DEF

Guggenheim Defensive Equity ETF
Effective October 24, 2016, Guggenheim Defensive Equity ETF (DEF) changed its benchmark index to the Guggenheim Defensive Equity Index from the Sabrient Defensive Equity Index. The ETF ticker and name did not change. Read Frequently Asked Questions (FAQs) for more information.

 

Investment Objective

Guggenheim Defensive Equity ETF (DEF) seeks investment results that correspond generally to the performance, before the fund's fees and expenses, of the Guggenheim Defensive Equity Index.

Highlights & Applications

  • Defensive Core Position. Seeks to deliver a more defensive core position, while maintaining potential to participate in up market periods.
  • Multi-Factor Approach. Rather than relying solely on one factor, beta, the Guggenheim methodology seeks to enhance performance potential by identifying defensive stocks based on three factors beta, downmarket volatility and required revenue growth probability scores.
  • Equal Weighted. Provides equal weight exposure to all stocks in the index, which may result in a more balanced and diversified portfolio.

Top Fund Holdings

as of 12/9/16 View All Holdings
PNC FINANCIAL SERVICES GROUP 1.26%
DARDEN RESTAURANTS INC 1.24%
HUNT (JB) TRANSPRT SVCS INC 1.23%
PEOPLE'S UNITED FINANCIAL 1.21%
DISCOVER FINANCIAL SERVICES 1.21%
US BANCORP 1.18%
FLIR SYSTEMS INC 1.17%
F5 NETWORKS INC 1.17%
GENERAL MOTORS CO 1.17%
BOEING CO/THE 1.17%

Top Fund Sectors

as of 9/30/16

SECTOR WEIGHTING
Utilities 21.33 %
Consumer Staples 13.95 %
Energy 10.56 %
Consumer Discretionary 8.46 %
Financials 8.26 %
Industrials 6.15 %
Telecommunication Services 5.87 %
Materials 3.98 %
Information Technology 2.13 %


All data is provided by Guggenheim Funds Distributors, LLC, Morningstar or Fact Set. Data is subject to change on a daily basis and represents a percentage of the Fund’s holdings, excluding cash. The securities mentioned are provided for informational purposes only and should not be deemed as a recommendation to buy or sell.

Fund Profile

as of 12/9/16
Symbol DEF
Exchange NYSE Arca
NAV Symbol (IIV) DEFIV
CUSIP 18383M878
Fund Inception Date 12/15/06
Distribution Schedule (if any) Annually
Gross Expense Ratio 0.74 %
Net Expense Ratio 0.65 %
Fiscal Year-End 8/31
Investment Adviser Guggenheim Funds Investment Advisors, LLC
Distributor Guggenheim Funds Distributors, LLC
Guggenheim Defensive Equity IndexGUGDEFTR
Index Provider Accretive Asset Management LLC
Volume 61,457
Shares Outstanding 4,250,000
Total Managed Assets $170,372,802

The Advisor has contractually agreed to waive fees and expenses through December 31, 2018 to limit the ordinary operating expenses of the Fund. The Fund may have net expenses greater than the expense cap as a result of any acquired fund fees and expenses or other expenses that are excluded from the calculation.

The gross expense ratio reflects the fund’s actual total annual operating expense ratio, gross of any fee waivers or expense reimbursements as of its most recent prospectus.

Net Asset Value

as of 12/9/16 Price History
NAV  $40.09
Change $0.21
52-Week High $40.09
52-Week Low $32.49

Market Close

as of 12/8/16 Price History
  Market Price 
Close  $39.88
Change $0.13
52-Week High $39.97
52-Week Low $32.47
Bid/Ask Midpoint  $39.88
Premium / Discount  -0.01%
Premium / Discount Historical Download1

1Shareholders may pay more than net asset value when they buy shares of an ETF and receive less than net asset value when they sell those shares, because shares are bought and sold at current market prices.

NAV is the price per share at which each Fund issues and redeems shares. The net asset value per share for each Fund is determined once daily as of the close of the listing exchange, usually 4:00 p.m. Eastern time, each day the listing exchange is open for trading. NAV per share is determined by dividing the value of the Fund’s portfolio securities, cash and other assets (including accrued interest), less all liabilities (including accrued expenses), by the total number of shares outstanding.

In general, market price represents what the fund is trading at.

The closing price is the price of the last reported trade on any exchange on which the Fund trades before the market closes, usually at 4 pm Eastern time.

The bid/ask midpoint is the midpoint of the highest bid and lowest offer on the listing exchange at the time that the NAV is calculated, usually 4 pm Eastern time.

The premium/discount is the amount the Fund is trading higher (“premium”) or lower (“discount”) to its NAV, expressed as a percentage of its bid/ask midpoint to its NAV. A positive number indicates it’s trading at premium and a negative number indicates it’s trading at a discount.

Index Description

The Guggenheim Defensive Equity Index is designed to mitigate market risk and improve risk-adjusted returns. The Guggenheim Defensive Equity Index is comprised of approximately 100 stocks selected from the S&P 500® Index. The companies selected have potentially superior risk-return profiles during periods of stock market weakness while still offering the potential for gains during periods of market strength. Instead of the traditional approach to defensive equity portfolios focusing solely upon low-beta stocks the index uses a rules-based quantitative approach, selecting stocks based on beta, down market volatility, and the probability of delivering the required revenue growth.

Fund Characteristics

as of 9/30/16

Number of Securities101
Average Market Capitalization $393.0 Mil
Price/Earnings (P/E) 19.8 x
Price/Book (P/B) 2.1 x
Beta 0.62
Alpha 1.46
Standard Deviation (Fund / Guggenheim Defensive Equity Index) 9.07/0

P/E ratio is a harmonic weighted average and is equal to a security’s market capitalization divided by it after-tax earnings over the most recent 12-month period.

P/B ratio is a harmonic weighted average and is equal to a security’s market capitalization divided by its book value.

Alpha is a statistical measurement that depicts the performance difference between a fund’s return and an underlying performance benchmark, given a fund’s level of volatility, measured by beta. The benchmark will always reflect an alpha of 0.00%. A positive alpha indicates a fund has performed better than its beta would predict in the stated period.

Beta is the measure of a fund’s sensitivity to an index. By definition, the beta of an index is 1.00. Any fund with a higher beta is more volatile than the index. Likewise, any portfolio with a lower beta will be less volatile than the index in the stated period.

Standard deviation is a measure of historical volatility that indicates the degree to which an investment’s returns fluctuate around its average return. Generally, a higher standard deviation indicates a more risky investment.

Average market capitalization is the geometric mean of the market capitalization s for all securities in a fund’s portfolio.

Weighted average coupon is calculated by weighting each bond’s coupon by its relative size in the portfolio.

Weighted average bond price is a weighted average of individual bond prices.

Weighted average option-adjusted duration is a weighted average which measures the sensitivity of the price (the value of principal), incorporating the expected duration-shortening effect of an embedded call provision, of a fixed-income investment to a change in interest rates. The larger the duration number, the greater the interest-rate risk for bond prices.

Average maturity is the length of time until the principal amount of a bond must be repaid.

Average effective duration measures the sensitivity of the price (value of principal) of a fixed income investment to a change in interest rates. The larger the duration number, the greater the interest rate risk for bond prices.

Current Distribution

View Distribution History
Ex-Date 12/24/15
Record Date 12/29/15
Payable Date 12/31/15
Distribution per Share $1.151500

The extent the Current Distribution is comprised of something other than Income, such as Return of Capital, please refer to the applicable Rule 19a-1 Notice found on the Fund's website under the Literature section. If the Current Distribution is comprised solely from Income, a Rule 19a-1 Notice will not be produced and posted.

Past performance is not a guarantee of future results.

INDEX METHODOLOGY

The Guggenheim Defensive Equity Index is designed to mitigate market risk and improve risk adjusted returns. The Guggenheim Defensive Equity Index is comprised of approximately 100 stocks selected from the S&P 500® Index based on investment and other screening criteria. The companies selected have potentially superior risk-return profiles during periods of stock market weakness while still offering the potential for gains during periods of market strength. Instead of the traditional approach to defensive equity portfolios—focusing solely upon low-beta stocks—the index uses a rules-based quantitative approach, selecting stocks based on beta, down market volatility, and the probability of delivering required revenue growth.

When calculating a company’s probability of delivering the required revenue growth to support its current stock price, the index provider utilizes a proprietary methodology. The methodology utilizes a reverse discount cash flow valuation model to determine what a company’s stock price implies in terms of current revenue growth expectations and benchmarks this against management’s past ability to deliver that revenue growth.

INDEX CONSTRUCTION

  1. For each stock in the S&P 500® Index, calculate the probability that it can deliver the revenue growth required to support its current stock price. A probability score is calculated for all stocks for which the methodology can be applied.
  2. Select the stocks with the top 80% probability scores within the selection universe.
  3. Exclude 25% of the eligible stocks with the highest beta.
  4. Select the bottom 50% of the remaining stocks by down market volatility.
  5. Select the 100 stocks with a higher probability of delivering required revenue growth to support their current stock prices while minimizing any differences in industry exposures relative to the S&P 500® Index.

RISKS AND OTHER CONSIDERATIONS

Guggenheim Defensive Equity ETF is subject to risks and may not be suitable for all investors. • Investing involves risk and special consideration, including the possible loss of principal. • There are no assurances that the fund will achieve its investment objective and/or strategy. • Investments in large capitalization stocks may underperform other segments of the equity market or the equity market as a whole. • The Fund seeks to track quantitative strategy index, meaning that the Fund invests in securities comprising an index created by a proprietary quantitative model. The Fund’s return depends on the effectiveness of the model in screening securities for inclusion in the index. The factors used the model’s quantitative analysis and the weight placed on these factors may not accurately predict a security’s value. As a result, the Fund may have a lower return than if the Fund tracked an index based on a fundamental investment strategy, or an index that did not incorporate quantitative analysis. • The fund is not actively “managed” which means the fund would not necessarily sell a security because the security’s issuer was in financial trouble unless that security is removed from the Index. In addition, the fund will not otherwise take defensive positions in declining markets unless such positions are reflected in the Index. • Non-Correlation risk refers to the risk that the Advisor may not be able to cause the fund’s performance to match or correlate to that of the fund’s Underlying Index, either on a daily or aggregate basis. • Shares may trade below their net asset value (“NAV”). The NAV of shares will fluctuate with changes in the market value of the fund’s holdings. In addition, although the fund’s shares are currently listed on NYSE Arca, Inc. (the “Exchange”), there can be no assurance that an active trading market for shares will develop or be maintained. • Most investors will incur customary brokerage commissions when buying or selling shares of an ETF. • If the Index concentrates in an industry or group of industries, the fund’s investments will be concentrated accordingly. In such event, the value of the fund’s Shares may rise and fall more than the value of shares of a fund that invests in securities of companies in a broader range of industries.• Please read the prospectus for more detailed information regarding these and other risks.

 

Read a prospectus and summary prospectus (if available) carefully before investing. It contains the investment objectives, risks, charges, expenses and other information, which should be considered carefully before investing. To obtain a prospectus and summary prospectus (if available) click here or contact us.

Guggenheim Investments represents the investment management businesses of Guggenheim Partners, LLC ("Guggenheim"), which includes Security Investors, LLC ("SI"), Guggenheim Funds Investment Advisors, LLC, ("GFIA") and Guggenheim Partners Investment Management ("GPIM") the investment advisers to the referenced funds. Securities offered through Guggenheim Funds Distributors, LLC, an affiliate of Guggenheim, SI, GFIA and GPIM.

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