ --------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 447,395 $ 791,044 ================== ===============
See notes to financial statements. STATEMENT OF CHANGES IN NET ASSETS
Claymore/Morningstar Information Claymore/Morningstar Manufacturing Super Sector Index ETF (MZN) Super Sector Index ETF (MZG) ----------------------------------------- ---------------------------------------- For the six months For the six months Ended For the Year Ended For the Year November 30, 2009 Ended November 30, 2009 Ended (unaudited) May 31, 2009 (unaudited) May 31, 2009 ----------------------------------------- ---------------------------------------- CHANGE IN NET ASSETS RESULTING FROM OPERATIONS Net investment income (loss) $ 18,178 $ 38,566 $ 31,580 $ 68,088 Net realized gain (loss) (4,341) (289,656) 62,132 (151,976) Net unrealized appreciation (depreciation) 580,052 (865,023) 362,267 (1,490,366) -------------- -------------- -------------- -------------- Net increase (decrease) in net assets resulting from operations 593,889 (1,116,113) 455,979 (1,574,254) -------------- -------------- -------------- -------------- DISTRIBUTION TO SHAREHOLDERS From and in excess of net investment income - (37,050) - (61,050) -------------- -------------- -------------- -------------- Total distributions - (37,050) - (61,050) CAPITAL SHARE TRANSACTIONS Proceeds from sale of shares 4,106 * 4,316,127 2,970,227 2,356,183 Cost of shares redeemed - (4,327,541) (2,962,494) (2,237,020) -------------- -------------- -------------- -------------- Net increase (decrease) from capital share transactions 4,106 (11,414) 7,733 119,163 -------------- -------------- -------------- -------------- Total increase (decrease) in net assets 597,995 (1,164,577) 463,712 (1,516,141) NET ASSETS Beginning of period 2,545,594 3,710,171 2,605,012 4,121,153 -------------- -------------- -------------- -------------- End of period $ 3,143,589 $ 2,545,594 $ 3,068,724 $ 2,605,012 ============== ============== ============== ============== Undistributed net investment income (loss) at end of period $ 38,299 $ 20,121 $ 57,996 $ 26,416 ============== ============== ============= ============== CHANGES IN SHARES OUTSTANDING Shares sold - 300,000 150,000 150,000 Shares redeemed - (300,000) (150,000) (150,000) Shares outstanding, beginning of period 150,000 150,000 150,000 150,000 -------------- -------------- -------------- -------------- Shares outstanding, end of period 150,000 150,000 150,000 150,000 ============== ============== ============== ============== * Amount represents an adjustment to prior year capital. See notes to financial statements.
STATEMENT OF CHANGES IN NET ASSETS Claymore/Morningstar Services Claymore U.S. - 1 The Capital Markets Super Sector Index ETF (MZO) Index ETF (UEM) ----------------------------------------- ---------------------------------------- For the six months For the six months Ended For the Year Ended For the Year November 30, 2009 Ended November 30, 2009 Ended (unaudited) May 31, 2009 (unaudited) May 31, 2009 ----------------------------------------- ----------------------------------------
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS Net investment income (loss) $ 15,323 $ 49,545 $ 59,491 $ 144,871 Net realized gain (loss) (50,296) (180,295) 37,346 (81,146) Net unrealized appreciation (depreciation) 482,368 (926,879) 694,207 (1,566,698) -------------- -------------- -------------- -------------- Net increase (decrease) in net assets resulting from operations 447,395 (1,057,629) 791,044 (1,502,973) -------------- -------------- -------------- -------------- DISTRIBUTION TO SHAREHOLDERS From and in excess of net investment income - (60,000) (61,600) (164,000) -------------- -------------- -------------- -------------- Total distributions - (60,000) (61,600) (164,000) CAPITAL SHARE TRANSACTIONS Proceeds from sale of shares 4,106 * 1,976,194 - - Cost of shares redeemed - (1,955,898) - - -------------- -------------- -------------- -------------- Net increase (decrease) from capital share transactions 4,106 20,296 - - -------------- -------------- -------------- -------------- Total increase (decrease) in net assets 451,501 (1,097,333) 729,444 (1,666,973) NET ASSETS Beginning of period 2,194,358 3,291,691 8,567,682 10,234,655 -------------- -------------- -------------- -------------- End of period $ 2,645,859 $ 2,194,358 $ 9,297,126 8,567,682 ============== ============== ============== ============== Undistributed net investment income (loss) at end of period $ 29,248 $ 13,925 26,544 $ 28,653 ============== ============== ============== ============== CHANGES IN SHARES OUTSTANDING Shares sold - 150,000 - - Shares redeemed - (150,000) - - Shares outstanding, beginning of period 150,000 150,000 200,000 200,000 -------------- -------------- -------------- -------------- Shares outstanding, end of period 150,000 150,000 200,000 200,000 ============== ============== ============== ==============
* Amount represents an adjustment to prior year capital. See notes to financial statements.
FINANCIAL HIGHLIGHTS MZN | Claymore/Morningstar Information Super Sector Index ETF FOR THE FOR THE PERIOD SIX MONTHS ENDED FOR THE AUGUST 22, 2007** NOVEMBER 30, 2009 YEAR ENDED THROUGH PER SHARE OPERATING PERFORMANCE (UNAUDITED) MAY 31, 2009 MAY 31, 2008 FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD NET ASSET VALUE, BEGINNING OF PERIOD $ 16.97 $ 24.73 $ 25.09 --------------------- ---------------------- ---------------- INCOME FROM INVESTMENT OPERATIONS Net investment income (loss) (a) 0.12 0.25 (0.04) Net realized and unrealized gain (loss) 3.87 (7.76) (0.29) --------------------- ---------------------- ---------------- Total from investment operations 3.99 (7.51) (0.33) --------------------- ---------------------- ---------------- DISTRIBUTIONS TO SHAREHOLDERS From and in excess of net investment income - (0.25) (0.03) --------------------- ---------------------- ---------------- NET ASSET VALUE, END OF PERIOD $ 20.96 $ 16.97 $ 24.73 ===================== ====================== ================ MARKET VALUE, END OF PERIOD $ 20.63 $ 16.25 $ 24.13 ===================== ====================== ================ TOTAL RETURN *(B) Net asset value 23.51% -30.24% -1.31% RATIOS AND SUPPLEMENTAL DATA Net assets, end of period (thousands) $ 3,144 $ 2,546 $ 3,710 Ratio of net expenses to average net assets* 0.45% (c) 0.45% 1.46% (c) Ratio of net investment income (loss) to average net assets* 1.25% (c) 1.44% -0.21% (c) Portfolio turnover rate (d) 4% 26% 7% * If certain expenses had not been waived or reimbursed by the Adviser, total return would have been lower and the ratios would have been as follows: Ratio of total expenses to average net assets 6.79% (c) 7.24% 6.82% (c) Ratio of net investment income (loss) to average net assets -5.09% (c) -5.35% -5.57% (c) ** Commencement of investment operations. (a) Based on average shares outstanding during the period. (b) Total investment return is calculated assuming a purchase of a common share at the beginning of the period and a sale on the last day of the period reported at net asset value ("NAV"). Dividends and distributions are assumed to be reinvested at NAV. Total investment return does not reflect brokerage commissions. A return calculated for a period of less than one year is not annualized. (c) Annualized. (d) Portfolio turnover is not annualized for periods of less than one year and does not include securities received or delivered from processing creations or redemptions. See notes to financial statements.
CLAYMORE/MORNINGSTAR MANUFACTURING SUPER SECTOR INDEX ETF FINANCIAL HIGHLIGHTS - -------------------------------------------------------------------------------- FOR THE SIX MONTHS FOR THE PERIOD ENDED FOR THE YEAR AUGUST 22, 2007** PER SHARE OPERATING PERFORMANCE NOVEMBER 30, 2009 ENDED THROUGH FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD (UNAUDITED) MAY 31, 2009 MAY 31, 2008 ------------------- ---------------- ------------------ Net asset value, beginning of period $ 17.37 $ 27.47 $ 24.90 ------------------- ---------------- ------------------ INCOME FROM INVESTMENT OPERATIONS Net investment income (loss) (a) 0.21 0.45 0.16 Net realized and unrealized gain (loss) 2.88 (10.14) 2.59 ------------------- ---------------- ------------------ Total from investment operations 3.09 (9.69) 2.75 ------------------- ---------------- ------------------ DISTRIBUTIONS TO SHAREHOLDERS FROM From and in excess of net investment income - (0.41) (0.18) ------------------- ---------------- ------------------ NET ASSET VALUE, END OF PERIOD $ 20.46 $ 17.37 $ 27.47 =================== ================ ================== MARKET VALUE, END OF PERIOD $ 20.70 $ 18.08 $ 27.21 =================== ================ ================== TOTAL RETURN*(B) Net asset value 17.79% -35.23% 11.05% RATIOS AND SUPPLEMENTAL DATA Net assets, end of period (thousands) $ 3,069 $ 2,605 $ 4,121 Ratio of net expenses to average net assets* 0.45% (c) 0.45% 1.39% Ratio of net investment income to average net assets* 2.21% (c) 2.33% 0.78% Portfolio turnover rate (d) 2% 13% 8% * If certain expenses had not been waived or reimbursed by the Adviser, total return would have been lower and the ratios would have been as follows: Ratio of expenses to average net assets 7.07% (c) 7.00% 6.31% Ratio of net investment income (loss) to average net assets -4.41% (c) -4.22% -4.14%
** Commencement of investment operations. (a) Based on average shares outstanding during the period. (b) Total investment return is calculated assuming a purchase of a common share at the beginning of the period and a sale on the last day of the period reported at net asset value ("NAV"). Dividends and distributions are assumed to be reinvested at NAV. Total investment return does not reflect brokerage commissions. A return calculated for a period of less than one year is not annualized. (c) Annualized. (d) Portfolio turnover is not annualized for periods less than one year and does not include securities received or delivered from processing creations or redemptions. See notes to financial statements.
MZO | CLAYMORE/MORNINGSTAR SERVICES SUPER SECTOR INDEX ETF FINANCIAL HIGHLIGHTS - -------------------------------------------------------------------------------- FOR THE SIX MONTHS FOR THE PERIOD ENDED FOR THE YEAR AUGUST 22, 2007** NOVEMBER 30, 2009 ENDED THROUGH PER SHARE OPERATING PERFORMANCE (UNAUDITED) MAY 31, 2009 MAY 31, 2008 FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD ------------------- ---------------- ------------------ NET ASSET VALUE, BEGINNING OF PERIOD $ 14.63 $ 21.94 $ 25.12 ------------------- ---------------- ------------------ INCOME FROM INVESTMENT OPERATIONS Net investment income (loss) (a) 0.10 0.33 0.14 Net realized and unrealized gain (loss) 2.91 (7.24) (3.18) ------------------- ---------------- ------------------ Total from investment operations 3.01 (6.91) (3.04) ------------------- ---------------- ------------------ DISTRIBUTIONS TO SHAREHOLDERS FROM Net investment income - (0.40) (0.14) ------------------- ---------------- ------------------ NET ASSET VALUE, END OF PERIOD $ 17.64 $ 14.63 $ 21.94 =================== ================ ================== MARKET VALUE, END OF PERIOD $ 17.78 $ 14.43 $ 21.97 =================== ================ ================== TOTAL RETURN* (B) Net asset value 20.57% -31.48% -12.16% RATIOS AND SUPPLEMENTAL DATA Net assets, end of period (thousands) $ 2,646 $ 2,194 $ 3,292 Ratio of net expenses to average net assets* 0.45% (c) 0.45% 1.51% (c) Ratio of net investment income to average net assets* 1.25% (c) 2.06% 0.74% (c) Portfolio turnover rate (d) 5% 11% 8% * If certain expenses had not been waived or reimbursed by the Adviser, total return would have been lower and the ratios would have been as follows: Ratio of total expenses to average net assets 8.19% (c) 8.77% 7.08% (c) Ratio of net investment income (loss) to average net assets -6.49% (c) -6.26% -4.83% (c)
** Commencement of investment operations. (a) Based on average shares outstanding during the period. (b) Total investment return is calculated assuming a purchase of a common share at the beginning of the period and a sale on the last day of the period reported at net asset value ("NAV"). Dividends and distributions are assumed to be reinvested at NAV. Total investment return does not reflect brokerage commissions. A return calculated for a period of less than one year is not annualized. (c) Annualized. (d) Portfolio turnover is not annualized for periods less than one year and does not include securities received or delivered from processing creations or redemptions. See notes to financial statements.
UEM | CLAYMORE U.S.-1 - THE CAPITAL MARKETS INDEX ETF FINANCIAL HIGHLIGHTS - -------------------------------------------------------------------------------- FOR THE SIX MONTHS FOR THE PERIOD ENDED FOR THE YEAR FEBRUARY 12, 2008** NOVEMBER 30, 2009 ENDED THROUGH PER SHARE OPERATING PERFORMANCE (UAUDITED) MAY 31, 2009 MAY 31, 2008 FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD ------------------- ---------------- ------------------ NET ASSET VALUE, BEGINNING OF PERIOD $ 42.84 $ 51.17 $ 50.00 ------------------- ---------------- ------------------ INCOME FROM INVESTMENT OPERATIONS Net investment income (loss) (a) 0.30 0.72 0.23 Net realized and unrealized gain (loss) 3.66 (8.23) 1.04 ------------------- ---------------- ------------------ Total from investment operations 3.96 (7.51) 1.27 ------------------- ---------------- ------------------ DISTRIBUTIONS TO SHAREHOLDERS FROM Net investment income (0.31) (0.82) (0.10) ------------------- ---------------- ------------------ NET ASSET VALUE, END OF PERIOD $ 46.49 $ 42.84 $ 51.17 =================== ================ ================== MARKET VALUE, END OF PERIOD $ 45.99 $ 36.00 $ 51.09 =================== ================ ================== TOTAL RETURN* (B) Net asset value 9.28% -14.71% 2.54% RATIOS AND SUPPLEMENTAL DATA Net assets, end of period (thousands) $ 9,297 $ 8,568 $ 10,235 Ratio of net expenses to average net assets* 0.42% (c) 0.60% 0.67% (c) Ratio of net investment income to average net assets* 1.33% (c) 1.65% 1.52% (c) Portfolio turnover rate (d) 101% 224% 35% * If certain expenses had not been waived or reimbursed by the Adviser, total return would have been lower and the ratios would have been as follows: Ratio of total expenses to average net assets 1.45% (c) 1.89% 2.27% (c) Ratio of net investment income (loss) to average net assets 0.30% (c) 0.36% -0.08% (c)
** Commencement of investment operations. (a) Based on average shares outstanding during the period. (b) Total investment return is calculated assuming a purchase of a common share at the beginning of the period and a sale on the last day of the period reported at net asset value ("NAV"). Dividends and distributions are assumed to be reinvested at NAV. Total investment return does not reflect brokerage commissions. A return calculated for a period of less than one year is not annualized. (c) Annualized. (d) Portfolio turnover is not annualized for periods less than one year and does not include securities received or delivered from processing creations or redemptions. See notes to financial statements. CLAYMORE EXCHANGE-TRADED FUND TRUST NOTES TO FINANCIAL STATEMENTS NOVEMBER 30, 2009 (UNAUDITED) - -------------------------------------------------------------------------------- NOTE 1 - ORGANIZATION: Claymore Exchange-Traded Fund Trust (the "Trust"), which is registered under the Investment Company Act of 1940, as amended (the "1940 Act"), is organized as an open-end management investment company that was organized as a Delaware business trust on May 24, 2006. At the end of the period, the Trust consisted of 20 portfolios. At a meeting on November 25, 2009, the Board of Trustees approved the termination of these Funds. These Funds have ceased operation with liquidation proceeds distributed to shareholders of record as of December 18, 2009. The following 4 portfolios have a semi-annual reporting period ended on November 30, 2009 and liquidated December 18, 2009: Claymore/Morningstar Information Super "Morningstar Information Sector Index ETF Super Sector" Claymore/Morningstar Manufacturing Super "Morningstar Manufacturing Sector Index ETF Super Sector" Claymore/Morningstar Services Super "Morningstar Services Sector Index ETF Super Sector" Claymore U.S.-1-The Capital Markets Index ETF "U.S.-1-Capital Markets" Each portfolio represents a separate series of the Trust (each a "Fund" or collectively the "Funds"). Each Fund's shares are listed and traded on the NYSE Arca. The Funds' market prices may differ to some degree from the net asset value ("NAV") of the shares of each Fund. Unlike conventional mutual funds, each Fund issues and redeems shares on a continuous basis, at NAV, only in a large specified number of shares, each called a "Creation Unit." Creation Units are issued and redeemed principally in-kind for securities included in the relevant index. Except when aggregated in Creation Units, shares are not individually redeemable securities of the Funds. The investment objective of each of the Funds is to replicate as closely as possible, before fees and expenses, the performance of the following market indices:
- ------------------------------------------- ------------------------------------------------ FUND INDEX - ------------------------------------------- ------------------------------------------------ Morningstar Information Super Sector Morningstar Information Super Sector Index - ------------------------------------------- ------------------------------------------------ Morningstar Manufacturing Super Sector Morningstar Manufacturing Super Sector Index - ------------------------------------------- ------------------------------------------------ Morningstar Services Super Sector Morningstar Services Super Sector Index - ------------------------------------------- ------------------------------------------------ U.S.-1-Capital Markets CPMKTS-The Capital Markets Index - ------------------------------------------- ------------------------------------------------
NOTE 2 -ACCOUNTING POLICIES: The preparation of the financial statements in accordance with U.S. generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from these estimates. In June 2009, the Financial Accounting Standards Board ("FASB") established the FASB Accounting Standards Codification(TM) ("ASC") as the single source of authoritative accounting principles reorganized by the FASB in preparation of financial statements in conformity with GAAP. The ASC superseded existing non-grandfathered, non-U.S. Securities and Exchange Commission ("SEC") accounting and reporting standards. The ASC did not change GAAP but rather organized it into a hierarchy where all guidance with the ASC carried an equal level of authority. The ASC became effective for financial statements issued for interim and annual periods ending after September 15, 2009. The implementation of ASC did not have a material effect of the Fund's financial statements. The following is a summary of the significant accounting policies followed by the Funds. (a) VALUATION OF INVESTMENTS Securities listed on an exchange are valued at the last reported sale price on the principal exchange or on the principal over-the-counter market on which such securities are traded, as of the close of regular trading on the NYSE on the day the securities are being valued or, if there are no sales, at the mean of the most recent bid and ask prices. Equity securities that are traded primarily on the NASDAQ Stock Market are valued at the NASDAQ Official Closing Price. Events occurring after the close of trading on non-United States exchanges may result in adjustments to the valuation of foreign securities to more accurately reflect their fair value as of the close of regular trading on the NYSE. Debt securities are valued at the bid price for such securities or, if such prices are not available, at prices for securities of comparable maturity, quality and type. Short-term securities with maturities of 60 days or less at time of purchase are valued at amortized cost, which approximates market value. For those securities where quotations or prices are not available, the valuations are determined in accordance with procedures established in good faith by the Board of Trustees. Valuations in accordance with these procedures are intended to reflect each security's (or asset's) "fair value". Such "fair value" is the amount that the Fund might reasonably expect to receive for the security (or asset) upon its current sale. Each such determination should be based on a consideration of all relevant factors, which are likely to vary from one pricing context to another. Examples of such factors may include, but are not limited to: (i) the type of security, (ii) the initial cost of the security, (iii) the existence of any contractual restrictions on the security's disposition, (iv) the price and extent of public trading in similar securities of the issuer or of comparable companies, (v) quotations or evaluated prices from broker-dealers and/or pricing services, (vi) information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange traded securities), (vii) an analysis of the company's financial statements, and (viii) an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold (e.g. the existence of pending merger activity, public offerings or tender offers that might affect the value of the security). The Fund adopted ASC 820, Fair Value Measurements and Disclosures ("ASC820") (formerly known as the Statement of Financial Accounting Standard ("SFAS") No. 157) effective June 1, 2008. In accordance with ASC820, fair value is defined as the price that the Fund would receive to sell an investment or pay to transfer a liability in an orderly transaction with an independent buyer in the principal market, or in the absence of a principal market the most advantageous market for the investment or liability. ASC820 establishes three different categories for valuations. Level 1 valuations are those based upon quoted prices in active markets. Level 2 valuations are those based upon quoted prices in inactive markets or based upon significant observable inputs (e.g. yield curves; benchmark interest rates; indices). Level 3 valuations are those based upon unobservable inputs (e.g. discounted cash flow analysis; non-market based methods used to determine fair valuation). The following table represents the Funds' investments carried on the Statement of Assets and Liabilities by caption and by level within the fair value hierarchy as of November 30, 2009:
Morningstar Information Super Sector - ------------------------------------- ----------------------- ---------------- -------------------- ------------------- Description Level 1 Level 2 Level 3 Total - ------------------------------------- ----------------------- ---------------- -------------------- ------------------- (value in $000s) Assets: Common Stocks $ 3,123 $ - $ - $ 3,123 Exchange-Traded Funds 17 - - 17 ----------------------- ---------------- -------------------- ------------------- Total $ 3,140 $ - $ - $ 3,140 ----------------------- ---------------- -------------------- ------------------- Morningstar Manufacturing Super Sector - ------------------------------------- ----------------------- ---------------- -------------------- ------------------- Description Level 1 Level 2 Level 3 Total - ------------------------------------- ----------------------- ---------------- -------------------- ------------------- (value in $000s) Assets: Common Stocks $ 3,045 $ - $ - $ 3,045 Exchange-Traded Funds 17 - - 17 ----------------------- ---------------- -------------------- ------------------- Total $ 3,062 $ - $ - $ 3,062 ======================= ================ ==================== =================== Morningstar Services Super Sector - ------------------------------------- ----------------------- ---------------- -------------------- ------------------- Description Level 1 Level 2 Level 3 Total - ------------------------------------- ----------------------- ---------------- -------------------- ------------------- (value in $000s) Assets: Common Stocks $ 2,587 $ - $ - $ 2,587 Exchange Traded Funds 51 - - 51 Tracking Stocks 6 - - 6 Master Limited Partnerships 1 - - 1 ----------------------- ---------------- -------------------- ------------------- Total $ 2,645 $ - $ - $ 2,645 ======================= ================ ==================== =================== U.S.-1 Capital Markets - ------------------------------------- ----------------------- ---------------- -------------------- ------------------- Description Level 1 Level 2 Level 3 Total - ------------------------------------- ----------------------- ---------------- -------------------- ------------------- (value in $000s) Assets: Common Stocks $ 3,766 $ - $ - $ 3,766 Master Limited Partnerships 1 - - 1 Commercial Paper - 200 - 200 Corporate Bonds - 982 - 982 Mortgage Backed Securities - 1,118 - 1,118 United States Government Agency Securities - 1,362 - 1,362 United States Treasury Securities - 1,414 - 1,414 ----------------------- ---------------- -------------------- ------------------- Total $ 3,767 $ 5,076 $ - $ 8,843 ======================= ================ ==================== ===================
(b) INVESTMENT TRANSACTIONS AND INVESTMENT INCOME Investment transactions are accounted for on the trade date. Realized gains and losses on investments are determined on the identified cost basis. Dividend income is recorded net of applicable withholding taxes on the ex-dividend date and interest income is recorded on an accrual basis. Discounts or premiums on debt securities purchased are accreted or amortized to interest income over the lives of the respective securities using the effective interest method. The Funds record the character of dividends received from master limited partnerships ("MLPs") based on estimates made at the time such distributions are received. These estimates are based upon a historical review of information available from each MLP and other industry sources. The characterization of the estimates may subsequently be revised based on information received from MLPs after their tax reporting periods conclude. REIT distributions received by a Fund are generally comprised of ordinary income, long-term and short-term capital gains and return of capital. The actual character of amounts received during the year, are not known until after the fiscal year end. A Fund records the character of distributions received from REITs during the year based on historical information available. A Fund's characterization may be subsequently revised based on information received from REITs after their tax reporting periods conclude. (c) CURRENCY TRANSLATION Assets and liabilities denominated in foreign currencies are translated into U.S. dollars at the mean of the bid and asked price of respective exchange rates on the last day of the period. Purchases and sales of investments denominated in foreign currencies are translated at the exchange rate on the date of the transaction. Foreign exchange gain or loss resulting from holding of a foreign currency, expiration of a currency exchange contract, difference in exchange rates between the trade date and settlement date of an investment purchased or sold, and the difference between dividends actually received compared to the amount shown in a Fund's accounting records on the date of receipt are included as net realized gains or losses on foreign currency transactions in the Fund's Statement of Operations. Foreign exchange gain or loss on assets and liabilities, other than investments, are included in unrealized appreciation/(depreciation) on foreign currency translations. (d) DISTRIBUTIONS The Funds intend to pay substantially all of their net investment income to shareholders through annual distributions, except for U.S.-1-Capital Markets which will pay quarterly distributions. In addition, the Funds intend to distribute any capital gains to Shareholders as capital gain dividends at least annually. The amount and timing of distributions are determined in accordance with federal income tax regulations, which may differ from U.S. generally accepted accounting principles. (e) SECURITY LENDING Each Fund may lend portfolio securities to certain creditworthy borrowers, including the Funds' securities lending agent. The loans are collateralized at all times by cash and/or high grade debt obligations in an amount at least equal to 102% of the market value of domestic securities loaned and 105% of foreign securities loaned as determined at the close of business on the preceding business day. Each Fund receives compensation for lending securities from interest or dividends earned on the cash or U.S. government securities held as collateral, net of fee rebates paid to the borrower plus reasonable administrative and custody fees. The dividend and interest income earned on the securities loaned is accounted for in the same manner as other dividend and interest income. The borrower pays to the Funds an amount equal to any dividends or interest received on loaned securities. The Funds retain all or a portion of the interest received on investment of cash collateral or receives a fee from the borrower. Lending portfolio securities could result in a loss or delay in recovering each Fund's securities if the borrower defaults. The net securities lending income earned by the Funds is disclosed on the Statement of Operation. None of the Funds had lent securities outstanding as of November 30, 2009. (f) SUBSEQUENT EVENTS Effective November 30, 2009, the Fund adopted ASC 855, Subsequent Events ("ASC855") (formerly known as SFAS No. 165). ASC855 requires an entity to recognize in the financial statements the effects of all subsequent events that provide additional evidence about conditions that existed at the date of the statement of assets and liabilities. ASC855 is intended to establish general standards of accounting and for disclosure of events that occur after the statement of assets and liabilities date but before the financial statements are issued or are available to be issued. The Fund has performed an evaluation of subsequent events through January 26, 2010, which is the date the financial statements were issued. NOTE 3 - INVESTMENT ADVISORY AGREEMENT, SUB-ADVISORY AGREEMENT AND OTHER AGREEMENTS: Pursuant to an Investment Advisory Agreement (the "Agreement") between the Trust, on behalf of each Fund, and Claymore Advisors, LLC (the "Adviser"), the Adviser manages the investment and reinvestment of each Fund's assets and administers the affairs of each Fund to the extent requested by the Board of Trustees. Pursuant to the Agreement, each Fund pays the Adviser an advisory fee payable on a monthly basis at the annual rate set forth below based on each Fund's average daily net assets: - ----------------------------------------------------------- ---------------- FUND RATE - ----------------------------------------------------------- ---------------- Morningstar Information Super Sector 0.40% - ----------------------------------------------------------- ---------------- Morningstar Manufacturing Super Sector 0.40% - ----------------------------------------------------------- ---------------- Morningstar Services Super Sector 0.40% - ----------------------------------------------------------- ---------------- U.S.-1-Capital Markets 0.25% - ----------------------------------------------------------- ---------------- On July 17, 2009, Claymore Group Inc., the parent of the Adviser, entered into an Agreement and Plan of Merger between and among Claymore Group Inc., Claymore Holdings, LLC and GuggClay Acquisition, Inc., (with the latter two entities being wholly-owned, indirect subsidiaries of Guggenheim Partners, LLC ("Guggenheim")) whereby GuggClay Acquisition, Inc. merged into Claymore Group Inc. which is the surviving entity. This transaction was completed on October 14, 2009 (the "Effective Date") and resulted in a change-of-control whereby Claymore Group Inc. and its subsidiaries, including the Adviser, became indirect, wholly-owned subsidiaries of Guggenheim. The transaction is not expected to affect the daily operations of the Funds or the investment management activities of the Adviser. Under the Investment Company Act of 1940, as amended, (the "1940 Act"), the consummation of this transaction resulted in the automatic termination of the Advisory & Sub-Advisory Agreements. Accordingly, on September 28, 2009, the Board of Trustees approved an interim investment advisory agreement between the Trust and the Adviser (the "Interim Advisory Agreement") and an interim investment sub-advisory agreement among the Trust (on behalf of the Claymore U.S.-1- The Capital Markets Index ETF (the "Sub-Advised Fund")), the Adviser and Mellon Capital Management Corporation ("Mellon") (the "Interim Sub-Advisory Agreement" and together with the Interim Advisory Agreement, the "Interim Agreements"). The Interim Agreements took effect as of the Effective Date and will terminate upon the earlier of: (a) 150 calendar days after the Effective Date or (b) the approval of a new investment advisory agreement by the shareholders of each Fund and a new investment sub-advisory agreement by the shareholders of the Sub-Advised Fund. In addition, the advisory fees earned by the Adviser pursuant to the Interim Advisory Agreement and the sub-advisory fees earned by Mellon pursuant to the Interim Sub-Advisory Agreement will be held in an interest-bearing escrow account with the Trust's custodian during the term of the Interim Agreements. If each Fund's shareholders approve a new advisory agreement with the Adviser prior to the expiration of the term of the Interim Advisory Agreement, the amount in the escrow account (including any interest earned) with respect to each Fund shall be paid to the Adviser. If the Sub-Advised Fund's shareholders approve a new sub-advisory agreement with Mellon prior to the expiration of the term of the Interim Sub-Advisory Agreement, the amount in the escrow account (including any interest earned) with respect to the Sub-Advised Fund shall be paid to Mellon. If each Fund's shareholders do not approve a new advisory agreement with the Adviser, or if the Sub-Advised Fund's shareholders do not approve a new sub-advisory agreement with Mellon, prior to the expiration of the term of the Interim Agreements, the Adviser or Mellon, as applicable, shall be paid, out of the escrow account with respect to the relevant Fund, the lesser of (i) the Adviser's or Mellon's costs incurred in providing the services under the Interim Agreements (including any interest earned on that amount while in escrow) with respect to the relevant Fund; or (ii) the total amount in the escrow account (including any interest earned) with respect to such Fund. Other than the effective dates and the provisions set forth above regarding the advisory and sub-advisory fees' placement into an escrow account, the terms and conditions of the Interim Agreements are substantively identical to those of the original Advisory Agreement and Sub-Advisory Agreement. On September 28, 2009, the Board of Trustees approved a new investment advisory agreement between the Trust and the Adviser (the "New Advisory Agreement") and a new investment sub-advisory agreement among the Trust (on behalf of the Sub-Advised Fund), the Adviser and Mellon (the "New Sub-Advisory Agreement" and together with the New Advisory Agreement, the "New Agreements") and recommended that the New Agreements be submitted to the shareholders of the relevant Funds for their approval. The New Agreements will take effect with respect to a Fund upon approval by the shareholders of such Fund and will have an initial term of one year. Thereafter, the New Agreements will continue in effect only if such continuance is approved by the Board of Trustees. Other than effective dates, there are no material differences between the terms of the New Advisory Agreement and New Sub-Advisory Agreement and those of the prior Advisory Agreement and Sub-Advisory Agreement, respectively. Under a separate Fund Administration agreement, Claymore Advisors, LLC provides Fund Administration services to the Funds. Claymore Advisors, LLC receives a fund administration fee payable monthly at the annual rate set forth below as a percentage of the average daily net assets of each Fund: - ---------------------------------------------- ----------------------------- Net Assets Rate - ---------------------------------------------- ----------------------------- First $200,000,000 0.0275% - ---------------------------------------------- ----------------------------- Next $300,000,000 0.0200% - ---------------------------------------------- ----------------------------- Next $500,000,000 0.0150% - ---------------------------------------------- ----------------------------- Over $1,000,000,000 0.0100% - ---------------------------------------------- ----------------------------- For the period ended November 30, 2009, each Fund recognized Fund Administration expenses and waived Fund Administration expenses as follows: - -------------------------------------- -------------------- -------------------- FUND ADMINISTRATION FUND ADMINISTRATION EXPENSE EXPENSE WAIVED - -------------------------------------- -------------------- -------------------- Morningstar Information Super Sector $400 $400 - -------------------------------------- -------------------- -------------------- Morningstar Manufacturing Super Sector $394 $394 - -------------------------------------- -------------------- -------------------- Morningstar Services Super Sector $336 $336 - -------------------------------------- -------------------- -------------------- U.S.-1-Capital Markets $1,232 $1,232 - -------------------------------------- -------------------- -------------------- The Bank of New York Mellon ("BNY") acts as the Funds' custodian, accounting agent and transfer agent. As custodian, BNY is responsible for the custody of the Funds' assets. As accounting agent, BNY is responsible for maintaining the books and records of the Funds. As transfer agent, BNY is responsible for performing transfer agency services for the Funds. Mellon Capital Management Corporation ("Mellon Capital") acts as the sub-adviser for U.S.-1-Capital Markets, pursuant to a sub-advisory agreement with the Investment Adviser. In this capacity, Mellon Capital supervises and manages the investment portfolio for this Fund, and directs the purchases and sales of the Fund's investment securities. The Funds' Adviser contractually agreed to waive fees and/or pay fund expenses to the extent necessary to prevent the operating expenses of the Fund (excluding interest expense, a portion of the Fund's licensing fees, offering costs, brokerage commissions and other trading expenses, taxes and extraordinary expenses such as litigation and other expenses not incurred in the ordinary course of the Fund's business) from exceeding the following percentages of average net assets per year, at least until December 31, 2012: - -------------------------------------------------------- ------------------- FUND RATE - -------------------------------------------------------- ------------------- Morningstar Information Super Sector 0.40% - -------------------------------------------------------- ------------------- Morningstar Manufacturing Super Sector 0.40% - -------------------------------------------------------- ------------------- Morningstar Services Super Sector 0.40% - -------------------------------------------------------- ------------------- U.S.-1-Capital Markets 0.37% - -------------------------------------------------------- ------------------- Amounts owed to each Fund from the Adviser are shown in the Statement of Assets and Liabilities. The Trust and the Adviser have entered into an Expense Reimbursement Agreement in which for a period of five years subsequent to the Fund's commencement of operations, the Adviser may recover from the Fund fees and expenses waived or reimbursed during the prior three years if the Fund's expense ratio, including the recovered expenses, falls below the expense cap. For the period ended November 30, 2009, the Adviser waived and assumed the following fees and expenses:
- -------------------------------- ----------------- ------------- -------------------------------------------- POTENTIALLY RECOVERABLE EXPENSES EXPIRING MAY 31, - -------------------------------- ----------------- ------------- -------------------------------------------- ADVISORY FEES EXPENSES WAIVED ASSUMED 2011 2012 2013 - -------------------------------- ----------------- ------------- ---------------- -------------- ------------ Morningstar Information Super $ 5,818 $86,403 $153,042 $182,261 $92,221 Sector - -------------------------------- ----------------- ------------- ---------------- -------------- ------------ Morningstar Manufacturing $ 5,725 $89,060 $150,781 $191,137 $94,785 Super Sector - -------------------------------- ----------------- ------------- ---------------- -------------- ------------ Morningstar Services Super $ 4,891 $89,802 $151,918 $199,900 $94,693 Sector - -------------------------------- ----------------- ------------- ---------------- -------------- ------------ U.S.-1-Capital Markets $11,194 $35,065 $ 48,508 $113,682 $46,259 - -------------------------------- ----------------- ------------- ---------------- -------------- ------------
Certain officers and/or trustees of the Trust are officers and/or directors of the Adviser. The Trust does not compensate its officers and /or trustees who are officers or directors of the Adviser. LICENSING FEE AGREEMENTS: The Adviser has entered into licensing agreements on behalf of each Fund with the following Licensors: - ---------------------------------------- ------------------------------------- FUND LICENSOR - ---------------------------------------- ------------------------------------- Morningstar Information Super Sector Morningstar, Inc. - ---------------------------------------- ------------------------------------- Morningstar Manufacturing Super Sector Morningstar, Inc. - ---------------------------------------- ------------------------------------- Morningstar Services Super Sector Morningstar, Inc. - ---------------------------------------- ------------------------------------- U.S.-1-Capital Markets Dorchester Capital Management LLC - ---------------------------------------- ------------------------------------- The above trademarks are trademarks owned by the respective Licensors. These trademarks have been licensed to the Adviser for use for certain purposes with the Funds. The Funds are not sponsored, endorsed, sold or promoted by the Licensors and the Licensors make no representation regarding the advisability of investing in Shares of the Funds. Up to 5 basis points of licensing fees are excluded from the expense cap. NOTE 4 - FEDERAL INCOME TAXES: The Funds intend to comply with the requirements of Subchapter M of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies. Accordingly, no provision for U.S. federal income taxes is required. In addition, by distributing substantially all of its ordinary income and long-term capital gains, if any, during each calendar year, the Funds intend not to be subject to U.S. federal excise tax. At November 30, 2009, the cost of investments, unrealized appreciation/depreciation on investments and accumulated earnings/loss for federal income tax purposes were as follows:
- ----------------------- -------------- --------------- ---------------- ----------------- Cost of Gross Tax Gross Tax Net Tax Investments Unrealized Unrealized Unrealized for Tax Appreciation Depreciation Appreciation Purposes (Depreciation) - ----------------------- -------------- --------------- ---------------- ----------------- Morningstar $3,599,088 $259,308 ($718,287) ($458,979) Information Super Sector - ----------------------- -------------- --------------- ---------------- ----------------- Morningstar $3,797,447 $ 35,934 ($770,893) ($734,959) Manufacturing Super Sector - ----------------------- -------------- --------------- ---------------- ----------------- Morningstar Services $3,561,230 $ 93,131 ($1,009,498) ($916,367) Super Sector - ----------------------- -------------- --------------- ---------------- ----------------- U.S.-1-Capital Markets $9,506,912 $268,969 ($932,884) ($663,915) - ----------------------- -------------- --------------- ---------------- -----------------
Tax components of the following balances as of May 31, 2009 were as follows:
- ------------------------------------ ----------------------- ------------------------------ Undistributed Undistributed Long-Term Ordinary Gains/(Accumulated Capital & Income/(Accumulated Other Loss) Ordinary Loss) - ------------------------------------ ----------------------- ------------------------------ Morningstar Information Super $20,121 $(186,859) Sector - ------------------------------------ ----------------------- ------------------------------ Morningstar Manufacturing Super 26,416 (44,878) Sector - ------------------------------------ ----------------------- ------------------------------ Morningstar Services Super Sector 13,917 (189,520) - ------------------------------------ ----------------------- ------------------------------ U.S.-1-Capital Markets 28,653 (79,445) - ------------------------------------ ----------------------- ------------------------------
DISTRIBUTIONS TO SHAREHOLDERS: The tax character of distributions paid during the period ended May 31, 2009 was as follows: - ------------------------------------------ -------------------------------- DISTRIBUTIONS PAID FROM ORDINARY INCOME - ------------------------------------------ -------------------------------- Morningstar Information Super Sector $37,050 - ------------------------------------------ -------------------------------- Morningstar Manufacturing Super Sector 61,050 - ------------------------------------------ -------------------------------- Morningstar Services Super Sector 60,000 - ------------------------------------------ -------------------------------- U.S.-1-Capital Markets 164,000 - ------------------------------------------ -------------------------------- At May 31, 2009, for federal income tax purposes, the Funds have capital loss carryforwards available as shown in the table below, to the extent provided by the regulations, to offset future capital gains through the years indicated. To the extent that these loss carryforwards are used to offset future capital gains, it is probable that the capital gains so offset will not be distributed to shareholders. - ------------------------------------------ ------------------ ----------------- CAPITAL LOSS CAPITAL LOSS EXPIRING IN 2016 EXPIRING IN 2017 - ------------------------------------------ ------------------ ----------------- Morningstar Information Super Sector $477 $19,240 - ------------------------------------------ ------------------ ----------------- Morningstar Manufacturing Super Sector 62 2,504 - ------------------------------------------ ------------------ ----------------- Morningstar Services Super Sector 3,326 120,340 - ------------------------------------------ ------------------ ----------------- U.S.-1-Capital Markets - 38,560 - ------------------------------------------ ------------------ ----------------- Capital losses incurred after October 31 ("post-October losses") within the taxable year are deemed to arise on the first business day of each Fund's next taxable year. During the year ended May 31, 2009, the following Funds incurred and will elect to defer net capital losses as follows: - ------------------------------------------------------- ----------------------- POST-OCTOBER CAPITAL LOSSES - ------------------------------------------------------- ----------------------- Morningstar Information Super Sector $(167,142) - ------------------------------------------------------- ----------------------- Morningstar Manufacturing Super Sector (42,312) - ------------------------------------------------------- ----------------------- Morningstar Services Super Sector (65,854) - ------------------------------------------------------- ----------------------- U.S.-1-Capital Markets (40,885) - ------------------------------------------------------- ----------------------- For all open tax years and all major jurisdictions, management of the Trust has concluded that there are no significant uncertain tax positions that would require recognition in the financial statements. Open tax years are those that are open for examination by taxing authorities (i.e. generally the last four tax year ends and the interim tax period since then). Furthermore, management of the Trust is also not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. NOTE 5 - INVESTMENT TRANSACTIONS: For the period ended November 30, 2009, the cost of investments purchased and proceeds from sales of investments, excluding short-term investments and in-kind transactions, were as follows: - ------------------------------------------ ------------------ ---------------- PURCHASES SALES - ------------------------------------------ ------------------ ---------------- Morningstar Information Super Sector $136,132 $104,407 - ------------------------------------------ ------------------ ---------------- Morningstar Manufacturing Super Sector 79,723 42,616 - ------------------------------------------ ------------------ ---------------- Morningstar Services Super Sector $152,406 $128,325 - ------------------------------------------ ------------------ ---------------- U.S.-1-Capital Markets $6,559,224 $6,654,126 - ------------------------------------------ ------------------ ---------------- For the period ended November 30, 2009, in-kind transactions were as follows: - ------------------------------------------ ------------------ ---------------- PURCHASES SALES - ------------------------------------------ ------------------ ---------------- Morningstar Information Super Sector $- $- - ------------------------------------------ ------------------ ---------------- Morningstar Manufacturing Super Sector 2,970,349 2,962,890 - ------------------------------------------ ------------------ ---------------- Morningstar Services Super Sector $157 $- - ------------------------------------------ ------------------ ---------------- U.S.-1-Capital Markets $162 $- - ------------------------------------------ ------------------ ---------------- NOTE 6 - CAPITAL: Shares are issued and redeemed by the Funds only in Creation Unit size aggregations of 150,000 to 200,000 shares. Such transactions are only permitted on an in-kind basis, with separate cash payment, which is balancing each component to equate the transaction to the net asset value per share of the Fund on the transaction date. Transaction fees ranging from $1,000 to $5,500 are charged to those persons creating or redeeming Creation Units. An additional charge of up to four times the Creation or Redemption Transaction Fee may be imposed with respect to transactions effected outside of the Clearing Process or to the extent that cash is used in lieu of securities to purchase Creation Units or redeem for cash. NOTE 7 - DISTRIBUTION AGREEMENT: The Board of Trustees of the Trust has adopted a distribution and service plan (the "Plan") pursuant to Rule 12b-1 under the 1940 Act. Under the Plan, each Fund is authorized to pay distribution fees in connection with the sale and distribution of its shares and pay service fees in connection with the provision of ongoing services to shareholders of each class and the maintenance of shareholder accounts in an amount up to 0.25% of its average daily net assets each year. No 12b-1 fees are currently paid by the Funds, and there are no current plans to impose these fees. NOTE 8 - INDEMNIFICATIONS: In the normal course of business, the Funds enter into contracts that contain a variety of representations, which provide general indemnifications. Each Funds' maximum exposure under these arrangements is unknown, as this would require future claims that may be made against a Fund that have not yet occurred. However, the Funds expect the risk of loss to be remote. NOTE 9 - SUBSEQUENT EVENT: The below Funds ceased trading on the NYSE on December 11, 2009. All shareholders remaining on December 18, 2009 received the value of their shares as summarized below. INCOME FINAL NET DIVIDEND RETURN OF ASSET VALUE FUND NAME PER SHARE INVESTMENT PER SHARE - --------- --------- ---------- --------- Morningstar Information Super Sector $0.2613 $21.4552 $21.7165 Morningstar Services Super Sector $0.2024 $17.5941 $17.7965 Morningstar Manufacturing Super Sector $0.3971 $20.1152 $20.5123 U.S. - 1 - The Capital Markets $0.1590 $46.6208 $46.7798 SUPPLEMENTAL INFORMATION | (UNAUDITED) TRUSTEES The Trustees of the Claymore Exchange-Traded Fund Trust and their principal business occupations during the past five years.
TERM OF NAME, ADDRESS*, YEAR OF OFFICE** AND PRINCIPAL OCCUPATIONS DURING NUMBER OF FUNDS IN BIRTH AND POSITION(S) HELD LENGTH OF THE PAST FIVE YEARS AND THE FUND COMPLEX*** OTHER DIRECTORSHIPS HELD WITH REGISTRANT TIME SERVED OTHER AFFILIATIONS OVERSEEN BY TRUSTEE BY TRUSTEE - ---------------------------- ------------- ----------------------------------------- -------------------- -------------------------- INDEPENDENT TRUSTEES: - ---------------------------- ------------- ----------------------------------------- -------------------- -------------------------- Randall C. Barnes Since 2006 Private Investor (2001-present). 44 None Year of Birth: 1951 Formerly, Senior Vice President and Trustee Treasurer, PepsiCo, Inc. (1993-1997), President, Pizza Hut International (1991-1993) and Senior Vice President, Strategic Planning and New Business Development (1987-1990) of PepsiCo, Inc. (1987-1997). - ---------------------------- ------------- ----------------------------------------- -------------------- -------------------------- Ronald A. Nyberg Since 2006 Partner of Nyberg & Cassioppi, LLC, a 47 None Year of Birth: 1953 law firm specializing in corporate law, Trustee estate planning and business transactions (2000-present). Formerly, Executive Vice President, General Counsel and Corporate Secretary of Van Kampen Investments (1982-1999). - ---------------------------- ------------- ----------------------------------------- -------------------- -------------------------- TERM OF NAME, ADDRESS*, YEAR OF OFFICE** AND PRINCIPAL OCCUPATIONS DURING NUMBER OF FUNDS IN BIRTH AND POSITION(S) HELD LENGTH OF THE PAST FIVE YEARS AND THE FUND COMPLEX*** OTHER DIRECTORSHIPS HELD WITH REGISTRANT TIME SERVED OTHER AFFILIATIONS OVERSEEN BY TRUSTEE BY TRUSTEE - ---------------------------- ------------- ----------------------------------------- -------------------- -------------------------- Ronald E. Toupin, Jr. Since 2006 Retired. Formerly, Vice President, 44 None Year of Birth: 1958 Manager and Portfolio Manager of Nuveen Trustee Asset Management (1998-1999), Vice President of Nuveen Investment Advisory Corp. (1992-1999), Vice President and Manager of Nuveen Unit Investment Trusts (1991-1999), and Assistant Vice President and Portfolio Manager of Nuveen Unit Investment Trusts (1988-1999), each of John Nuveen & Co., Inc. (1982-1999). - ---------------------------- ------------- ----------------------------------------- -------------------- --------------------------
* Address for all Trustees: 2455 Corporate West Drive, Lisle, IL 60532 ** This is the period for which the Trustee began serving the Trust. Each Trustee is expected to serve an indefinite term, until his successor is elected. *** The Claymore Fund Complex consists of U.S. registered investment companies advised or serviced by Claymore Advisors, LLC or Claymore Securities, Inc. The Claymore Fund Complex is overseen by multiple Boards of Trustees. As of October 14, 2009, Nicholas Dalmaso resigned his position as Trustee for the Trust. PRINCIPAL EXECUTIVE OFFICERS The Principal Executive Officers of the Trust and their principal occupations during the past five years:
TERM OF NAME, ADDRESS*, YEAR OF BIRTH OFFICE** AND PRINCIPAL OCCUPATIONS DURING AND POSITION(S) HELD LENGTH OF THE PAST FIVE YEARS AND WITH REGISTRANT TIME SERVED OTHER AFFILIATIONS - ---------------------------------------------------------------------------------------------------------- OFFICERS: J. Thomas Futrell Since 2008 Senior Managing Director and Chief Investment Year of birth: 1955 Officer of Claymore Advisors, LLC and Claymore Chief Executive Officer Securities, Inc. (2008-present). Formerly, Managing Director of Research, Nuveen Asset Management (2000-2007). Steven M. Hill Since 2006 Senior Managing Director of Claymore Advisors, LLC and Year of Birth: 1964 Claymore Securities, Inc. (2005-present); Formerly, Chief Chief Accounting Officer, Financial Officer of Claymore Group Inc. (2005-2006); Chief Financial Officer and Managing Director of Claymore Advisors, LLC and Claymore Treasurer Securities, Inc. (2003-2005); Treasurer of Henderson Global Funds and Operations Manager for Henderson Global Investors (North America) Inc., (2002-2003); Managing Director, FrontPoint Partners LLC (2001-2002). Kevin M. Robinson Since 2008 Senior Managing Director and General Counsel of Claymore Year of birth: 1959 Advisors, LLC, Claymore Securities, Inc. and Claymore Group Chief Legal Officer Inc. (2007-present). Chief Legal Officer of certain other funds in the Fund Complex. Formerly, Associate General Counsel and Assistant Corporate Secretary of NYSE Euronext, Inc. (2000-2007). Bruce Saxon Since 2006 Vice President, Fund Compliance Officer of Claymore Group Inc. Year of Birth: 1957 (2006-present). Formerly, Chief Compliance Officer/Assistant Chief Compliance Officer Secretary of Harris Investment Management, Inc. (2003-2006). Director-Compliance of Harrisdirect LLC (1999-2003). Melissa J. Nguyen Since 2006 Vice President and Assistant General Counsel of Claymore Group Year of Birth: 1978 Inc. (2005-present). Secretary of certain funds in the Fund Secretary Complex; Formerly, Associate, Vedder Price P.C. (2003-2005). William H. Belden, III Since 2006 Managing Director of Claymore Advisors, LLC (2005-present). Year of Birth: 1965 Formerly, Vice President of Product Management at Northern Vice President Trust Global Investments (1999-2005). Chuck Craig Since 2006 Managing Director (2006-present), Vice President (2003-2006) Year of Birth: 1967 of Claymore Advisors, LLC. Formerly, Assistant Vice Vice President President, First Trust Portfolios, L.P. (1999-2003).
* Address for all Officers: 2455 Corporate West Drive, Lisle, IL 60532 ** Officers serve at the pleasure of the Board of Trustees and until his or her successor is appointed and qualified or until his or her earlier resignation or removal. BOARD CONSIDERATIONS REGARDING CONTRACT APPROVALS OF THE INTERIM AND NEW INVESTMENT ADVISORY AGREEMENTS AND INTERIM AND NEW INVESTMENT SUB-ADVISORY AGREEMENTS. On September 28, 2009, the Board of Trustees (the "Board") of the Claymore Exchange-Traded Fund Trust (the "Trust"), including those trustees who are not "interested persons" as defined by the Investment Company Act of 1940 (the "Independent Trustees"), on the recommendation of the Nominating & Governance Committee (referred to as the "Committee" and consisting solely of the Independent Trustees) of the Board, approved: (1) an interim ("Interim Advisory Agreement") and new ("New Advisory Agreement") advisory agreement (together, the "Investment Advisory Agreements") between the Trust, on behalf of each series of the Trust (each a "Fund" and together, the "Funds"), and Claymore Advisors, LLC ("Adviser") and (2) an interim ("Interim Sub-Advisory Agreement") and new ("New Sub-Advisory Agreement") investment sub-advisory agreement (together the "Investment Sub-Advisory Agreements") among the Adviser, the Trust (on behalf of the Claymore U.S. Capital Markets Bond ETF and Claymore U.S. Capital Markets Micro-Term Fixed Income ETF (together, the "Sub-Advised Funds")) and Mellon Capital Management Corporation ("Sub-Adviser"). (The Investment Advisory Agreements and the Investment Sub-Advisory Agreements are together referred to as the "Advisory Agreements.") As part of its review process, the Committee was represented by independent legal counsel. Based upon its review, the Board and the Committee concluded that it was in the best interest of each Fund to approve each of the Advisory Agreements. In reaching this conclusion for the Funds, no single factor was determinative in the Board's analysis, but rather the Board considered a variety of factors. INTERIM ADVISORY AGREEMENT AND NEW ADVISORY AGREEMENT - ----------------------------------------------------- The Board reviewed materials received from the Adviser, Guggenheim Partners, LLC ("Guggenheim") and independent legal counsel. The Board also had previously received, throughout the year, Board meeting information regarding performance and operating results of each Fund. Earlier this year, the Adviser informed the Board that it was in discussions with Guggenheim concerning a strategic transaction, including a potential sale of a controlling interest in the Adviser (the "Transaction"). The Adviser provided periodic reports to representatives of the Board as to the status and nature of such discussions with Guggenheim and the Adviser's operating and financial results. In the spring of 2009, the Adviser informed the Board that Guggenheim had arranged up to $20 million of subordinated loans to Claymore Group Inc. ("Claymore Group") as interim financing for working capital and for inventory purchases in connection with its business of creating, distributing and supervising unit investment trusts and other investment products. Following the execution of a merger agreement between Claymore and Guggenheim (the "Merger Agreement"), a telephonic meeting was held on July 28, 2009, and attended by certain members of the Board, the chief executive officer of Claymore Group and the chief executive officer of Guggenheim. Such executive officers summarized the principal terms of the Merger Agreement, and described the Transaction, the business plans for the Adviser following the consummation of the Transaction and answered such questions as were raised at the meeting. Representatives of the Board requested additional information regarding the Transaction, Guggenheim and the impact of the Transaction on the Shareholders of the Fund. During the third quarter of 2009, the Committee received reports on the progress of the Transaction, including the debt financing and additional equity financing arranged by Guggenheim. As part of its review process, the Committee was represented by independent legal counsel. The Committee reviewed materials received from the Adviser, Guggenheim and independent legal counsel. The Adviser and Guggenheim provided, among other information, information regarding the terms of the Transaction and potential benefits to the Adviser from the Transaction. The information provided regarding Guggenheim included (i) financial information, (ii) information regarding senior executives of the firm, (iii) information regarding other Guggenheim affiliated investment managers, (iv) information regarding litigation and regulatory matters and (v) potential conflicts of interest. The Adviser and Guggenheim also provided information regarding Guggenheim's and the Adviser's intentions for the business, operations and personnel of the Adviser following the closing of the Transaction. The Committee met and discussed the Transaction and the Interim Advisory Agreement and the New Advisory Agreement in September 2009. Additional supplemental information regarding the Transaction and Guggenheim was provided by the Adviser and Guggenheim and reviewed by the Committee. Subsequent to these meetings, the Board met in person to consider the Interim Advisory Agreement and the New Advisory Agreement at a meeting held on September 28, 2009. The Board met with representatives of the Adviser and Guggenheim to discuss the Transaction. Representatives from the Adviser and Guggenheim discussed the Transaction with, and answered questions from, the Board. The Committee met in executive session to discuss the Transaction and the information provided at the Board meeting. The Committee concluded that it was in the best interest of the Funds to approve the Interim Advisory Agreement and New Advisory Agreement and, accordingly, recommended to the Board the approval of the Interim Advisory Agreement and New Advisory Agreement. The Board subsequently approved the Interim Advisory Agreement and approved the New Advisory Agreement for a one-year term. The Board also determined to consider the continuation of the Investment Advisory Agreements during the course of the one-year term by conducting a thorough review of the various information that is part of the Board's regular annual consideration of the continuation of the Fund's advisory agreement. In reaching the conclusion to approve the Interim Advisory Agreement and New Advisory Agreement, no single factor was determinative in the Board's analysis, but rather the Board considered a variety of factors. Provided below is an overview of the primary factors the Board considered in connection with the review of the Interim Advisory Agreement and the New Advisory Agreement. In connection with the Board's consideration of the Interim Advisory Agreement and the New Advisory Agreement, the Trustees considered, among other information, the following factors, in addition to other factors noted in the proxy statement: o within the last year, the Board had engaged in a thorough review of the various factors, including fees and performance, that are part of the decision whether to continue an advisory agreement; o Board approval of the Trust's Advisory Agreements was a condition to the closing of the Transaction; o Claymore's statement to the Board that the manner in which each Fund's assets are managed will not change as a result of the Transaction; o the aggregate advisory fee rate payable by each Fund will not change under the Interim Advisory Agreement or New Advisory Agreement; o there are no material differences between the terms of the Interim Advisory Agreement and New Advisory Agreement and the terms of the Trust's prior advisory agreement, except for those provisions in the Interim Advisory Agreement which are necessary to comply with Rule 15a-4 under the 1940 Act; o the capabilities of the Adviser's personnel who will provide advisory (if applicable), management, shareholder servicing and administrative services to each Fund are not expected to change, and the key personnel who currently provide advisory (if applicable), management, shareholder servicing and administrative services to each Fund are expected to continue to do so after the Transaction; o the assurance from the Adviser and Guggenheim that following the Transaction there will not be any diminution in the nature, quality and extent of services provided to each Fund; o the Adviser's current financial condition; o the impact of the Transaction on the Adviser's day-to-day operations; o the reputation, capabilities, experience, organizational structure and financial resources of Guggenheim; o the long-term business goals of Guggenheim and the Adviser with regard to the business and operations of the Adviser; o that shareholders of each Fund will not bear any costs in connection with the Transaction, inasmuch as the Adviser will bear the costs, fees and expenses incurred by each Fund in connection with the proxy statement and any other costs of a Fund associated with the Transaction; and o that the Adviser and relevant acquisition subsidiaries have agreed to refrain from imposing or seeking to impose, for a period of two years after the Closing, any "unfair burden" (within the meaning of Section 15(f) of 1940 Act) on the Trust. Nature, Extent and Quality of Services Provided by the Adviser. The Board noted that key investment (if applicable) and management personnel servicing each Fund are expected to remain with the Adviser following the Transaction and that the services provided to each Fund by the Adviser are not expected to change. The Board also considered the Adviser's and Guggenheim's representations to the Board that Guggenheim intends for the Adviser to continue to operate following the closing of the Transaction in much the same manner as it operates today, and that the impact of the Transaction on the day-to-day operations of the Adviser would be neutral or positive. The Board also considered Guggenheim's statement that the Adviser's compliance policies and procedures, disaster recovery plans, information security controls and insurance program would not change materially following consummation of the Transaction. Based on this review, the Board concluded that the range and quality of services provided by the Adviser to the Trust were expected to continue under the Interim Advisory Agreement and the New Advisory Agreement at the same or improved levels. Advisory Fees. The Board also considered the fact that the advisory fee rates payable to the Adviser would be the same under the Interim Advisory Agreement and New Advisory Agreement as they are under the Trust's prior advisory agreement, which had within the last year been determined to be reasonable. The Board concluded that these factors supported approval of the Interim Advisory Agreement and New Advisory Agreement. Performance. With respect to the performance of the Funds, the Board considered that, for the Sub-Advised Funds, the Sub-Adviser would continue to manage the portfolios following the closing of the Transaction, subject to shareholder approval of the new sub-advisory agreement. For those Funds for which the Adviser has retained responsibility for the management of the portfolios (i.e. all Funds other than the Sub-Advised Funds), the Board considered that the portfolio management personnel currently responsible for the management of the portfolios were expected to continue to manage the portfolios following the closing of the Transaction with at least the same or improved resources. The Board concluded that these factors supported approval of the Interim Advisory Agreement and New Advisory Agreement. Profitability. The Board noted that it was too early to predict how the Transaction may affect the Adviser's future profitability from its relationship with the Trust, but concluded that this matter would be given further consideration on an annual basis going forward. The Board also noted that the Adviser's fee rates under the Interim Advisory Agreement and New Advisory Agreement are the same as those assessed under the Trust's prior advisory agreement. Economies of Scale. The Board considered any potential economies of scale that may result from the Transaction. The Board further noted Guggenheim's statement that such economies of scale could not be predicted in advance of the closing of the Transaction. Other Benefits. The Board noted its prior determination that the advisory fees were reasonable, taking into consideration other benefits to the Adviser (including the receipt by Claymore of an administrative fee). The Board also considered other benefits to the Adviser, Guggenheim and their affiliates expected to be derived from their relationships with the Trust as a result of the Transaction and noted that no additional benefits were reported by the Adviser or Guggenheim as a result of the Transaction. Therefore, the Board concluded that the advisory fees continued to be reasonable, taking into consideration other benefits. NEW SUB-ADVISORY AGREEMENT AND INTERIM SUB-ADVISORY AGREEMENT - ------------------------------------------------------------- In conjunction with the consideration of the Transaction and the approval of a New Advisory Agreement and Interim Advisory Agreement, the Board, including the Independent Trustees, also considered the Trust's New Sub-Advisory Agreement and Interim Sub-Advisory Agreement. The Board noted that while the closing of the Transaction would result in the termination of the prior sub-advisory agreement pursuant to its terms, the Sub-Adviser was not a party to the Transaction and the operations of the Sub-Adviser and the services to be provided by the Sub-Adviser would be unaffected by the Transaction. The Board determined that there were no material differences between the terms of the Interim Sub-Advisory Agreement and the prior sub-advisory agreement, except with respect to those provisions required to comply with Rule 15a-4 under the 1940 Act, and that there were no material differences between the terms of the New Sub-Advisory Agreement and the prior sub-advisory agreement. The Board noted that the compensation to be received by the Sub-Adviser under the Interim Sub-Advisory Agreement and New Sub-Advisory Agreement is not greater than the compensation the Sub-Adviser would have received under the prior sub-advisory agreement. The Board noted that the scope and quality of services to be provided to the Fund under the Interim Sub-Advisory Agreement and New Sub-Advisory Agreement would be at least equivalent to the scope and quality of services provided under the prior sub-advisory agreement. The Board noted that, within the last year, it had engaged in a thorough review of the various factors, including fees and performance, that are part of the evaluation of the renewal or approval of a sub-advisory agreement. The Board noted that the factors previously considered with respect to approval of the prior sub-advisory agreement continued to support the approval of the New Sub-Advisory Agreement and Interim Sub-Advisory Agreement. The Board also determined to consider such factors again within one year of the execution of the New Sub-Advisory Agreement. Based upon its review, the Board concluded that it was in the best interest of the Trust to approve the New Sub-Advisory Agreement and Interim Sub-Advisory Agreement. OVERALL CONCLUSIONS - ------------------- Based upon all of the information considered and the conclusions reached, the Board determined that the terms of the Advisory Agreements are fair and reasonable and that approval of the Advisory Agreements is in the best interests of the Trust. BOARD CONSIDERATIONS REGARDING THE ANNUAL REVIEW OF THE INVESTMENT ADVISORY AGREEMENT | (unaudited) On July 23 and August 3, 2009, the Nominating and Governance Committee (referred to as the "Committee" and consisting solely of those trustees who are not "interested persons" as defined by the Investment Company Act of 1940) of the Board of Trustees (the "Board") of the Claymore Exchange-Traded Fund Trust (the "Trust" with the separate series thereof referred to individually as a "Fund" and collectively as the "Funds") met independently of the Funds' management and of the interested trustee of the Board to consider the renewal of the investment advisory agreement ("Investment Advisory Agreement") between the Trust and Claymore Advisors, LLC ("Adviser") on behalf of the following Funds: Claymore Exchange-Traded Fund Trust Claymore/Morningstar Manufacturing Super Sector Index ETF Claymore/Morningstar Information Super Sector Index ETF Claymore/Morningstar Services Super Sector Index ETF Claymore U.S.-1-The Capital Markets Index ETF In addition, the Committee considered the renewal of the subadvisory agreement (the "Subadvisory Agreement" and, together with the Investment Advisory Agreement, the "Advisory Agreements") with Mellon Capital Management Corporation (the "Sub-Adviser") for Claymore U.S. Capital Markets Bond ETF, Claymore U.S. Capital Markets Micro-Term Fixed Income ETF and Claymore U.S.-1-The Capital Markets Index ETF (the "Sub-Advised Funds"). As part of its review process, the Committee was represented by independent legal counsel. The Committee reviewed materials received from the Adviser and Sub-Adviser and independent legal counsel. The members of the Committee also had previously received, throughout the year, Board meeting information regarding performance and operating results of the Funds. In preparation for its review, the Committee communicated with independent legal counsel regarding the nature of information to be provided, and independent legal counsel, on behalf of the Committee, sent a formal request for information and a supplemental request for information to the Adviser and Sub-Adviser. The Adviser and Sub-Adviser provided extensive information in response to the requests. Among other information, the Adviser and Sub-Adviser provided general information to assist the Committee in assessing the nature and quality of services provided, information comparing the investment performance, advisory fees and total expenses of the Funds to other exchange-traded funds ("ETFs"), information about the Adviser's financial position and the profitability from the Advisory Agreements to the Adviser and the compliance program of the Adviser. The Committee considered that on July 17, 2009, Claymore Group Inc., the parent company of the Adviser ("Claymore Group"), entered into an agreement and plan of merger with subsidiaries of Guggenheim Partners, LLC ("Guggenheim"), pursuant to which Claymore Group and its associated entities, including the Adviser, will become indirect subsidiaries of Guggenheim (the "Transaction") upon the closing of the Transaction. The Committee considered that it had been advised that the closing of the Transaction would cause the automatic termination of the Advisory Agreements pursuant to their terms and, accordingly, that it would be necessary for the Committee to consider the approval of new investment advisory and subadvisory agreements with the Adviser and the Sub-Adviser, respectively ("New Advisory Agreements"), in order for the Adviser and the Sub-Adviser to continue to provide services to the Funds. The Committee also considered that if the Transaction did not take place that Claymore would have a need for additional working capital. The Committee noted that the Adviser and Guggenheim were in the process of providing information regarding the Transaction to the Committee and that the Committee would hold a meeting in the near future to review such information and to consider the approval of the New Advisory Agreements. Based upon their review, the Committee and the Board concluded that it was in the best interests of the Funds to renew the Advisory Agreements and, accordingly, recommend to the Board the renewal of the Advisory Agreements for a period of ninety days pending a meeting in the near future to consider the approval of the New Advisory Agreements. In reaching this conclusion for the Funds, no single factor was determinative in the Board's analysis, but rather the Board considered a variety of factors. Investment Advisory Agreement In evaluating the nature, extent and quality of the Adviser's services, the Board reviewed information concerning the functions performed by the Adviser for the Funds, information describing the Adviser's organization and the background and experience of the persons responsible for the day-to-day management of the Funds. The Board also considered the secondary market support provided by the Adviser to the Funds, including the Adviser's efforts to educate investment professionals about the Funds and other funds sponsored by the Adviser. The Board reviewed financial information regarding the Adviser and its parent company and considered the parent company's guaranty of the Adviser's financial obligations under the Investment Advisory Agreement. The Board reviewed information on the performance of the Funds and the performance of their benchmark indices. The Board also reviewed reports on the correlation and tracking error between the underlying index and each Fund's performance. The Board concluded that each of the Funds, with the exception of the Sub-Advised Funds, is correlated to its underlying index and that the tracking error for each Fund was within a reasonable range in that Fund's particular circumstances. With respect to the Sub-Advised Funds, the Board noted that the Adviser had delegated responsibility for the investment and reinvestment of the Sub-Advised Funds' assets to the Sub-Adviser. The Board considered the Adviser's responsibility to oversee the Sub-Adviser and that the Adviser has similar oversight responsibilities for other registered funds for which it serves as investment adviser. Based on its review, the Board found that the nature and extent of services provided to the Funds under the Investment Advisory Agreement was appropriate and that the quality was satisfactory. The Board reviewed and discussed the information provided by the Adviser on each Fund's advisory fee and expense ratio, as compared to comparable ETFs provided by the Adviser. The Board reviewed the annual advisory fees for the Funds and noted that the Adviser had contractually agreed to waive the fee and/or reimburse expenses to absorb certain annual operating expenses of all but one of the Funds (excluding interest expenses, a portion of each Fund's licensing fees, a portion of the offering costs, brokerage commissions and other trading expenses, taxes and extraordinary expenses such as litigation and other expenses not incurred in the ordinary course of a Fund's business) over a certain amount. For the Claymore/Raymond James SB-1 Equity ETF, the Board noted that the advisory fee was a unitary fee pursuant to which the Adviser assumes all expenses of the Fund (including the cost of transfer agency, custody, fund administration, legal, audit and other services) other than the fee payments under the respective Investment Advisory Agreement, distribution fees, if any, brokerage expenses, taxes, interest, litigation expenses and other extraordinary expenses. The Board noted that the advisory fees were generally within the range of the ETF peer funds. The Board concluded that the advisory fee for the Fund was reasonable under the circumstances and in light of the quality of services provided and the expense waiver and reimbursement agreements in place. In conjunction with its review of fees, the Board also considered information provided by the Adviser on the revenues received by the Adviser under the Investment Advisory Agreement, as well as the fees waived and expenses reimbursed by the Adviser for the Funds and the estimated allocated direct and indirect costs the Adviser incurred in providing the services to the Funds, which resulted in no profit to the Adviser. The Board considered the extent to which economies of scale could be realized with respect to the management of the Funds as the Funds grow and whether fee levels reflected a reasonable sharing of such economies of scale for the benefit of Fund investors. The Board reviewed each Fund's asset size, expense ratio, expense waiver and reimbursement agreement with the Adviser and whether the investment process produced economies of scale. The Board considered the Adviser's statement that, while it has experienced economies of scale as an organization through the introduction of new products, it is concurrently incurring new costs from increased staff and upgraded systems. Accordingly, the Board concluded that fee levels were appropriate. The Board considered other benefits available to the Adviser because of its relationship with the Funds and noted that the administrative service fees received by the Adviser from serving as administrator provide it with additional revenue, but the Board concluded that the advisory fees were reasonable taking into account any benefits from such administration agreements. Subadvisory Agreement With respect to the nature, extent and quality of the services provided by the Sub-Adviser, the Board considered the qualifications, experience, reputation and skills of the Sub-Adviser's portfolio management and other key personnel. The Board concluded that the Sub-Adviser had personnel qualified to provide the services under the Subadvisory Agreement. The Board reviewed information on the performance of the Sub-Advised Funds and the performance of their benchmark indices. The Board also reviewed reports on the correlation and tracking error between the underlying index and each Sub-Advised Fund's performance. The Board noted that the Sub-Advised Funds had at times experienced challenges in tracking their respective indices as a result of the impact of significant volatility in the capital markets during the latter portion of 2008 and early 2009 on the Sub-Advised Funds' sampling methodologies. Based upon the Sub-Adviser's explanation of the particular circumstances of each of the Sub-Advised Funds', however, the Board concluded that the Sub-Adviser's investment performance was satisfactory. The Board considered the subadvisory fees paid to the Sub-Adviser and considered that they were negotiated at arm's length between the Investment Adviser and the Sub-Adviser and that the Investment Adviser compensates the Sub-Adviser from its fees. On the basis of the information provided, the Board concluded that the subadvisory fees for the Sub-Advised Funds were reasonable. The Board considered the Sub-Adviser's profitability and noted that the Investment Adviser compensates the Sub-Adviser from its own advisory fees and the Investment Adviser negotiated the Subadvisory Agreement with the Sub-Adviser at arm's-length. The Board also noted the Sub-Adviser's statement that it does not perform a profitability analysis specific to the Sub-Advised Funds. The Board considered whether there were economies of scale with respect to the subadvisory services provided to the Funds under the Subadvisory Agreement. The Board noted that the Sub-Advised Funds were relatively new and had not attracted significant assets and determined to address economies of scale when the Sub-Advised Funds had significant assets. Overall Conclusions Based upon all of the information considered and the conclusions reached, the Board determined that the terms of the Advisory Agreements continue to be fair and reasonable and that the continuation of the Advisory Agreements is in the best interests of the Funds. TRUST INFORMATION BOARD OF TRUSTEES INVESTMENT ADVISER Randall C. Barnes Claymore Advisors, LLC Ronald A. Nyberg Lisle, IL Ronald E. Toupin, Jr. INVESTMENT SUBADVISER OFFICERS (UEM) J. Thomas Futrell Mellon Capital Management Chief Executive Officer Corporation San Francisco, CA Steven M. Hill DISTRIBUTOR Chief Accounting Officer, Chief Financial Claymore Securities, Inc. Officer and Treasurer Lisle, IL Kevin M. Robinson ADMINISTRATOR Chief Legal Officer Claymore Advisors, LLC Lisle, IL Bruce Saxon Chief Compliance Officer ACCOUNTING AGENT, CUSTODIAN AND TRANSFER AGENT Melissa J. Nguyen The Bank of New York Mellon Secretary New York, NY William H. Belden III LEGAL COUNSEL Vice President Dechert LLP New York, NY Chuck Craig Vice President INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM Ernst & Young LLP Chicago, IL PRIVACY PRINCIPLES OF THE TRUST FOR SHAREHOLDERS The Funds are committed to maintaining the privacy of their shareholders and to safeguarding their non-public personal information. The following information is provided to help you understand what personal information the Funds collect, how we protect that information and why, in certain cases, we may share information with select other parties. Generally, the Funds do not receive any non-public personal information relating to their shareholders, although certain non-public personal information of their shareholders may become available to the Funds. The Funds do not disclose any non-public personal information about their shareholders or former shareholders to anyone, except as permitted by law or as is necessary in order to service shareholder accounts (for example, to a transfer agent or third party administrator). The Funds restrict access to non-public personal information about the shareholders to Claymore Advisors, LLC employees with a legitimate business need for the information. The Funds maintain physical, electronic and procedural safeguards designed to protect the non-public personal information of their shareholders. QUESTIONS CONCERNING YOUR SHARES OF THE TRUST? o If your shares are held in a Brokerage Account, contact your Broker. This report is sent to shareholders of the Funds for their information. It is not a Prospectus, circular or representation intended for use in the purchase or sale of shares of the Funds or of any securities mentioned in this report. A description of the Funds' proxy voting policies and procedures related to portfolio securities is available without charge, upon request, by calling the Funds at (888) 949-3837. Information regarding how the Funds voted proxies for portfolio securities, if applicable, during the most recent 12-month period ended June 30, is also available, without charge and upon request by calling (888) 949-3837, by visiting Claymore's website at www.claymore.com or by accessing the Funds' Form N-PX on the U.S. Securities and Exchange Commission's ("SEC") website at www.sec.gov. The Funds file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Funds' Form N-Q is available on the SEC website at www.sec.gov or by visiting Claymore's website at www.claymore.com. The Funds' Form N-Q may also be viewed and copied at the SEC's Public Reference Room in Washington, DC; information on the operation of the Public Reference Room may be obtained by calling (800) SEC-0330. ITEM 2. CODE OF ETHICS. Not applicable for a semi-annual reporting period. ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT. Not applicable for a semi-annual reporting period. ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES. Not applicable for a semi-annual reporting period. ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS. Not applicable for a semi-annual reporting period. ITEM 6. SCHEDULE OF INVESTMENTS. The Schedule of Investments is included as part of Item 1. ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. Not Applicable. ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES. Not Applicable. ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS. Not Applicable. ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. Registrant has not made any material changes to the procedures by which shareholders may recommend nominees to the registrant's Board of Trustees. ITEM 11. CONTROLS AND PROCEDURES. (a) The registrant's principal executive officer and principal financial officer have evaluated the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) as of a date within 90 days of this filing and have concluded that based on such evaluation, the registrant's disclosure controls and procedures were effective as of that date in ensuring that information required to be disclosed by the registrant in this Form N-CSR was recorded, processed, summarized, and reported within the time periods specified in the Securities and Exchange Commission's rules and forms. (b) There were no changes in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the registrant's last fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant's internal control over financial reporting. ITEM 12. EXHIBITS. (a)(1) Not applicable. (a)(2) Certifications of principal executive officer and principal financial officer pursuant to Rule 30a-2(a) of the Investment Company Act of 1940. (a)(3) Not Applicable. (b) Certifications of principal executive officer and principal financial officer pursuant to Rule 30a-2(b) of the Investment Company Act of 1940 and Section 906 of the Sarbanes-Oxley Act of 2002. SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. (Registrant) Claymore Exchange-Traded Fund Trust ----------------------------------- By: /s/ J. Thomas Futrell ----------------------------------------------------------------------- Name: J. Thomas Futrell Title: Chief Executive Officer Date: February 8, 2010 Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed by the following persons on behalf of the registrant and in the capacities and on the dates indicated. By: /s/ J. Thomas Futrell ----------------------------------------------------------------------- Name: J. Thomas Futrell Title: Chief Executive Officer Date: February 8, 2010 By: /s/ Steven M. Hill ----------------------------------------------------------------------- Name: Steven M. Hill Title: Treasurer and Chief Financial Officer Date: February 8, 2010 EX-99.CERT 2 ex99cert.txt CERTIFICATIONS EXHIBIT (a)(2) CERTIFICATION OF CHIEF EXECUTIVE OFFICER CERTIFICATIONS -------------- I, J. Thomas Futrell, certify that: 1. I have reviewed this report on Form N-CSR of Claymore Exchange-Traded Fund Trust; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; 4. The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and (d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal controls over financial reporting. Date: February 8, 2010 --------------------------- /s/ J. Thomas Futrell ------------------------------------- J. Thomas Futrell Chief Executive Officer CERTIFICATION OF CHIEF FINANCIAL OFFICER CERTIFICATIONS -------------- I, Steven M. Hill, certify that: 1. I have reviewed this report on Form N-CSR of Claymore Exchange-Traded Fund Trust; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; 4. The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and (d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal controls over financial reporting. Date: February 8, 2010 --------------------------- /s/ Steven M. Hill ------------------------------------- Steven M. Hill Treasurer and Chief Financial Officer EX-99.906 CERT 3 ex99cert906.txt CERTIFICATION EXHIBIT (b) CERTIFICATION OF CEO AND CFO PURSUANT TO 18 U.S.C. SECTION 1350, AS ADOPTED PURSUANT TO SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002 In connection with the Report on Form N-CSR of Claymore Exchange-Traded Fund Trust (the "Trust") for the period ended November 30, 2009 (the "Report"), J. Thomas Futrell, as Chief Executive Officer of the Trust, and Steven M. Hill, as Treasurer and Chief Financial Officer of the Trust, each hereby certifies, pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, that, to the best of his knowledge: (1) the Report fully complies with the requirements of Section 13 (a) or 15 (d) of the Securities Exchange Act of 1934; and (2) the information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Trust. Dated: February 8, 2010 ----------------------------------------------------------------------- /s/ J. Thomas Futrell ----------------------------------------------------------------------- Name: J. Thomas Futrell Title: Chief Executive Officer /s/ Steven M. Hill ----------------------------------------------------------------------- Name: Steven M. Hill Title: Treasurer and Chief Financial Officer -----END PRIVACY-ENHANCED MESSAGE-----