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| Name | Symbol | Market | Type |
|---|---|---|---|
| Invesco S&P Global Water Index ETF | AMEX:CGW | AMEX | Exchange Traded Fund |
| Price Change | % Change | Price | High Price | Low Price | Open Price | Traded | Last Trade | |
|---|---|---|---|---|---|---|---|---|
| 0.5817 | 1.02% | 57.43 | 57.44 | 56.8427 | 56.92 | 16,661 | 21:15:00 |
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
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 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:
Annual Report May 31, 2008 Claymore Exchange-Traded Fund Trust 2 [GRAPHIC] CLAYMORE ETFs Access to Innovation |
TAO | Claymore/AlphaShares China Real Estate ETF
HAO | Claymore/AlphaShares China Small Cap Index ETF
EXB | Claymore/Clear Global Exchanges, Brokers & Asset Managers Index ETF
CUT | Claymore/Clear Global Timber Index ETF
ROB | Claymore/Robb Report Global Luxury Index ETF
ENY | Claymore/SWM Canadian Energy Income Index ETF
CRO | Claymore/Zacks Country Rotation ETF
HGI | Claymore/Zacks International Yield Hog Index ETF
[CLAYMORE ETFs LOGO]
Dear Shareholder 3 Economic and Market Overview 4 Management Discussion of Fund Performance 5 Fund Summary & Performance 20 Overview of Fund Expenses 31 Portfolio of Investments 33 Statement of Assets and Liabilities 48 Statement of Operations 49 Statement of Changes in Net Assets 50 Financial Highlights 51 Notes to Financial Statements 59 Report of Independent Registered Public Accounting Firm 64 Supplemental Information 65 Board Considerations Regarding Approval of Investment Advisory Agreement 67 Trust Information 71 About the Fund Manager Back Cover www.claymore.com ... your road to the LATEST, |
most up-to-date INFORMATION about the
Claymore Exchange-Traded Fund Trust 2
[WEB PAGE]
The shareholder report you are reading right now is just the beginning of the story. Online at www.claymore.com, you will find:
o Daily and historical fund pricing, fund returns, portfolio holdings and characteristics and distribution history.
o Investor guides and fund fact sheets.
o Regulatory documents including a prospectus and copies of shareholder reports.
Claymore Securities is constantly updating and expanding shareholder information services on each Fund's website, in an ongoing effort to provide you with the most current information about how your Fund's assets are managed, and the results of our efforts. It is just one more small way we are working to keep you better informed about your investment.
2 | Annual Report | May 31, 2008
Claymore Exchange-Traded Fund Trust 2
Dear Shareholder |
Dear Shareholder:
As the investment adviser of the Claymore ETFs, Claymore Advisors, LLC ("Claymore") is pleased to present the first annual shareholder report for eight of our exchange-traded funds ("ETFs" or "Funds"). This report covers performance of these funds from their inception dates through May 31, 2008.
One of these ETFs commenced operations June 27, 2007. It is:
o Claymore/Clear Global Exchanges, Brokers & Asset Managers Index ETF
(ticker: "EXB")
One ETF commenced operations July 3, 2007. It is:
o Claymore/SWM Canadian Energy Income Index ETF (ticker: "ENY")
Two ETFs commenced operations July 11, 2007. They are:
o Claymore/Zacks Country Rotation ETF (ticker:"CRO")
o Claymore/Zacks International Yield Hog Index ETF (ticker: "HGI")
One ETF commenced operations July 30, 2007. It is:
o Claymore/Robb Report Global Luxury Index ETF (ticker: "ROB")
One ETF commenced operations November 9, 2007. It is:
o Claymore/Clear Global Timber Index ETF (ticker: "CUT")
One ETF commenced operations December 18, 2007. It is:
o Claymore/AlphaShares China Real Estate ETF (ticker: "TAO")
One ETF commenced operations January 30, 2008. It is:
o Claymore/AlphaShares China Small Cap Index ETF (ticker: "HAO")
The investment objective of each Fund is to seek investment results that correspond generally to the performance, before each Fund's fees and expenses, of its respective underlying index as named in its prospectus.
Claymore is committed to providing investors with innovative index-strategy-driven investment solutions. We entered the exchange-traded fund business in September 2006, and, as of May 31, 2008, we offer 30 U.S.-listed ETFs. Claymore has partnered with a diverse group of investment professionals and index specialists to create some of the most distinctive ETFs currently available. The index providers create indices using defined selection methodologies. Unlike ETFs that track traditional indices representing broad market participation, the indices that many of Claymore's U.S.-listed ETFs track seek to capture the investment potential of unique strategies. We believe that a strategy-driven quantitative process provides a disciplined investment approach offering the potential for superior performance over market cycles.
To learn more about economic and market conditions over the last year and the performance of each ETF, we encourage you to read the Economic and Market Overview section of this report, which follows this letter, and the Management Discussion of Fund Performance sections for each ETF, which begin on page 5.
Sincerely,
/s/ J. Thomas Futrell J. Thomas Futrell Chief Executive Officer Claymore Exchange-Traded Fund Trust 2 |
Annual Report | May 31, 2008 | 3
Claymore Exchange-Traded Fund Trust 2
Economic and Market Overview |
The 12-month period ended May 31, 2008, was a period of considerable economic uncertainty and significant turmoil in capital markets. In the final few months of 2007, what began as a correction in the U.S. housing market accelerated into a crisis in the sub-prime mortgage market with profound implications for the entire U.S. economy and significant impact on economies throughout the world. By early 2008, financial markets had become extremely risk-averse, as demonstrated by unusually wide credit spreads, severe dislocation in short-term credit markets, overall tightening of financial conditions, and a highly volatile equity market.
The U.S. economy continues to struggle with the combined effects of the housing slump, troublesome credit-related issues, and rising energy prices. Problems in the housing market persist with activity and prices still falling while foreclosures and delinquencies rise. The labor market has softened, with payroll growth turning mildly negative and the unemployment rate rising. A spike in oil prices and weather-related pressure on food prices have put upward pressure on inflation, while depressing consumer sentiment. Despite all these issues, real GDP (gross domestic product, a broad measure of overall economic activity) has continued to advance, albeit modestly and well below the economy's trend potential. This continued growth, supported by aggressive policy response by the Federal Reserve Board (the "Fed"), provides evidence of the underlying resiliency of the U.S. economy and the relative strength of global growth.
The broadly-based tightening of credit conditions, the surge in energy prices, and the slowdown in U.S. import demand are affecting economies around the world. The impact has been greatest in Europe and Japan, and least in emerging economies such as China and India. This difference reflects opposing pressures on world economies, as developed economies are hurt by credit issues, while demand for raw materials and energy in rapidly growing economies is driving prices higher. As economies in emerging nations continue to expand, it appears that the world is rebalancing, becoming less dependent on U.S. domestic demand.
For much of the last year, credit concerns were a major driver of bond market activity. Credit spreads (the difference between Treasury securities and bonds that carry credit risk) were at or near historically wide levels. Since bond prices generally move in the opposite direction of interest rates, this meant that Treasury securities were the best performing bond asset class. In recent months, as concerns about a collapse of credit markets have abated, credit spreads have narrowed somewhat. For the period from May 31, 2007, through May 31, 2008, bonds (as measured by the Lehman U.S. Aggregate Bond Index) generally delivered positive returns, while returns of nearly all U.S. equity indices were negative. The energy sector performed best, as rising prices fueled earnings of energy companies; the financial sector was the weakest in terms of stock market performance. Performance of equity markets around the world varied widely. The Japanese market was down, as were markets in Europe and the U.K. Markets in Hong Kong, India and Latin America were strong, while markets in China trended down.
4 | Annual Report | May 31, 2008
Claymore Exchange-Traded Fund Trust 2
Management Discussion of Fund Performance |
TAO | Claymore/Alphashares China Real Estate ETF
The Claymore/Alphashares China Real Estate ETF (the "Fund") seeks investment results that correspond generally to the performance, before the Fund's fees and expenses, of an equity index called the AlphaShares China Real Estate Index (the "Index").
The Fund, using a low cost "passive" or "indexing" investment approach, will seek to replicate, before expenses, the performance of the AlphaShares China Real Estate Index. The Index is designed to measure and monitor the performance of the investable universe of publicly-traded companies and real estate investment trusts ("REITs") deriving a majority of their revenues from real estate development, management and/or ownership of property in China or the Special Administrative Regions of China, such as Hong Kong and Macau. The Index was created by AlphaShares, Inc. ("AlphaShares" or the "Index Provider") and is maintained by Standard & Poor's (the "Index Administrator"). The Index methodology is published at www.alphashares.com. The Index will include equity securities of companies of all capitalizations, as defined by AlphaShares. AlphaShares does not guarantee the inclusion of all relevant securities in the Index. The Fund will normally invest at least 90% of its total assets in common stock, American depositary receipts ("ADRs"), American depositary shares ("ADSs"), global depositary receipts ("GDRs") and international depositary receipts ("IDRs") that comprise the Index.
Claymore Advisors, LLC ("the Investment Adviser") seeks 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 will invest in all of the stocks comprising the Index in proportion to their weightings in the Index.
The Index was created by AlphaShares and the Index methodology is published at www.alphashares.com. The Index is designed to measure and monitor the performance of publicly issued common equity securities of publicly-traded companies and REITs which are open to foreign ownership and derive a majority of their revenues from real estate development, management and/or ownership of property in China or the Special Administrative Regions of China such as Hong Kong and Macau. Proprietary and third-party financial and economic information and research are utilized to: (1) identify potential Index constituents and verify that such companies derive a majority of their revenue from property in China or the Special Administrative Regions of China; and (2) calculate the number of shares of each potential Index constituent outstanding, adjusted for free-float, for usage in the modified float-adjusted market capitalization weighting methodology. To ensure adequate liquidity, constituents must have a market capitalization of $500 million or greater for initial inclusion in the Index. A market capitalization of $250 million or greater is required for ongoing inclusion in the Index. The Index is rebalanced and reconstituted annually. The AlphaShares Index Committee will meet annually in October to review the Index methodology. Any changes to the methodology will be communicated to the Index Administrator the next business day and will be publicly disclosed on www.alphashares.com at least 10 business days prior to implementation of the change.
All Fund returns cited - whether based on net asset value ("NAV") or market price - assume the reinvestment of all distributions. This report discusses the abbreviated annual fiscal period from the Fund's inception date of December 18, 2007, through May 31, 2008.
On a market price basis, the Fund generated a total return of -11.02%, representing a change in market price to $20.91 on May 31, 2008, from $23.50 at inception. On an NAV basis, the Fund generated a total return of -12.00%, representing a change in NAV to $20.68 on May 31, 2008, from $23.50 at inception. 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. However, the Investment Adviser believes that large discounts or premiums to the NAV of the Shares should not be sustained.
For underlying index and broad market comparison purposes, the AlphaShares China Real Estate Index returned -11.60% and the MSCI China Index returned -11.22% for the same period. The MSCI China Index is an unmanaged, capitalization-weighted index that monitors the performance of stocks from the country of China. It is not possible to invest directly in an index.
Annual Report | May 31, 2008 | 5
Claymore Exchange-Traded Fund Trust 2 |
Management Discussion of Fund Performance continued
TAO | Claymore/Alphashares China Real Estate ETF (continued)
Since essentially all of the Fund's investments are in the real estate holding and development sector, performance is driven mainly by individual positions in this sector.
Holdings that made positive contributions to performance for the period from the
Fund's inception date through May 31, 2008, include The Link Real Estate
Investment Trust, which invests mainly in retail and car park operations in Hong
Kong; Hongkong Land Holdings Ltd., which owns and manages approximately five
million square feet of prime office and retail space in Hong Kong's central
business district; Hang Lung Group Ltd., which invests in a variety of retail,
commercial and residential properties; and Wheelock & Co. Ltd., which develops
and operates properties in Hong Kong, China and Singapore (5.1%, 5.5%, 4.1% and
2.5% of long-term investments, respectively). Positions that detracted from
performance include New World Development Company Ltd., an investment holding
company with operations in real estate development, contracting and other
services; Sino Land Company, a Hong Kong investment holding company; Henderson
Land Development Co. Ltd., a holding company with a variety of properties
including Hong Kong Ferry Holdings Company Ltd; and Country Garden Holdings Co.
Ltd., which is involved in property development, construction and management
(4.3%, 4.3%, 5.0% and 2.0% of long-term investments, respectively)
6 | Annual Report | May 31, 2008
Claymore Exchange-Traded Fund Trust 2 |
Management Discussion of Fund Performance continued
HAO | Claymore/AlphaShares China Small Cap Index ETF
The Claymore/AlphaShares China Small Cap Index ETF (the "Fund") seeks investment results that correspond generally to the performance, before the Fund's fees and expenses, of an equity index called the AlphaShares China Small Cap Index (the "Index").
The Fund, using a low cost "passive" or "indexing" investment approach, will seek to replicate, before expenses, the performance of the AlphaShares China Small Cap Index. The Index is designed to measure and monitor the performance of publicly-traded mainland China-based small capitalization companies. For inclusion in the Index, AlphaShares, Inc. ("AlphaShares" or the "Index Provider") defines small-capitalization companies as those companies with a maximum $1.5 billion market capitalization. AlphaShares does not guarantee the inclusion of all relevant securities in the Index. The Fund will normally invest at least 90% of its total assets in common stock, American depositary receipts ("ADRs"), American depositary shares ("ADSs"), global depositary receipts ("GDRs") and international depositary receipts ("IDRs") that comprise the Index. Claymore Advisors, LLC ("the Investment Adviser") seeks 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 will invest in all of the stocks comprising the Index in proportion to their weightings in the Index.
The Index is designed to measure and monitor the performance of publicly traded mainland China-based small capitalization companies. AlphaShares utilizes proprietary and third-party information and research to: (1) identify potential Index constituents; and (2) calculate the number of shares of each potential Index constituent outstanding, adjusted for free-float, for usage in the Index Provider's modified float-adjusted market capitalization weighting methodology. To ensure adequate liquidity, constituents must have a float-adjusted market capitalization maximum of $1.5 billion and a minimum of $200 million for initial inclusion in the Index. A float-adjusted capitalization of less than $1.75 billion and greater than $150 million are required for ongoing inclusion in the Index.
The Index was created by AlphaShares and is maintained by Standard & Poor's (the "Index Administrator"). The Index Methodology is published at www.alphashares.com. The Index is rebalanced and reconstituted annually. The AlphaShares Index Committee will meet annually in October to review the Index methodology. Any changes to the methodology will be communicated to the Index Administrator the next business day and will be publicly disclosed on www.alphashares.com at least 10 days prior to the implementation of the change. Initial public offerings ("IPOs") that meet all the eligibility criteria and fall within the top twenty stocks by capitalization of the Index will be added at the end of each calendar quarter, on the last business day of the quarter. Any addition will be funded on a pro-rata basis from the remainder of the Index, net of any deletions. A security will be deleted from the Index immediately due to bankruptcy, acquisition or merger of the company by or into another company, spin-offs, tender offers or other similar corporate actions. In the case of such deletions, no replacement will be made until the annual rebalance. Any proceeds resulting from deletions will be invested on a pro-rata basis over the remainder of the Index, net of any additions.
All Fund returns cited - whether based on net asset value ("NAV") or market price - assume the reinvestment of all distributions. This report discusses the abbreviated annual fiscal period from the Fund's inception date of January 30, 2008, through May 31, 2008.
On a market price basis, the Fund generated a total return of 0.21%, representing a change in market price to $24.39 on May 31, 2008, from $24.34 at inception. On an NAV basis, the Fund generated a total return of -1.23%, representing a change in NAV to $24.04 on May 31, 2008, from $24.34 at inception. 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. However, the Investment Adviser believes that large discounts or premiums to the NAV of the Shares should not be sustained.
For underlying index and broad market comparison purposes, the AlphaShares China Small Cap Index returned -0.87% and the MSCI China Index returned 1.82% for the same period. The MSCI China Index is an unmanaged, capitalization-weighted index that monitors the performance of stocks from the country of China. It is not possible to invest directly in an index.
Annual Report | May 31, 2008 | 7
Claymore Exchange-Traded Fund Trust 2 |
Management Discussion of Fund Performance continued
HAO | Claymore/AlphaShares China Small Cap Index ETF (continued)
For the period from the Fund's inception date through May 31, 2008, the technology sector made the strongest positive contribution to return, followed by the consumer goods sector. The consumer services and financials sectors were the greatest detractors.
Holdings that contributed strongly to performance include Sohu.com, Inc., a leading Chinese internet service provider that benefited from a growing customer base and increasing ad revenue; Chaoda Modern Agriculture, a rapidly expanding company that grows vegetables and other agricultural products throughout China; and China Shipping Container Lines Co. Ltd., which is benefiting from rapid growth in exports from China. (3.6%, 4.1% and 2.6% of total long-term investments, respectively).
Positions that detracted from performance include Dongfang Electric Corp. Ltd., a manufacturer of electric power generating equipment whose main plant was damaged in a recent earthquake; China Southern Airlines Co. Ltd., which provides passenger and cargo airline services in China, Hong Kong and Macau; and Shanghai Jin Jiang International Hotels Group Co. Ltd., which operates approximately 380 hotels throughout China (1.0%, 1.2% and 1.4% of total long-term investments, respectively).
8 | Annual Report | May 31, 2008
Claymore Exchange-Traded Fund Trust 2 |
Management Discussion of Fund Performance continued
EXB | Claymore/Clear Global Exchanges, Brokers & Asset Managers Index ETF
The Claymore/Clear Global Exchanges, Brokers & Asset Managers Index ETF (the "Fund") seeks investment results that correspond generally to the performance, before the Fund's fees and expenses, of an index called the Clear Global Exchanges, Brokers & Asset Managers Index (the "Clear EB&A Index" or "Index").
The Fund, using a low cost "passive" or "indexing" investment approach, will seek to replicate, before expenses, the performance of the Clear EB&A Index. The Index is comprised of approximately 100 equity securities traded on global exchanges, including master limited partnerships ("MLPs"), as well as American depositary receipts ("ADRs") and global depositary receipts ("GDRs") of companies that operate a security exchange or brokerage/asset management firm as a primary business. The companies in the Index are intended to be representative of the highest ranking stocks in the global universe of companies engaged in these businesses as determined through independent research provided by Clear Indexes LLC ("Clear" or the "Index Provider"). The Index may include large-capitalization, mid-capitalization and small-capitalization companies as defined by Clear. The Fund will normally invest at least 90% of its total assets in equity securities, MLPs, ADRs and GDRs that comprise the Index. Claymore Advisors, LLC ("the Investment Adviser") seeks 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 will invest in all of the stocks comprising the Index in proportion to their weightings in the Index.
The Clear EB&A Index is comprised of firms which operate a security exchange, a brokerage or an asset management firm as a primary business. All stocks in the Clear EB&A Index are selected from the global universe of asset managers, brokers, and exchanges (the "Index universe") as defined herein. Clear compiles the Index universe primarily by reference to the classification system of Global Industry Classification Standard ("GICS"). The Index universe includes all firms classified by GICS to be in either the "Asset Management & Custody Banks" or the "Investment Banking and Brokerage" sub-industries. Custody banks in the GICS "Asset Management & Custody Banks" sub-industry are excluded from the Index. However, investment banks in the GICS "Investment Banking and Brokerage" sub-industry may be included in the Index if such investment banks also operate a brokerage or asset management firm as a primary business. Exchanges are a subset of companies included in the "Specialized Finance" sub-industry by GICS, and Clear determines via publicly available information whether each Specialized Finance company qualifies as an exchange by operating a public marketplace with access to clearing services for trading any or all of the following: equity (including common and preferred stocks), exchange-traded funds, closed-end mutual funds, fixed income, options, or futures. The Index universe also includes firms classified as "Investment Brokerage - Regional," "Investment Brokerage - National," and "Asset Management" as defined by Hemscott Data via publicly available sources. Clear does not guarantee the inclusion of all relevant companies in the Index universe.
The Index constituent selection methodology was developed by Clear as a quantitative approach to selecting stocks from the Index universe. The constituent selection model evaluates and selects stocks from the Index universe using a proprietary, 100% rules-based methodology developed by Clear. The Index constituent selection methodology utilizes multi-factor proprietary selection rules to identify those stocks that offer the greatest potential from a risk/return perspective. The approach is specifically designed to enhance investment applications and investability. The Index is adjusted semi-annually.
All Fund returns cited - whether based on net asset value ("NAV") or market price - assume the reinvestment of all distributions. This report discusses the abbreviated annual fiscal period from the Fund's inception date of June 27, 2007, through May 31, 2008.
On a market price basis, the Fund generated a total return of -11.36%, representing a change in market price to $21.75 on May 31, 2008, from $24.56 at inception. On an NAV basis, the Fund generated a total return of -11.65%, representing a change in NAV to $21.68 on May 31, 2008, from $24.56 at inception. 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. However, the Investment Adviser believes that large discounts or premiums to the NAV of the Shares should not be sustained.
For underlying index and broad market comparison purposes, the Clear EB&A Index returned -10.80% and the Dow Jones World Financials Index returned -19.47% for the same period. The Dow Jones World Financials Index is an index consisting of companies whose primary source of profits is the return on financial assets around the world. The index is quoted in U.S. dollars. It is not possible to invest directly in an index.
The Fund made an annual distribution of $0.0240 per share on December 31, 2007.
Annual Report | May 31, 2008 | 9
Claymore Exchange-Traded Fund Trust 2 |
Management Discussion of Fund Performance continued
EXB | Claymore/Clear Global Exchanges, Brokers & Asset Managers Index ETF
(continued)
Since essentially all of the Fund's investments are in the financial sector, performance is driven mainly by the returns of sub-sectors of the financial sector and by individual positions. The financial sector performed poorly during this period, reflecting market imbalances and liquidity issues that originated in the U.S. and subsequently spread to other world markets. The Fund's weakest sub-sectors were specialty finance and real estate holding & development, while the strongest was banks. One of the Fund's best performing holdings was OMX AB NPV (not held in the portfolio at period end), a Swedish company that operates the Nordic Exchange and provides technology services that support securities trading. OMX merged with the NASDAQ Stock Market to form The NASDAQ OMX Group, Inc. (1.7% of total long-term investments). Also positive was Mitsubishi UFJ Financial Group Inc., a Japanese bank holding company (not held in the portfolio at period end). Other contributors to performance were several U.S.-based asset managers including Blackrock Inc., T. Rowe Price Group Inc. and Waddell & Reed Financial Inc. (0.8%, 2.7% and 0.5% of total long-term investments, respectively). Positions that detracted from performance include Macquarie Group Ltd., an Australian financial services holding company, and E*TRADE Financial Corp. (1.4% and 0.2% of total long-term investments, respectively). Several investment firms were among other holdings that detracted from performance; these include Lehman Brothers Holdings Inc. (2.0% of total long-term investments), Merrill Lynch & Co. Inc. (4.3% of total long-term investments) and Bear Stearns Companies (not held in the portfolio at period end), which suffered severe financial setbacks and was acquired at a substantial discount to its previous market price by a large financial services firm.
10 | Annual Report | May 31, 2008
Claymore Exchange-Traded Fund Trust 2 |
Management Discussion of Fund Performance continued
CUT | Claymore/Clear Global Timber Index ETF
The Claymore/Clear Global Timber Index ETF (the "Fund") seeks investment results that correspond generally to the performance, before the Fund's fees and expenses, of an equity index called the Clear Global Timber Index (the "Index").
The Fund, using a low cost "passive" or "indexing" investment approach, will seek to replicate, before expenses, the performance of the Clear Global Timber Index. All stocks in the Index are selected from the universe of global timber companies. Clear Indexes LLC ("Clear" or the "Index Provider") defines global timber companies as firms who own or lease forested land and harvest the timber from such forested land for commercial use and sale of wood-based products, including lumber, pulp or other processed or finished goods such as paper and packaging. Potential Index constituents include securities with market capitalizations greater than $300 million, which includes securities of all market capitalizations, as determined by Clear. Clear does not guarantee the inclusion of all relevant companies in the Index. The Fund will normally invest at least 90% of its total assets in common stock, American depositary receipts ("ADRs") and global depositary receipts ("GDRs") that comprise the Index. Claymore Advisors, LLC ("the Investment Adviser") seeks 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 will invest in all of the stocks comprising the Index in proportion to their weightings in the Index.
The Clear Global Timber Index is designed to track the performance of common stocks of global timber companies. The universe of eligible securities includes firms who own or lease forested land and harvest the timber for commercial use and sale of wood-based products, including lumber, pulp or other processed or finished goods such as paper and packaging. The Index Provider identifies global timber companies predominantly through proprietary research and use of the Standard and Poor's Global Industry Classification Standard (GICS). After identification of a global timber company (as defined above) through proprietary research, Clear searches through publicly available information about such companies via Bloomberg, Reuters, and other more widely available resources including Yahoo Finance, Google, and individual company web sites to determine that the company harvests timber from forested land owned or leased by such company rather than purchasing timber externally as a raw material for product development. Potential Index constituents are categorized as follows according to their degree of exposure to timber: Category A is comprised of companies with high exposure to timber by virtue of owning and/or managing forested land and marketing forest products; Category B includes companies with medium exposure to timber by virtue of owning and/or managing forested land and marketing paper products or packaging materials; and Category C is comprised of companies with low exposure to timber by virtue of marketing forest products or paper products or packaging materials while not owning and/or managing forested land and harvesting trees. Companies with Category C exposure are not considered for inclusion in the Index.
The weighting of companies within the Index reflects the distribution of forest land across regions of the world. Index constituents with forested land exclusively in North America reflect the worldwide proportion of North American forested land, while Index components with forested land outside of North America reflect the worldwide proportion of forested land outside North America. This information is based on public sources including the UN Food and Agriculture Organization. Companies that exclusively own or lease forested land in North America are limited in their representation in the Index to the proportion of forested land in North America. To maintain this proportion, of the companies that own or lease forest land exclusively in North America, only Category A firms are included. Companies in the rest of the world from both Categories A and B comprise the balance of the Index. Company weights are assigned using a modified market cap weighting method, with no company weight exceeding 4.5% at the time of each rebalance. In the event that companies outside North America make up a proportion of the Index less than their representative weight in forest land, the North American company weights will be increased to make up the difference, including Category B North American firms if required. Likewise, if North American Category A companies make up a proportion of the Index less than their representative weight in forest land, the weights of companies outside North America will be increased to make up the difference.
The Index constituent selection methodology was developed by Clear as a quantitative approach to select stocks from the Index universe. The constituent selection model evaluates and selects stocks from the Index universe using a proprietary, 100% rules-based methodology developed by Clear. The approach is specifically designed to enhance investment applications and investability. The constituent selection process is repeated annually and the Index rebalance is conducted quarterly.
All Fund returns cited--whether based on net asset value ("NAV") or market price--assume the reinvestment of all distri-butions. This report discusses the abbreviated annual fiscal period from the Fund's inception date of November 9, 2007, through May 31, 2008.
On a market price basis, the Fund generated a total return of -10.37%, representing a change in market price to $22.25 on May
Annual Report | May 31, 2008 | 11
Claymore Exchange-Traded Fund Trust 2 |
Management Discussion of Fund Performance continued
CUT | Claymore/Clear Global Timber Index ETF (continued)
31, 2008, from $24.91 at inception. On an NAV basis, the Fund generated a total return of -11.25%, representing a change in NAV to $22.03 on May 31, 2008, from $24.91 at inception. 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. However, the Investment Adviser believes that large discounts or premiums to the NAV of the Shares should not be sustained.
For underlying index and broad market comparison purposes, the Clear Global Timber Index returned -10.58% and the Dow Jones World Forestry & Paper Index returned -16.13% for the same period. The Dow Jones World Forestry & Paper Index is an unmanaged float-adjusted capitalization-weighted index that provides a broad measure of the world forestry and paper markets. According to Dow Jones, the index consists of owners and operators of timber tracts, forest tree nurseries and sawmills excluding providers of finished wood products such as wooden beams, which are classified under Building Materials & Fixtures. Additionally, the index includes producers, converters, merchants and distributors of all grades of paper excluding makers of printed forms, which are classified under Business Support Services, and manufacturers of paper items such as cups and napkins, which are classified under Nondurable Household Products. It is not possible to invest directly in an index.
The Fund made an annual distribution of $0.0840 per share on December 31, 2007.
Approximately 70% of the Fund's portfolio is invested in the forestry and paper sub-sectors of the basic materials industry sector; results of these two sub-sectors, both of which had negative returns for the period from the Fund's inception date through May 31, 2008, are therefore the main determinants of the Fund's performance. Positions in the consumer goods and financials sectors, both of which had positive returns, contributed to performance.
Holdings that contributed strongly to performance include Aracruz Celulose SA, a Brazilian producer of bleached hardwood kraft market pulp; Sumitomo Forestry Co., Ltd. a Japanese company involved in residential construction, forestry and other activities; and Potlatch Corp., a real estate investment trust (REIT) that owns and manages 1.7 million acres of timberlands located in Arkansas, Idaho, Minnesota and Wisconsin (5.4%, 5.0% and 3.2% of total long-term investments, respectively).
Positions that detracted from performance include China Grand Forestry Resources Group Ltd., a Hong Kong-based investment holding company that operates in the ecological forestry business and the garment business; Smurfit Kappa Group PLC, a paper-based packaging company based in Ireland with operations in Europe and Latin America; Grupo Empresarial Ence SA, a Spanish company that produces cellulose and solid wood products; and International Paper Co., a global paper and packaging company headquartered in the U.S. (3.7%, 3.6%, 4.3% and 4.2% of total long-term investments, respectively).
12 | Annual Report | May 31, 2008
Claymore Exchange-Traded Fund Trust 2 |
Management Discussion of Fund Performance continued
ROB | Claymore/Robb Report Global Luxury Index ETF
The Claymore/Robb Report Global Luxury Index ETF (the "Fund") seeks investment results that correspond generally to the performance, before the Fund's fees and expenses, of an equity index called the Robb Report Global Luxury Index (the "Index").
The Fund, using a low cost "passive" or "indexing" investment approach, will seek to replicate, before expenses, the performance of the Robb Report Global Luxury Index. The Index is comprised of no fewer than 20 and up to 100 equity securities traded on major global developed market exchanges, as well as American depositary receipts ("ADRs") and global depositary receipts ("GDRs") of companies whose primary business is the provision of global luxury goods and services. These may include retailers, manufacturers (which may include automobiles, boats, aircraft, and consumer electronics), travel and leisure firms, and investment and other professional services firms. The designation of such firms as "luxury" is determined by the publisher of the Robb Report Magazine, CurtCo Robb Media, LLC (the "Robb Report" or the "Index Provider"). Robb Report generally defines "developed markets" as countries whose economies have high income levels, strong legal protection and sophisticated stock exchanges. The current list of global developed markets consists of Australia, Austria, Belgium, Denmark, Finland, France, Germany, Hong Kong, Ireland, Italy, Japan, Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, the United Kingdom and the United States of America. The Fund will normally invest at least 90% of its total assets in common stock and ADRs and GDRs that comprise the Index.
Claymore Advisors, LLC ("the Investment Adviser") seeks 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 will invest in all of the stocks comprising the Index in proportion to their weightings in the Index.
The Robb Report Global Luxury Index is comprised of companies whose primary business is the provision of global luxury goods and services. All stocks in the Robb Report Global Luxury Index are selected from the global investable universe of companies whose primary business is the provision of global luxury goods and services, as determined by the Index Provider. The Index Provider weights the Index's constituents using a modified market cap weighting methodology. The Index Provider does not guarantee the inclusion of all relevant companies in the Index. The Index is adjusted annually.
All Fund returns cited--whether based on net asset value ("NAV") or market price--assume the reinvestment of all distributions. This report discusses the abbreviated annual fiscal period from the Fund's inception date of July 30, 2007, through May 31, 2008.
On a market price basis, the Fund generated a total return of -6.23%, representing a change in market price to $22.28 on May 31, 2008, from $23.80 at inception. On an NAV basis, the Fund generated a total return of -6.57%, representing a change in NAV to $22.20 on May 31, 2008, from $23.80 at inception. 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. However, the Investment Adviser believes that large discounts or premiums to the NAV of the Shares should not be sustained.
For underlying index and broad market comparison purposes, the Robb Report Global Luxury Index returned -5.30% and the MSCI World Index returned 0.52% for the same period. The MSCI World Index is a float-adjusted capitalization-weighted index created by Morgan Stanley Capital International to measure equity market performance throughout the world. It is not possible to invest directly in an index.
The Fund made an annual distribution of $0.0400 per share on December 31, 2007.
Since more than half of the Fund's assets are invested in the consumer goods sector, positions in this sector generally drive performance. Other sectors represented are financials, consumer services, industrials and basic materials. All of the sectors in which the Fund has investments had negative returns for the period from the Fund's inception date through May 31, 2008. The financials sector detracted most from returns; the basic materials sector detracted least.
Holdings that contributed positively to performance include Hermes International, a French designer, manufacturer and retailer of luxury goods including scarves and leather goods; Northern Trust Corp., a conservatively managed financial institution that has avoided most of the problems plaguing its industry; and Julius Baer Holding AG, a Swiss wealth manager (4.3%, 4.4% and 4.5% of total long-term investments, respectively).
Annual Report | May 31, 2008 | 13
Claymore Exchange-Traded Fund Trust 2 |
Management Discussion of Fund Performance continued
ROB | Claymore/Robb Report Global Luxury Index ETF (continued)
Positions that detracted from performance include UBS AG, a Swiss bank that has had to take significant asset write-downs in investments (not held in the portfolio at period end); PPR, a French company that specializes in retail and distribution of luxury goods under brand names including Gucci, Yves Saint Laurent, Bottega Veneta and Balenciaga (4.4% of total long-term investments); and German auto maker Daimler AG (4.2% of total long-term investments).
14 | Annual Report | May 31, 2008
Claymore Exchange-Traded Fund Trust 2 |
Management Discussion of Fund Performance continued
ENY | Claymore/SWM Canadian Energy Income Index ETF
The Claymore/SWM Canadian Energy Income Index ETF (the "Fund") seeks investment results that correspond generally to the performance, before the Fund's fees and expenses, of an equity index called the Sustainable Canadian Energy Income Index (the "Energy Income Index" or "Index").
The Fund, using a low cost "passive" or "indexing" investment approach, will seek to replicate, before expenses, the performance of the Energy Income Index. The Index is comprised of 30 stocks selected, based on investment and other criteria, from a universe of companies listed on the Toronto Stock Exchange (the "TSX"), the American Stock Exchange (the "AMEX"), the NASDAQ Stock Market (the "NASDAQ") or the New York Stock Exchange (the "NYSE"). The universe of companies includes over 35 TSX listed Canadian royalty trusts and 25 oil sands resource producers that are classified as oil and gas producers. The companies in the universe are selected using criteria as identified by Sustainable Wealth Management, Ltd. ("SWM" or the "Index Provider"). The Fund will normally invest at least 90% of its total assets in securities that comprise the Index.
Claymore Advisors, LLC ("the Investment Adviser") seeks 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 will invest in all of the stocks comprising the Index in proportion to their weightings in the Index.
The Energy Income Index selection methodology is designed to combine the most profitable and liquid Canadian royalty trusts with the most highly focused and fastest growing oil sands producers using a tactical asset allocation model based on the trend in crude oil prices.
The Index constituent selection methodology was developed by SWM as an effective, fundamental approach designed to select stocks from a group of companies primarily listed on the TSX.
The Canadian royalty trust constituent selection methodology utilizes multifactor proprietary selection rules to seek to identify those stocks that have historically provided the highest profitability in the sector and meet minimum distribution yield, market cap and liquidity thresholds. The oil sands producers are selected on the basis of their focus on oil sands production, current production rate and projected production during the next 10 years. The oil sands producers must also pass minimum market capitalization and liquidity thresholds. Index constituents are updated annually or whenever a major corporate event occurs such as a merger or acquisition.
The Energy Income Index allocates between the oil sands and royalty trust constituents according to the current price trend of crude oil. If the current quarter's closing price is above the four quarter moving average price, crude oil is determined to be in a bull phase. If it is at or below the moving average price, crude oil is determined to be in a bear phase.
Asset Allocation by Crude Oil Price Trend
Bull Phase Bear Phase -------------------------------------------------------------------------------- Oil Sands 70% Oil Sands 30% Income Trust 30% Income Trust 70% |
Crude oil price trends are evaluated at the end of each calendar quarter and tactical asset allocation adjustments are implemented on the first trading day of the new quarter.
All Fund returns cited - whether based on net asset value ("NAV") or market price - assume the reinvestment of all distributions. This report discusses the abbreviated annual fiscal period from the Fund's inception date of July 3, 2007, through May 31, 2008.
On a market price basis, the Fund generated a total return of 30.18%, representing a change in market price to $31.71 on May 31, 2008, from $25.05 at inception. On an NAV basis, the Fund generated a total return of 29.62%, representing a change in NAV to $31.58 on May 31, 2008, from $25.05 at inception. 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. However, the Investment Adviser believes that large discounts or premiums to the NAV of the Shares should not be sustained.
For underlying index and broad market comparison purposes, the Sustainable Canadian Energy Income Index returned 32.31% and the S&P/TSX Composite Index ("S&P/TSX") returned 15.42% for the same period. The S&P/TSX is an unmanaged index that tracks the performance of the largest companies on the Toronto Stock Exchange as measured by market capitalization. It is not possible to invest directly in an index.
The Fund made an annual distribution of $0.730 per share on December 31, 2007. Additionally, the Fund has changed its dividend frequency to quarterly. As a result, the Fund has declared its June 2008 quarterly distribution of $0.189 per share, payable on June 30, 2008.
Annual Report | May 31, 2008 | 15
Claymore Exchange-Traded Fund Trust 2 |
Management Discussion of Fund Performance continued
ENY | Claymore/SWM Canadian Energy Income Index ETF (continued)
Since essentially all of the Fund's investments are in the energy sector, performance is driven mainly by individual positions in this sector, which performed very well in an environment of strong demand and rising energy prices. Among the best performing positions were Petrobank Energy & Resources Ltd., Canadian Oil Sands Trust, and Suncor Energy Inc., all of which have substantial investments in Canadian oil sands (5.6%, 7.0% and 8.8% of total long-term investments, respectively). Among the few positions with negative returns were Synenco Energy Inc., a development stage company engaged in the business of developing oil sands-related assets in Alberta (not held in the portfolio at period end); Harvest Energy Trust, an energy development trust that reported a first quarter loss (2.1% of total long-term investments); and UTS Energy Corp., a development-stage company engaged in the development of its interests in Alberta's Fort Hills Oil Sands Project (5.5% of total long-term investments).
16 | Annual Report | May 31, 2008
Claymore Exchange-Traded Fund Trust 2 |
Management Discussion of Fund Performance continued
CRO | Claymore/Zacks Country Rotation ETF
The Claymore/Zacks Country Rotation ETF (the "Fund") seeks investment results that correspond generally to the performance, before the Fund's fees and expenses, of an equity index called the Zacks Country Rotation Index (the "Zacks Country Rotation Index" or "Index").
The Fund, using a low cost "passive" or "indexing" investment approach, will seek to replicate, before expenses, the performance of the Zacks Country Rotation Index. The Index is comprised of 200 stocks selected, based on investment and other criteria, from a universe of international companies listed on developed international market exchanges. Zacks Investment Research, Inc. ("Zacks" or the "Index Provider") defines developed international markets as countries whose economies have high income levels, strong legal protection and sophisticated stock exchanges. The current list of developed international markets consists of Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Hong Kong, Ireland, Italy, Japan, the Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland and the United Kingdom. The companies in the universe are selected using a proprietary methodology developed by Zacks. It is not possible to invest directly in an index. The companies in the universe are selected using a proprietary methodology developed by Zacks Investment Research, Inc. ("Zacks" or the "Index Provider"). The Fund will normally invest at least 90% of its total assets in common stock and American depositary receipts ("ADRs") that comprise the Index. Claymore Advisors, LLC ("the Investment Adviser") seeks 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 will invest in all of the stocks comprising the Index in proportion to their weightings in the Index.
The Zacks Country Rotation Index uses a proprietary quantitative methodology developed by Zacks to seek to determine those countries with potentially superior risk-return profiles and within those countries select a basket of stocks. The Index is designed to select and weight a group of stocks which have the potential on a risk-adjusted basis to outperform the MSCI EAFE Index and other developed international benchmark indices. The Index constituent selection methodology utilizes multi-factor proprietary selection rules to identify those countries that offer the greatest potential from a risk/return perspective. The approach is specifically designed to enhance investment applications and investability. The Index is adjusted semiannually.
All Fund returns cited - whether based on net asset value ("NAV") or market price - assume the reinvestment of all distributions. This report discusses the abbreviated annual fiscal period from the Fund's inception date of July 11, 2007, through May 31, 2008.
On a market price basis, the Fund generated a total return of -1.23%, representing a change in market price to $24.60 on May 31, 2008, from $25.08 at inception. On an NAV basis, the Fund generated a total return of -2.00%, representing a change in NAV to $24.41 on May 31, 2008, from $25.08 at inception. 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. However, the Investment Adviser believes that large discounts or premiums to the NAV of the Shares should not be sustained.
For underlying index and broad market comparison purposes, the Zacks Country Rotation Index returned -0.53% and the MSCI EAFE Index returned -4.00% for the same period.
The Fund made an annual distribution of $0.1750 per share on December 31, 2007.
For the period from the Fund's inception date through May 31, 2008, the basic materials sector made the strongest positive contribution to return; other sectors with positive returns were oil & gas, utilities and telecommunications. Sectors that detracted from performance were consumer goods, health care, consumer services, technology, financials and industrials. Several of the best-performing and worst-performing positions were in the financials sector. Hong Kong Exchanges & Clearing Ltd., which operates the stock and futures exchanges in Hong Kong, and Sun Hung Kai Properties Ltd., a Hong Kong residential and commercial property company, were among the top contributors (neither of these securities was held in the portfolio at period end). Among the greatest detractors were three European banks, Barclays PLC (0.3% of total long-term investments), Royal Bank of Scotland Group PLC (0.1% of total long-term investments) and UBS AG (less than 0.1% of total long-term investments), and HBOS PLC (not held in the portfolio at period end), a diversified Scottish financial services firm. Other holdings that contributed strongly to performance include Rio Tinto Ltd. (not held in the portfolio at period end) and Rio Tinto PLC (0.8% of total long-term investments), two related entities that operate as an international mining company; ArcelorMittal (1.0% of total long-term investments), a global steel producer based in Luxembourg; and BG Group PLC (0.9% of total long-term investments), a natural gas company based in the U.K. with operations in many nations throughout the world.
Annual Report | May 31, 2008 | 17
Claymore Exchange-Traded Fund Trust 2 |
Management Discussion of Fund Performance continued
HGI | Claymore/Zacks International Yield Hog Index ETF
The Claymore/Zacks International Yield Hog Index ETF (the "Fund") seeks investment results that correspond generally to the performance, before the Fund's fees and expenses, of an index called the Zacks International Yield Hog Index (the "International Yield Hog Index" or "Index").
The Fund, using a low cost "passive" or "indexing" investment approach, will seek to replicate, before expenses, the performance of the Zacks International Yield Hog Index. The Index is comprised of 150 stocks selected, based on investment and other criteria, from a universe of international companies, global REITs, master limited partnerships, Canadian royalty trusts, American depositary receipts ("ADRs") of emerging market companies and U.S. listed closed-end funds that invest in international companies. The companies in the universe are selected using a proprietary strategy developed by Zacks Investment Research, Inc. ("Zacks" or the "Index Provider"). The Fund will normally invest at least 90% of its total assets in securities that comprise the Index. Claymore Advisors, LLC ("the Investment Adviser") seeks 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 will invest in all of the stocks comprising the Index in proportion to their weightings in the Index.
The Zacks International Yield Hog Index selection methodology is designed to identify companies with potentially high income and superior risk-return profiles as determined by Zacks. The Index is designed to select a diversified group of stocks with the potential to outperform the MSCI EAFE Index and other benchmark indices on a risk adjusted basis. The MSCI EAFE Index is an unmanaged, capitalization weighted measure of stock markets in Europe, Australasia and the Far East. It is not possible to invest directly in an index.
The Index constituent selection methodology utilizes multi-factor proprietary selection rules to identify those stocks that offer the greatest potential from a yield and risk/return perspective. The approach is specifically designed to enhance investment applications and investability. The Index is adjusted semi-annually.
All Fund returns cited - whether based on net asset value ("NAV") or market price - assume the reinvestment of all distributions. This report discusses the abbreviated annual fiscal period from the Fund's inception date of July 11, 2007, through May 31, 2008.
On a market price basis, the Fund generated a total return of -1.21%, representing a change in market price to $24.00 on May 31, 2008, from $24.98 at inception. On an NAV basis, the Fund generated a total return of -5.02%, representing a change in NAV to $23.09 on May 31, 2008, from $24.98 at inception. 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. However, the Investment Adviser believes that large discounts or premiums to the NAV of the Shares should not be sustained.
For underlying index and broad market comparison purposes, the International Yield Hog Index returned -3.83% and the MSCI EAFE Index returned -4.00% for the same period.
The Fund made a quarterly distribution of $0.3750 per share on December 31, 2007 and a quarterly distribution of $0.2450 per share on March 31, 2008. Additionally, the Fund has declared its June 2008 quarterly distribution of $0.2400 per share, payable on June 30, 2008 to shareholders of record on June 26, 2008.
For the period from the Fund's inception date through May 31, 2008, the basic materials sector made the strongest positive contribution to return; other sectors with positive returns were utilities, oil & gas, telecommunications and health care. The consumer goods and consumer services sectors were the greatest detractors from return; other sectors with negative returns were technology, industrials and financials. Holdings that contributed strongly to performance include Mitsubishi UFJ Financial Group Inc., a Japanese bank holding company (not held in the portfolio at period end); Blue Square-Israel Ltd., an Israeli food retailer (2.6% of long-term investments); BP Prudhoe Bay Royalty Trust, a trust with a substantial interest in the production of the Prudhoe Bay oil field on the North Slope in Alaska (1.1% of long-term investments); and Koninklijke DSM N.V., a Dutch producer of pharmaceutical ingredients and industrial chemicals (1.3% of long-term investments). Positions that detracted from performance include EganaGoldpfeil (Holdings) Ltd. (not held in the portfolio at period end), a jewelry retailer based in Hong Kong that is undergoing restructuring; Signet Group PLC, a British jewelry retailer (0.4% of long-term investments); HBOS PLC, a diversified Scottish financial services firm (0.4% of long-term investments); and DSG International PLC, a British retailer of electronics and appliances (0.8% of long-term investments).
18 | Annual Report | May 31, 2008
Claymore Exchange-Traded Fund Trust 2 |
Management Discussion of Fund Performance continued
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.
Foreign Investment Risk: Investing in non-U.S. issuers may involve unique risks such as 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.
Small and Medium-Sized Company Risk: Investing in securities of these companies involves 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.
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.
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.
Emerging Markets Risk (CUT, HGI, TAO, HAO): Investment in securities of issuers based in developing or "emerging market" countries entails all of the risks of investing in securities of non-U.S.issuers, as previously described, but to a heightened degree.
Canadian Risk (ENY and HGI): Investing in Canadian royalty trusts and stocks listed on the TSX are subject to: Commodity Exposure Risk, Reliance on Exports Risk, U.S. Economic Risk and Structural Risk (Political Risk).
Master Limited Partnership (MLP) Risk (EXB and HGI): Investments in securities of MLPs involve risks that differ from an investment in common stock. Holders of the units of MLPs have more limited control and limited rights to vote on matters affecting the partnership. There are also certain tax risks associated with an investment in units of MLPs.
China Investment Risk (HAO and TAO): Investing in securities of Chinese companies involves additional risks, including, but not limited to: the economy of China differs, often unfavorably, from the U.S. economy in such respects as structure, general development, government involvement, wealth distribution, rate of inflation, growth rate, allocation of resources and capital reinvestment, among others; the central government has historically exercised substantial control over virtually every sector of the Chinese economy through administrative regulation and/or state ownership; and actions of the Chinese central and local government authorities continue to have a substantial effect on economic conditions in China. See prospectus for more information.
REIT Risk (HGI and TAO): Investments in securities of real estate companies involve risks. These risks include, among others, adverse changes in national, state or local real estate conditions; obsolescence of properties; changes in the availability, cost and terms of mortgage funds; and the impact of changes in environmental laws.
Risks of Investing In Other Investment Companies (HGI): Investments in these securities involve risks, including, among others, that shares of other investment companies are subject to the management fees and other expenses of those companies, and the purchase of shares of some investment companies (in the case of closed-end investment companies) may sometimes require the payment of substantial premiums above the value of such companies' portfolio securities or net asset values.
Luxury Risk (ROB): Depends heavily on the disposable household income and consumer spending of a relatively small segment and therefore could magnify volatility. See prospectus for more information.
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.
Annual Report | May 31, 2008 | 19
Claymore Exchange-Traded Fund Trust 2
Fund Summary & Performance | As of May 31, 2008 (unaudited)
TAO | Claymore/AlphaShares China Real Estate ETF
Fund Statistics -------------------------------------------------------------------------------- Share Price $ 20.91 Net Asset Value $ 20.68 Premium/Discount to NAV 1.11% Net Assets ($000) $ 28,949 -------------------------------------------------------------------------------- Total Returns -------------------------------------------------------------------------------- (Inception 12/18/07) Since Inception -------------------------------------------------------------------------------- Claymore/AlphaShares China Real Estate ETF NAV -12.00% Market -11.02% -------------------------------------------------------------------------------- AlphaShares China Real Estate Index -11.60% -------------------------------------------------------------------------------- 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 $23.50 per share for share price returns or initial net asset value (NAV) of $23.50 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 estimated at 0.90%, per the prospectus, gross of any fee waivers or expense reimbursements. The Fund's expense ratio for its initial fiscal year is based on an assumed average asset level of $100 million. If assets are lower than $100 million, the expense ratio will be higher due to the inclusion of offering costs during the first twelve months of operations. If average assets of the Fund exceed $100 million during the Fund's first twelve months, the expense ratio may be lower. In the Financial Highlights section of this Annual Report, the Fund's annualized net operating expense ratio was determined to be 0.95% while the Fund's annualized gross operating expense ratio was determined to be 1.50%. There is a contractual fee waiver currently in place for this Fund through December 31, 2010 to the extent necessary in keeping the Fund's operating expense ratio from exceeding 0.65% of average net assets per year. Some expenses fall outside of this expense cap and
actual expenses may be higher than 0.65%. Without this expense cap, actual returns would be lower. % of Long-Term Country Breakdown Investments -------------------------------------------------------------------------------- China 99.2% Singapore 0.8% -------------------------------------------------------------------------------- Portfolio Breakdown % of Net Assets -------------------------------------------------------------------------------- Financials/Real Estate 99.4% -------------------------------------------------------------------------------- Total Long-Term Investments 99.4% Short-Term Investments 3.0% Liabilities in excess of Other Assets (2.4%) -------------------------------------------------------------------------------- Net Assets 100.0% -------------------------------------------------------------------------------- % of Long-Term Top Ten Holdings Investments -------------------------------------------------------------------------------- Wharf Holdings Ltd. 5.5% Hongkong Land Holdings Ltd. 5.5% China Overseas Land & Investment Ltd. 5.4% Hang Lung Properties Ltd. 5.2% Link (The) - REIT 5.1% Swire Pacific Ltd. - Class A 5.1% Cheung Kong Holdings Ltd. 5.1% Henderson Land Development Co. Ltd. 5.0% Sun Hung Kai Properties Ltd. 4.8% Sino Land Co. 4.3% -------------------------------------------------------------------------------- |
Portfolio breakdown is shown as a percentage of net assets. Country breakdown and 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.
[THE FOLLOWING TABLE WAS REPRESENTED BY A LINE GRAPH IN THE PRINTED MATERIAL.]
Claymore/Alphashares China Real Estate ETF MSCI China Index 12/18/07 $10,000 $10,000 $10,196 $10,174 $10,192 $10,201 $10,481 $10,406 $10,698 $10,690 $10,728 $10,686 $10,651 $10,648 $10,506 $10,429 $10,749 $10,569 $10,643 $10,478 $10,413 $10,183 $10,647 $10,455 $10,621 $10,256 $10,540 $10,269 $10,660 $10,492 $10,596 $10,426 $10,545 $10,328 $10,468 $10,086 $10,302 $ 9,783 $ 9,796 $ 9,184 $ 9,787 $ 9,375 $ 9,791 $ 9,374 $ 8,638 $ 7,895 $ 9,383 $ 8,694 $ 9,255 $ 8,485 $ 9,851 $ 9,114 $ 9,413 $ 8,671 $ 9,498 $ 8,703 $ 9,272 $ 8,351 $ 9,272 $ 8,290 $ 9,213 $ 8,717 $ 9,532 $ 9,222 $ 9,506 $ 9,222 $ 9,089 $ 8,668 $ 9,089 $ 8,670 $ 9,089 $ 8,670 $ 8,864 $ 8,344 $ 8,974 $ 8,481 $ 9,106 $ 8,616 $ 9,387 $ 8,966 $ 9,502 $ 9,122 $ 9,472 $ 9,185 $ 9,226 $ 8,960 $ 9,077 $ 8,980 $ 8,881 $ 8,853 $ 8,804 $ 8,790 $ 8,974 $ 8,854 $ 9,196 $ 9,180 $ 9,281 $ 9,234 $ 9,149 $ 9,184 $ 8,902 $ 8,874 $ 8,745 $ 8,601 $ 8,672 $ 8,513 $ 8,711 $ 8,629 $ 8,400 $ 8,336 $ 8,238 $ 8,285 $ 8,281 $ 8,320 $ 8,391 $ 8,473 $ 7,983 $ 7,986 $ 7,843 $ 7,874 $ 7,413 $ 7,339 $ 7,515 $ 7,320 $ 7,783 $ 7,587 $ 7,477 $ 7,212 $ 7,485 $ 7,213 $ 7,966 $ 7,778 $ 8,153 $ 7,866 $ 8,204 $ 7,908 $ 8,400 $ 8,250 $ 8,315 $ 8,065 $ 8,357 $ 8,129 $ 8,643 $ 8,440 $ 8,821 $ 8,624 $ 8,821 $ 8,624 $ 8,911 $ 8,852 $ 8,830 $ 8,711 $ 8,621 $ 8,502 $ 8,655 $ 8,595 $ 8,757 $ 8,808 $ 8,451 $ 8,390 $ 8,353 $ 8,413 $ 8,349 $ 8,401 $ 8,481 $ 8,574 $ 8,464 $ 8,531 $ 8,596 $ 8,733 $ 8,783 $ 8,901 $ 8,953 $ 9,142 $ 9,153 $ 9,455 $ 9,128 $ 9,321 $ 9,166 $ 9,340 $ 9,238 $ 9,406 $ 9,166 $ 9,324 $ 9,166 $ 9,326 $ 9,464 $ 9,559 $ 9,549 $ 9,552 $ 9,553 $ 9,604 $ 9,328 $ 9,287 $ 9,191 $ 9,172 $ 9,077 $ 9,052 $ 9,089 $ 9,051 $ 9,238 $ 9,231 $ 9,238 $ 9,231 $ 9,119 $ 9,251 $ 9,106 $ 9,341 $ 9,102 $ 9,439 $ 8,881 $ 9,199 $ 8,821 $ 9,310 $ 8,668 $ 9,141 $ 8,604 $ 8,967 $ 8,689 $ 8,725 $ 8,698 $ 8,693 $ 8,723 $ 8,762 5/31/08 $ 8,800 $ 8,862 |
This graph compares a hypothetical $10,000 investment in the Fund, made at its inception, with a similar investment in the MSCI China Index. Results include the reinvestment of all dividends and capital gains. Past performance is no guarantee of future results. The MSCI China Index is a capitalization-weighted index that monitors the performance of stocks from the country of China. The index is unmanaged. It is not possible to invest directly in the MSCI China Index. Investment return and principal value will fluctuate with changes in market conditions and other factors and Fund shares, when redeemed, may be worth more or less than their original investment.
Index data source: Zephyr
20 | Annual Report | May 31, 2008
Claymore Exchange-Traded Fund Trust 2 | Fund Summary & Performance (unaudited) continued HAO | Claymore/AlphaShares China Small Cap Index ETF Fund Statistics -------------------------------------------------------------------------------- Share Price $ 24.39 Net Asset Value $ 24.04 Premium/Discount to NAV 1.46% Net Assets ($000) $ 11,540 -------------------------------------------------------------------------------- Total Returns -------------------------------------------------------------------------------- (Inception 1/30/08) Since Inception -------------------------------------------------------------------------------- Claymore/AlphaShares China Small Cap Index ETF NAV -1.23% Market 0.21% -------------------------------------------------------------------------------- AlphaShares China Small Cap Index -0.87% -------------------------------------------------------------------------------- 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 $24.34 per share for share price returns or initial net asset value (NAV) of $24.34 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 estimated at 0.95%, per the prospectus, gross of any fee waivers or expense reimbursements. The Fund's expense ratio for its initial fiscal year is based on an assumed average asset level of $100 million. If assets are lower than $100 million, the expense ratio will be higher due to the inclusion of offering costs during the first twelve months of operations. If average assets of the Fund exceed $100 million during the Fund's first twelve months, the expense ratio may be lower. In the Financial Highlights section of this Annual Report, the Fund's annualized net operating expense ratio was determined to be 1.00% while the Fund's annualized gross operating expense ratio was determined to be 3.16%. There is a contractual fee waiver currently in place for this Fund through December 31, 2010 to the extent necessary in keeping the Fund's operating expense ratio from exceeding 0.70% of average net assets. Some expenses fall outside of this expense cap and actual expenses may be higher than 0.70%. Without this expense cap, actual returns would be lower.
% of Long-Term Country Breakdown Investments -------------------------------------------------------------------------------- China 98.4% Singapore 1.6% -------------------------------------------------------------------------------- Portfolio Breakdown % of Net Assets -------------------------------------------------------------------------------- Industrials 23.0% Consumer Staples 15.7% Information Technology 13.7% Materials 11.4% Consumer Discretionary 11.1% Financials 11.0% Health Care 5.3% Utilities 3.8% Telecommunication Services 2.1% Energy 2.0% -------------------------------------------------------------------------------- Total Long-Term Investments 99.1% -------------------------------------------------------------------------------- Short-Term Investments 0.8% Other Assets in excess of Liabilities 0.1% -------------------------------------------------------------------------------- Net Assets 100.0% -------------------------------------------------------------------------------- % of Long-Term Top Ten Holdings Investments -------------------------------------------------------------------------------- Chaoda Modern Agriculture 4.1% Sohu.com, Inc. 3.6% Sinofert Holdings Ltd. 2.6% China Shipping Container Lines Co. Ltd. 2.6% Beijing Enterprises Holdings Ltd. 2.5% Netease.com, ADR 2.3% China Communications Services Corp. Ltd. 2.1% Maanshan Iron & Steel 2.0% Cnpc Hong Kong Ltd. 1.9% China Yurun Food Group Ltd. 1.8% -------------------------------------------------------------------------------- |
Portfolio breakdown is shown as a percentage of net assets. Country breakdown and 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.
[THE FOLLOWING TABLE WAS REPRESENTED BY A LINE GRAPH IN THE PRINTED MATERIAL.]
Claymore/AlphaShares China Small Cap Index ETF MSCI China Index 1/30/08 $10,000 $10,000 $ 9,782 $ 9,525 $10,095 $10,016 $10,436 $10,596 $10,419 $10,596 $10,021 $ 9,960 $10,033 $ 9,961 $10,033 $ 9,962 $ 9,877 $ 9,587 $ 9,980 $ 9,744 $10,136 $ 9,899 $10,366 $10,302 $10,485 $10,481 $10,612 $10,553 $10,456 $10,295 $10,456 $10,317 $10,419 $10,172 $10,382 $10,099 $10,390 $10,174 $10,534 $10,547 $10,505 $10,610 $10,493 $10,552 $10,288 $10,196 $10,054 $ 9,882 $ 9,881 $ 9,782 $ 9,869 $ 9,915 $ 9,577 $ 9,578 $ 9,359 $ 9,519 $ 9,322 $ 9,560 $ 9,380 $ 9,735 $ 9,104 $ 9,176 $ 8,961 $ 9,046 $ 8,320 $ 8,432 $ 8,143 $ 8,410 $ 8,188 $ 8,717 $ 7,966 $ 8,287 $ 8,061 $ 8,287 $ 8,542 $ 8,937 $ 8,607 $ 9,038 $ 8,722 $ 9,087 $ 8,969 $ 9,479 $ 8,940 $ 9,267 $ 9,026 $ 9,340 $ 9,211 $ 9,697 $ 9,376 $ 9,908 $ 9,376 $ 9,909 $ 9,491 $10,171 $ 9,400 $10,009 $ 9,129 $ 9,768 $ 9,187 $ 9,876 $ 9,261 $10,120 $ 8,957 $ 9,640 $ 8,998 $ 9,667 $ 9,063 $ 9,653 $ 9,096 $ 9,851 $ 9,014 $ 9,802 $ 9,158 $10,035 $ 9,339 $10,227 $ 9,528 $10,504 $ 9,803 $10,863 $ 9,766 $10,710 $ 9,848 $10,731 $ 9,897 $10,807 $ 9,869 $10,713 $ 9,914 $10,715 $10,136 $10,983 $10,173 $10,976 $10,247 $11,035 $10,000 $10,671 $ 9,971 $10,539 $ 9,934 $10,401 $ 9,980 $10,400 $10,021 $10,606 $10,078 $10,606 $10,119 $10,630 $10,152 $10,732 $10,160 $10,846 $ 9,959 $10,570 $ 9,984 $10,697 $ 9,901 $10,503 $ 9,852 $10,303 $ 9,840 $10,025 $ 9,819 $ 9,988 $ 9,869 $10,067 5/31/08 $ 9,877 $10,182 |
This graph compares a hypothetical $10,000 investment in the Fund, made at its inception, with a similar investment in the MSCI China Index. Results include the reinvestment of all dividends and capital gains. Past performance is no guarantee of future results. The MSCI China Index is a capitalization-weighted index that monitors the performance of stocks from the country of China. The index is unmanaged. It is not possible to invest directly in the MSCI China Index. Investment return and principal value will fluctuate with changes in market conditions and other factors and Fund shares, when redeemed, may be worth more or less than their original investment.
Index data source: Zephyr
Annual Report | May 31, 2008 | 21
Claymore Exchange-Traded Fund Trust 2 |
Fund Summary & Performance (unaudited) continued
EXB | Claymore/Clear Global Exchanges, Brokers & Asset Managers Index ETF
Fund Statistics -------------------------------------------------------------------------------- Share Price $ 21.75 Net Asset Value $ 21.68 Premium/Discount to NAV 0.32% Net Assets ($000) $ 17,345 -------------------------------------------------------------------------------- Total Returns -------------------------------------------------------------------------------- (Inception 6/27/07) Since Inception -------------------------------------------------------------------------------- Claymore/Clear Global Exchanges, Brokers & Asset Managers Index ETF NAV -11.65% Market -11.36% -------------------------------------------------------------------------------- Clear Global Exchanges, Brokers & Assets Managers Index -10.80% -------------------------------------------------------------------------------- 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 ETF at the initial share price of $24.56 per share for share price returns or initial net asset value (NAV) of $24.56 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 estimated at 0.89%, per the prospectus, gross of any fee waivers or expense reimbursements. The Fund's expense ratio for its initial fiscal year is based on an assumed average asset level of $100 million. If assets are lower than $100 million, the expense ratio will be higher due to the inclusion of offering costs during the first twelve months of operations. If average assets of the Fund exceed $100 million during the Fund's first twelve months, the expense ratio may be lower. In the Financial Highlights section of this Annual Report, the Fund's annualized net operating expense ratio was determined to be 0.87% while the Fund's annualized gross operating expense ratio was determined to be 1.43%. There is a contractual fee waiver currently in place for this Fund through December 31, 2009 to the extent necessary in keeping the Fund's operating expense ratio from exceeding 0.65% of average net assets per year. Some expenses fall outside of this expense cap and actual expenses will be higher than 0.65%. Without this expense cap, actual returns would be lower.
% of Long-Term Country Breakdown Investments -------------------------------------------------------------------------------- United States 65.1% United Kingdom 7.9% Japan 6.7% Germany 5.4% Hong Kong 4.0% Switzerland 3.7% Australia 2.9% Singapore 1.2% Italy 1.0% Canada 0.9% Spain 0.9% Sweden 0.1% Netherlands 0.1% Thailand 0.1% Bermuda 0.0% New Zealand 0.0% Cayman Islands 0.0% -------------------------------------------------------------------------------- Portfolio Breakdown % of Net Assets -------------------------------------------------------------------------------- Financials 99.0% -------------------------------------------------------------------------------- Total Common Stocks 99.0% Short-Term Investments 1.3% Master Limited Partnerships 0.9% Liabilities in excess of Other Assets -1.2% -------------------------------------------------------------------------------- Net Assets 100.0% -------------------------------------------------------------------------------- % of Long-Term Top Ten Holdings Investments -------------------------------------------------------------------------------- Bank of New York Mellon Corp. (The) 5.8% Goldman Sachs Group, Inc. (The) 5.5% State Street Corp. 5.0% Morgan Stanley 5.0% Deutsche Boerse AG 5.0% Merrill Lynch & Co., Inc. 4.4% NYSE Euronext 4.3% Hong Kong Exchanges and Clearing Ltd. 3.9% CME Group, Inc. 3.8% Man Group PLC 3.8% -------------------------------------------------------------------------------- Portfolio breakdown is as a percentage of net assets. Country breakdown and |
holdings are as a percentage of long-term 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.
[THE FOLLOWING TABLE WAS REPRESENTED BY A LINE GRAPH IN THE PRINTED MATERIAL.]
Claymore/Clear Global Exchanges, Brokers & Asset Managers Index ETF S&P 500 Index 6/27/07 $10,000 $10,000 $10,098 $ 9,996 $10,041 $ 9,980 $10,130 $10,087 $10,330 $10,125 $10,330 $10,125 $10,330 $10,129 $10,440 $10,165 $10,464 $10,175 $10,301 $10,031 $10,387 $10,089 $10,550 $10,282 $10,627 $10,314 $10,623 $10,294 $10,611 $10,293 $10,476 $10,273 $10,485 $10,319 $10,322 $10,193 $10,301 $10,242 $10,086 $10,040 $10,077 $10,087 $ 9,849 $ 9,851 $ 9,776 $ 9,695 $ 9,906 $ 9,795 $ 9,813 $ 9,671 $ 9,642 $ 9,742 $ 9,642 $ 9,786 $ 9,454 $ 9,527 $ 9,552 $ 9,757 $ 9,682 $ 9,818 $ 9,972 $ 9,959 $ 9,711 $ 9,666 $ 9,536 $ 9,669 $ 9,503 $ 9,666 $ 9,255 $ 9,491 $ 8,990 $ 9,362 $ 8,913 $ 9,393 $ 9,194 $ 9,624 $ 9,255 $ 9,621 $ 9,369 $ 9,632 $ 9,503 $ 9,745 $ 9,560 $ 9,735 $ 9,617 $ 9,848 $ 9,560 $ 9,764 $ 9,308 $ 9,536 $ 9,406 $ 9,747 $ 9,369 $ 9,707 $ 9,560 $ 9,816 $ 9,560 $ 9,816 $ 9,682 $ 9,919 $ 9,536 $ 9,809 $ 9,528 $ 9,853 $ 9,434 $ 9,686 $ 9,483 $ 9,674 $ 9,593 $ 9,806 $ 9,568 $ 9,809 $ 9,686 $ 9,892 $ 9,707 $ 9,894 $ 9,609 $ 9,844 $ 9,886 $10,131 $10,049 $10,193 $10,024 $10,127 $10,179 $10,174 $10,281 $10,120 $10,265 $10,117 $10,432 $10,174 $10,582 $10,214 $10,578 $10,183 $10,753 $10,318 $10,900 $10,316 $10,924 $10,271 $10,892 $10,293 $11,152 $10,394 $11,144 $10,361 $11,315 $10,445 $11,287 $10,428 $11,242 $10,374 $11,283 $10,424 $11,103 $10,337 $10,969 $10,269 $11,026 $10,288 $11,038 $10,280 $10,806 $10,017 $10,786 $10,055 $11,034 $10,144 $11,067 $10,119 $11,116 $10,109 $11,258 $10,249 $11,397 $10,288 $11,356 $10,222 $11,519 $10,345 $11,307 $10,074 $11,197 $10,083 $11,002 $10,034 $11,148 $10,155 $10,912 $ 9,862 $10,880 $ 9,856 $10,729 $ 9,716 $10,517 $ 9,619 $10,831 $ 9,902 $10,994 $ 9,834 $10,802 $ 9,705 $10,757 $ 9,756 $10,509 $ 9,586 $10,550 $ 9,629 $10,261 $ 9,477 $10,261 $ 9,477 $10,424 $ 9,638 $10,289 $ 9,414 $10,387 $ 9,555 $10,766 $ 9,831 $10,810 $ 9,836 $10,924 $ 9,913 $10,863 $ 9,854 $10,782 $ 9,790 $10,961 $ 9,944 $11,165 $10,095 $11,116 $10,077 $11,205 $10,153 $10,896 $ 9,896 $10,928 $ 9,957 $10,863 $ 9,970 $10,766 $ 9,833 $10,550 $ 9,686 $10,542 $ 9,747 $10,603 $ 9,734 $10,623 $ 9,784 $10,875 $ 9,949 $10,949 $10,029 $10,949 $10,029 $10,973 $10,037 $10,827 $ 9,897 $10,835 $ 9,912 $10,904 $ 9,844 $10,904 $ 9,844 $10,672 $ 9,704 $10,595 $ 9,704 $10,248 $ 9,465 $10,094 $ 9,496 $ 9,935 $ 9,325 $10,000 $ 9,453 $10,110 $ 9,528 $10,065 $ 9,399 $10,167 $ 9,501 $ 9,772 $ 9,264 $ 9,564 $ 9,213 $ 9,214 $ 8,946 $ 9,239 $ 8,892 $ 9,239 $ 8,892 $ 9,149 $ 8,793 $ 9,463 $ 8,982 $ 9,776 $ 9,073 $ 9,691 $ 8,929 $ 9,817 $ 9,086 $ 9,849 $ 9,142 $ 9,735 $ 9,099 $ 9,857 $ 9,253 $10,061 $ 9,367 $10,037 $ 9,269 $ 9,540 $ 8,973 $ 9,259 $ 8,908 $ 9,365 $ 8,981 $ 9,304 $ 8,943 $ 9,263 $ 8,996 $ 9,340 $ 9,062 $ 9,373 $ 9,189 $ 9,312 $ 9,066 $ 9,308 $ 9,074 $ 9,308 $ 9,074 $ 9,243 $ 9,066 $ 9,271 $ 9,143 $ 9,202 $ 9,028 $ 9,243 $ 9,100 $ 9,385 $ 9,226 $ 9,446 $ 9,290 $ 9,564 $ 9,284 $ 9,357 $ 9,202 $ 9,047 $ 8,953 $ 8,905 $ 8,958 $ 8,852 $ 8,927 $ 8,909 $ 8,978 $ 8,669 $ 8,782 $ 8,563 $ 8,708 $ 8,282 $ 8,574 $ 8,746 $ 8,892 $ 8,770 $ 8,815 $ 8,770 $ 8,861 $ 8,445 $ 8,677 $ 7,932 $ 8,600 $ 8,583 $ 8,965 $ 8,351 $ 8,747 $ 8,685 $ 8,957 $ 8,685 $ 8,957 $ 8,742 $ 9,094 $ 8,986 $ 9,115 $ 8,815 $ 9,036 $ 8,660 $ 8,934 $ 8,534 $ 8,863 $ 8,550 $ 8,914 $ 8,974 $ 9,234 $ 9,076 $ 9,218 $ 9,133 $ 9,230 $ 9,068 $ 9,238 $ 9,178 $ 9,252 $ 9,035 $ 9,208 $ 8,819 $ 9,134 $ 8,770 $ 9,175 $ 8,665 $ 8,989 $ 8,498 $ 8,959 $ 8,542 $ 9,000 $ 8,766 $ 9,205 $ 8,836 $ 9,211 $ 8,913 $ 9,379 $ 8,917 $ 9,364 $ 8,774 $ 9,282 $ 8,779 $ 9,309 $ 8,986 $ 9,369 $ 9,100 $ 9,430 $ 9,125 $ 9,420 $ 9,076 $ 9,384 $ 9,055 $ 9,348 $ 9,287 $ 9,510 $ 9,446 $ 9,541 $ 9,389 $ 9,499 $ 9,430 $ 9,572 $ 9,230 $ 9,402 $ 9,165 $ 9,437 $ 9,076 $ 9,376 $ 9,218 $ 9,479 $ 9,173 $ 9,478 $ 9,214 $ 9,517 $ 9,336 $ 9,620 $ 9,308 $ 9,632 $ 9,247 $ 9,641 $ 9,055 $ 9,552 $ 8,840 $ 9,399 $ 8,852 $ 9,425 $ 8,722 $ 9,301 $ 8,722 $ 9,301 $ 8,742 $ 9,365 $ 8,726 $ 9,404 $ 8,819 $ 9,455 5/31/08 $ 8,835 $ 9,469 |
This graph compares a hypothetical $10,000 investment in the fund, made at its inception, with a similar investment in the Standard and Poor's 500 Index. Results include the reinvestment of all dividends and capital gains. Past performance is no guarantee of future results. The S&P 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. It is not possible to invest directly in the S&P 500 Index. Investment return and principal value will fluctuate with changes in market conditions and other factors and fund shares, when redeemed, may be worth more or less than their original investment.
Index data source: Bloomberg
22 | Annual Report | May 31, 2008
Claymore Exchange-Traded Fund Trust 2 |
Fund Summary & Performance (unaudited) continued
CUT | Claymore/Clear Global Timber Index ETF
Fund Statistics -------------------------------------------------------------------------------- Share Price $ 22.25 Net Asset Value $ 22.03 Premium/Discount to NAV 1.00% Net Assets ($000) $ 57,277 -------------------------------------------------------------------------------- Total Returns -------------------------------------------------------------------------------- (Inception 11/9/07) Since Inception -------------------------------------------------------------------------------- Claymore/Clear Global Timber Index ETF NAV -11.25% Market -10.37% -------------------------------------------------------------------------------- Clear Global Timber Index -10.58% -------------------------------------------------------------------------------- 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 $24.91 per share for share price returns or initial net asset value (NAV) of $24.91 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 estimated at 0.91%, per the prospectus, gross of any fee waivers or expense reimbursements. The Fund's expense ratio for its initial fiscal year is based on an assumed average asset level of $100 million. If assets are lower than $100 million, the expense ratio will be higher due to the inclusion of offering costs during the first twelve months of operations. If average assets of the Fund exceed $100 million during the Fund's first twelve months, the expense ratio may be lower. In the Financial Highlights section of this Annual Report, the Fund's annualized net operating expense ratio was determined to be 0.95% while the Fund's annualized gross operating expense ratio was determined to be 1.43%. There is a contractual fee waiver currently in place for this Fund through December 31, 2009 to the extent necessary in keeping the Fund's operating expense ratio from exceeding 0.65% of average net assets per year. Some expenses fall outside of this expense cap and
actual expenses may be higher than 0.65%. Without this expense cap, actual returns would be lower. % of Long-Term Country Breakdown Investments -------------------------------------------------------------------------------- United States 25.2% Canada 14.8% Japan 14.0% Brazil 10.4% Australia 10.0% Sweden 8.3% South Africa 5.4% Spain 4.4% Bermuda 3.8% Ireland 3.7% -------------------------------------------------------------------------------- Portfolio Breakdown % of Net Assets -------------------------------------------------------------------------------- Materials 81.3% Financials 11.2% Consumer Discretionary 5.0% Consumer Staples 2.3% -------------------------------------------------------------------------------- Total Long-Term Investments 99.8% Short-Term Investments 1.8% Liabilities in Excess of Other Assets -0.6% -------------------------------------------------------------------------------- Net Assets 100.0% -------------------------------------------------------------------------------- % of Long-Term Top Ten Holdings Investments -------------------------------------------------------------------------------- Sino-Forest Corp. 5.6% Aracruz Celulose SA, ADR 5.5% Sappi, Ltd., ADR 5.4% Sumitomo Forestry Co., Ltd. 5.1% Votorantim Celulose e Papel SA, ADR 4.9% Rayonier, Inc. - REIT 4.6% OJI Paper Co., Ltd. 4.5% Hokuetsu Paper Mills, Ltd. 4.4% Grupo Empresarial Ence SA 4.4% Holmen AB - Class B 4.4% -------------------------------------------------------------------------------- |
Portfolio breakdown is shown as a percentage of net assets. Country breakdown and 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.
[THE FOLLOWING TABLE WAS REPRESENTED BY A LINE GRAPH IN THE PRINTED MATERIAL.]
Claymore/Clear Global
Timber Index ETF MSCI World Index 11/09/07 $10,000 $10,000 $ 9,562 $ 9,839 $ 9,843 $ 9,989 $ 9,896 $10,059 $ 9,711 $ 9,920 $ 9,687 $ 9,882 $ 9,382 $ 9,725 $ 9,434 $ 9,810 $ 9,273 $ 9,620 $ 9,410 $ 9,754 $ 9,293 $ 9,693 $ 9,430 $ 9,728 $ 9,679 $ 9,912 $ 9,747 $ 9,984 $ 9,847 $10,050 $ 9,811 $10,013 $ 9,747 $ 9,956 $ 9,815 $10,071 $ 9,968 $10,159 $ 9,928 $10,195 $10,028 $10,252 $ 9,795 $10,135 $ 9,775 $10,147 $ 9,627 $10,001 $ 9,370 $ 9,878 $ 9,101 $ 9,679 $ 9,181 $ 9,707 $ 9,205 $ 9,689 $ 9,249 $ 9,714 $ 9,474 $ 9,864 $ 9,558 $ 9,933 $ 9,550 $ 9,988 $ 9,518 $ 9,949 $ 9,574 $ 9,973 $ 9,604 $ 9,939 $ 9,540 $ 9,871 $ 9,491 $ 9,855 $ 9,254 $ 9,669 $ 9,101 $ 9,619 $ 9,016 $ 9,575 $ 9,000 $ 9,597 $ 9,060 $ 9,593 $ 8,923 $ 9,509 $ 8,984 $ 9,593 $ 8,710 $ 9,373 $ 8,549 $ 9,193 $ 8,412 $ 9,072 $ 8,391 $ 9,007 $ 7,968 $ 8,664 $ 8,198 $ 8,708 $ 8,303 $ 8,972 $ 8,343 $ 8,992 $ 8,371 $ 8,996 $ 8,528 $ 9,092 $ 8,472 $ 9,033 $ 8,565 $ 9,125 $ 8,758 $ 9,271 $ 8,762 $ 9,274 $ 8,444 $ 8,994 $ 8,323 $ 8,914 $ 8,323 $ 8,858 $ 8,379 $ 8,848 $ 8,391 $ 8,837 $ 8,464 $ 8,984 $ 8,444 $ 9,036 $ 8,496 $ 9,061 $ 8,480 $ 9,023 $ 8,557 $ 9,119 $ 8,577 $ 9,051 $ 8,678 $ 9,089 $ 8,665 $ 9,094 $ 8,839 $ 9,232 $ 8,867 $ 9,329 $ 8,976 $ 9,407 $ 8,887 $ 9,338 $ 8,746 $ 9,151 $ 8,722 $ 9,054 $ 8,633 $ 8,997 $ 8,710 $ 9,075 $ 8,557 $ 8,993 $ 8,383 $ 8,867 $ 8,174 $ 8,732 $ 8,400 $ 8,921 $ 8,456 $ 8,991 $ 8,420 $ 8,950 $ 8,315 $ 8,829 $ 8,130 $ 8,622 $ 8,299 $ 8,896 $ 8,077 $ 8,765 $ 8,025 $ 8,769 $ 8,190 $ 8,864 $ 8,359 $ 9,069 $ 8,404 $ 9,069 $ 8,351 $ 9,052 $ 8,323 $ 9,014 $ 8,440 $ 9,016 $ 8,669 $ 9,194 $ 8,794 $ 9,292 $ 8,883 $ 9,321 $ 8,879 $ 9,363 $ 8,988 $ 9,412 $ 8,980 $ 9,341 $ 8,786 $ 9,284 $ 8,750 $ 9,309 $ 8,694 $ 9,210 $ 8,597 $ 9,139 $ 8,585 $ 9,176 $ 8,750 $ 9,384 $ 8,734 $ 9,375 $ 8,718 $ 9,469 $ 8,730 $ 9,526 $ 8,617 $ 9,477 $ 8,589 $ 9,487 $ 8,573 $ 9,464 $ 8,686 $ 9,544 $ 8,718 $ 9,571 $ 8,577 $ 9,513 $ 8,585 $ 9,519 $ 8,561 $ 9,560 $ 8,617 $ 9,656 $ 8,661 $ 9,656 $ 8,794 $ 9,704 $ 8,682 $ 9,620 $ 8,770 $ 9,635 $ 8,641 $ 9,554 $ 8,706 $ 9,632 $ 8,702 $ 9,642 $ 8,734 $ 9,672 $ 8,871 $ 9,769 $ 8,879 $ 9,845 $ 8,887 $ 9,887 $ 8,819 $ 9,803 $ 8,754 $ 9,719 $ 8,770 $ 9,720 $ 8,682 $ 9,614 $ 8,698 $ 9,576 $ 8,778 $ 9,593 $ 8,843 $ 9,629 5/31/08 $ 8,875 $ 9,668 |
This graph compares a hypothetical $10,000 investment in the fund, made at its inception, with a similar investment in the MSCI World Index. Results include the reinvestment of all dividends and capital gains. Past performance is no guarantee of future results. The MSCI World Index is a free float-adjusted market capitalization index that measures global developed market equity performance of the developed market country indices of Europe, Australasia, the Far East, the U.S. and Canada. It is not possible to invest directly in the MSCI World Index. Investment return and principal value will fluctuate with changes in market conditions and other factors and fund shares, when redeemed, may be worth more or less than their original investment.
Index data source: Bloomberg
Annual Report | May 31, 2008 | 23
Claymore Exchange-Traded Fund Trust 2 | Fund Summary & Performance (unaudited) continued ROB | Claymore/Robb Report Global Luxury Index ETF Fund Statistics -------------------------------------------------------------------------------- Share Price $ 22.28 Net Asset Value $ 22.20 Premium/Discount to NAV 0.36% Net Assets ($000) $ 8,880 -------------------------------------------------------------------------------- Total Returns -------------------------------------------------------------------------------- (Inception 07/30/07) Since Inception -------------------------------------------------------------------------------- Claymore/Robb Report Global Luxury Index ETF NAV -6.57% Market -6.23% -------------------------------------------------------------------------------- Robb Report Global Luxury Index -5.30% -------------------------------------------------------------------------------- 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 $23.80 per share for share price returns or initial net asset value (NAV) of $23.80 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 estimated at 1.01%, per the prospectus, gross of any fee waivers or expense reimbursements. The Fund's expense ratio for its initial fiscal year is based on an assumed average asset level of $100 million. If assets are lower than $100 million, the expense ratio will be higher due to the inclusion of offering costs during the first twelve months of operations. If average assets of the Fund exceed $100 million during the Fund's first twelve months, the expense ratio may be lower. In the Financial Highlights section of this Annual Report, the Fund's annualized net operating expense ratio was determined to be 1.21% while the Fund's annualized gross operating expense ratio was determined to be 3.81%. There is a contractual fee waiver currently in place for this Fund through December 31, 2009 to the extent necessary in keeping the Fund's operating expense ratio from exceeding 0.70% of average net assets per year. Some expenses fall outside of this expense cap and
actual expenses may be higher than 0.70%. Without this expense cap, actual returns would be lower. % of Long-Term Country Breakdown Investments -------------------------------------------------------------------------------- France 26.7% United States 24.1% Germany 13.4% Switzerland 12.5% Italy 6.9% Bermuda 5.8% Japan 4.9% Brazil 2.7% United Kingdom 1.7% Canada 0.7% Denmark 0.3% Singapore 0.3% -------------------------------------------------------------------------------- Portfolio Breakdown % of Net Assets -------------------------------------------------------------------------------- Consumer Discretionary 73.1% Financials 9.9% Consumer Staples 9.4% Industrials 7.2% Materials 0.7% -------------------------------------------------------------------------------- Total Long-Term Investments 100.3% Short-Term Investments 1.6% Liabilities in Excess of Other Assets -1.9% -------------------------------------------------------------------------------- Net Assets 100.0% -------------------------------------------------------------------------------- % of Long-Term Top Ten Holdings Investments -------------------------------------------------------------------------------- Coach, Inc. 4.7% Bayerische Motoren Werke AG 4.7% Julius Baer Holding AG 4.6% Christian Dior SA 4.5% Luxottica Group SpA 4.5% LVMH Moet Hennessy Louis Vuitton SA 4.5% PPR 4.5% Northern Trust Corp. 4.5% Pernod-Ricard SA 4.4% Compagnie Financiere Richemont SA 4.4% -------------------------------------------------------------------------------- |
Portfolio breakdown is shown as a percentage of net assets. Country breakdown and 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.
[THE FOLLOWING TABLE WAS REPRESENTED BY A LINE GRAPH IN THE PRINTED MATERIAL.]
Claymore/Robb Report Global Luxury Index ETF MSCI World Index 7/30/07 $10,000 $10,000 $10,151 $10,026 $10,080 $ 9,940 $10,076 $ 9,995 $ 9,962 $ 9,864 $ 9,987 $ 9,916 $10,105 $ 9,975 $10,324 $10,153 $10,088 $ 9,942 $ 9,899 $ 9,775 $ 9,920 $ 9,832 $ 9,744 $ 9,691 $ 9,609 $ 9,540 $ 9,353 $ 9,367 $ 9,538 $ 9,512 $ 9,546 $ 9,598 $ 9,584 $ 9,630 $ 9,723 $ 9,761 $ 9,748 $ 9,825 $ 9,861 $ 9,902 $ 9,836 $ 9,896 $ 9,639 $ 9,728 $ 9,710 $ 9,820 $ 9,769 $ 9,853 $ 9,945 $ 9,998 $10,046 $10,068 $ 9,975 $ 9,967 $10,034 $10,017 $ 9,849 $ 9,893 $ 9,756 $ 9,831 $ 9,912 $ 9,967 $ 9,950 $ 9,994 $10,063 $10,059 $10,046 $10,051 $ 9,954 $ 9,972 $10,156 $10,128 $10,437 $10,337 $10,395 $10,346 $10,424 $10,376 $10,483 $10,376 $10,437 $10,364 $10,504 $10,415 $10,626 $10,520 $10,664 $10,535 $10,857 $10,637 $10,912 $10,667 $10,874 $10,647 $10,853 $10,642 $10,975 $10,749 $10,958 $10,703 $11,021 $10,783 $11,080 $10,811 $11,101 $10,856 $11,076 $10,845 $11,008 $10,797 $10,908 $10,685 $10,987 $10,720 $10,975 $10,734 $10,832 $10,557 $10,710 $10,458 $10,769 $10,597 $10,702 $10,562 $10,840 $10,623 $10,971 $10,784 $11,105 $10,888 $11,046 $10,832 $11,189 $10,946 $10,945 $10,770 $10,790 $10,718 $10,656 $10,625 $10,672 $10,740 $10,529 $10,618 $10,412 $10,546 $10,286 $10,410 $10,214 $10,242 $10,408 $10,398 $10,479 $10,471 $10,319 $10,326 $10,214 $10,287 $ 9,954 $10,123 $10,118 $10,212 $ 9,891 $10,014 $10,084 $10,153 $10,008 $10,090 $10,004 $10,127 $10,345 $10,318 $10,349 $10,394 $10,387 $10,462 $10,311 $10,423 $10,206 $10,364 $10,277 $10,483 $10,361 $10,575 $10,433 $10,613 $10,555 $10,672 $10,391 $10,551 $10,366 $10,562 $10,084 $10,410 $ 9,992 $10,283 $ 9,786 $10,076 $ 9,798 $10,104 $ 9,752 $10,086 $ 9,765 $10,112 $ 9,933 $10,268 $ 9,979 $10,340 $10,017 $10,397 $10,025 $10,356 $10,076 $10,382 $10,071 $10,346 $10,034 $10,276 $ 9,836 $10,259 $ 9,516 $10,065 $ 9,406 $10,013 $ 9,394 $ 9,967 $ 9,238 $ 9,990 $ 9,272 $ 9,986 $ 9,103 $ 9,898 $ 9,162 $ 9,986 $ 8,830 $ 9,757 $ 8,754 $ 9,569 $ 8,556 $ 9,443 $ 8,489 $ 9,376 $ 8,371 $ 9,019 $ 8,350 $ 9,065 $ 8,809 $ 9,339 $ 8,762 $ 9,360 $ 8,821 $ 9,364 $ 8,964 $ 9,464 $ 8,880 $ 9,403 $ 8,964 $ 9,499 $ 9,158 $ 9,651 $ 9,112 $ 9,654 $ 8,729 $ 9,362 $ 8,699 $ 9,279 $ 8,556 $ 9,221 $ 8,569 $ 9,210 $ 8,527 $ 9,199 $ 8,809 $ 9,352 $ 8,813 $ 9,406 $ 8,779 $ 9,432 $ 8,687 $ 9,393 $ 8,779 $ 9,493 $ 8,695 $ 9,422 $ 8,771 $ 9,461 $ 8,741 $ 9,467 $ 8,901 $ 9,611 $ 9,049 $ 9,711 $ 9,158 $ 9,793 $ 9,036 $ 9,720 $ 8,855 $ 9,525 $ 8,771 $ 9,424 $ 8,704 $ 9,366 $ 8,796 $ 9,447 $ 8,653 $ 9,362 $ 8,556 $ 9,230 $ 8,455 $ 9,089 $ 8,569 $ 9,287 $ 8,771 $ 9,359 $ 8,649 $ 9,316 $ 8,523 $ 9,190 $ 8,220 $ 8,975 $ 8,560 $ 9,261 $ 8,455 $ 9,124 $ 8,438 $ 9,128 $ 8,493 $ 9,227 $ 8,868 $ 9,440 $ 8,872 $ 9,441 $ 8,876 $ 9,423 $ 8,746 $ 9,383 $ 8,826 $ 9,386 $ 9,087 $ 9,571 $ 9,167 $ 9,673 $ 9,095 $ 9,703 $ 9,116 $ 9,747 $ 9,129 $ 9,797 $ 9,036 $ 9,724 $ 8,931 $ 9,664 $ 8,863 $ 9,690 $ 8,771 $ 9,587 $ 8,619 $ 9,513 $ 8,653 $ 9,552 $ 8,859 $ 9,768 $ 8,855 $ 9,759 $ 8,981 $ 9,857 $ 8,990 $ 9,916 $ 8,960 $ 9,865 $ 8,990 $ 9,876 $ 9,011 $ 9,851 $ 9,204 $ 9,935 $ 9,234 $ 9,963 $ 9,196 $ 9,903 $ 9,192 $ 9,909 $ 9,234 $ 9,952 $ 9,373 $10,052 $ 9,356 $10,052 $ 9,385 $10,102 $ 9,339 $10,014 $ 9,314 $10,030 $ 9,246 $ 9,946 $ 9,360 $10,027 $ 9,339 $10,037 $ 9,385 $10,069 $ 9,524 $10,169 $ 9,566 $10,248 $ 9,604 $10,292 $ 9,432 $10,205 $ 9,280 $10,118 $ 9,272 $10,118 $ 9,175 $10,008 $ 9,154 $ 9,968 $ 9,234 $ 9,986 $ 9,259 $10,023 5/31/08 $ 9,343 $10,064 |
This graph compares a hypothetical $10,000 investment in the fund, made at its inception, with a similar investment in the MSCI World Index. Results include the reinvestment of all dividends and capital gains. Past performance is no guarantee of future results. The MSCI World Index is a free float-adjusted market capitalization index that measures global developed market equity performance of the developed market country indices of Europe, Australasia, the Far East, the U.S. and Canada. It is not possible to invest directly in the MSCI World Index. Investment return and principal value will fluctuate with changes in market conditions and other factors and fund shares, when redeemed, may be worth more or less than their original investment.
Index data source: Bloomberg
24 | Annual Report | May 31, 2008
Claymore Exchange-Traded Fund Trust 2 | Fund Summary & Performance (unaudited) continued ENY | Claymore/SWM Canadian Energy Income Index ETF Fund Statistics -------------------------------------------------------------------------------- Share Price $ 31.71 Net Asset Value $ 31.58 Premium/Discount to NAV 0.41% Net Assets ($000) $34,102 -------------------------------------------------------------------------------- Total Returns -------------------------------------------------------------------------------- (Inception 7/3/07) Since Inception -------------------------------------------------------------------------------- Claymore/SWM Canadian Energy Income Index ETF NAV 29.62% Market 30.18% -------------------------------------------------------------------------------- Sustainable Canadian Energy Income Index 32.31% -------------------------------------------------------------------------------- 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 $25.05 per share for share price returns or initial net asset value (NAV) of $25.05 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 estimated at 0.89%, per the prospectus, gross of any fee waivers or expense reimbursements. The Fund's expense ratio for its initial fiscal year is based on an assumed average asset level of $100 million. If assets are lower than $100 million, the expense ratio will be higher due to the inclusion of offering costs during the first twelve months of operations. If average assets of the Fund exceed $100 million during the Fund's first twelve months, the expense ratio may be lower. In the Financial Highlights section of this Annual Report, the Fund's annualized net operating expense ratio was determined to be 0.83% while the Fund's annualized gross operating expense ratio was determined to be 1.24%.There is a contractual fee waiver currently in place for this Fund through December 31, 2009 to the extent necessary in keeping the Fund's operating expense ratio from exceeding 0.65% of average net assets per year. Some expenses fall outside of this expense cap and actual expenses may be higher than 0.65%. Without this expense cap, actual returns would be lower.
Portfolio Breakdown % of Net Assets -------------------------------------------------------------------------------- Energy 99.7% -------------------------------------------------------------------------------- Total Long-Term Investments 99.7% -------------------------------------------------------------------------------- Other Assets in excess of Liabilities 0.3% -------------------------------------------------------------------------------- Net Assets 100.0% -------------------------------------------------------------------------------- % of Long-Term Country Breakdown Investments -------------------------------------------------------------------------------- Canada 100.0% -------------------------------------------------------------------------------- % of Long-Term Top Ten Holdings Investments -------------------------------------------------------------------------------- Suncor Energy, Inc. 8.8% Canadian Oil Sands Trust 7.0% Penn West Energy Trust 6.8% Imperial Oil Ltd. 6.2% Petrobank Energy & Resources Ltd. 5.6% OPTI Canada, Inc. 5.5% UTS Energy Corp. 5.5% Oilsands Quest, Inc. 5.1% Enerplus Resources Fund 4.8% Canadian Natural Resources Ltd. 4.8% -------------------------------------------------------------------------------- |
Portfolio breakdown is shown as a percentage of net assets. Country breakdown and 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.
[THE FOLLOWING TABLE WAS REPRESENTED BY A LINE GRAPH IN THE PRINTED MATERIAL.]
Claymore/SWM Candian Energy Income Index ETF S&P/TSX Composite Index 7/03/07 $10,000 $10,000 $10,112 $10,166 $10,220 $10,278 $10,216 $10,315 $10,180 $10,251 $10,160 $10,243 $10,315 $10,471 $10,455 $10,561 $10,303 $10,489 $10,335 $10,514 $10,535 $10,667 $10,615 $10,707 $10,555 $10,612 $10,343 $10,557 $ 9,996 $10,373 $10,128 $10,341 $ 9,832 $10,076 $ 9,760 $ 9,903 $ 9,641 $ 9,919 $ 9,900 $ 9,960 $ 9,820 $ 9,865 $ 9,968 $10,034 $ 9,888 $ 9,849 $ 9,900 $ 9,849 $ 9,669 $ 9,810 $ 9,872 $10,018 $ 9,581 $ 9,747 $ 9,621 $ 9,758 $ 9,633 $ 9,758 $ 9,369 $ 9,517 $ 9,098 $ 9,266 $ 8,798 $ 9,134 $ 9,086 $ 9,400 $ 9,074 $ 9,478 $ 9,006 $ 9,531 $ 9,114 $ 9,697 $ 9,222 $ 9,745 $ 9,285 $ 9,829 $ 9,281 $ 9,817 $ 9,042 $ 9,567 $ 9,170 $ 9,730 $ 9,206 $ 9,757 $ 9,365 $ 9,917 $ 9,565 $10,029 $ 9,573 $ 9,961 $ 9,681 $10,029 $ 9,557 $ 9,920 $ 9,469 $ 9,904 $ 9,629 $10,056 $ 9,864 $10,168 $10,028 $10,278 $ 9,980 $10,301 $10,000 $10,277 $10,200 $10,483 $ 9,872 $10,524 $ 9,916 $10,582 $10,064 $10,714 $10,196 $10,681 $10,220 $10,715 $10,160 $10,712 $10,323 $10,812 $10,407 $10,865 $10,427 $10,978 $10,359 $10,893 $10,256 $10,797 $10,264 $10,867 $10,455 $11,132 $10,407 $11,132 $10,327 $11,141 $10,391 $11,168 $10,515 $11,217 $10,551 $11,262 $10,603 $11,188 $10,671 $11,096 $10,862 $11,194 $10,998 $11,290 $10,870 $11,154 $10,683 $10,995 $10,818 $11,195 $10,794 $11,140 $10,938 $11,221 $11,030 $11,404 $11,218 $11,641 $10,998 $11,545 $11,309 $11,836 $11,262 $11,637 $11,485 $11,816 $11,457 $11,751 $11,717 $11,947 $11,645 $11,825 $11,481 $11,630 $11,122 $11,353 $10,567 $10,855 $10,575 $10,922 $10,806 $11,025 $10,451 $10,611 $10,503 $10,707 $10,347 $10,456 $10,527 $10,518 $10,268 $10,344 $10,347 $10,511 $10,287 $10,376 $ 9,960 $10,326 $ 9,964 $10,638 $10,008 $10,536 $ 9,896 $10,535 $ 9,948 $10,519 $ 9,800 $10,333 $ 9,936 $10,435 $10,084 $10,560 $10,148 $10,632 $10,160 $10,646 $10,004 $10,471 $10,204 $10,478 $10,096 $10,371 $10,120 $10,379 $10,016 $10,259 $ 9,972 $10,216 $10,084 $10,273 $10,144 $10,365 $10,303 $10,563 $10,383 $10,731 $10,144 $10,731 $10,303 $10,768 $10,451 $10,890 $10,635 $10,783 $10,791 $10,866 $10,939 $10,930 $10,705 $10,635 $10,536 $10,477 $10,569 $10,464 $10,446 $10,408 $10,286 $10,458 $10,229 $10,342 $10,442 $10,383 $10,179 $10,115 $ 9,830 $ 9,857 $ 9,572 $ 9,619 $ 9,477 $ 9,585 $ 9,186 $ 9,533 $ 8,981 $ 9,499 $ 9,416 $ 9,882 $ 9,481 $ 9,904 $ 9,580 $10,006 $ 9,724 $10,103 $ 9,814 $10,118 $ 9,797 $10,150 $10,085 $10,361 $10,224 $10,322 $ 9,843 $ 9,945 $ 9,789 $ 9,918 $ 9,789 $ 9,914 $10,003 $10,076 $10,118 $10,156 $10,138 $10,141 $10,307 $10,291 $10,405 $10,255 $10,323 $10,153 $10,421 $10,265 $10,417 $10,322 $10,311 $10,369 $10,384 $10,356 $10,783 $10,638 $11,086 $10,876 $11,099 $10,918 $11,427 $11,072 $11,078 $10,742 $10,980 $10,635 $10,914 $10,502 $11,177 $10,694 $11,103 $10,515 $10,947 $10,392 $10,590 $10,114 $10,902 $10,410 $10,865 $10,415 $11,115 $10,621 $10,980 $10,434 $10,586 $10,053 $10,737 $10,287 $10,208 $ 9,794 $ 9,880 $ 9,685 $10,089 $ 9,935 $10,409 $10,183 $10,573 $10,206 $10,664 $10,274 $10,479 $10,099 $10,446 $10,107 $10,356 $10,195 $10,614 $10,331 $10,672 $10,449 $10,869 $10,543 $10,918 $10,569 $10,869 $10,532 $10,963 $10,521 $11,099 $10,638 $10,963 $10,409 $11,222 $10,474 $11,452 $10,585 $11,801 $10,952 $11,677 $10,855 $11,801 $10,984 $12,043 $11,081 $12,108 $11,042 $11,723 $10,741 $11,374 $10,706 $11,677 $10,799 $11,747 $10,827 $11,489 $10,619 $11,739 $10,769 $11,468 $10,744 $11,714 $10,922 $11,944 $10,972 $12,383 $11,227 $12,465 $11,167 $12,585 $11,220 $12,646 $11,235 $12,798 $11,389 $12,724 $11,365 $12,782 $11,374 $12,851 $11,536 $13,208 $11,698 $13,282 $11,698 $13,738 $11,824 $13,721 $11,729 $13,483 $11,701 $13,410 $11,624 $12,913 $11,408 $13,155 $11,590 $12,896 $11,519 5/31/08 $12,962 $11,542 |
This graph compares a hypothetical $10,000 investment in the Fund, made at its inception, with a similar investment in the Standard and Poor's Toronto Stock Exchange Composite Index (S&P/TSX Composite Index). Results include the reinvestment of all dividends and capital gains. Past performance is no guarantee of future results. The S&P/TSX Composite Index is a capitalization-weighted index. The index is designed to measure performance of the broad Canadian economy through changes in the aggregate market value of stocks representing all major industries. It is not possible to invest directly in the S&P/TSX Composite Index. Investment return and principal value will fluctuate with changes in market conditions and other factors and Fund shares, when redeemed, may be worth more or less than their original investment.
Index data source: Bloomberg
Annual Report | May 31, 2008 | 25
Claymore Exchange-Traded Fund Trust 2 |
Fund Summary & Performance (unaudited) continued
CRO | Claymore/Zacks Country Rotation ETF Fund Statistics -------------------------------------------------------------------------------- Share Price $24.60 Net Asset Value $24.41 Premium/Discount to NAV 0.78% Net Assets ($000) $9,764 -------------------------------------------------------------------------------- Total Returns -------------------------------------------------------------------------------- (Inception 7/11/07) Since Inception -------------------------------------------------------------------------------- Claymore/Zacks Country Rotation ETF NAV -2.00% Market -1.23% -------------------------------------------------------------------------------- Zacks Country Rotation Index -0.53% -------------------------------------------------------------------------------- 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 ETF at the initial share price of $25.08 per share for share price returns or initial net asset value (NAV) of $25.08 per share for NAV returns. Returns for periods of less than one year are not annualized.
The Fund's total annual operating expense ratio is 0.90%, per the most recent prospectus, gross of any fee waivers or expense reimbursements. In the Financial Highlights section of this Annual Report, the Fund's annualized net operating expense ratio was determined to be 1.24% while the Fund's annualized gross operating expense ratio was determined to be 2.98%. There is a contractual fee waiver currently in place for this Fund through December 31,2009 to the extent necessary in keeping the Fund's operating expense ratio from exceeding 0.65% of average net assets. Some expenses may fall outside of this expense cap and actual expenses will be higher than 0.65%. Without this expense cap, actual returns would be lower.
% of Long-Term Country Breakdown Investments -------------------------------------------------------------------------------- Japan 30.8% United Kingdom 21.3% France 14.5% Spain 8.5% Switzerland 6.5% Italy 6.1% Belgium 4.5% United States 2.7% Austria 2.6% Luxembourg 1.0% New Zealand 0.9% Netherlands 0.6% -------------------------------------------------------------------------------- Portfolio Breakdown % of Net Assets -------------------------------------------------------------------------------- Financials 22.7% Industrials 13.9% Materials 9.9% Consumer Staples 9.4% Consumer Discretionary 8.6% Energy 7.6% Telecommunication Services 7.1% Utilities 7.0% Health Care 6.0% Information Technology 5.4% Exchange Traded Funds 2.3% -------------------------------------------------------------------------------- Total Investments 99.9% Other Assets in Excess of Liabilities 0.1% -------------------------------------------------------------------------------- Net Assets 100.0% -------------------------------------------------------------------------------- % of Long-Term Top Ten Holdings Investments -------------------------------------------------------------------------------- BP PLC 1.1% HSBC Holdings PLC 1.1% Banco Santander SA 1.1% OMV AG 1.1% Fortis 1.0% Total SA 1.0% ArcelorMittal 1.0% Erste Bank der Oesterreichischen Sparkassen AG 1.0% Royal Dutch Shell PLC 1.0% Telefonica SA 0.9% -------------------------------------------------------------------------------- |
Portfolio breakdown is shown as a percentage of net assets. Country breakdown and 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.
[THE FOLLOWING TABLE WAS REPRESENTED BY A LINE GRAPH IN THE PRINTED MATERIAL.]
Claymore/Zacks Country Rotation ETF S&P 500 Index 7/11/07 $10,000 $10,000 $10,064 $10,191 $10,120 $10,222 $10,124 $10,203 $10,096 $10,202 $10,020 $10,182 $10,116 $10,228 $10,080 $10,103 $10,100 $10,152 $10,028 $ 9,951 $ 9,888 $ 9,997 $ 9,645 $ 9,764 $ 9,478 $ 9,609 $ 9,490 $ 9,708 $ 9,677 $ 9,586 $ 9,474 $ 9,656 $ 9,533 $ 9,700 $ 9,502 $ 9,443 $ 9,382 $ 9,671 $ 9,466 $ 9,731 $ 9,721 $ 9,871 $ 9,553 $ 9,580 $ 9,226 $ 9,584 $ 9,358 $ 9,581 $ 9,254 $ 9,408 $ 9,091 $ 9,279 $ 8,708 $ 9,310 $ 8,864 $ 9,539 $ 9,043 $ 9,536 $ 9,035 $ 9,547 $ 9,222 $ 9,659 $ 9,354 $ 9,649 $ 9,406 $ 9,761 $ 9,466 $ 9,678 $ 9,318 $ 9,451 $ 9,318 $ 9,661 $ 9,418 $ 9,621 $ 9,549 $ 9,729 $ 9,549 $ 9,729 $ 9,621 $ 9,831 $ 9,549 $ 9,723 $ 9,589 $ 9,766 $ 9,482 $ 9,601 $ 9,414 $ 9,589 $ 9,585 $ 9,719 $ 9,665 $ 9,723 $ 9,737 $ 9,805 $ 9,673 $ 9,807 $ 9,514 $ 9,757 $ 9,597 $10,042 $ 9,956 $10,103 $ 9,992 $10,038 $10,028 $10,084 $10,096 $10,031 $10,020 $10,028 $10,084 $10,084 $10,207 $10,124 $10,259 $10,093 $10,343 $10,227 $10,403 $10,225 $10,395 $10,180 $10,375 $10,202 $10,506 $10,302 $10,443 $10,269 $10,546 $10,353 $10,606 $10,336 $10,734 $10,283 $10,686 $10,332 $10,638 $10,245 $10,451 $10,178 $10,546 $10,197 $10,558 $10,189 $10,455 $ 9,928 $10,191 $ 9,966 $10,407 $10,054 $10,335 $10,030 $10,514 $10,020 $10,686 $10,158 $10,841 $10,197 $10,801 $10,132 $10,889 $10,254 $10,782 $ 9,985 $10,622 $ 9,994 $10,479 $ 9,945 $10,598 $10,065 $10,638 $ 9,774 $10,542 $ 9,769 $10,375 $ 9,630 $10,195 $ 9,534 $10,279 $ 9,814 $10,427 $ 9,748 $10,239 $ 9,619 $10,124 $ 9,670 $ 9,972 $ 9,501 $10,108 $ 9,544 $ 9,833 $ 9,393 $ 9,833 $ 9,393 $ 9,972 $ 9,553 $10,084 $ 9,331 $10,036 $ 9,470 $10,191 $ 9,744 $10,311 $ 9,749 $10,395 $ 9,825 $10,375 $ 9,767 $10,323 $ 9,704 $10,407 $ 9,856 $10,415 $10,005 $10,471 $ 9,988 $10,530 $10,063 $10,506 $ 9,809 $10,471 $ 9,869 $10,175 $ 9,882 $10,076 $ 9,746 $ 9,888 $ 9,600 $ 9,880 $ 9,661 $ 9,809 $ 9,648 $ 9,817 $ 9,698 $ 9,920 $ 9,861 $ 9,932 $ 9,941 $ 9,932 $ 9,941 $ 9,992 $ 9,949 $10,024 $ 9,810 $10,048 $ 9,824 $10,044 $ 9,757 $10,044 $ 9,757 $10,068 $ 9,618 $10,056 $ 9,618 $ 9,829 $ 9,382 $ 9,733 $ 9,412 $ 9,757 $ 9,243 $ 9,717 $ 9,369 $ 9,629 $ 9,444 $ 9,577 $ 9,316 $ 9,661 $ 9,417 $ 9,454 $ 9,183 $ 9,226 $ 9,132 $ 9,234 $ 8,867 $ 9,155 $ 8,813 $ 9,155 $ 8,813 $ 8,684 $ 8,716 $ 8,577 $ 8,903 $ 8,999 $ 8,993 $ 9,091 $ 8,850 $ 8,967 $ 9,005 $ 9,147 $ 9,061 $ 9,083 $ 9,019 $ 9,163 $ 9,172 $ 9,278 $ 9,284 $ 9,326 $ 9,187 $ 9,027 $ 8,894 $ 8,939 $ 8,830 $ 8,764 $ 8,901 $ 8,708 $ 8,864 $ 8,668 $ 8,917 $ 8,896 $ 8,982 $ 8,880 $ 9,108 $ 9,019 $ 8,986 $ 8,943 $ 8,994 $ 8,943 $ 8,994 $ 9,111 $ 8,986 $ 8,904 $ 9,062 $ 9,079 $ 8,948 $ 9,023 $ 9,020 $ 9,175 $ 9,145 $ 9,294 $ 9,208 $ 9,422 $ 9,202 $ 9,342 $ 9,120 $ 9,250 $ 8,874 $ 9,055 $ 8,879 $ 8,995 $ 8,848 $ 9,099 $ 8,899 $ 9,123 $ 8,704 $ 8,955 $ 8,631 $ 8,872 $ 8,498 $ 8,935 $ 8,814 $ 9,139 $ 8,737 $ 9,059 $ 8,782 $ 8,963 $ 8,600 $ 8,712 $ 8,524 $ 8,927 $ 8,886 $ 8,856 $ 8,670 $ 8,764 $ 8,878 $ 8,764 $ 8,878 $ 8,744 $ 9,014 $ 9,103 $ 9,035 $ 9,171 $ 8,956 $ 9,203 $ 8,855 $ 9,191 $ 8,785 $ 9,135 $ 8,835 $ 9,230 $ 9,152 $ 9,410 $ 9,137 $ 9,454 $ 9,149 $ 9,530 $ 9,156 $ 9,597 $ 9,170 $ 9,486 $ 9,127 $ 9,430 $ 9,054 $ 9,418 $ 9,094 $ 9,414 $ 8,910 $ 9,302 $ 8,880 $ 9,334 $ 8,921 $ 9,537 $ 9,124 $ 9,522 $ 9,130 $ 9,581 $ 9,296 $ 9,681 $ 9,281 $ 9,613 $ 9,200 $ 9,613 $ 9,227 $ 9,533 $ 9,286 $ 9,665 $ 9,347 $ 9,733 $ 9,337 $ 9,673 $ 9,301 $ 9,653 $ 9,266 $ 9,613 $ 9,426 $ 9,749 $ 9,457 $ 9,765 $ 9,415 $ 9,777 $ 9,487 $ 9,749 $ 9,319 $ 9,749 $ 9,354 $ 9,617 $ 9,293 $ 9,653 $ 9,395 $ 9,669 $ 9,394 $ 9,701 $ 9,433 $ 9,781 $ 9,535 $ 9,884 $ 9,547 $ 9,952 $ 9,556 $ 9,884 $ 9,467 $ 9,845 $ 9,316 $ 9,848 $ 9,342 $ 9,765 $ 9,219 $ 9,765 $ 9,219 $ 9,665 $ 9,282 $ 9,633 $ 9,321 $ 9,665 $ 9,371 5/31/08 $ 9,800 $ 9,386 |
This graph compares a hypothetical $10,000 investment in the fund, made at its inception, with a similar investment in the Standard and Poor's 500 Index. Results include the reinvestment of all dividends and capital gains. Past performance is no guarantee of future results. The S&P 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. It is not possible to invest directly in the S&P 500 Index. Investment return and principal value will fluctuate with changes in market conditions and other factors and fund shares, when redeemed, may be worth more or less than their original investment.
Index data source: Bloomberg
26 | Annual Report | May 31, 2008
Claymore Exchange-Traded Fund Trust 2 | Fund Summary & Performance (unaudited) continued HGI | Claymore/Zacks International Yield Hog Index ETF Fund Statistics -------------------------------------------------------------------------------- Share Price $24.00 Net Asset Value $23.09 Premium/Discount to NAV 3.94% Net Assets ($000) $9,234 -------------------------------------------------------------------------------- Total Returns -------------------------------------------------------------------------------- (Inception 7/11/07) Since Inception -------------------------------------------------------------------------------- Claymore/Zacks International Yield Hog Index ETF NAV -5.02% Market -1.21% -------------------------------------------------------------------------------- Zacks International Yield Hog Index -3.83% -------------------------------------------------------------------------------- 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 the 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 $24.98 per share for share price returns or initial net asset value (NAV) of $24.98 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 estimated at 1.04%, per the prospectus, gross of any fee waivers or expense reimbursements. The Fund's expense ratio for its initial fiscal year is based on an assumed average asset level of $100 million. If assets are lower than $100 million, the expense ratio will be higher due to the inclusion of offering cost during the first twelve months of operations. If average assets of the Fund exceed $100 million during the Fund's first twelve months, the expense ratio may be lower. In the Financial Highlights section of this Annual Report, the Fund's annualized net operating expense ratio was determined to be 1.10% while the Fund's annualized gross operating expense ratio was determined to be 2.61%. There is a contractual fee waiver currently in place for this Fund through December 31, 2009 to the extent necessary in keeping the Fund's operating expense ratio from exceeding 0.65% of average net assets per year. Some expenses fall outside of this expense cap and actual expenses may be higher than 0.65%. Without this expense cap, actual returns would be lower.
% of Long-Term Country Breakdown Investments -------------------------------------------------------------------------------- United Kingdom 15.0% United States 11.2% Canada 9.0% France 6.3% Germany 5.8% Netherlands 5.8% China 5.7% Australia 4.1% Israel 3.5% Japan 3.3% Chile 3.2% Taiwan 2.6% Sweden 2.4% Mexico 2.4% Spain 2.3% Austria 1.8% Brazil 1.7% Switzerland 1.6% Hungary 1.4% Finland 1.4% Italy 1.3% Bermuda 1.2% Ireland 1.2% Belgium 1.2% South Africa 1.1% Denmark 0.8% Colombia 0.6% India 0.6% Luxembourg 0.6% Indonesia 0.4% Norway 0.3% Jersey 0.2% -------------------------------------------------------------------------------- Portfolio Breakdown % of Net Assets -------------------------------------------------------------------------------- Financials 14.0% Telecommunication Services 9.3% Consumer Discretionary 9.2% Consumer Staples 8.5% Industrials 8.4% Materials 8.3% Utilities 6.7% Energy 6.1% Information Technology 5.6% Health Care 4.7% -------------------------------------------------------------------------------- Total Common Stock 80.8% -------------------------------------------------------------------------------- Closed End Funds 9.3% Income Trusts 5.3% Royalty Trusts 1.9% Preferred Stocks 1.1% Master Limited Partnerships 1.1% -------------------------------------------------------------------------------- Total Long-Term Investments 99.5% -------------------------------------------------------------------------------- Short-Term Investments 3.0% Liabilities in Excess of Other Assets -2.5% -------------------------------------------------------------------------------- Net Assets 100.0% -------------------------------------------------------------------------------- Annual Report | May 31, 2008 | 27 |
Claymore Exchange-Traded Fund Trust 2 | Fund Summary & Performance (unaudited) continued HGI | Claymore/Zacks International Yield Hog Index ETF (continued) % of Long-Term Top Ten Holdings Investments -------------------------------------------------------------------------------- Blue Square-Israel Ltd. - ADR 2.6% CPFL Energia SA - ADR 1.7% Magyar Telekom Telecommunications PLC - ADR 1.4% BNP Paribas 1.4% Canadian Natural Resources Ltd. 1.4% Koninklijke DSM NV 1.3% Advantage Energy Income Fund 1.3% BASF SE 1.2% Fortis 1.2% EnCana Corp. 1.2% -------------------------------------------------------------------------------- Portfolio breakdown is shown as a percentage of net assets. Country breakdown |
and 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.
[THE FOLLOWING TABLE WAS REPRESENTED BY A LINE GRAPH IN THE PRINTED MATERIAL.]
Claymore/Zacks International
Yield Hog Index ETF MSCI EAFE Index 7/11/07 $10,000 $10,000 $10,104 $10,067 $10,144 $10,136 $10,140 $10,149 $10,176 $10,115 $10,096 $10,023 $10,176 $10,115 $10,108 $10,077 $10,148 $10,086 $ 9,972 $10,009 $ 9,876 $ 9,871 $ 9,608 $ 9,666 $ 9,432 $ 9,526 $ 9,480 $ 9,541 $ 9,564 $ 9,680 $ 9,420 $ 9,508 $ 9,520 $ 9,558 $ 9,420 $ 9,535 $ 9,343 $ 9,476 $ 9,444 $ 9,535 $ 9,580 $ 9,711 $ 9,396 $ 9,572 $ 9,183 $ 9,277 $ 9,267 $ 9,385 $ 9,103 $ 9,293 $ 8,899 $ 9,159 $ 8,583 $ 8,880 $ 8,811 $ 8,951 $ 8,899 $ 9,065 $ 8,919 $ 9,117 $ 9,091 $ 9,232 $ 9,183 $ 9,342 $ 9,291 $ 9,389 $ 9,347 $ 9,421 $ 9,147 $ 9,312 $ 9,259 $ 9,302 $ 9,263 $ 9,381 $ 9,416 $ 9,529 $ 9,464 $ 9,562 $ 9,351 $ 9,458 $ 9,408 $ 9,507 $ 9,263 $ 9,414 $ 9,211 $ 9,320 $ 9,315 $ 9,457 $ 9,323 $ 9,502 $ 9,380 $ 9,534 $ 9,335 $ 9,500 $ 9,231 $ 9,393 $ 9,339 $ 9,424 $ 9,532 $ 9,751 $ 9,536 $ 9,812 $ 9,564 $ 9,812 $ 9,628 $ 9,832 $ 9,584 $ 9,814 $ 9,636 $ 9,852 $ 9,744 $ 9,986 $ 9,776 $10,039 $ 9,872 $10,098 $ 9,888 $10,122 $ 9,832 $10,142 $ 9,844 $10,127 $ 9,956 $10,199 $ 9,892 $10,127 $ 9,968 $10,198 $10,024 $10,247 $10,076 $10,357 $10,072 $10,304 $10,028 $10,262 $ 9,896 $10,125 $10,012 $10,165 $10,016 $10,200 $ 9,868 $10,108 $ 9,748 $ 9,911 $ 9,900 $10,051 $ 9,856 $10,007 $ 9,948 $10,110 $10,056 $10,257 $10,144 $10,376 $10,080 $10,338 $10,220 $10,433 $10,068 $10,340 $10,048 $10,242 $ 9,924 $10,142 $10,000 $10,220 $ 9,880 $10,242 $ 9,808 $10,144 $ 9,664 $10,021 $ 9,444 $ 9,883 $ 9,604 $ 9,928 $ 9,688 $10,066 $ 9,516 $ 9,934 $ 9,476 $ 9,832 $ 9,311 $ 9,690 $ 9,424 $ 9,838 $ 9,211 $ 9,642 $ 9,355 $ 9,790 $ 9,295 $ 9,838 $ 9,291 $ 9,813 $ 9,460 $ 9,921 $ 9,504 $10,034 $ 9,560 $10,090 $ 9,540 $10,059 $ 9,496 $ 9,992 $ 9,596 $10,056 $ 9,664 $10,084 $ 9,728 $10,167 $ 9,772 $10,229 $ 9,660 $10,222 $ 9,660 $10,200 $ 9,488 $ 9,924 $ 9,367 $ 9,815 $ 9,163 $ 9,594 $ 9,183 $ 9,594 $ 9,155 $ 9,539 $ 9,175 $ 9,540 $ 9,319 $ 9,670 $ 9,396 $ 9,697 $ 9,311 $ 9,798 $ 9,299 $ 9,833 $ 9,331 $ 9,866 $ 9,466 $ 9,863 $ 9,470 $ 9,863 $ 9,457 $ 9,838 $ 9,311 $ 9,669 $ 9,246 $ 9,578 $ 9,283 $ 9,616 $ 9,213 $ 9,539 $ 9,209 $ 9,471 $ 9,189 $ 9,426 $ 9,274 $ 9,504 $ 9,063 $ 9,295 $ 8,912 $ 9,055 $ 8,843 $ 9,067 $ 8,790 $ 8,476 $ 8,485 $ 8,485 $ 8,416 $ 8,378 $ 8,754 $ 8,804 $ 8,750 $ 8,926 $ 8,754 $ 8,821 $ 8,847 $ 8,949 $ 8,835 $ 8,884 $ 8,892 $ 8,952 $ 9,043 $ 9,091 $ 9,055 $ 9,145 $ 8,754 $ 8,843 $ 8,725 $ 8,775 $ 8,644 $ 8,602 $ 8,685 $ 8,594 $ 8,681 $ 8,534 $ 8,843 $ 8,776 $ 8,876 $ 8,741 $ 8,880 $ 8,868 $ 8,815 $ 8,784 $ 8,941 $ 8,963 $ 8,855 $ 8,761 $ 8,921 $ 8,924 $ 8,888 $ 8,873 $ 9,047 $ 9,023 $ 9,160 $ 9,147 $ 9,217 $ 9,294 $ 9,140 $ 9,197 $ 8,973 $ 9,080 $ 8,916 $ 8,912 $ 8,827 $ 8,836 $ 8,945 $ 8,943 $ 8,827 $ 8,950 $ 8,705 $ 8,795 $ 8,583 $ 8,695 $ 8,737 $ 8,748 $ 8,847 $ 8,951 $ 8,798 $ 8,860 $ 8,705 $ 8,787 $ 8,449 $ 8,522 $ 8,689 $ 8,746 $ 8,554 $ 8,685 $ 8,502 $ 8,554 $ 8,579 $ 8,558 $ 8,782 $ 8,912 $ 8,807 $ 8,976 $ 8,859 $ 9,034 $ 8,807 $ 9,014 $ 8,923 $ 8,984 $ 9,067 $ 9,067 $ 9,169 $ 9,241 $ 9,173 $ 9,272 $ 9,239 $ 9,346 $ 9,276 $ 9,408 $ 9,178 $ 9,301 $ 9,136 $ 9,254 $ 9,132 $ 9,236 $ 9,058 $ 9,202 $ 9,013 $ 9,095 $ 9,046 $ 9,122 $ 9,235 $ 9,340 $ 9,223 $ 9,303 $ 9,313 $ 9,349 $ 9,359 $ 9,456 $ 9,301 $ 9,418 $ 9,326 $ 9,433 $ 9,239 $ 9,339 $ 9,305 $ 9,450 $ 9,346 $ 9,513 $ 9,252 $ 9,464 $ 9,309 $ 9,472 $ 9,289 $ 9,415 $ 9,424 $ 9,560 $ 9,457 $ 9,588 $ 9,482 $ 9,600 $ 9,416 $ 9,583 $ 9,445 $ 9,595 $ 9,387 $ 9,482 $ 9,474 $ 9,540 $ 9,461 $ 9,536 $ 9,478 $ 9,565 $ 9,556 $ 9,640 $ 9,671 $ 9,746 $ 9,712 $ 9,813 $ 9,593 $ 9,728 $ 9,568 $ 9,697 $ 9,560 $ 9,696 $ 9,470 $ 9,536 $ 9,424 $ 9,514 $ 9,474 $ 9,491 $ 9,453 $ 9,510 5/31/08 $ 9,498 $ 9,564 |
This graph compares a hypothetical $10,000 investment in the Fund, made at its inception, with a similar investment in the MSCI EAFE Index. Results include the reinvestment of all dividends and capital gains. Past performance is no guarantee of future results. The MSCI EAFE Index is a free float-adjusted market capitalization index that is designed to measure the equity market performance of developed markets, excluding the US & Canada. It is not possible to invest directly in the MSCI EAFE Index. Investment return and principal value will fluctuate with changes in market conditions and other factors and Fund shares, when redeemed, may be worth more or less than their original investment.
Index data source: Bloomberg
28 | Annual Report | May 31, 2008
Claymore Exchange-Traded Fund Trust 2 |
Fund Summary & Performance (unaudited) continued
Historical Premium/Discount Data
The lines in each table show the number of trading days and percentage of total trading days in which the Fund traded within the premium/discount range indicated since inception.
TAO | Claymore/AlphaShares China Real Estate ETF****** Number Percentage Premium/Discount Range of Days of Total Days -------------------------------------------------------------------------------- Greater than 2.0% 25 22.12% Between 1.5% and 2.0% 8 7.08% Between 1.0% and 1.5% 11 9.73% Between 0.5% and 1.0% 16 14.16% Between -0.5% and 0.5% 20 17.70% Between -0.5% and -1.0% 7 6.20% Between -1.0% and -1.5% 10 8.85% Between -1.5% and -2.0% 5 4.43% Less than -2.0% 11 9.73% -------------------------------------------------------------------------------- HAO | Claymore/AlphaShares China Small Cap Index ETF******* Number Percentage Premium/Discount Range of Days of Total Days -------------------------------------------------------------------------------- Greater than 2.0% 24 28.24% Between 1.5% and 2.0% 8 9.41% Between 1.0% and 1.5% 14 16.47% Between 0.5% and 1.0% 6 7.06% Between -0.5% and 0.5% 13 15.29% Between -0.5% and -1.0% 6 7.06% Between -1.0% and -1.5% 2 2.35% Between -1.5% and -2.0% 4 4.71% Less than -2.0% 8 9.41% -------------------------------------------------------------------------------- |
EXB | Claymore/Clear Global Exchanges, Brokers & Asset Managers Index ETF*
Number Percentage Premium/Discount Range of Days of Total Days -------------------------------------------------------------------------------- Greater than 2.0% 1 0.43% Between 1.5% and 2.0% 1 0.43% Between 1.0% and 1.5% 10 4.27% Between 0.5% and 1.0% 50 21.37% Between -0.5% and 0.5% 154 65.82% Between -0.5% and -1.0% 14 5.98% Between -1.0% and -1.5% 2 0.85% Between -1.5% and -2.0% 2 0.85% Less than -2.0% 0 0.00% -------------------------------------------------------------------------------- CUT | Claymore/Clear Global Timber Index ETF***** Number Percentage Premium/Discount Range of Days of Total Days -------------------------------------------------------------------------------- Greater than 2.0% 8 5.75% Between 1.5% and 2.0% 16 11.51% Between 1.0% and 1.5% 38 27.34% Between 0.5% and 1.0% 36 25.90% Between -0.5% and 0.5% 40 28.78% Between -0.5% and -1.0% 0 0.00% Between -1.0% and -1.5% 1 0.72% Between -1.5% and -2.0% 0 0.00% Less than -2.0% 0 0.00% -------------------------------------------------------------------------------- ROB | Claymore/Robb Report Global Luxury Index ETF**** Number Percentage Premium/Discount Range of Days of Total Days -------------------------------------------------------------------------------- Greater than 2.0% 7 3.30% Between 1.5% and 2.0% 8 3.77% Between 1.0% and 1.5% 20 9.43% Between 0.5% and 1.0% 58 27.37% Between -0.5% and 0.5% 98 46.23% Between -0.5% and -1.0% 14 6.60% Between -1.0% and -1.5% 5 2.36% Between -1.5% and -2.0% 0 0.00% Less than -2.0% 2 0.94% -------------------------------------------------------------------------------- ENY | Claymore/SWM Canadian Energy Income Index ETF** Number Percentage Premium/Discount Range of Days of Total Days -------------------------------------------------------------------------------- Greater than 2.0% 3 1.31% Between 1.5% and 2.0% 1 0.43% Between 1.0% and 1.5% 3 1.31% Between 0.5% and 1.0% 28 12.17% Between -0.5% and 0.5% 168 73.04% Between -0.5% and -1.0% 21 9.13% Between -1.0% and -1.5% 4 1.74% Between -1.5% and -2.0% 2 0.87% Less than -2.0% 0 0.00% -------------------------------------------------------------------------------- |
Annual Report | May 31, 2008 | 29
Claymore Exchange-Traded Fund Trust 2 | Fund Summary & Performance (unaudited) continued Historical Premium/Discount Data (continued) CRO | Claymore/Zacks Country Rotation ETF*** Number Percentage Premium/Discount Range of Days of Total Days -------------------------------------------------------------------------------- Greater than 2.0% 9 4.01% Between 1.5% and 2.0% 12 5.33% Between 1.0% and 1.5% 32 14.22% Between 0.5% and 1.0% 41 18.22% Between -0.5% and 0.5% 89 39.56% Between -0.5% and -1.0% 30 13.33% Between -1.0% and -1.5% 8 3.56% Between -1.5% and -2.0% 3 1.33% Less than -2.0% 1 0.44% -------------------------------------------------------------------------------- HGI | Claymore/Zacks International Yield Hog Index ETF*** Number Percentage Premium/Discount Range of Days of Total Days -------------------------------------------------------------------------------- Greater than 2.0% 20 8.89% Between 1.5% and 2.0% 13 5.78% Between 1.0% and 1.5% 20 8.89% Between 0.5% and 1.0% 37 16.44% Between -0.5% and 0.5% 51 22.67% Between -0.5% and -1.0% 21 9.33% Between -1.0% and -1.5% 24 10.67% Between -1.5% and -2.0% 14 6.22% Less than -2.0% 25 11.11% -------------------------------------------------------------------------------- |
* Commenced operations June 27,2007.
** Commenced operations July 3,2007.
*** Commenced operations July 11,2007.
**** Commenced operations July 30,2007.
***** Commenced operations November 9,2007
****** Commenced operations December 18,2007.
******* Commenced operations January 30,2008.
30 | Annual Report | May 31, 2008
Claymore Exchange-Traded Fund Trust 2
Overview of Fund Expenses | As of May 31, 2008
As a shareholder of Claymore/AlphaShares China Real Estate ETF; Claymore/AlphaShares China Small Cap Index ETF; Claymore/Clear Global Exchanges, Brokers & Asset Managers Index ETF; Claymore/Clear Global Timber Index ETF; Claymore/Robb Report Global Luxury Index ETF; Claymore/SWM Canadian Energy Income Index ETF; Claymore/Zacks Country Rotation ETF; and Claymore/Zacks International Yield Hog 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 period ended 5/31/08.
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 Expenses Beginning Ending Ratio for the Paid During Account Value Account Value Six months Ended Period(1) ------------------------------------------------------------------------------------------------------------------------------------ 12/1/07 5/31/08 5/31/08 12/01/07 - 5/31/08 ------------------------------------------------------------------------------------------------------------------------------------ Claymore/Clear Global Exchanges, Brokers & Asset Managers Index ETF(4) Actual $ 1,000.00 $ 808.77 0.81% $ 3.66 Hypothetical (5% annual return before expenses) 1,000.00 1,020.95 0.81% 4.09 Claymore/Clear Global Timber Index ETF(4) Actual 1,000.00 901.25 0.95% 4.52 Hypothetical (5% annual return before expenses) 1,000.00 1,020.25 0.95% 4.80 Claymore/Robb Report Global Luxury Index ETF(4) Actual 1,000.00 899.57 1.17% 5.56 Hypothetical (5% annual return before expenses) 1,000.00 1,019.15 1.17% 5.91 Claymore/SWM Canadian Energy Income Index ETF(4) Actual 1,000.00 1,309.81 0.83% 4.79 Hypothetical (5% annual return before expenses) 1,000.00 1,020.85 0.83% 4.19 Claymore/Zacks Country Rotation ETF(4) Actual 1,000.00 942.81 1.14% 5.54 Hypothetical (5% annual return before expenses) 1,000.00 1,019.30 1.14% 5.76 Claymore/Zacks International Yield Hog Index ETF(4) Actual 1,000.00 993.61 1.11% 5.53 Hypothetical (5% annual return before expenses) 1,000.00 1,019.45 1.11% 5.60 ------------------------------------------------------------------------------------------------------------------------------------ |
Annual Report | May 31, 2008 | 31
Claymore Exchange-Traded Fund Trust 2 | Overview of Fund Expenses continued
Annualized Expense Expenses Beginning Ending Ratio for the Paid During Account Value Account Value Period Ended Period(2) ------------------------------------------------------------------------------------------------------------------------------------ 12/18/07 5/31/08 5/31/08 12/18/07 - 5/31/08 ------------------------------------------------------------------------------------------------------------------------------------ Claymore/AlphaShares China Real Estate ETF(4) Actual $ 1,000.00 $ 880.00 0.95% $ 4.05 Hypothetical(5% annual return before expenses)(5) 1,000.00 1,020.25 0.95% 4.80 ------------------------------------------------------------------------------------------------------------------------------------ |
Annualized Expense Expenses Beginning Ending Ratio for the Paid During Account Value Account Value Period Ended Period(3) ------------------------------------------------------------------------------------------------------------------------------------ 1/30/08 5/31/08 5/31/08 1/30/08 - 5/31/08 ------------------------------------------------------------------------------------------------------------------------------------ Claymore/AlphaShares China Small Cap Index ETF(4) Actual $ 1,000.00 $ 987.68 1.00% $ 3.34 Hypothetical(5% annual return before expenses)(5) 1,000.00 1,020.00 1.00% 5.05 ------------------------------------------------------------------------------------------------------------------------------------ |
(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 May 31,2008. Expenses are calculated by multiplying the Fund's annualized expense ratio by the average account value over the period; then multiplying the result by 183/366.
(2) Actual expenses are calculated using the annualized expense ratio. This represents the ongoing expenses of the Fund as a percentage of net assets for the period December 18,2007 (commencement of investment operations) to May 31,2008. Expenses are calculated by multiplying the Fund's annualized expense ratio by the average account value over the period; then multiplying the result by 166/366.
(3) Actual expenses are calculated using the annualized expense ratio. This represents the ongoing expenses of the Fund as a percentage of net assets for the period January 30, 2008 (commencement of investment operations) to May 31,2008. Expenses are calculated by multiplying the Fund's annualized expense ratio by the average account value over the period; then multiplying the result by 123/366.
(4) The expense ratios reflect an expense waiver. Please see the Notes to Financial Statements for more information.
(5) Hypothetical expenses reflect ongoing expenses for a full six month period as opposed to the shorter since inception period.
Assumes all dividends and distributions were reinvested.
32 | Annual Report | May 31, 2008
Claymore Exchange-Traded Fund Trust 2
Portfolio of Investments | May 31, 2008
TAO | Claymore/AlphaShares China Real Estate ETF
Number of Shares Description Value ------------------------------------------------------------------------------------------------ Long-Term Investments - 99.4% Common Stocks - 99.4% China - 98.6% 428,000 Agile Property Holdings Ltd. $ 559,427 250,000 Beijing Capital Land Ltd.- Class H 85,857 192,000 Beijing North Star Co.- Class H 74,795 351,000 Champion Real Estate Investment Trust - REIT (a) 161,923 95,000 Cheung Kong Holdings Ltd. 1,459,628 856,000 China Overseas Land & Investment Ltd. 1,553,232 448,000 China Resources Land Ltd. 758,943 329,000 Chinese Estates Holdings Ltd. 554,819 754,000 Country Garden Holdings Co. (a) 581,657 7,265 E-House China Holdings Ltd.- ADR (c) 108,975 301,000 Far East Consortium 101,829 444,000 Franshion Properties China Ltd. 194,585 91,000 Great Eagle Holdings Ltd. 285,698 177,000 Greentown China Holdings Ltd. 200,051 1,000,000 Guangzhou Investment Co. Ltd. 197,342 87,600 Guangzhou R&F Properties Co.Ltd.- Class H (a) 211,712 231,000 Hang Lung Group Ltd. 1,189,974 395,000 Hang Lung Properties Ltd. 1,503,325 208,000 Henderson Land Development Co.Ltd. 1,445,981 237,600 HKR International Ltd. 151,018 334,000 Hongkong Land Holdings Ltd. 1,586,500 122,000 Hopson Development Holdings Ltd. 260,143 167,000 Hysan Development Co.Ltd. 476,152 272,000 K Wah International Holdings Ltd. 128,965 177,000 Kerry Properties Ltd. 1,210,061 126,000 Kowloon Development Co.Ltd. 287,079 268,500 KWG Property Holding Ltd. 255,986 586,500 Link (The) - REIT 1,470,064 162,000 Midland Holdings Ltd. 154,865 88,000 Miramar Hotel & Investment 128,329 214,000 Neo-China Land Group Holdings Ltd. (b) 132,096 306,000 New World China Land Ltd. 208,609 493,000 New World Development Ltd. 1,238,233 288,000 Shanghai Forte Land Co.- Class H 97,800 442,000 Shenzhen Investment Ltd. 182,380 379,000 Shimao Property Holdings Ltd. 631,367 530,000 Shui On Land Ltd. 495,790 298,000 Shun Tak Holdings Ltd. 348,266 490,000 Sino Land Co. 1,248,280 488,500 Sino-Ocean Land Holdings Ltd. 435,060 86,000 Sun Hung Kai Properties Ltd. 1,381,960 Number of Shares Description Value ------------------------------------------------------------------------------------------------ 128,500 Swire Pacific Ltd.- Class A $ 1,466,346 265,000 Swire Pacific Ltd.- Class B 606,494 218,000 Tian An China Investment 162,026 890,000 United Energy Group Ltd. (c) 125,453 319,000 Wharf Holdings Ltd. 1,594,244 227,000 Wheelock & Co. Ltd. 714,129 145,000 Wheelock Properties Ltd. 146,789 ------------------------------------------------------------------------------------------------ 28,554,237 ------------------------------------------------------------------------------------------------ Singapore - 0.8% 139,000 Yanlord Land Group Ltd. (a) 220,158 ------------------------------------------------------------------------------------------------ Total Long-Term Investments - 99.4% (Cost $34,832,407) 28,774,395 ------------------------------------------------------------------------------------------------ Short-Term Investments - 3.0% Investments of Cash Collateral For Securities Loaned - 3.0% Money Market Funds - 3.0% (d) 881,050 UBS Private Money Market Fund LLC,2.48% (e) (Cost $881,050) 881,050 ------------------------------------------------------------------------------------------------ Total Investments - 102.4% (Cost $35,713,457) 29,655,445 Liabilities in excess of Other Assets - (2.4%) (706,410) ------------------------------------------------------------------------------------------------ Net Assets - 100.0% $ 28,949,035 ================================================================================================ |
ADR - American Depositary Receipt
Ltd.- Limited
REIT - Real Estate Investment Trust
(a) Security, or portion thereof, was on loan at May 31, 2008.
(b) Security is valued in accordance with Fair Valuation procedures established in good faith by the Board of Trustees. The total market value of such securities is $132,096 which represents 0.5% of net assets.
(c) Non-income producing security.
(d) At May 31, 2008, the total market value of the Fund's securities on loan was $743,698 and the total market value of the collateral by the Fund was $881,050.
(e) Interest rate shown reflects yield as of May 31, 2008.
See notes to financial statements.
Annual Report | May 31, 2008 | 33
Claymore Exchange-Traded Fund Trust 2 | Portfolio of Investments continued
HAO | Claymore/AlphaShares China Small Cap Index ETF
Number of Shares Description Value ------------------------------------------------------------------------------------------------ Common Stocks - 99.1% Consumer Discretionary - 11.1% 216,000 AviChina Industry & Technology Co. $ 33,492 390,000 Brilliance China Automotive Holdings Ltd. (a) 60,471 241,000 China Hongxing Sports Ltd. 104,264 70,000 China Sky Chemical Fibre Co. Ltd. 52,869 104,000 FibreChem Technologies Ltd. 53,763 44,000 FU JI Food and Catering Services Holdings Ltd. 55,369 89,000 Golden Eagle Retail Group Ltd. (b) 91,239 27,000 Great Wall Motor Co. Ltd. 27,091 3,382 Home Inns & Hotels Management, Inc., ADR (a) 83,096 110,000 Intime Department Store Group Co. Ltd. 79,924 72,000 Minth Group Ltd. 63,201 65,500 Ports Design Ltd. 201,443 141,000 Samson Holding Ltd. 23,489 558,000 Shanghai Jin Jiang International Hotels Group Co. Ltd. 164,460 29,000 Sichuan Xinhua Winshare Chainstore Co. Ltd. 11,334 638,000 TCL Multimedia Technology Holdings Ltd. (a) (c) 29,841 72,500 Weiqiao Textile Co. 76,739 151 Xinhua Finance Ltd. (a) 11,443 6,021 Xinhua Finance Media Ltd., ADR (a) 17,822 96,000 Xinyu Hengdeli Holdings Ltd. 44,287 ------------------------------------------------------------------------------------------------ 1,285,637 ------------------------------------------------------------------------------------------------ Consumer Staples - 15.7% 10,615 American Oriental Bioengineering, Inc. (a) 126,319 70,000 Celestial Nutrifoods Ltd. 45,683 330,000 Chaoda Modern Agriculture 464,318 267,000 China Agri-Industries Holdings Ltd. (a) 191,259 30,000 China Fishery Group Ltd. 40,477 126,000 China Foods Ltd. 60,871 84,000 China Green Holdings Ltd. 110,870 89,000 China Huiyuan Juice Group Ltd. 68,201 66,000 China Milk Products Group Ltd. 35,087 131,000 China Yurun Food Group Ltd. 207,150 240,000 Global Bio-Chem Technology Group Co. Ltd. 102,413 12,000 Lianhua Supermarket Holdings Co. Ltd. 16,577 105,000 People's Food Holdings Ltd. 87,773 182,000 Pine Agritech Ltd. 34,698 133,000 Synear Food Holdings Ltd. 48,763 56,000 Tsingtao Brewery Co. Ltd. 142,230 37,000 Wumart Stores, Inc. 31,720 ------------------------------------------------------------------------------------------------ 1,814,409 ------------------------------------------------------------------------------------------------ Number of Shares Description Value ------------------------------------------------------------------------------------------------ Energy - 2.0% 420,000 Cnpc Hong Kong Ltd. $ 220,665 80,000 Shandong Molong Petroleum Machinery Co. Ltd. 9,329 ------------------------------------------------------------------------------------------------ 229,994 ------------------------------------------------------------------------------------------------ Financials - 11.0% 160,000 Beijing Capital Land Ltd. 54,948 124,000 Beijing North Star Co. 48,305 79,000 China Properties Group Ltd. 35,027 4,686 E-House China Holdings Ltd., ADR (a) 70,290 168,000 First Shanghai Investments Ltd. 35,091 286,000 Franshion Properties China Ltd. (a) 125,341 114,000 Greentown China Holdings Ltd. 128,847 640,000 Guangzhou Investment Co. Ltd. 126,299 172,500 KWG Property Holding Ltd. 164,460 158,000 Ming An Holdings Co. Ltd. 35,027 184,000 Shanghai Forte Land Co. 62,483 286,000 Shenzhen Investment Ltd. 118,011 222,000 Silver Grant International 40,112 572,000 United Energy Group Ltd. (a) 80,628 90,000 Yanlord Land Group Ltd. (Singapore) 142,548 ------------------------------------------------------------------------------------------------ 1,267,417 ------------------------------------------------------------------------------------------------ Health Care - 5.3% 3,095 China Medical Technologies, Inc., ADR 122,036 132,000 China Pharmaceutical Group Ltd. 58,357 30,000 Guangzhou Pharmaceutical Co. Ltd. 26,910 2,377 Mindray Medical International Ltd., ADR 99,596 24,000 Shandong Weigao Group Medical Polymer Co. Ltd. 39,366 5,330 Simcere Pharmaceutical Group., ADR (a) 82,082 8,901 WuXi PharmaTech Cayman, Inc., ADR (a) 182,026 ------------------------------------------------------------------------------------------------ 610,373 ------------------------------------------------------------------------------------------------ Industrials - 23.0% 86,000 Anhui Expressway Co. 63,918 22,000 Baoye Group Co. Ltd. 13,955 78,500 Beijing Enterprises Holdings Ltd. 289,709 101,000 Bio-Treat Technology Ltd. 22,959 100,000 Byd Co. Ltd. 158,130 244,000 China Eastern Airlines Corp. Ltd. (a) 109,123 101,000 China Infrastructure Machinery Holdings Ltd. 117,777 590,000 China Shipping Container Lines Co. Ltd. 292,592 206,000 China Southern Airlines Co. Ltd. (a) 133,836 34,000 China State Construction International Holdings Ltd. 48,013 362,000 Citic Resources Holdings Ltd. (a) 205,500 |
See notes to financial statements.
34 | Annual Report | May 31, 2008
Claymore Exchange-Traded Fund Trust 2 | Portfolio of Investments continued
HAO | Claymore/AlphaShares China Small Cap Index ETF (continued)
Number of Shares Description Value ------------------------------------------------------------------------------------------------ Industrials (continued) 68,000 Dalian Port PDA Co. Ltd. $ 44,005 32,000 Dongfang Electric Corp. Ltd. 110,717 70,000 Enric Energy Equipment Holdings Ltd. (a) 57,588 252,000 Guangshen Railway Co. Ltd. 126,586 30,000 Guangzhou Shipyard International Co. Ltd. 101,683 96,000 GZI Transportation Ltd. 47,854 216,000 Jiangsu Expressway Co. Ltd. 164,414 62,000 Shanghai Prime Machinery Co. Ltd. (b) 16,208 132,000 Shenzhen Expressway Co. Ltd. 77,978 1,332,500 Shenzhen International Holdings 143,432 156,000 Sichuan Expressway Co. Ltd. 51,376 91,000 Sinotrans Ltd. 24,372 88,000 Tianjin Development Holdings 64,841 23,000 Weichai Power Co. Ltd. 115,093 56,000 Xiamen International Port Co. Ltd. 17,366 33,000 Zhuzhou CSR Times Electric Co. Ltd. 32,857 ------------------------------------------------------------------------------------------------ 2,651,882 ------------------------------------------------------------------------------------------------ Information Technology - 13.7% 116,000 AAC Acoustic Technologies Holdings, Inc. (a) 105,094 13,200 Actions Semiconductor Co. Ltd., ADR (a) 45,276 4,507 AsiaInfo Holdings, Inc. (a) 61,971 5,081 Cogo Group, Inc. (a) 71,236 93,000 Digital China Holdings Ltd. 67,333 11,677 Netease.com, ADR (a) 265,652 3,460 Shanda Interactive Entertainment Ltd., ADR (a) 112,346 4,717 Sohu.com, Inc. (a) 412,832 2,396 The9 Ltd., ADR (a) 62,032 204,000 TPV Technology Ltd. 125,479 38,000 Travelsky Technology Ltd. 30,191 62,000 Wasion Meters Group Ltd. 30,985 39,360 ZTE Corp. 192,672 ------------------------------------------------------------------------------------------------ 1,583,099 ------------------------------------------------------------------------------------------------ Materials - 11.4% 120,000 China BlueChemical Ltd. 76,887 176,000 China Nickel Resources Holding Co. Ltd. 54,354 148,000 China Oriental Group Co. Ltd. 106,206 92,000 Chongqing Iron & Steel Co. Ltd. 44,210 92,000 FerroChina Ltd. 102,541 288,000 Hunan Non-Ferrous Metal Corp. Ltd. (b) 96,323 18,000 Lingbao Gold Co. Ltd. 8,580 304,000 Maanshan Iron & Steel 227,113 4,895 ShengdaTech, Inc. (a) 40,384 384,000 Sinofert Holdings Ltd. 295,244 Number of Shares Description Value ------------------------------------------------------------------------------------------------ 410,000 Sinopec Shanghai Petrochemical Co. Ltd. $ 169,176 246,000 Sinopec Yizheng Chemical Fibre Co. Ltd. 53,590 22,500 Zhaojin Mining Industry Co. Ltd. 37,136 ------------------------------------------------------------------------------------------------ 1,311,744 ------------------------------------------------------------------------------------------------ Telecommunication Services - 2.1% 258,000 China Communications Services Corp. Ltd. 237,049 ------------------------------------------------------------------------------------------------ Utilities - 3.8% 283,000 China Power International Development Ltd. 95,739 84,000 Epure International Ltd. 34,801 410,000 Guangdong Investment Ltd. 190,717 252,000 Huadian Power International Co. 82,669 28,000 Sino-Environment Technology Group Ltd. (Singapore) (a) 36,546 ------------------------------------------------------------------------------------------------ 440,472 ------------------------------------------------------------------------------------------------ Total Long-Term Investments - 99.1% (Cost $11,863,797) 11,432,076 ------------------------------------------------------------------------------------------------ Short-Term Investments - 0.8% Investments of Cash Collateral for Securities Loaned - 0.8% Money Market Funds (d) - 0.8% 96,150 UBS Private Money Market Fund LLC,2.48% (e) (Cost $96,150) 96,150 ------------------------------------------------------------------------------------------------ Total Investments - 99.9% (Cost $11,959,947) 11,528,226 Other Assets in excess of Liabilities - 0.1% 11,576 ------------------------------------------------------------------------------------------------ Net Assets - 100.0% $ 11,539,802 ================================================================================================ |
ADR - American Depositary Receipt
(a) Non-income producing security.
(b) Security, or portion thereof, was on loan at May 31, 2008.
(c) Security is valued in accordance with Fair Valuation procedures established in good faith by the Board of Trustees. The total market value of such securities is $29,841 which represents 0.3% of net assets.
(d) At May 31, 2008, the total market value of the Fund's securities on loan was $86,155 and the total market value of the collateral held by the Fund was $96,150.
(e) Interest rate shown reflects yield as of May 31, 2008.
Securities are classified by sectors that represent broad groupings of related industries.
See notes to financial statements.
Annual Report | May 31, 2008 | 35
Claymore Exchange-Traded Fund Trust 2 | Portfolio of Investments continued
EXB | Claymore/Clear Global Exchanges, Brokers & Asset Managers Index ETF
Number of Shares Description Value ------------------------------------------------------------------------------------------------ Long-Term Investments - 99.9% Common Stocks - 99.0% Australia - 2.9% 7,435 ASX Ltd. $ 243,718 4,875 Macquarie Group Ltd. 253,322 ------------------------------------------------------------------------------------------------ 497,040 ------------------------------------------------------------------------------------------------ Bermuda - 0.0% 12,000 Emperor Capital Group Ltd. 1,199 50,000 Rexcapital Financial Holdings Ltd. (a) 5,895 ------------------------------------------------------------------------------------------------ 7,094 ------------------------------------------------------------------------------------------------ Canada - 0.9% 912 DundeeWealth, Inc. 12,363 813 GMP Capital Trust 13,753 2,871 TSX Group, Inc. 129,985 ------------------------------------------------------------------------------------------------ 156,101 ------------------------------------------------------------------------------------------------ Cayman Islands - 0.0% 42,000 Get Nice Holdings Ltd. 3,122 ------------------------------------------------------------------------------------------------ Germany - 5.3% 833 AWD Holding AG 41,257 6,042 Deutsche Boerse AG 866,000 1,586 MLP AG 28,394 ------------------------------------------------------------------------------------------------ 935,651 ------------------------------------------------------------------------------------------------ Hong Kong - 4.0% 26,000 Allied Properties HK Ltd. 5,131 39,500 Hong Kong Exchanges and Clearing Ltd. 678,268 5,000 Shenyin Wanguo HK Ltd. 3,998 ------------------------------------------------------------------------------------------------ 687,397 ------------------------------------------------------------------------------------------------ Italy - 1.0% 3,491 Azimut Holding SpA 35,616 7,525 Mediobanca SpA 139,746 ------------------------------------------------------------------------------------------------ 175,362 ------------------------------------------------------------------------------------------------ Japan - 6.7% 13 Asset Managers Co. Ltd. 6,404 25,000 Daiwa Securities Group, Inc. 250,083 10 kabu.com Securities Co. Ltd. 14,209 1,000 Marusan Securities Co. Ltd. 7,768 2,100 Matsui Securities Co. Ltd. 14,979 7,000 Mizuho Investors Securities Co. Ltd. 9,416 21 Monex Beans Holdings, Inc. 15,735 34,900 Nomura Holdings, Inc. 592,108 11 Osaka Securities Exchange Co. Ltd. 61,583 26 SBI E*trade Securities Co. Ltd. 26,353 Number of Shares Description Value ------------------------------------------------------------------------------------------------ 336 SBI Holdings, Inc. $ 98,828 11,000 Shinko Securities Co. Ltd. 39,492 4,000 Tokai Tokyo Securities Co. Ltd. 17,809 ------------------------------------------------------------------------------------------------ 1,154,767 ------------------------------------------------------------------------------------------------ Netherlands - 0.1% 1,361 BinckBank NV 18,824 ------------------------------------------------------------------------------------------------ New Zealand - 0.0% 615 New Zealand Exchange Ltd. 4,045 ------------------------------------------------------------------------------------------------ Singapore - 1.2% 36,000 Singapore Exchange Ltd. 212,238 ------------------------------------------------------------------------------------------------ Spain - 0.9% 3,204 Bolsas y Mercados Espanoles 148,728 ------------------------------------------------------------------------------------------------ Sweden - 0.1% 1,400 D Carnegie AB 20,050 ------------------------------------------------------------------------------------------------ Switzerland - 3.7% 1,848 EFG International 69,073 6,963 Julius Baer Holding AG 568,503 ------------------------------------------------------------------------------------------------ 637,576 ------------------------------------------------------------------------------------------------ Thailand - 0.1% 13,400 Kim Eng Securities Thailand PCL 9,361 ------------------------------------------------------------------------------------------------ United Kingdom - 7.9% 22,577 Aberdeen Asset Management PLC 61,906 1,479 Climate Exchange PLC (a) 59,391 3,408 Evolution Group PLC 6,954 5,644 F&C Asset Management PLC 18,125 22,299 Henderson Group PLC 56,296 9,066 ICAP PLC 110,364 2,671 Intermediate Capital Group PLC 84,191 9,453 London Stock Exchange Group PLC 191,854 53,490 Man Group PLC 656,440 9,292 RAB Capital PLC 8,814 3,833 Schroders PLC 79,535 3,759 Tullett Prebon PLC 34,413 ------------------------------------------------------------------------------------------------ 1,368,283 ------------------------------------------------------------------------------------------------ United States - 64.2% 1,134 Affiliated Managers Group, Inc. (a) 116,235 6,085 American Capital Strategies Ltd. (b) 194,720 7,078 Ameriprise Financial, Inc. 334,506 22,722 Bank of New York Mellon Corp. (The) 1,011,811 621 BlackRock, Inc. 139,719 16,678 Charles Schwab Corp. (The) 369,918 1,548 CME Group, Inc. 666,104 8,263 E*Trade Financial Corp. (a) 33,878 |
See notes to financial statements.
36 | Annual Report | May 31, 2008
Claymore Exchange-Traded Fund Trust 2 | Portfolio of Investments continued
EXB | Claymore/Clear Global Exchanges, Brokers & Asset Managers Index ETF
(continued)
Number of Shares Description Value ------------------------------------------------------------------------------------------------ United States (continued) 3,606 Eaton Vance Corp. $ 153,435 168 Evercore Partners, Inc. 2,446 417 FCStone Group, Inc. (a) 16,317 2,684 Federated Investors, Inc. 98,798 633 Fortress Investment Group LLC (b) 9,071 4,904 Franklin Resources, Inc. 496,383 1,152 GFI Group, Inc. 13,640 5,195 GLG Partners, Inc. 43,170 5,368 Goldman Sachs Group, Inc. (The) 946,969 320 Greenhill & Co., Inc. 19,280 3,053 IntercontinentalExchange, Inc. (a) 421,925 771 Investment Technology Group, Inc. (a) 32,459 4,585 Janus Capital Group, Inc. 132,965 2,398 Jefferies Group, Inc. 43,164 523 KBW, Inc. (a) 12,876 1,672 Knight Capital Group, Inc. (a) 29,778 924 LaBranche & Co., Inc. (a) 6,191 4,204 Legg Mason, Inc. 226,217 9,424 Lehman Brothers Holdings, Inc. 346,897 17,257 Merrill Lynch & Co., Inc. 757,928 19,620 Morgan Stanley 867,793 8,688 Nasdaq OMX Group (The) (a) 304,341 5,986 Northern Trust Corp. 454,936 4,091 Nymex Holdings, Inc. 371,545 11,535 NYSE Euronext 737,317 793 optionsXpress Holdings, Inc. 18,112 277 Piper Jaffray Cos. (a) 10,526 1,697 Raymond James Financial, Inc. 50,486 3,922 SEI Investments Co. 94,599 12,084 State Street Corp. 870,290 273 Stifel Financial Corp. (a) 15,586 383 SWS Group, Inc. 7,078 8,226 T Rowe Price Group, Inc. 476,450 3,994 TD Ameritrade Holding Corp. (a) 72,331 467 Thomas Weisel Partners Group, Inc. (a) 3,185 490 TradeStation Group, Inc. (a) 5,160 2,676 Waddell & Reed Financial, Inc.- Class A 94,623 ------------------------------------------------------------------------------------------------ 11,131,158 ------------------------------------------------------------------------------------------------ Total Common Stocks - 99.0% (Cost $21,537,419) 17,166,797 ------------------------------------------------------------------------------------------------ Number of Shares Description Value ------------------------------------------------------------------------------------------------ Master Limited Partnerships - 0.9% United States - 0.9% 1104 AllianceBernstein Holding L.P. $ 70,998 4739 Blackstone Group L.P. (The) (b) 92,268 ------------------------------------------------------------------------------------------------ Total Master Limited Partnerships (Cost $200,197) 163,266 ------------------------------------------------------------------------------------------------ Total Long-Term Investments - 99.9% (Cost $21,737,616) 17,330,063 ------------------------------------------------------------------------------------------------ Short-Term Investments - 1.3% Investments of Cash Collateral for Securities Loaned Money Market Funds (c) - 1.3% 226,000 UBS Private Money Market Fund LLC,2.48% (d) (Cost $226,000) 226,000 ------------------------------------------------------------------------------------------------ Total Investments - 101.2% (Cost $21,963,616) 17,556,063 Liabilities in excess of Other Assets - (1.2%) (211,312) ------------------------------------------------------------------------------------------------ Net Assets - 100.0% $ 17,344,751 ================================================================================================ |
AB - Publicly Traded Company
AG - Corporation
L.P.- Limited Partnership
NV - Publicly Traded Company
PCL - Public Company Limited
PLC - Public Limited Company
SpA - Joint Stock Company
(a) Non-income producing security.
(b) Security, or portion thereof, was on loan at May 31, 2008.
(c) At May 31, 2008, the total market value of the Fund's securities on loan was $218,395 and the total market value of the collateral held by the Fund was $226,000.
(d) Interest rate shown reflects yield as of May 31, 2008.
See notes to financial statements.
Annual Report | May 31, 2008 | 37
Claymore Exchange-Traded Fund Trust 2 | Portfolio of Investments continued
CUT | Claymore/Clear Global Timber Index ETF
Number of Shares Description Value ------------------------------------------------------------------------------------------------ Long-Term Investments - 99.8% Common Stocks - 86.7% Australia - 10.0% 1,464,784 Great Southern Ltd. $ 2,032,050 825,152 Gunns Ltd. 2,375,958 1,392,522 Timbercorp Ltd. 1,327,700 ------------------------------------------------------------------------------------------------ 5,735,708 ------------------------------------------------------------------------------------------------ Bermuda - 3.8% 21,864,000 China Grand Forestry Resources Group Ltd. (a) 2,157,346 ------------------------------------------------------------------------------------------------ Canada - 11.9% 217,146 Canfor Corp. (a) 1,809,368 152,514 Sino-Forest Corp. (a) 3,192,403 52,312 West Fraser Timber Co., Ltd. 1,861,480 ------------------------------------------------------------------------------------------------ 6,863,251 ------------------------------------------------------------------------------------------------ Ireland - 3.7% 206,156 Smurfit Kappa Group PLC 2,098,467 ------------------------------------------------------------------------------------------------ Japan - 14.0% 560,500 Hokuetsu Paper Mills Ltd. (b) 2,527,334 535,000 OJI Paper Co., Ltd. 2,594,799 355,400 Sumitomo Forestry Co., Ltd. 2,902,049 ------------------------------------------------------------------------------------------------ 8,024,182 ------------------------------------------------------------------------------------------------ South Africa - 5.4% 216,624 Sappi Ltd., ADR 3,093,391 ------------------------------------------------------------------------------------------------ Spain - 4.4% 273,458 Grupo Empresarial Ence SA 2,515,807 ------------------------------------------------------------------------------------------------ Sweden - 8.3% 73,100 Holmen AB - Class B 2,489,438 139,800 Svenska Cellulosa AB - Class B 2,240,776 ------------------------------------------------------------------------------------------------ 4,730,214 ------------------------------------------------------------------------------------------------ United States - 25.2% 17,886 Deltic Timber Corp. 964,055 88,890 International Paper Co. 2,419,586 89,345 MeadWestvaco Corp. 2,298,847 40,215 Plum Creek Timber Co., Inc.- REIT 1,876,030 39,030 Potlatch Corp.- REIT 1,886,710 55,816 Rayonier, Inc.- REIT 2,649,027 37,410 Weyerhaeuser Co. 2,331,765 ------------------------------------------------------------------------------------------------ 14,426,020 ------------------------------------------------------------------------------------------------ Total Common Stocks - 86.7% (Cost $51,187,334) 49,644,386 ------------------------------------------------------------------------------------------------ Number of Shares Description Value ------------------------------------------------------------------------------------------------ Preferred Stock - 10.3% Brazil - 10.3% 34,436 Aracruz Celulose SA, ADR $ 3,124,723 83,255 Votorantim Celulose e Papel SA, ADR 2,802,363 ------------------------------------------------------------------------------------------------ (Cost $5,071,567) 5,927,086 ------------------------------------------------------------------------------------------------ Income Trust - 2.8% Canada - 2.8% 131,533 TimberWest Forest Corp. (Cost $1,772,512) 1,595,021 ------------------------------------------------------------------------------------------------ Long -Term Investments - 99.8% (Cost $58,031,413) 57,166,493 ------------------------------------------------------------------------------------------------ Short Term Investments - 0.8% Investments of Cash Collateral for Securities Loaned - 0.8% Money Market Funds - 0.8% (c) 475,000 UBS Private Money Market Fund LLC,2.48% (d) (Cost $475,000) 475,000 ------------------------------------------------------------------------------------------------ Total Investments - 100.6% (Cost $58,506,413) 57,641,493 Liabilities in excess of Other Assets - (0.6%) (364,769) ------------------------------------------------------------------------------------------------ Net Assets - 100.0% $ 57,276,724 ================================================================================================ |
AB - Corporation
ADR - American Depositary Receipt
Ltd.- Limited
PLC - Public Limited Company
REIT -Real Estate Investment Trust
SA - Corporation
(a) Non-income producing security.
(b) Security, or portion thereof, was on loan at May 31, 2008.
(c) At May 31, 2008, the total market value of the Fund's securities on loan was $451,613 and the total market value of the collateral held by the Fund was $475,000.
(d) Interest rate shown reflects yield as of May 31, 2008.
See notes to financial statements.
38 | Annual Report | May 31, 2008
Claymore Exchange-Traded Fund Trust 2 | Portfolio of Investments continued
ROB | Claymore/Robb Report Global Luxury Index ETF
Number of Shares Description Value ------------------------------------------------------------------------------------------------ Long-Term Investments - 100.3% Common Stocks - 95.9% Bermuda - 5.8% 35,000 Mandarin Oriental International, Ltd. $ 73,150 2,111 Orient-Express Hotels, Ltd.- Class A 99,301 102,000 Shangri-La Asia, Ltd. 343,760 ------------------------------------------------------------------------------------------------ 516,211 ------------------------------------------------------------------------------------------------ Brazil - 2.7% 6,424 Empresa Brasileira de Aeronautica SA, ADR 241,028 ------------------------------------------------------------------------------------------------ Canada - 0.7% 2,037 Harry Winston Diamond Corp. 60,657 ------------------------------------------------------------------------------------------------ Denmark - 0.3% 450 Bang & Olufsen A/S 24,798 ------------------------------------------------------------------------------------------------ France - 26.8% 3,302 Christian Dior SA 398,767 354 Dassault Aviation SA 308,086 2,373 Hermes International 391,751 3,411 LVMH Moet Hennessy Louis Vuitton SA 398,678 3,474 Pernod-Ricard SA 394,110 3,041 PPR 396,973 1,617 Remy Cointreau SA 95,440 ------------------------------------------------------------------------------------------------ 2,383,805 ------------------------------------------------------------------------------------------------ Germany - 9.0% 7,035 Bayerische Motoren Werke AG 416,209 5,058 Daimler AG 384,530 ------------------------------------------------------------------------------------------------ 800,739 ------------------------------------------------------------------------------------------------ Italy - 7.0% 10,477 Bulgari SpA 120,892 11,459 Ducati Motor Holding SpA (a) 30,149 14,301 Luxottica Group SpA (b) 398,707 1,064 Tod's SpA 66,256 ------------------------------------------------------------------------------------------------ 616,004 ------------------------------------------------------------------------------------------------ Japan - 4.9% 14,000 Shiseido Co., Ltd. 342,822 12,000 TOTO, Ltd. 92,076 ------------------------------------------------------------------------------------------------ 434,898 ------------------------------------------------------------------------------------------------ Singapore - 0.3% 27,000 Banyan Tree Holdings, Ltd. 28,708 ------------------------------------------------------------------------------------------------ Switzerland - 12.5% 6,310 Compagnie Financiere Richemont SA 392,280 5,038 Julius Baer Holding AG 411,334 1,105 Swatch Group AG 308,575 ------------------------------------------------------------------------------------------------ 1,112,189 ------------------------------------------------------------------------------------------------ Number of Shares Description Value ------------------------------------------------------------------------------------------------ United Kingdom - 1.7% 15,094 Burberry Group PLC $ 149,144 ------------------------------------------------------------------------------------------------ United States - 24.2% 11,576 Coach Inc. (a) 420,209 7,711 Nordstrom, Inc. 269,731 5,222 Northern Trust Corp. 396,872 3,543 Polo Ralph Lauren Corp. 247,478 4,945 Saks, Inc. (a) 68,340 2,354 Sotheby's 63,134 4,431 Tiffany & Co. 217,252 2,363 Wilmington Trust Corp. 77,837 3,911 Wynn Resorts Ltd. 391,217 ------------------------------------------------------------------------------------------------ 2,152,070 ------------------------------------------------------------------------------------------------ Total Common Stocks - 95.9% (Cost $9,202,628) 8,520,251 ------------------------------------------------------------------------------------------------ Preferred Stock - 4.4% Germany - 4.4% 2,096 Porsche Automobil Holding SE (Cost $429,117) 390,614 ------------------------------------------------------------------------------------------------ Total Long-Term Investments - 100.3% (Cost $9,631,745) 8,910,865 ------------------------------------------------------------------------------------------------ Short Term Investments - 1.6% Investments of Cash Collateral for Securities Loaned - 1.6% Money Market Funds (c) - 1.6% 141,120 UBS Private Money Market Fund LLC,2.48% (d) (Cost $141,120) 141,120 ------------------------------------------------------------------------------------------------ Total Investments - 101.9% (Cost - $9,772,865) 9,051,985 Liabilities in Excess of Other Assets - (1.9)% (172,019) ------------------------------------------------------------------------------------------------ Net Assets - 100.0% $ 8,879,966 ================================================================================================ |
ADR - American Depositary Receipt
AG - Corporation
PLC - Public Limited Company
SA - Corporation
SpA - Joint Stock Company
(a) Non-income producing security.
(b) Security, or portion thereof, was on loan at May 31, 2008.
(c) At May 31, 2008, the total market value of the Fund's securities on loan was $134,259 and the total market value of the collateral held by the Fund was $141,120.
(d) Interest rate shown reflects yield as of May 31, 2008.
See notes to financial statements.
Annual Report | May 31, 2008 | 39
Claymore Exchange-Traded Fund Trust 2 | Portfolio of Investments continued
ENY | Claymore/SWM Canadian Energy Income Index ETF
Number of Shares Description Value ----------------------------------------------------------------------------------------------- Common Stocks - 59.9.% Canada - 59.9% 16,527 Canadian Natural Resources Ltd. $ 1,617,274 345,303 Connacher Oil and Gas Ltd. (a) 1,612,364 16,738 EnCana Corp. 1,507,717 25,170 Husky Energy, Inc. 1,262,933 36,211 Imperial Oil Ltd. 2,104,443 27,376 Nexen, Inc. 1,052,669 375,621 Oilsands Quest, Inc. (a) 1,716,588 82,850 OPTI Canada, Inc. (a) 1,875,944 33,056 Petrobank Energy & Resources Ltd. (a) 1,909,444 15,808 Petro-Canada 912,018 43,907 Suncor Energy, Inc. 2,996,210 331,004 UTS Energy Corp. (a) 1,865,374 ----------------------------------------------------------------------------------------------- Total Common Stocks (Cost $16,712,915) 20,432,978 ----------------------------------------------------------------------------------------------- Income Trusts - 36.8% Canada - 36.8% 40,712 Advantage Energy Income Fund 531,792 26,841 ARC Energy Trust 786,565 20,086 Baytex Energy Trust 585,176 16,588 Bonavista Energy Trust 545,867 47,259 Canadian Oil Sands Trust 2,379,833 18,268 Crescent Point Energy Trust 664,207 35,262 Enerplus Resources Fund 1,648,304 29,181 Harvest Energy Trust 718,586 33,996 NAL Oil & Gas Trust 505,647 70,321 Penn West Energy Trust 2,311,245 19,664 Peyto Energy Trust 383,702 30,410 Progress Energy Trust 440,680 39,422 Provident Energy Trust 453,054 47,731 Trilogy Energy Trust 578,805 ----------------------------------------------------------------------------------------------- Total Income Trusts (Cost $10,681,760) 12,533,463 ----------------------------------------------------------------------------------------------- Number of Shares Description Value ----------------------------------------------------------------------------------------------- Master Limited Partnership - 1.8% Canada - 1.8% 29,528 Pengrowth Energy Trust (Cost $563,765) $ 604,407 ----------------------------------------------------------------------------------------------- Royalty Trusts - 1.2% Canada - 1.2% 20,040 Freehold Royalty Trust (Cost $300,437) 419,676 ----------------------------------------------------------------------------------------------- Total Investments - 99.7% (Cost $28,258,877) 33,990,524 Other Assets in excess of Liabilities - 0.3% 111,945 ----------------------------------------------------------------------------------------------- Net Assets - 100.0% $ 34,102,469 =============================================================================================== |
(a) Non-income producing security.
See notes to financial statements.
40 | Annual Report | May 31, 2008
Claymore Exchange-Traded Fund Trust 2 | Portfolio of Investments continued
CRO | Claymore/Zacks Country Rotation ETF
Number of Shares Description Value ----------------------------------------------------------------------------------------------- Common Stocks - 97.3% Austria - 2.6% 1,218 Erste Bank der Oesterreichischen Sparkassen AG $ 92,881 1,248 OMV AG 102,636 2,431 Telekom Austria AG 57,915 ----------------------------------------------------------------------------------------------- 253,432 ----------------------------------------------------------------------------------------------- Belgium - 4.5% 1,036 Belgacom SA 48,735 1,974 Dexia SA 46,476 3,955 Fortis 96,742 423 Groupe Bruxelles Lambert SA 56,316 812 InBev NV 62,590 636 KBC Groep NV 78,388 363 Solvay SA 51,984 ----------------------------------------------------------------------------------------------- 441,231 ----------------------------------------------------------------------------------------------- France - 14.5% 431 Accor SA 32,853 369 Air Liquide 54,179 4,455 Alcatel-Lucent 33,647 162 Alstom SA 40,792 1,725 AXA SA 60,880 626 BNP Paribas 64,538 407 Bouygues 33,200 691 Carrefour SA 48,398 543 Cie de Saint-Gobain 43,745 582 Cie Generale d'Optique Essilor International SA 36,567 1,035 Credit Agricole SA 27,360 1,857 France Telecom SA 56,289 607 Groupe Danone 53,080 229 Lafarge SA 41,371 385 L'Oreal SA 46,800 441 LVMH Moet Hennessy Louis Vuitton SA 51,544 306 Compagnie Generale des Etablissements Michelin 27,344 328 Pernod-Ricard SA 37,210 469 Peugeot SA 29,154 217 PPR 28,327 368 Renault SA 37,745 744 Sanofi-Aventis SA 55,394 260 Schneider Electric SA 32,623 490 Societe Generale 50,867 1,064 Suez SA 79,203 1,091 Total SA 95,099 160 Unibail-Rodamco - REIT 41,596 128 Vallourec 39,613 Number of Shares Description Value ----------------------------------------------------------------------------------------------- 579 Veolia Environnement $ 41,220 674 Vinci SA 50,727 1,161 Vivendi 48,742 ----------------------------------------------------------------------------------------------- 1,420,107 ----------------------------------------------------------------------------------------------- Italy - 5.8% 797 Assicurazioni Generali SpA 33,107 963 Atlantia SpA 34,570 1,627 Banco Popolare SC 32,592 3,052 Enel SpA 34,268 1,988 ENI SpA 80,882 1,332 Fiat SpA 29,642 1,226 Finmeccanica SpA 37,115 8,918 Intesa Sanpaolo SpA 58,416 1,625 Mediobanca SpA 30,178 16,921 Telecom Italia SpA 37,209 14,637 Telecom Italia SpA - RNC 25,886 9,348 Terna Rete Elettrica Nazionale SpA 42,420 8,345 UniCredit SpA 58,261 1,283 Unione di Banche Italiane SCPA 33,018 ----------------------------------------------------------------------------------------------- 567,564 ----------------------------------------------------------------------------------------------- Japan - 30.7% 3,000 Asahi Glass Co. Ltd. 39,445 1,100 Astellas Pharma, Inc. 46,474 1,800 Bridgestone Corp. 30,675 1,000 Canon, Inc. 53,900 3 Central Japan Railway Co. 29,271 1,200 Chubu Electric Power Co., Inc. 26,884 1,600 Daiichi Sankyo Co. Ltd. 45,091 700 Daikin Industries Ltd. 36,073 4,000 Daiwa Securities Group, Inc. 40,013 1,300 Denso Corp. 47,412 6 East Japan Railway Co. 46,265 400 Eisai Co. Ltd. 14,474 300 Fanuc Ltd. 32,539 1,200 FUJIFILM Holdings Corp. 44,106 5,000 Fujitsu Ltd. 40,449 7,000 Hitachi Ltd. 50,263 1,500 Honda Motor Co.Ltd. 50,159 1,000 HOYA Corp. 27,755 4,000 ITOCHU Corp. 46,227 9 Japan Tobacco, Inc. 43,651 900 JFE Holdings, Inc. 50,812 1,300 Kansai Electric Power Co., Inc. (The) 28,632 2,000 Kao Corp. 52,101 |
See notes to financial statements.
Annual Report | May 31, 2008 | 41
Claymore Exchange-Traded Fund Trust 2 | Portfolio of Investments continued
CRO | Claymore/Zacks Country Rotation ETF (continued)
Number of Shares Description Value ----------------------------------------------------------------------------------------------- Japan (continued) 5 KDDI Corp. $ 34,623 1,700 Komatsu Ltd. 53,787 400 Kyocera Corp. 38,460 2,000 Marubeni Corp. 17,809 3,000 Matsushita Electric Industrial Co. Ltd. 68,204 1,500 Millea Holdings, Inc. 61,810 1,800 Mitsubishi Corp. 62,066 5,000 Mitsubishi Electric Corp. 56,505 2,000 Mitsubishi Estate Co.Ltd. 53,806 7,000 Mitsubishi Heavy Industries Ltd. 35,277 5,400 Mitsubishi UFJ Financial Group, Inc. 55,143 3,000 Mitsui & Co. Ltd. 73,462 2,000 Mitsui Fudosan Co. Ltd. 49,543 3,000 Mitsui OSK Lines Ltd. 45,214 900 Mitsui Sumitomo Insurance Group Holdings, Inc. 35,381 9 Mizuho Financial Group, Inc. 47,232 600 Murata Manufacturing Co. Ltd. 31,488 1,000 NGK Insulators Ltd. 18,254 1,000 Nikon Corp. 31,829 100 Nintendo Co. Ltd. 54,942 4,000 Nippon Oil Corp. 28,873 9,000 Nippon Steel Corp. 56,183 11 Nippon Telegraph & Telephone Corp. 53,351 4,700 Nissan Motor Co. Ltd. 41,717 2,900 Nomura Holdings, Inc. 49,201 33 NTT DoCoMo, Inc. 52,517 1,000 Olympus Corp. 32,587 170 ORIX Corp. 32,079 2,000 Ricoh Co. Ltd. 36,774 300 Secom Co. Ltd. 14,550 2,100 Seven & I Holdings Co. Ltd. 61,270 2,000 Sharp Corp. 34,860 900 Shin-Etsu Chemical Co. Ltd. 56,610 1,500 Softbank Corp. 26,443 900 Sony Corp. 45,015 4,000 Sumitomo Chemical Co. Ltd. 29,176 2,400 Sumitomo Corp. 35,398 2,300 Sumitomo Electric Industries Ltd. 29,653 12,000 Sumitomo Metal Industries Ltd. 57,178 2,000 Sumitomo Metal Mining Co. Ltd. 33,515 6 Sumitomo Mitsui Financial Group, Inc. 51,551 1,000 Sumitomo Realty & Development Co. Ltd. 25,577 600 T&D Holdings, Inc. 39,900 Number of Shares Description Value ----------------------------------------------------------------------------------------------- 800 Takeda Pharmaceutical Co. Ltd. $ 46,303 300 TDK Corp. 20,547 1,900 Tokyo Electric Power Co., Inc. (The) 46,256 3,000 Tokyo Gas Co. Ltd. 11,396 7,000 Toshiba Corp. 61,602 900 Toyota Motor Corp. 45,782 ----------------------------------------------------------------------------------------------- 3,003,370 ----------------------------------------------------------------------------------------------- Luxembourg - 1.0% 957 ArcelorMittal 94,692 ----------------------------------------------------------------------------------------------- Netherlands - 0.6% 1,134 European Aeronautic Defense and Space Co NV 26,470 2,381 STMicroelectronics NV 31,045 ----------------------------------------------------------------------------------------------- 57,515 ----------------------------------------------------------------------------------------------- New Zealand - 0.9% 5,919 Fletcher Building Ltd. 37,079 16,234 Telecom Corp of New Zealand Ltd. 51,102 ----------------------------------------------------------------------------------------------- 88,181 ----------------------------------------------------------------------------------------------- Spain - 8.5% 1,676 Abertis Infraestructuras SA 53,290 158 Acciona SA 44,872 834 ACS Actividades de Construccion y Servicios SA 50,340 3,555 Banco Bilbao Vizcaya Argentaria SA 79,168 4,017 Banco Popular Espanol SA 64,798 4,947 Banco Santander SA 102,941 1,181 Gamesa Corp Tecnologica SA 61,062 872 Gas Natural SDG SA 50,438 4,298 Iberdrola SA 61,984 772 Inditex SA 37,935 1,924 Repsol YPF SA 79,534 3,161 Telefonica SA 90,633 780 Union Fenosa SA 50,692 ----------------------------------------------------------------------------------------------- 827,687 ----------------------------------------------------------------------------------------------- Switzerland - 6.5% 1,843 ABB Ltd 59,731 785 Compagnie Financiere Richemont SA - Class A 48,802 898 Credit Suisse Group AG 45,641 501 Holcim Ltd 46,755 184 Nestle SA 90,261 1,253 Novartis AG 65,663 374 Roche Holding AG 64,329 726 Swiss Reinsurance 56,252 96 Swisscom AG 33,447 218 Syngenta AG 66,250 |
See notes to financial statements.
42 | Annual Report | May 31, 2008
Claymore Exchange-Traded Fund Trust 2 | Portfolio of Investments continued
CRO | Claymore/Zacks Country Rotation ETF (continued)
Number of Shares Description Value ----------------------------------------------------------------------------------------------- Switzerland (continued) 170 UBS AG $ 4,084 185 Zurich Financial Services AG 54,141 ----------------------------------------------------------------------------------------------- 635,356 ----------------------------------------------------------------------------------------------- United Kingdom - 21.3% 1,057 Anglo American PLC 71,417 1,497 AstraZeneca PLC 65,232 3,859 Aviva PLC 48,083 5,685 BAE Systems PLC 50,921 3,870 Barclays PLC 28,680 3,396 BG Group PLC 84,963 2,160 BHP Billiton PLC 81,701 8,763 BP PLC 105,290 1,833 British American Tobacco PLC 68,390 12,101 BT Group PLC 53,089 1,832 Cadbury PLC 24,401 7,231 Centrica PLC 41,977 3,164 Diageo PLC 61,589 3,336 GlaxoSmithKline PLC 73,409 6,229 HSBC Holdings PLC 104,940 1,204 Imperial Tobacco Group PLC 48,182 9,520 International Power PLC 83,626 4,055 J Sainsbury PLC 27,927 13,753 Legal & General Group PLC 32,560 7,010 Lloyds TSB Group PLC 53,196 3,208 Man Group PLC 39,369 3,058 Marks & Spencer Group PLC 22,964 3,195 National Grid PLC 47,102 10,580 Old Mutual PLC 24,463 3,877 Prudential PLC 50,950 912 Reckitt Benckiser Group PLC 53,600 2,522 Reed Elsevier PLC 31,698 615 Rio Tinto PLC 73,590 3,376 Rolls-Royce Group PLC 28,204 302,490 Rolls-Royce Group PLC - B Shares (a) 598 1,845 Royal Bank of Scotland Group PLC 8,331 2,186 Royal Dutch Shell PLC 92,879 1,778 Royal Dutch Shell PLC 73,963 1,282 SABMiller PLC 32,935 1,122 Scottish & Southern Energy PLC 32,639 7,244 Tesco PLC 59,281 478 Thomson Reuters PLC 15,388 1,472 Unilever PLC 48,609 Number of Shares Description Value ----------------------------------------------------------------------------------------------- 23,684 Vodafone Group PLC $ 75,940 768 Xstrata PLC 60,542 ----------------------------------------------------------------------------------------------- 2,082,618 ----------------------------------------------------------------------------------------------- United States - 0.4% 1 Dr Pepper Snapple Group, Inc. (a) 17 292 Synthes Inc 40,974 ----------------------------------------------------------------------------------------------- 40,991 ----------------------------------------------------------------------------------------------- Total Common Stocks - 97.3% (Cost - $9,915,483) 9,512,744 ----------------------------------------------------------------------------------------------- Exchange-Traded Funds - 2.3% United States - 2.3% 5,430 SPDR MSCI All Country World Index (ex-US) ETF ----------------------------------------------------------------------------------------------- Total Exchange-Traded Funds (Cost - $222,756) 221,978 ----------------------------------------------------------------------------------------------- Preferred Stocks - 0.3% Italy - 0.3% 11,463 Unipol Gruppo Finanziario SpA ----------------------------------------------------------------------------------------------- Total Preferred Stocks (Cost - $30,953) 25,991 ----------------------------------------------------------------------------------------------- Total Investments - 99.9% (Cost $10,169,192) 9,760,713 Other Assets in excess of Liabilities - 0.1% 3,087 ----------------------------------------------------------------------------------------------- Net Assets - 100.0% $ 9,763,800 =============================================================================================== |
AG - Corporation
NV - Publicly-Traded Company
PLC - Public Limited Company
REIT - Real Estate Investment Trust
RNC - Non-Convertible savings shares
SA - Corporation
SpA - Limited Share Company
(a) Non-income producing security.
See notes to financial statements.
Annual Report | May 31, 2008 | 43
Claymore Exchange-Traded Fund Trust 2 | Portfolio of Investments continued
HGI | Claymore/Zacks International Yield Hog Index ETF
Number of Shares Description Value ----------------------------------------------------------------------------------------------- Long-Term Investments - 99.5% Common Stocks - 80.9% Australia - 4.1% 2,782 Australia & New Zealand Banking Group Ltd. $ 57,506 929 BHP Billiton Ltd. 38,530 16,568 Foster's Group Ltd. 86,882 2,087 National Australia Bank Ltd. 62,302 16,464 Telstra Corp. Ltd. 74,564 2,593 Westpac Banking Corp. 57,481 ----------------------------------------------------------------------------------------------- 377,265 ----------------------------------------------------------------------------------------------- Austria - 1.8% 559 Flughafen Wien AG 64,215 4,138 Telekom Austria AG 98,582 ----------------------------------------------------------------------------------------------- 162,797 ----------------------------------------------------------------------------------------------- Belgium - 1.2% 4,630 Fortis 113,037 ----------------------------------------------------------------------------------------------- Bermuda - 1.2% 28,000 First Pacific Co. 20,380 300,000 SCMP Group Ltd. (a) 70,505 20,000 SCMP Group Ltd.- ADR (a) 23,500 ----------------------------------------------------------------------------------------------- 114,385 ----------------------------------------------------------------------------------------------- Brazil - 1.7% 2,226 CPFL Energia SA - ADR 154,596 ----------------------------------------------------------------------------------------------- Canada - 2.6% 1,269 Canadian Natural Resources Ltd. 124,299 1,240 EnCana Corp. 111,696 ----------------------------------------------------------------------------------------------- 235,995 ----------------------------------------------------------------------------------------------- Chile - 2.7% 933 Banco de Chile - ADR 47,098 993 Banco Santander Chile SA - ADR 51,636 1,168 Cia Cervecerias Unidas SA - ADR 41,511 3,637 Enersis SA - ADR 69,139 3,121 Lan Airlines SA - ADR 37,889 ----------------------------------------------------------------------------------------------- 247,273 ----------------------------------------------------------------------------------------------- China - 5.6% 3,000 China Mobile Ltd. 44,094 566 China Netcom Group Corp. Hong Kong Ltd.- ADR (a) 39,207 260 China Petroleum & Chemical Corp.- ADR 26,226 215 CNOOC Ltd.- ADR 38,117 18,000 HongKong Electric Holdings 108,641 Number of Shares Description Value ----------------------------------------------------------------------------------------------- 2,140 Huaneng Power International, Inc.- ADR $ 72,204 16,000 New World Development Ltd. 40,186 345 PetroChina Co. Ltd.- ADR 49,180 20,000 Shun Tak Holdings Ltd. 23,374 7,000 Swire Pacific Ltd.- Class A 79,879 ----------------------------------------------------------------------------------------------- 521,108 ----------------------------------------------------------------------------------------------- Denmark - 0.8% 1,450 Dampskibsselskabet Torm A/S 48,033 425 Novo Nordisk A/S - Class B 27,626 ----------------------------------------------------------------------------------------------- 75,659 ----------------------------------------------------------------------------------------------- Finland - 1.4% 1,850 Metso OYJ 92,489 1,234 Nokia OYJ 35,535 ----------------------------------------------------------------------------------------------- 128,024 ----------------------------------------------------------------------------------------------- France - 6.2% 1,988 Air France-KLM 53,108 354 Air Liquide 51,977 1,233 BNP Paribas 127,117 424 Lafarge SA 76,599 1,412 Publicis Groupe 56,065 1,159 Sanofi-Aventis SA 86,293 153 Societe Generale 15,883 16,878 Thomson 107,278 ----------------------------------------------------------------------------------------------- 574,320 ----------------------------------------------------------------------------------------------- Germany - 5.8% 331 Adidas AG 23,312 762 BASF SE 114,120 474 Bayer Schering Pharma AG 76,940 631 Deutsche Bank AG 67,397 627 Fresenius Medical Care AG & Co.KGaA 34,903 906 Henkel & Co.KGaA 40,902 698 RWE AG 90,130 634 SAP AG 34,997 293 Siemens AG 33,203 78 Volkswagen AG 21,461 ----------------------------------------------------------------------------------------------- 537,365 ----------------------------------------------------------------------------------------------- Hungary - 1.4% 5,294 Magyar Telekom Telecommunications PLC - ADR (b) 130,815 ----------------------------------------------------------------------------------------------- |
See notes to financial statements.
44 | Annual Report | May 31, 2008
Claymore Exchange-Traded Fund Trust 2 | Portfolio of Investments continued
HGI | Claymore/Zacks International Yield Hog Index ETF (continued)
Number of Shares Description Value ----------------------------------------------------------------------------------------------- India - 0.6% 1,878 Tata Motors Ltd.- ADR $ 26,029 2,335 Wipro Ltd.- ADR 33,064 ----------------------------------------------------------------------------------------------- 59,093 ----------------------------------------------------------------------------------------------- Indonesia - 0.4% 968 Telekomunikasi Indonesia Tbk PT - ADR 33,841 ----------------------------------------------------------------------------------------------- Ireland - 1.2% 3,002 Allied Irish Banks PLC 60,182 4,236 Bank of Ireland 53,651 ----------------------------------------------------------------------------------------------- 113,833 ----------------------------------------------------------------------------------------------- Israel - 3.5% 16,830 Blue Square-Israel Ltd.- ADR 242,520 3,298 Partner Communications - ADR (b) 79,977 ----------------------------------------------------------------------------------------------- 322,497 ----------------------------------------------------------------------------------------------- Italy - 1.3% 3,798 Benetton Group SpA 50,848 32,034 Telecom Italia SpA 70,442 ----------------------------------------------------------------------------------------------- 121,290 ----------------------------------------------------------------------------------------------- Japan - 3.3% 1,800 Advantest Corp. 47,061 1,000 Canon, Inc. 53,900 400 FUJIFILM Holdings Corp. 14,702 2,000 Kirin Holdings Co. Ltd. 33,060 2,000 Matsushita Electric Industrial Co. Ltd. 45,470 200 Nidec Corp. 14,872 7,500 Nissan Motor Co. Ltd. 66,570 400 TDK Corp. 27,395 ----------------------------------------------------------------------------------------------- 303,030 ----------------------------------------------------------------------------------------------- Jersey - 0.2% 279 Randgold Resources Ltd. 11,843 480 Shire Ltd. 8,167 ----------------------------------------------------------------------------------------------- 20,010 ----------------------------------------------------------------------------------------------- Luxembourg - 0.6% 536 ArcelorMittal 53,035 ----------------------------------------------------------------------------------------------- Mexico - 2.4% 991 America Movil SAB de CV, Series L, - ADR 59,232 3,877 Gruma SAB de CV - ADR (c) 46,330 907 Grupo Casa Saba SAB de CV - ADR 31,745 1,155 Telefonos de Mexico SAB de CV - ADR 47,609 6,194 Vitro SAB de CV - ADR 33,571 ----------------------------------------------------------------------------------------------- 218,487 ----------------------------------------------------------------------------------------------- Number of Shares Description Value ----------------------------------------------------------------------------------------------- Netherlands - 5.7% 4,757 Aegon NV $ 72,566 736 Akzo Nobel NV 62,233 1,917 Koninklijke DSM NV 117,407 1,433 Koninklijke Philips Electronics NV 54,961 560 Reed Elsevier NV 10,435 4,738 STMicroelectronics NV 61,776 1,683 TNT NV 67,453 2,507 Unilever NV 81,836 ----------------------------------------------------------------------------------------------- 528,667 ----------------------------------------------------------------------------------------------- Norway - 0.3% 1,700 Norsk Hydro ASA 26,988 ----------------------------------------------------------------------------------------------- South Africa - 1.1% 3,437 Sappi Ltd.- ADR 49,080 800 Sasol Ltd.- ADR 50,320 ----------------------------------------------------------------------------------------------- 99,400 ----------------------------------------------------------------------------------------------- Spain - 2.3% 4,404 Banco Bilbao Vizcaya Argentaria SA 98,075 1,904 Repsol YPF SA 78,707 1,240 Telefonica SA 35,554 ----------------------------------------------------------------------------------------------- 212,336 ----------------------------------------------------------------------------------------------- Sweden - 2.4% 5,000 Atlas Copco AB 80,975 5,000 Sandvik AB 85,763 2,800 SKF AB - A Shares 52,923 ----------------------------------------------------------------------------------------------- 219,661 ----------------------------------------------------------------------------------------------- Switzerland - 1.6% 111 Nestle SA 54,451 1,253 Novartis AG 65,663 1,429 SCOR Holding Switzerland Ltd. (a) (b) 27,342 ----------------------------------------------------------------------------------------------- 147,456 ----------------------------------------------------------------------------------------------- Taiwan - 2.5% 3,285 Chunghwa Telecom Co. Ltd.- ADR 81,369 9,662 Siliconware Precision Industries Co.- ADR 82,030 6,281 Taiwan Semiconductor Manufacturing Co. Ltd.- ADR 71,917 ----------------------------------------------------------------------------------------------- 235,316 ----------------------------------------------------------------------------------------------- |
See notes to financial statements.
Annual Report | May 31, 2008 | 45
Claymore Exchange-Traded Fund Trust 2 | Portfolio of Investments continued
HGI | Claymore/Zacks International Yield Hog Index ETF (continued)
Number of Shares Description Value ----------------------------------------------------------------------------------------------- United Kingdom - 14.9% 676 Anglo American PLC $ 45,675 19,286 ARM Holdings PLC 39,447 1,424 AstraZeneca PLC 62,051 15,384 BT Group PLC 67,492 3,089 Cadbury PLC 41,144 59,762 Dsg International PLC 68,794 2,322 GlaxoSmithKline PLC 51,096 4,629 HBOS PLC 36,591 2,768 HSBC Holdings PLC 46,633 3,283 Intercontinental Hotels Group PLC 53,979 4,603 International Power PLC 40,434 23,997 Kingfisher PLC 65,064 11,112 Ladbrokes PLC 68,898 10,371 Lloyds TSB Group PLC 78,701 5,064 Marks & Spencer Group PLC 38,028 4,345 Prudential PLC 57,101 6,695 Rexam PLC 58,645 154 Rio Tinto PLC 18,427 415 Royal Dutch Shell PLC - ADR 34,748 30,878 Signet Group PLC 37,833 6,487 Tesco PLC 53,086 26,868 Tomkins PLC 95,972 1,989 Unilever PLC 65,681 5,797 United Utilities PLC 85,748 2,974 Wolseley PLC 32,325 2,898 WPP Group PLC 35,021 ----------------------------------------------------------------------------------------------- 1,378,614 ----------------------------------------------------------------------------------------------- Total Common Stock - 80.9% (Cost $7,669,982) 7,466,193 ----------------------------------------------------------------------------------------------- Number of Shares Description Value ----------------------------------------------------------------------------------------------- Closed End Funds - 9.3% United States - 9.3% 4,228 Asia Pacific Fund, Inc. (The) $ 88,661 3,510 BlackRock Global Floating Rate Income Trust 55,142 2,107 BlackRock Global Opportunities Equity Trust 56,763 3,298 BlackRock Limited Duration Income Trust 52,471 3,201 Clough Global Equity Fund 66,549 2,824 Clough Global Opportunities Fund 51,679 2,847 Cohen & Steers Worldwide Realty Income Fund, Inc. 49,111 5,889 DWS Multi-Market Income Trust 50,410 3,255 Eaton Vance Tax-Managed Global Buy-Write Opportunities Fund 56,572 3,549 Eaton Vance Tax-Managed Global Diversified Equity Income Fund 60,404 3,331 ING Global Advantage and Premium Opportunity Fund 58,592 2,957 LMP Capital and Income Fund, Inc. 49,766 5,227 Neuberger Berman Income Opportunity Fund, Inc. 57,863 2,200 PIMCO Global StocksPLUS & Income Fund 51,876 8,653 Western Asset Managed High Income Fund, Inc. 53,822 ----------------------------------------------------------------------------------------------- Total Closed End Funds (Cost $828,397) 859,681 ----------------------------------------------------------------------------------------------- Income Trusts - 5.3% Canada - 5.3% 8,868 Advantage Energy Income Fund 116,082 2,079 Baytex Energy Trust 60,569 2,205 Enerplus Resources Fund 103,282 3,861 Harvest Energy Trust 95,078 3,362 Penn West Energy Trust (b) 110,576 ----------------------------------------------------------------------------------------------- Total Income Trusts (Cost $456,627) 485,587 ----------------------------------------------------------------------------------------------- Royalty Trusts - 1.9% United States - 1.9% 1,100 BP Prudhoe Bay Royalty Trust 103,972 2,072 Hugoton Royalty Trust 69,246 ----------------------------------------------------------------------------------------------- Total Royalty Trusts (Cost $145,295) 173,218 ----------------------------------------------------------------------------------------------- Preferred Stocks - 1.1% Chile - 0.5% 2,833 Embotelladora Andina SA - ADR 45,186 ----------------------------------------------------------------------------------------------- Colombia - 0.6% 1,548 BanColombia SA - ADR 59,134 ----------------------------------------------------------------------------------------------- Total Preferred Stocks - 1.1% (Cost $104,800) 104,320 ----------------------------------------------------------------------------------------------- |
See notes to financial statements.
46 | Annual Report | May 31, 2008
Claymore Exchange-Traded Fund Trust 2 | Portfolio of Investments continued
HGI | Claymore/Zacks International Yield Hog Index ETF (continued)
Number of Shares Description Value ----------------------------------------------------------------------------------------------- Master Limited Partnerships - 1.1% Canada - 1.1% 5,069 Pengrowth Energy Trust (Cost $95,764) $ 103,757 ------------------------------------------------------------------------------------------------ Total Long-Term Investments - 99.5% (Cost $9,300,865) 9,192,756 ------------------------------------------------------------------------------------------------ Short-Term Investments - 3.0% Investments of Cash Collateral For Securities Loaned - 3.0% Money Market Funds - 3.0% (d) 274,950 UBS Private Money Market Fund LLC,2.48% (e) (Cost $274,950) 274,950 ------------------------------------------------------------------------------------------------ Total Investments - 102.5% (Cost $9,575,815) 9,467,706 Liabilities in excess of Other Assets - (2.5%) (233,368) ------------------------------------------------------------------------------------------------ Net Assets - 100.0% $ 9,234,338 ================================================================================================ |
A/S - Limited Liability Stock Company
AB - Stock Company
ADR - American Depositary Receipt
AG - Stock Corporation
ASA - Stock Company
Ltd - Limited
KGaA - Limited Partnership
NV - Publicly-Traded Company
OYJ - Publicly-Traded Company
PLC - Public Limited Company
PT - Limited Liability Company
SA - Corporation
SAB de CV - Variable Capital Company
SE - Stock Corporation
SpA - Limited Share Company
(a) Security is valued in accordance with Fair Valuation procedures established in good faith by the Board of Trustees. The total market value of such securities is $160,554 which represents 1.7% of net assets.
(b) Security, or portion thereof, was on loan at May 31, 2008.
(c) Non-income producing security.
(d) At May 31, 2008, the total market value of the Fund's securities on loan was $268,015 and the total market value of the collateral by the Fund was $274,950.
(e) Interest rate shown reflects yield as of May 31, 2008.
See notes to financial statements.
Annual Report | May 31, 2008 | 47
Claymore Exchange-Traded Fund Trust 2
Statement of Assets and Liabilities | May 31, 2008
Claymore/ Claymore/ Clear Global Claymore/ Claymore/ AlphaShares Exchanges, Clear AlphaShares China Brokers & Global China Small Cap Asset Timber Real Estate Index Managers Index ETF ETF Index ETF ETF ---------------------------------------------------------------------------------------------------------------------- Assets Investments in securities, at value (including securities on loan) $ 29,655,445 $ 11,528,226 $ 17,556,063 $ 57,641,493 Foreign currency, at value 7,258 20,574 -- -- Cash 19,876 -- 48,616 21,974 Receivables: Investments sold -- -- 40,607 -- Dividends 179,843 100,914 22,413 138,961 Income 2,688 231 -- 213 Due from Adviser 58,396 61,293 76,368 78,173 Other assets 11,528 1,354 18,228 12,544 ---------------------------------------------------------------------------------------------------------------------- Total assets 29,935,034 11,712,592 17,762,295 57,893,358 ---------------------------------------------------------------------------------------------------------------------- Liabilities Custodian bank -- 6,032 14,588 91 Payables: Investments purchased -- -- 66,969 -- Administration fee payable -- -- -- 2,306 Offering costs payable 32,538 7,009 32,566 45,987 Collateral for securities on loan 881,050 96,150 226,000 475,000 Accrued advisory fees -- -- -- -- Accrued expenses 72,411 63,599 77,421 93,250 ---------------------------------------------------------------------------------------------------------------------- Total liabilities 985,999 172,790 417,544 616,634 ---------------------------------------------------------------------------------------------------------------------- Net Assets $ 28,949,035 $ 11,539,802 $ 17,344,751 $ 57,276,724 ====================================================================================================================== Composition of Net Assets Paid-in capital $ 34,877,653 $ 11,897,875 $ 23,006,712 $ 58,741,767 Accumulated undistributed net investment income (loss) 245,091 103,052 179,414 360,121 Accumulated net realized gain (loss) on investments and currency transactions (115,547) (29,377) (1,433,089) (956,659) Net unrealized appreciation (depreciation) on investments and currency translation (6,058,162) (431,748) (4,408,286) (868,505) ---------------------------------------------------------------------------------------------------------------------- Net Assets $ 28,949,035 $ 11,539,802 $ 17,344,751 $ 57,276,724 ====================================================================================================================== Shares outstanding ($0.01 par value with unlimited amount authorized) 1,400,000 480,000 800,000 2,600,000 Net Asset Value $ 20.68 $ 24.04 $ 21.68 $ 22.03 ====================================================================================================================== Investments in securities, at cost $ 35,713,457 $ 11,959,947 $ 21,963,616 $ 58,506,413 ====================================================================================================================== Foreign currency, at cost $ 7,258 $ 20,570 $ -- $ -- ====================================================================================================================== Claymore/ Claymore/ SWM Claymore/ Robb Report Canadian Claymore/ Zacks Global Energy Zacks International Luxury Income Country Yield Hog Index Index Rotation Index ETF ETF ETF ETF ----------------------------------------------------------------------------------------------------------------------- Assets Investments in securities, at value (including securities on loan) $ 9,051,985 $ 33,990,524 $ 9,760,713 $ 9,467,706 Foreign currency, at value -- 46,060 3,762 9,427 Cash -- 2,133 70,648 -- Receivables: Investments sold 1,766,055 -- 136,447 -- Dividends 4,015 83,834 39,113 52,386 Income 246 78 261 207 Due from Adviser 93,920 74,939 63,770 74,593 Other assets 19,838 16,361 23,100 19,863 ----------------------------------------------------------------------------------------------------------------------- Total assets 10,936,059 34,213,929 10,097,814 9,624,182 ----------------------------------------------------------------------------------------------------------------------- Liabilities Custodian bank 9,668 -- -- 890 Payables: Investments purchased 1,791,421 -- 230,327 1,133 Administration fee payable -- 741 -- -- Offering costs payable 27,018 32,624 38,158 38,158 Collateral for securities on loan 141,120 -- -- 274,950 Accrued advisory fees -- -- -- -- Accrued expenses 86,866 78,095 65,529 74,713 ----------------------------------------------------------------------------------------------------------------------- Total liabilities 2,056,093 111,460 334,014 389,844 ----------------------------------------------------------------------------------------------------------------------- Net Assets $ 8,879,966 $ 34,102,469 $ 9,763,800 $ 9,234,338 ======================================================================================================================= Composition of Net Assets Paid-in capital $ 10,124,792 $ 28,133,496 $ 10,039,339 $ 10,019,923 Accumulated undistributed net investment income (loss) 66,468 426,301 148,144 108,486 Accumulated net realized gain (loss) on investments and currency transactions (586,222) (188,752) (13,310) (785,813) Net unrealized appreciation (depreciation) on investments and currency translation (725,072) 5,731,424 (410,373) (108,258) ----------------------------------------------------------------------------------------------------------------------- Net Assets $ 8,879,966 $ 34,102,469 $ 9,763,800 $ 9,234,338 ======================================================================================================================= Shares outstanding ($0.01 par value with unlimited amount authorized) 400,000 1,080,000 400,000 400,000 Net Asset Value $ 22.20 $ 31.58 $ 24.41 $ 23.09 ======================================================================================================================= Investments in securities, at cost $ 9,772,865 $ 28,258,877 $ 10,169,192 $ 9,575,815 ======================================================================================================================= Foreign currency, at cost $ -- $ 46,060 $ 3,763 $ 9,424 ======================================================================================================================= |
See notes to financial statements.
48 | Annual Report | May 31, 2008
Claymore Exchange-Traded Fund Trust 2
Statement of Operations | For the period ended May 31, 2008
Claymore/ Claymore/ Clear Global Claymore/ Claymore/ AlphaShares Exchanges, Clear AlphaShares China Brokers & Global China Small Cap Asset Timber Real Estate Index Managers Index ETF(6) ETF(7) Index ETF(1) ETF(5) --------------------------------------------------------------------------------------------------------------------------- Investment Income Dividend income $ 333,840 $ 124,116 $ 396,970 $ 717,777 Return of capital distribution received -- -- (5,122) -- --------------------------------------------------------------------------------------------------------------------------- Net dividend income 333,840 124,116 391,848 717,777 Interest -- -- 1,613 -- Net securities lending income 2,728 231 1,570 213 Other income -- -- 11 472 Foreign taxes withheld -- -- (11,287) (43,184) --------------------------------------------------------------------------------------------------------------------------- Total investment income 336,568 124,347 383,755 675,278 --------------------------------------------------------------------------------------------------------------------------- Expenses Advisory fee 65,077 15,420 108,561 91,974 Administration fee 3,579 771 5,971 5,058 Custodian fee 25,273 18,389 50,063 32,978 Licensing 13,016 2,803 22,050 18,647 Listing fee and expenses 2,104 808 1,224 512 Miscellaneous 10,014 8,309 19,915 13,900 Offering costs 32,538 7,009 45,642 45,987 Printing expenses 10,425 10,283 27,453 13,105 Professional fees 29,216 22,051 24,963 37,851 Registration & filings 1,464 343 1,215 2,113 Trustees'fees and expenses 1,899 2,491 2,672 1,920 --------------------------------------------------------------------------------------------------------------------------- Total expenses 194,605 88,677 309,729 264,045 Advisory fees waived (65,077) (15,420) (108,561) (89,294) Other expenses waived or reimbursed (5,882) (45,221) (12,535) -- --------------------------------------------------------------------------------------------------------------------------- Net Expenses 123,646 28,036 188,633 174,751 --------------------------------------------------------------------------------------------------------------------------- Net Investment Income (Loss) 212,922 96,311 195,122 500,527 --------------------------------------------------------------------------------------------------------------------------- Realized and Unrealized Gain (Loss) Net realized gain (loss) on Investments (115,547) (29,377) (1,433,745) (1,067,552) In-kind transactions (400,060) -- (5,845,974) -- Foreign currency transactions (369) (268) (7,743) (25,100) --------------------------------------------------------------------------------------------------------------------------- Net realized gain (loss) (515,976) (29,645) (7,287,462) (1,092,652) --------------------------------------------------------------------------------------------------------------------------- Net change in unrealized appreciation (depreciation) on Investments (6,058,012) (431,721) (4,407,553) (864,920) Foreign currency translation (150) (27) (733) (3,585) --------------------------------------------------------------------------------------------------------------------------- Net unrealized appreciation (depreciation) (6,058,162) (431,748) (4,408,286) (868,505) --------------------------------------------------------------------------------------------------------------------------- Net realized and unrealized gain (loss) (6,574,138) (461,393) (11,695,748) (1,961,157) --------------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets Resulting from Operations $ (6,361,216) $ (365,082) $ (11,500,626) $ (1,460,630) =========================================================================================================================== Claymore/ Claymore/ Robb SWM Claymore/ Report Canadian Claymore/ Zacks Global Energy Zacks International Luxury Income Country Yield Hog Index Index Rotation Index ETF(4) ETF(2) ETF(3) ETF(3) --------------------------------------------------------------------------------------------------------------------------- Investment Income Dividend income $ 146,065 $ 1,324,315 $ 256,889 $ 477,741 Return of capital distribution received -- -- -- -- --------------------------------------------------------------------------------------------------------------------------- Net dividend income 146,065 1,324,315 256,889 477,741 Interest -- -- 85 -- Net securities lending income 691 404 -- 209 Other income 33 60 -- 55 Foreign taxes withheld (15,610) (198,696) (23,026) (36,137) --------------------------------------------------------------------------------------------------------------------------- Total investment income 131,179 1,126,083 233,948 441,868 --------------------------------------------------------------------------------------------------------------------------- Expenses Advisory fee 33,781 127,827 31,004 41,214 Administration fee 1,858 7,031 1,705 2,267 Custodian fee 42,533 46,390 45,034 59,066 Licensing 83,809 25,565 6,202 8,242 Listing fee and expenses 1,179 634 356 652 Miscellaneous 13,627 20,918 19,116 20,856 Offering costs 41,212 44,836 43,762 43,762 Printing expenses 13,300 11,703 11,847 11,264 Professional fees 23,313 28,691 22,413 24,338 Registration & filings 395 1,158 499 415 Trustees'fees and expenses 2,703 3,137 2,760 2,881 --------------------------------------------------------------------------------------------------------------------------- Total expenses 257,710 317,890 184,698 214,957 Advisory fees waived (33,781) (105,078) (31,004) (41,214) Other expenses waived or reimbursed (142,140) -- (76,908) (83,019) --------------------------------------------------------------------------------------------------------------------------- Net Expenses 81,789 212,812 76,786 90,724 --------------------------------------------------------------------------------------------------------------------------- Net Investment Income (Loss) 49,390 913,271 157,162 351,144 --------------------------------------------------------------------------------------------------------------------------- Realized and Unrealized Gain (Loss) Net realized gain (loss) on Investments (586,222) 176,566 (13,310) (802,506) In-kind transactions -- 740,809 -- -- Foreign currency transactions (179) (11,815) (9,977) (14,238) --------------------------------------------------------------------------------------------------------------------------- Net realized gain (loss) (586,401) 905,560 (23,287) (816,744) --------------------------------------------------------------------------------------------------------------------------- Net change in unrealized appreciation (depreciation) on Investments (720,880) 5,731,647 (408,479) (108,109) Foreign currency translation (4,192) (223) (1,894) (149) --------------------------------------------------------------------------------------------------------------------------- Net unrealized appreciation (depreciation) (725,072) 5,731,424 (410,373) (108,258) --------------------------------------------------------------------------------------------------------------------------- Net realized and unrealized gain (loss) (1,311,473) 6,636,984 (433,660) (925,002) --------------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets Resulting from Operations $ (1,262,083) $ 7,550,255 $ (276,498) $ (573,858) =========================================================================================================================== |
(1) Commencement of investment operations - June 27, 2007
(2) Commencement of investment operations - July 3, 2007
(3) Commencement of investment operations - July 11, 2007
(4) Commencement of investment operations - July 30, 2007
(5) Commencement of investment operations - November 9, 2007
(6) Commencement of investment operations - December 18, 2007
(7) Commencement of investment operations - January 30, 2008
See notes to financial statements.
Annual Report | May 31, 2008 | 49
Claymore Exchange-Traded Fund Trust 2
Statement of Changes in Net Assets | For the period ended May 31, 2008
Claymore/ Claymore/ Clear Global Claymore/ Claymore/ AlphaShares Exchanges, Clear AlphaShares China Brokers & Global China Small Cap Asset Timber Real Estate Index Managers Index ETF(6) ETF(7) Index ETF(1) ETF(5) ------------------------------------------------------------------------------------------------------------------ Increase in Net Assets Resulting from Operations Net investment income (loss) $ 212,922 $ 96,311 $ 195,122 $ 500,527 Net realized gain (loss) (515,976) (29,645) (7,287,462) (1,092,652) Net unrealized appreciation (depreciation) (6,058,162) (431,748) (4,408,286) (868,505) ------------------------------------------------------------------------------------------------------------------ Net increase (decrease) in net assets resulting from operations (6,361,216) (365,082) (11,500,626) (1,460,630) ------------------------------------------------------------------------------------------------------------------ Distribution to Shareholders from Net investment income -- -- (48,000) (50,400) ------------------------------------------------------------------------------------------------------------------ Capital Share Transactions Proceeds from sale of shares 43,404,603 11,904,884 63,019,524 58,787,754 Cost of shares redeemed (8,094,352) -- (34,126,147) -- ------------------------------------------------------------------------------------------------------------------ Net increase from capital share transactions 35,310,251 11,904,884 28,893,377 58,787,754 ------------------------------------------------------------------------------------------------------------------ Total increase (decrease) in net assets 28,949,035 11,539,802 17,344,751 57,276,724 Net Assets Beginning of period -- -- -- -- ------------------------------------------------------------------------------------------------------------------ End of period $ 28,949,035 $ 11,539,802 $ 17,344,751 $ 57,276,724 ================================================================================================================== Undistributed net investment income (loss) at end of period $ 245,091 $ 103,052 $ 179,414 $ 360,121 ================================================================================================================== Changes in Shares Outstanding Shares sold 1,800,000 480,000 2,400,000 2,600,000 Shares redeemed (400,000) -- (1,600,000) -- Shares outstanding, beginning of period -- -- -- -- ------------------------------------------------------------------------------------------------------------------ Shares outstanding, end of period 1,400,000 480,000 800,000 2,600,000 ================================================================================================================== Claymore/ Claymore/ Robb SWM Claymore/ Report Canadian Claymore/ Zacks Global Energy Zacks International Luxury Income Country Yield Hog Index Index Rotation Index ETF(4) ETF(2) ETF(3) ETF(3) ------------------------------------------------------------------------------------------------------------------ Increase in Net Assets Resulting from Operations Net investment income (loss) $ 49,390 $ 913,271 $ 157,162 $ 351,144 Net realized gain (loss) (586,401) 905,560 (23,287) (816,744) Net unrealized appreciation (depreciation) (725,072) 5,731,424 (410,373) (108,258) ------------------------------------------------------------------------------------------------------------------ Net increase (decrease) in net assets resulting from operations (1,262,083) 7,550,255 (276,498) (573,858) ------------------------------------------------------------------------------------------------------------------ Distribution to Shareholders from Net investment income (16,000) (876,000) (35,000) (248,000) ------------------------------------------------------------------------------------------------------------------ Capital Share Transactions Proceeds from sale of shares 10,158,049 32,830,856 10,075,298 10,056,196 Cost of shares redeemed - (5,402,642) - - ------------------------------------------------------------------------------------------------------------------ Net increase from capital share transactions 10,158,049 27,428,214 10,075,298 10,056,196 ------------------------------------------------------------------------------------------------------------------ Total increase (decrease) in net assets 8,879,966 34,102,469 9,763,800 9,234,338 Net Assets Beginning of period - - - - ------------------------------------------------------------------------------------------------------------------ End of period $ 8,879,966 $ 34,102,469 $ 9,763,800 $ 9,234,338 ================================================================================================================== Undistributed net investment income (loss) at end of period $ 66,468 $ 426,301 $ 148,144 $ 108,486 ================================================================================================================== Changes in Shares Outstanding Shares sold 400,000 1,280,000 400,000 400,000 Shares redeemed - (200,000) - - Shares outstanding, beginning of period - - - - ------------------------------------------------------------------------------------------------------------------ Shares outstanding, end of period 400,000 1,080,000 400,000 400,000 ================================================================================================================== |
(1) Commencement of investment operations - June 27, 2007
(2) Commencement of investment operations - July 3, 2007
(3) Commencement of investment operations - July 11, 2007
(4) Commencement of investment operations - July 30, 2007
(5) Commencement of investment operations - November 9, 2007
(6) Commencement of investment operations - December 18, 2007
(7) Commencement of investment operations - January 30, 2008
See notes to financial statements.
50 | Annual Report | May 31, 2008
Claymore Exchange-Traded Fund Trust 2
Financial Highlights |
TAO | Claymore/AlphaShares China Real Estate ETF
For the Period December 18, 2007** Per share operating performance through for a share outstanding throughout the period May 31, 2008 --------------------------------------------------------------------------------------------------- Net asset value, beginning of period $ 23.50 --------------------------------------------------------------------------------------------------- Income from investment operations --------------------------------------------------------------------------------------------------- Net investment income (loss) (a) 0.17 Net realized and unrealized gain (loss) on investments (2.99) --------------------------------------------------------------------------------------------------- Total from investment operations (2.82) --------------------------------------------------------------------------------------------------- Net asset value, end of period $ 20.68 =================================================================================================== Market value, end of period $ 20.91 =================================================================================================== Total return*(b) Net asset value -12.00% Ratios and supplemental data Net assets, end of period (thousands) $ 28,949 Ratio of net expenses to average net assets* 0.95%(c) Ratio of net investment income (loss) to average net assets* 1.64%(c) Portfolio turnover rate 1%(d) *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 1.50%(c) Ratio of net investment income (loss) to average net assets 1.09%(c) |
** Commencement of investment operations and initial listing date on the American Stock Exchange.
(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 and does not include securities received or delivered from processing creations or redemptions.
See notes to financial statements.
Annual Report | May 31, 2008 | 51
Claymore Exchange-Traded Fund Trust 2 | Financial Highlights continued
HAO | Claymore/AlphaShares China Small Cap Index ETF
For the Period January 30, 2008** Per share operating performance through for a share outstanding throughout the period May 31, 2008 -------------------------------------------------------------------------------------------------- Net asset value, beginning of period $ 24.34 -------------------------------------------------------------------------------------------------- Income from investment operations -------------------------------------------------------------------------------------------------- Net investment income (loss) (a) 0.27 Net realized and unrealized gain (loss) on investments (0.57) -------------------------------------------------------------------------------------------------- Total from investment operations (0.30) -------------------------------------------------------------------------------------------------- Distributions to shareholders from Net investment income -- -------------------------------------------------------------------------------------------------- Net asset value, end of period $ 24.04 ================================================================================================== Market value, end of period $ 24.39 ================================================================================================== Total return*(b) Net asset value -1.23% Ratios and supplemental data Net assets, end of period (thousands) $ 11,540 Ratio of net expenses to average net assets* 1.00%(c) Ratio of net investment income (loss) to average net assets* 3.44%(c) Portfolio turnover rate 1%(d) * 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 3.16%(c) Ratio of net investment income (loss) to average net assets 1.28%(c) |
** Commencement of investment operations and initial listing date on the American Stock Exchange.
(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 and does not include securities received or delivered from processing creations or redemptions.
See notes to financial statements.
52 | Annual Report | May 31, 2008
Claymore Exchange-Traded Fund Trust 2 | Financial Highlights continued
EXB | Claymore/Clear Global Exchanges, Brokers & Asset Managers Index ETF
For the Period June 27, 2007** Per share operating performance through for a share outstanding throughout the period May 31, 2008 -------------------------------------------------------------------------------- Net asset value, beginning of period $ 24.56 -------------------------------------------------------------------------------- Income from investment operations -------------------------------------------------------------------------------- Net investment income (loss) (a) 0.20 Net realized and unrealized gain (loss) on investments (3.06) -------------------------------------------------------------------------------- Total from investment operations (2.86) -------------------------------------------------------------------------------- Distributions to Shareholders from Net investment income (0.02) -------------------------------------------------------------------------------- Net asset value, end of period $ 21.68 ================================================================================ Market value, end of period $ 21.75 ================================================================================ Total return*(b) Net asset value -11.65% Ratios and supplemental data Net assets, end of period (thousands) $ 17,345 Ratio of net expenses to average net assets* 0.87%(c) Ratio of net investment income (loss) to average net assets* 0.90%(c) Portfolio turnover rate 83%(d) |
*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 1.43%(c) Ratio of net investment income (loss) to average net assets 0.34%(c)
** Commencement of investment operations and initial listing date on the American Stock Exchange.
(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 and does not include securities received or delivered from processing creations or redemptions.
See notes to financial statements.
Annual Report | May 31, 2008 | 53
Claymore Exchange-Traded Fund Trust 2 | Financial Highlights continued
CUT | Claymore/Clear Global Timber Index ETF For the Period November 9, 2007** Per share operating performance through for a share outstanding throughout the period May 31, 2008 -------------------------------------------------------------------------------- Net asset value, beginning of period $ 24.91 -------------------------------------------------------------------------------- Income from investment operations -------------------------------------------------------------------------------- Net investment income (loss) (a) 0.33 Net realized and unrealized gain (loss) on investments (3.13) -------------------------------------------------------------------------------- Total from investment operations (2.80) -------------------------------------------------------------------------------- Distributions to Shareholders from Net investment income (0.08) -------------------------------------------------------------------------------- Net asset value, end of period $ 22.03 ================================================================================ Market value, end of period $ 22.25 ================================================================================ Total return*(b) Net asset value -11.25% Ratios and supplemental data Net assets, end of period (thousands) $ 57,277 Ratio of net expenses to average net assets* 0.95%(c) Ratio of net investment income to average net assets* 2.72%(c) Portfolio turnover rate 23%(d) |
*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 1.43%(c) Ratio of net investment income (loss) to average net assets 2.24%(c)
** Commencement of investment operations and initial listing date on the American Stock Exchange.
(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 and does not include securities received or delivered from processing creations or redemptions.
See notes to financial statements.
54 | Annual Report | May 31, 2008
Claymore Exchange-Traded Fund Trust 2 | Financial Highlights continued
ROB | Claymore/Robb Report Global Luxury Index ETF For the Period July 30, 2007** Per share operating performance through for a share outstanding throughout the period May 31, 2008 -------------------------------------------------------------------------------- Net asset value, beginning of period $ 23.80 -------------------------------------------------------------------------------- Income from investment operations -------------------------------------------------------------------------------- Net investment income (loss) (a) 0.14 Net realized and unrealized gain (loss) on investments (1.70) -------------------------------------------------------------------------------- Total from investment operations (1.56) -------------------------------------------------------------------------------- Distributions to Shareholders from Net investment income (0.04) -------------------------------------------------------------------------------- Net asset value, end of period $ 22.20 ================================================================================ Market value, end of period $ 22.28 ================================================================================ Total return*(b) Net asset value -6.57% Ratios and supplemental data Net assets, end of period (thousands) $ 8,880 Ratio of net expenses to average net assets* 1.21%(c) Ratio of net investment income to average net assets* 0.73%(c) Portfolio turnover rate 26%(d) |
*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 3.81%(c) Ratio of net investment income (loss) to average net assets -1.87%(c)
** Commencement of investment operations and initial listing date on the New York Stock Exchange Arca.
(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 and does not include securities received or delivered from processing creations or redemptions.
See notes to financial statements.
Annual Report | May 31, 2008 | 55
Claymore Exchange-Traded Fund Trust 2 | Financial Highlights continued
ENY | Claymore/SWM Canadian Energy Income Index ETF For the Period July 3, 2007** Per share operating performance through for a share outstanding throughout the period May 31, 2008 -------------------------------------------------------------------------------- Net asset value, beginning of period $ 25.05 -------------------------------------------------------------------------------- Income from investment operations -------------------------------------------------------------------------------- Net investment income (loss) (a) 0.85 Net realized and unrealized gain (loss) on investments 6.41 -------------------------------------------------------------------------------- Total from investment operations 7.26 -------------------------------------------------------------------------------- Distributions to shareholders from Net investment income (0.73) -------------------------------------------------------------------------------- Net asset value, end of period $ 31.58 ================================================================================ Market value, end of period $ 31.71 ================================================================================ Total return*(b) Net asset value 29.62% Ratios and supplemental data Net assets, end of period (thousands) $ 34,102 Ratio of net expenses to average net assets* 0.83%(c) Ratio of net investment income (loss) to average net assets* 3.57%(c) Portfolio turnover rate 31%(d) |
*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 1.24%(c) Ratio of net investment income (loss) to average net assets 3.16%(c)
** Commencement of investment operations and initial listing date on the American Stock Exchange.
(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 and does not include securities received or delivered from processing creations or redemptions.
See notes to financial statements.
56 | Annual Report | May 31, 2008
Claymore Exchange-Traded Fund Trust 2 | Financial Highlights continued
CRO | Claymore/Zacks Country Rotation ETF For the Period July 11, 2007** Per share operating performance through for a share outstanding throughout the period May 31, 2008 -------------------------------------------------------------------------------- Net asset value, beginning of period $ 25.08 -------------------------------------------------------------------------------- Income from investment operations -------------------------------------------------------------------------------- Net investment income (loss) (a) 0.59 Net realized and unrealized gain (loss) on investments (1.08) -------------------------------------------------------------------------------- Total from investment operations (0.49) -------------------------------------------------------------------------------- Distributions to Shareholders from Net investment income (0.18) -------------------------------------------------------------------------------- Net asset value, end of period $ 24.41 ================================================================================ Market value, end of period $ 24.60 ================================================================================ Total return*(b) Net asset value -2.00% Ratios and supplemental data Net assets, end of period (thousands) $ 9,764 Ratio of net expenses to average net assets* 1.24%(c) Ratio of net investment income (loss) to average net assets* 2.53%(c) Portfolio turnover rate 51%(d) |
*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 2.98%(c) Ratio of net investment income (loss) to average net assets 0.79%(c)
** Commencement of investment operations and initial listing date on the American Stock Exchange.
(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 and does not include securities received or delivered from processing creations or redemptions.
See notes to financial statements.
Annual Report | May 31, 2008 | 57
Claymore Exchange-Traded Fund Trust 2 | Financial Highlights continued
HGI | Claymore/Zacks International Yield Hog Index ETF For the Period July 11, 2007** Per share operating performance through for a share outstanding throughout the period May 31, 2008 -------------------------------------------------------------------------------- Net asset value, beginning of period $ 24.98 -------------------------------------------------------------------------------- Income from investment operations -------------------------------------------------------------------------------- Net investment income (loss) (a) 0.88 Net realized and unrealized gain (loss) on investments (2.15) -------------------------------------------------------------------------------- Total from investment operations (1.27) -------------------------------------------------------------------------------- Distributions to Shareholders from Net investment income (0.62) -------------------------------------------------------------------------------- Net asset value, end of period $ 23.09 ================================================================================ Market value, end of period $ 24.00 ================================================================================ Total return*(b) Net asset value -5.02% Ratios and supplemental data Net assets, end of period (thousands) $ 9,234 Ratio of net expenses to average net assets* 1.10%(c) Ratio of net investment income (loss) to average net assets* 4.26%(c) Portfolio turnover rate 114%(d) |
*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 2.61%(c) Ratio of net investment income (loss) to average net assets 2.75%(c)
** Commencement of investment operations and initial listing date on the American Stock Exchange.
(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 and does not include securities received or delivered from processing creations or redemptions.
See notes to financial statements.
58 | Annual Report | May 31, 2008
Claymore Exchange-Traded Fund Trust 2
Notes to Financial Statements | As of May 31, 2008
Note 1 - Organization:
Claymore Exchange-Traded Fund Trust 2 (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 June 8, 2006. At the end of the period, the Trust consisted of 11 portfolios. The following 8 portfolios have an annual reporting period-end on May 31, 2008:
Claymore/Alpha Shares China Real Estate ETF "Alpha Shares China Real Estate" Claymore/Alpha Shares China Small Cap Index ETF "Alpha Shares China Small Cap" Claymore/Clear Global Exchanges, Brokers "Clear Global Exchanges, Brokers & & Asset Managers Index ETF Asset Managers" Claymore/Clear Global Timber Index ETF "Clear Global Timber" Claymore/Robb Report Global Luxury Index ETF "Robb Report Global Luxury" Claymore/SWM Canadian Energy Income Index ETF "SWM Canadian Energy Income" Claymore/Zacks Country Rotation ETF "Zacks Country Rotation" Claymore/Zacks International Yield Hog Index ETF "Zacks International Yield Hog" |
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 American Stock Exchange except AlphaShares China Real Estate and Robb Report Global Luxury and which are listed and traded on the NYSE Arca, Inc. ("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 ------------------------------------------------------------------------------------------ AlphaShares China Real Estate AlphaShares China Real Estate Index AlphaShares China Small Cap AlphaShares China Small Cap Index Clear Global Exchanges, Brokers & Asset Managers Clear Global Exchanges, Brokers & Asset Managers Index Clear Global Timber Clear Global Timber Index Robb Report Global Luxury Robb Report Global Luxury Index SWM Canadian Energy Income Sustainable Canadian Energy Income Index Zacks Country Rotation Zacks Country Rotation Index Zacks International Yield Hog Zacks International Yield Hog 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.
The following is a summary of the significant accounting policies followed by the Funds.
(a) Valuation of Investments
Equity securities 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 asked 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 Arca. Debt securities are valued at the mean between the last available bid and asked prices for such securities or, if such prices are not available, at prices for securities of comparable maturity, quality and type. For those securities where quotations or prices are not available, valuations are determined in accordance with procedures established in good faith by the Board of Trustees. Short-term securities with maturities of 60 days or less at time of purchase are valued at amortized cost, which approximates market value.
(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 estimate may subsequently be revised on information received from MLPs 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 Zacks International Yield Hog which will pay a quarterly distribution. 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) Offering Costs
For Clear Global Exchanges, Brokers & Asset Managers; Robb Report Global Luxury; SWM Canadian Energy Income; Zacks Country Rotation and Zacks International Yield Hog, offering costs in the amount of $49,000 were incurred by each Fund, and are being amortized over a one-year period from each Fund's commencement of operations. For AlphaShares China Real Estate; AlphaShares China Small Cap; and Clear Global Timber, offering costs are being accrued at an annual rate of the lesser of actual costs incurred or 0.25% of average daily net assets over
Annual Report | May 31, 2008 | 59
Claymore Exchange-Traded Fund Trust 2 | Notes to Financial Statements continued
the first year of operations, and for these three funds, Claymore Advisors, LLC has agreed to pay all offering costs in excess of 0.25%.
(f) 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, cash equivalents 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 securities lending income earned by the Funds is disclosed on the Statement of Operations.
Note 3 - Investment 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 -------------------------------------------------------------------------------- AlphaShares China Real Estate 0.50% AlphaShares China Small Cap 0.55% Clear Global Exchanges, Brokers & Asset Managers 0.50% Clear Global Timber 0.50% Robb Report Global Luxury 0.50% SWM Canadian Energy Income 0.50% Zacks Country Rotation 0.50% Zacks International Yield Hog 0.50% 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 May 31, 2008, each Fund recognized Fund Administration |
expenses and waived Fund Administration expenses as follows:
Fund Administration Fund Administration Expense Expense Waived ------------------------------------------------------------------------------------------- AlphaShares China Real Estate $ 3,579 $ 3,579 AlphaShares China Small Cap $ 771 $ 771 Clear Global Exchanges, Brokers & Asset Managers $ 5,971 $ 5,971 Clear Global Timber $ 5,058 $ 0 Robb Report Global Luxury $ 1,858 $ 1,858 SWM Canadian Energy Income $ 7,031 $ 0 Zacks Country Rotation $ 1,705 $ 1,705 Zacks International Yield Hog $ 2,267 $ 2,267 |
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.
The Funds' Adviser has contractually agreed to waive fees and/or pay Fund expenses to the extent necessary to prevent the operating expenses of each 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, 2009:
Fund Rate -------------------------------------------------------------------------------- AlphaShares China Real Estate 0.65% AlphaShares China Small Cap 0.70% Clear Global Exchanges, Brokers & Asset Managers 0.65% Clear Global Timber 0.65% Robb Report Global Luxury 0.70% SWM Canadian Energy Income 0.65% Zacks Country Rotation 0.65% Zacks International Yield Hog 0.65% Amounts owed to each Fund from the Adviser are shown in the Statement of Assets & Liabilities. |
The offering costs excluded from the expense cap are (a) legal fees pertaining
to the Funds' shares offered for sale; (b) SEC and state registration fees; and
(c) initial fees paid to be listed on an exchange. The Trust and the Adviser
have entered into an Expense Reimbursement Agreement in which for a period of
five years subsequent to each 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.
60 | Annual Report | May 31, 2008
Claymore Exchange-Traded Fund Trust 2 | Notes to Financial Statements continued
For the period ended May 31, 2008, the Adviser waived fees and assumed the following fees and expenses:
Cumulative Advisory Potentially Fees Expenses Recoverable Waived Assumed Expense ------------------------------------------------------------------------------------- AlphaShares China Real Estate $ 65,077 $ 5,882 $ 70,959 AlphaShares China Small Cap $ 15,420 $ 45,221 $ 60,641 Clear Global Exchanges, Brokers & Asset Managers $ 108,561 $ 12,535 $ 121,096 Clear Global Timber $ 89,294 $ 0 $ 89,294 Robb Report Global Luxury $ 33,781 $ 142,140 $ 175,921 SWM Canadian Energy Income $ 105,078 $ 0 $ 105,078 Zacks Country Rotation $ 31,004 $ 76,908 $ 107,912 Zacks International Yield Hog $ 41,214 $ 83,019 $ 124,233 |
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 with the following Licensors:
Fund Licensor ------------------------------------------------------------------------------------------------------------ AlphaShares China Real Estate AlphaShares, Inc. AlphaShares China Small Cap AlphaShares, Inc. Clear Global Exchanges, Brokers & Asset Managers Clear Indexes LLC Clear Global Timber Clear Indexes LLC Robb Report Global Luxury CurtCo Robb Media, LLC, Publisher of Robb Report Magazine SWM Canadian Energy Income Sustainable Wealth Management, Ltd. Zacks Country Rotation Zacks Investment Research, Inc. Zacks International Yield Hog Zacks Investment Research, Inc. |
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 May 31, 2008, the cost of investments and accumulated unrealized appreciation/depreciation on investments, excluding foreign currency, and accumulated earnings/loss, for federal income tax purposes were as follows:
Net Tax Undistributed Undistributed Unrealized Ordinary Long-Term Cost of Net Tax Appreciation Income/ Gains/ Investments Gross Tax Gross Tax Unrealized (Depreciation) (Accumulated (Accumulated for Tax Unrealized Unrealized Appreciation on Foreign Ordinary Capital & Purposes Appreciation Depreciation (Depreciation) Currency Loss) Other Loss) ----------------------------------------------------------------------------------------------------------------------------------- AlphaShares China Real Estate $ 35,713,457 $ 155,909 $ (6,213,921) $ (6,058,012) $ (150) $ 245,091 $ (115,547) AlphaShares China Small Cap 11,960,046 742,800 (1,174,620) (431,820) (27) 103,052 (29,278) Clear Global Exchanges, Brokers & Asset Managers 22,078,010 122,205 (4,644,152) (4,521,947) (733) 179,793 (1,319,074) Clear Global Timber 58,557,365 2,921,021 (3,836,893) (915,872) (3,585) 360,121 (905,707) Robb Report Global Luxury 9,775,165 290,565 (1,013,745) (723,180) (4,192) 66,468 (583,922) SWM Canadian Energy Income 28,282,723 5,883,798 (175,997) 5,707,801 (223) 372,902 (111,507) Zacks Country Rotation 10,191,810 338,915 (770,012) (431,097) (1,894) 157,452 0 Zacks International Yield Hog 9,587,465 579,293 (699,052) (119,759) (149) 110,710 (776,387) |
Annual Report | May 31, 2008 | 61
Claymore Exchange-Traded Fund Trust 2 | Notes to Financial Statements continued
Distributions to Shareholders:
The tax character of distributions paid during the period ended May 31, 2008 was as follows:
Distributions paid from Ordinary Income -------------------------------------------------------------------------------- Clear Global Exchanges, Brokers & Asset Managers $ 48,000 Clear Global Timber $ 50,400 Robb Report Global Luxury $ 16,000 SWM Canadian Energy Income $ 876,000 Zacks Country Rotation $ 35,000 Zacks International Yield Hog $ 248,000 At May 31, 2008, 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 Available Through 2016 -------------------------------------------------------------------------------- Clear Global Exchanges, Brokers & Asset Managers $ 735 Robb Report Global Luxury $ 432 Zacks International Yield Hog $ 434,730 Capital losses and foreign currency transactions 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 period ended May 31,2008, the following Funds incurred and will elect to defer net capital and currency losses as follows:
Post-October Foreign Post-October Currency Losses Transactions -------------------------------------------------------------------------------- AlphaShares China Real Estate $ 115,547 $ 369 AlphaShares China Small Cap $ 29,278 $ 268 Clear Global Exchanges, Brokers & Asset Managers $ 1,318,339 $ 7,824 Clear Global Timber $ 905,707 $ 25,100 Robb Report Global Luxury $ 583,490 $ 43 SWM Canadian Energy Income $ 111,507 $ 15,041 Zacks Country Rotation $ 0 $ 10,248 Zacks International Yield Hog $ 341,657 $ 8,963 At May 31, 2008 the following reclassifications were made to the capital |
accounts of the Funds, to reflect permanent book/tax differences and income and gains available for distributions under income tax regulations, which are primarily due to the differences between book and tax treatment of investments in real estate investment trusts, investments in partnerships, wash sales from redemption in-kind transactions, redemption in-kind transactions, return of capital, and net investment losses. Net investment income, net realized gains and net assets were not affected by these changes.
Undistributed Accumulated Net Investment Net Realized Paid in Income/(Loss) Gain/(Loss) Capital -------------------------------------------------------------------------------- AlphaShares China Real Estate $ 32,169 $ 400,429 $ (432,598) AlphaShares China Small Cap $ 6,741 $ 268 $ (7,009) Clear Global Exchanges, Brokers & Asset Managers $ 32,292 $ 5,854,373 $ (5,886,665) Clear Global Timber $ (90,006) $ 135,993 $ (45,987) Robb Report Global Luxury $ 33,078 $ 179 $ (33,257) SWM Canadian Energy Income $ 389,030 $ (1,094,312) $ 705,282 Zacks Country Rotation $ 25,982 $ 9,977 $ (35,959) Zacks International Yield Hog $ 5,342 $ 30,931 $ (36,273) |
On July 13, 2006, the Financial Accounting Standards Board ("FASB") released FASB Interpretation No. 48,"Accounting for Uncertainty in Income Taxes" ("FIN48"). FIN48 provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in financial statements. FIN 48 requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Fund's tax returns to determine whether the tax positions are "more-likely-than-not" of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expenses in the current year. Management has evaluated the implications of FIN 48 and has determined it does not have any impact on the financial statements as of May 31, 2008. There is no tax liability resulting from unrecognized tax benefits relating to uncertain income tax positions taken or expected to be taken on the tax return for the fiscal year-end May 31, 2008. The Funds are 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 twelve months.
FIN 48 requires the Funds to analyze all open tax years. Open tax years are those years that are open for examination by the relevant income taxing authority. As of May 31, 2008, open Federal and state income tax years include the tax year ended May 31, 2008. The Funds have no examination in progress.
Note 5 - Investment Transactions:
For the period ended May 31, 2008, the cost of investments purchased and proceeds from sales of investments, excluding short-term investments and in-kind transactions, were as follows:
Purchases Sales -------------------------------------------------------------------------------- AlphaShares China Real Estate $ 398,658 $ 380,073 AlphaShares China Small Cap $ 117,925 $ 80,929 Clear Global Exchanges, Brokers & Asset Managers $ 17,928,627 $ 19,515,095 Clear Global Timber $ 8,588,222 $ 8,268,148 Robb Report Global Luxury $ 2,165,437 $ 2,104,876 SWM Canadian Energy Income $ 9,002,536 $ 8,969,087 Zacks Country Rotation $ 3,681,983 $ 3,574,034 Zacks International Yield Hog $ 10,609,914 $ 10,562,739 |
For the period ended May 31, 2008, in-kind transactions were as follows:
Purchases Sales -------------------------------------------------------------------------------- AlphaShares China Real Estate $ 43,402,183 $ 8,072,754 AlphaShares China Small Cap $ 11,856,201 $ 0 Clear Global Exchanges, Brokers & Asset Managers $ 62,736,956 $ 32,133,153 Clear Global Timber $ 58,778,891 $ 0 Robb Report Global Luxury $ 10,157,406 $ 0 SWM Canadian Energy Income $ 32,710,370 $ 5,402,252 Zacks Country Rotation $ 10,074,553 $ 0 Zacks International Yield Hog $ 10,056,196 $ 0 62 | Annual Report | May 31, 2008 |
Claymore Exchange-Traded Fund Trust 2 | Notes to Financial Statements continued
Note 6 - Capital:
Shares are issued and redeemed by the Funds only in Creation Unit size aggregations of 80,000 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 unit of the Fund on the transaction date. Transaction fees ranging from $1,000 to $7,000 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 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 services 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 Fund's 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 - Accounting Pronouncements:
In September 2006, the FASB issued Statement of Financial Accounting Standard ("SFAS") No. 157, "Fair Valuation Measurements" ("FAS 157"). This standard clarifies the definition of fair value for financial reporting, establishes a framework for measuring fair value and requires additional disclosures about the use of fair value measurements. FAS 157 is effective for financial statements issued for fiscal years beginning after November 15, 2007 and interim periods within those fiscal years. As of May 31, 2008, the Funds do not believe the adoption of FAS 157 will impact the amounts reported in the financial statements, however, additional disclosure will be required about the inputs used to develop measurements of fair value and the effect of certain of the measurements reported in the statement of operations for a fiscal period.
In March 2008, the FASB issued Statement of Financial Accounting Standards
("SFAS") No. 161, "Disclosures about Derivative Instruments and Hedging
Activities. "This standard is intended to enhance financial statement
disclosures for derivative instruments and hedging activities and enable
investors to understand: a) how and why a fund uses derivative instruments, b)
how derivative instruments and related hedge fund items are accounted for, and
c) how derivative instruments and related hedge items affect a fund's financial
position, results of operations and cash flows. SFAS No. 161 is effective for
financial statements issued for fiscal years and interim periods beginning after
November 15, 2008. As of May 31, 2008, management does not believe the adoption
of SFAS No. 161 will impact the financial statement amounts; however, additional
footnote disclosures may be required about the use of derivative instruments and
hedging items.
Note 10 - Subsequent Event:
Subsequent to May 31, 2008, the board of trustees declared the following quarterly dividends payable on June 30, 2008 to shareholders of record on June 26, 2008. The dividend rates per common share were as follows:
Fund Rate -------------------------------------------------------------------------------- SWM Canadian Energy Income $ 0.189 Zacks International Yield Hog 0.240 Beginning with the June 30, 2008 distribution, SWM Canadian Energy Income |
changed its dividend frequency to quarterly.
Annual Report | May 31, 2008 | 63
Claymore Exchange-Traded Fund Trust 2
Report of Independent Registered Public Accounting Firm |
To the Shareholders and Board of Trustees of Claymore Exchange-Traded Fund Trust 2
We have audited the accompanying statements of assets and liabilities of Claymore/AlphaShares China Real Estate ETF, Claymore/AlphaShares China Small Cap Index ETF, Claymore/Clear Global Exchanges, Brokers & Asset Managers Index ETF, Claymore/Clear Global Timber Index ETF, Claymore/Robb Report Global Luxury Index ETF, Claymore/SWM Canadian Energy Income Index ETF, Claymore/Zacks Country Rotation ETF and Claymore/Zacks International Yield Hog Index ETF (eight of the portfolios constituting the Claymore Exchange-Traded Fund Trust 2) (collectively, the "Funds"), comprising the Claymore Exchange-Traded Fund Trust 2, including the portfolios of investments, as of May 31, 2008, and the related statements of operations, the statements of changes in net assets, and the financial highlights for the periods indicated therein. These financial statements and financial highlights are the responsibility of the Funds' management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Funds' internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Funds' internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of May 31, 2008, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of each of the respective eight Funds comprising the Claymore Exchange-Traded Fund Trust 2 at May 31, 2008, and the results of their operations, changes in their net assets and the financial highlights for the periods indicated therein, in conformity with U.S. generally accepted accounting principles.
/s/ Ernst & Young LLP Chicago, Illinois July 25, 2008 |
64 | Annual Report | May 31, 2008
Claymore Exchange-Traded Fund Trust 2
Supplemental Informationl | (unaudited)
Federal Income Tax Information
The Trust intends to designate the maximum amount of dividends that qualify for the reduced tax rate pursuant to the Jobs and Growth Tax Relief Reconciliation Act of 2003.
In January 2009, you will be advised on IRS Form 1099 DIV or substitute 1099 DIV as to the federal tax status of the distributions received by you in the calendar year 2008.
Claymore/Clear Timber Index ETF intends to designate $43,184 of foreign tax withholding on foreign source income of $494,334.
Claymore/Robb Report Global Luxury Index ETF intends to designate $15,610 of foreign tax withholding on foreign source income of $115,542.
Claymore/SWM Canadian Energy Income Index ETF intends to designate $198,696 of foreign tax withholding on foreign source income of $1,324,655.
Claymore/Zacks Country Rotation ETF intends to designate $22,763 of foreign tax withholding on foreign source income of $255,178.
Claymore/Zacks International Yield Hog Index ETF intends to designate $36,137 of foreign tax withholding on foreign source income of $346,490.
The Trust's investment income (dividend income plus short-term gains, if any) qualifies as follows:
Qualified dividend Dividends-received income deduction ------------------------------------------------------------------------------- Clear Global Exchanges, Brokers & Asset Managers 100.00% 96.64% Clear Global Timber 100.00% 15.46% Robb Report Global Luxury 100.00% 37.07% SWM Canadian Energy Income 93.83% 0.00% Zacks Country Rotation 100.00% 0.75% Zacks International Yield Hog 96.12% 4.14% |
Trustees
The Trustees of the Claymore Exchange-Traded Fund Trust 2 and their principal business occupations during the past five years:
Name, Address*, Year Term of Office** Principal Occupations During Number of Funds of Birth and Position(s) and Length of the Past Five Years and in Fund Complex*** Other Directorships held with Registrant Time Served Other Affiliations Overseen by Trustee Held by Trustee ----------------------------------------------------------------------------------------------------------------------------------- Independent Trustees: =================================================================================================================================== Randall C. Barnes Since 2006 Private Investor. Formerly, Senior Vice 41 None Year of Birth: 1951 President & Treasurer, PepsiCo, Inc. Trustee (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 law 44 None Year of Birth: 1953 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). ----------------------------------------------------------------------------------------------------------------------------------- Ronald E. Toupin, Jr. Since 2006 Retired. Formerly, Vice President, Manager 41 None Year of Birth: 1958 and Portfolio Manager of Nuveen Asset Trustee 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). ----------------------------------------------------------------------------------------------------------------------------------- Interested Trustees: =================================================================================================================================== Nicholas Dalmaso+ Since 2006 Attorney. Formerly, Senior Managing Director 44 None Year of Birth: 1965 and Chief Administrative Officer (2007-2008) Trustee and General Counsel (2001-2007) of Claymore Advisors, LLC and Claymore Securities, Inc. Formerly, Assistant General Counsel, John Nuveen and Co., Inc. (1999-2000).Former Vice President and Associate General Counsel of Van Kampen Investments, Inc. (1992-1999). ----------------------------------------------------------------------------------------------------------------------------------- |
* Address for all Trustees unless otherwise noted: 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.
+ Mr. Dalmaso is an "interested person" (as defined in Section 2(a)(19) of the 1940 Act) of the Trust as a result of his former position as an officer of, and his equity ownership in, the Adviser and certain of its affiliates.
Annual Report | May 31, 2008 | 65
Claymore Exchange-Traded Fund Trust 2 | Supplemental Information continued
Officers
The Officers of the Trust and their principal occupations during the past five years:
Name, Address*, Year of Birth and Term of Office** and Principal Occupation During the Past Five Years Position(s) held with Registrant Length of Time Served and Other Affiliations ------------------------------------------------------------------------------------------------------------------------------- Officers: =============================================================================================================================== J. Thomas Futrell Effective Senior Managing Director and Chief Investment Officer of Claymore Year of Birth: 1955 May 29, 2008 Advisors, LLC and Securities, Inc. (2008-Present). Formerly Managing Chief Executive Officer Director of Research, Nuveen Asset Management (2000-2007). ------------------------------------------------------------------------------------------------------------------------------- Steven M. Hill Since 2006 Senior Managing Director of Claymore Advisors, LLC and Claymore Year of Birth: 1964 Securities, Inc. (2005-present); Formerly, Chief Financial Officer of Chief Accounting Officer, Chief Claymore Group Inc. (2005-2006); Managing Director of Claymore Financial Officer and Treasurer Advisors, LLC and Claymore Securities, Inc. (2003-2005); Treasurer of Henderson Global Funds and Operations Manager for Henderson Global Investors (NA) Inc., (2002-2003); Managing Director, FrontPoint Partners LLC (2001-2002);Vice President, Nuveen Investments (1999-2001). ------------------------------------------------------------------------------------------------------------------------------- Kevin Robinson Effective Senior Managing Director and General Counsel of Claymore Advisors, Year of Birth: 1959 May 29, 2008 LLC and Claymore Group, Inc. (2007-Present). Formerly, Associate Chief Legal Officer 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, Assistant General Counsel of Claymore Group Year of Birth: 1978 Inc. (2005-present). Secretary of certain funds in the Fund Complex; Secretary Formerly, Associate, Vedder Price, P.C. (2003-2005). ------------------------------------------------------------------------------------------------------------------------------- William H. Belden, III Since 2006 Managing Director of Claymore Advisors, LLC (2005-present). Formerly, Year of Birth: 1965 Vice President of Product Management at Northern Trust Global Vice President. Investments (1999-2005) ------------------------------------------------------------------------------------------------------------------------------- Chuck Craig Since 2006 Managing Director (2006-present), Vice President (2003-2006) of Year of Birth:1967 Claymore Advisors, LLC. Formerly, Assistant Vice President, First Vice President 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.
66 | Annual Report | May 31, 2008
Claymore Exchange-Traded Fund Trust 2
Board Considerations Regarding Approval of Investment Advisory Agreement |
Claymore/AlphaShares China Small Cap Index ETF
The Advisory Agreement between Claymore Advisors, LLC (the "Investment Adviser") and the Trust on behalf of the above-named fund ("Fund") was approved by the Board of Trustees, including all of the trustees who are not parties to such agreement or interested persons of any such party, on January 23, 2008. The Board of Trustees, including a majority of the independent trustees, determined that approval of the Advisory Agreement was in the best interests of the Fund. The independent trustees, with the assistance of independent legal counsel, met separately from the "interested" trustee of the Trust and officers and employees of the Investment Adviser to consider approval of the Advisory Agreement. The Board of Trustees, including the independent trustees, did not identify any single factor or group of factors as all important or controlling and considered all factors together. In evaluating whether to approve the Advisory Agreement for the Fund, the Board considered numerous factors, as described below.
With respect to the nature, extent and quality of the services to be provided by the Investment Adviser under the Advisory Agreement, the Board considered and reviewed information concerning the services proposed to be provided under the Advisory Agreement, the proposed investment parameters of the index for the Fund, the Investment Adviser's Form ADV, financial information regarding the Investment Adviser and its parent company, information describing the Investment Adviser's current organization and the background and experience of the persons who would be responsible for the management of the Fund, the anticipated financial support of the Fund and the nature and quality of services provided to other exchange-traded ("ETFs") and closed-end funds by the Investment Adviser. The Board also considered the services to be provided by the Investment Adviser in its oversight of the Fund's custodian, transfer agent, and accounting agent, as well as the index licensor for the Fund, and noted the significant time and effort that would be devoted to this oversight function. Since the Fund is newly organized and has no investment performance, the Board did not consider investment performance of the Fund. Based upon its review, the Board concluded that the Investment Adviser was qualified to manage the Fund and to oversee the services to be provided by other service providers and that the services to be provided by the Investment Adviser to the Fund were expected to be satisfactory.
With respect to the costs of services to be provided and profits to be realized by the Investment Adviser, the Board considered the resources involved in managing the Fund as well as the proposed expense limitation for the Fund. The Board noted that because the Fund was newly organized and had no assets, the Investment Adviser did not provide profitability information. However, based upon the proposed expense limitation for the Fund, the Board concluded that profitability was not expected to be unreasonable.
The Board also reviewed information provided by the Investment Adviser showing the proposed advisory fee for the Fund as compared to those of a peer group of ETFs provided by the Investment Adviser. The Board noted the services to be provided by the Investment Adviser for the annual advisory fee of the Fund's average daily net assets of 0.55% for the Claymore/AlphaShares China Small Cap ETF and 0.50% for the Claymore S&P Shipping ETF. The Board also considered that the Investment Adviser had contractually agreed to pay expenses of the Fund to the extent necessary to absorb the annual operating expenses of the Fund (excluding interest expenses, a portion of the 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, until the earlier of December 31, 2010 or termination of the Advisory Agreement. The Board considered that each Fund's proposed advisory fee was within range of those in the peer group of ETFs provided by the Investment Adviser. The Board concluded that the Fund's advisory fee was reasonable given the nature, extent and anticipated quality of the services to be provided under the Advisory Agreement and the expense limitation that would be in place.
The Board considered the extent to which economies of scale would be realized as the Fund grows and whether fee levels reflect a reasonable sharing of such economies of scale for the benefit of the Fund's investors. Because the Fund was newly organized, the Board reviewed the Fund's proposed expense limitation and determined to review economies of scale in the future when the Fund had attracted assets. The Board also noted that the terms of the expense reimbursement agreement that the Investment Adviser had entered into with the Fund allow the Investment Adviser for a period of five years subsequent to the Fund's commencement of operations to recover from the Fund fees and expenses waived or reimbursed during the prior three years if the Fund's expense ratio, including certain of the recovered expenses falls below the expense limitation.
The Board considered benefits to be derived by the Investment Adviser from its relationship with the Fund, including the benefits to the Investment Adviser from its separate Administration Agreement with the Trust. The Board concluded that the advisory fees were reasonable, taking into account these benefits.
Annual Report | May 31, 2008 | 67
Claymore Exchange-Traded Fund Trust 2 |
Board Considerations Regarding Approval of Investment Advisory Agreement
continued
Claymore/Clear Global Timber Index ETF
Claymore/AlphaShares China Real Estate ETF
The Advisory Agreement between Claymore Advisors, LLC (the "Investment Adviser") and the Trust on behalf of the above-named funds ("Funds") was approved by the Board of Trustees, including all of the trustees who are not parties to such agreement or interested persons of any such party, on October 16,2007.The Board of Trustees, including a majority of the independent trustees, determined that approval of the Advisory Agreement was in the best interests of the Funds. The independent trustees, with the assistance of independent legal counsel, met separately from the "interested" trustee of the Trust and officers and employees of the Investment Adviser to consider approval of the Advisory Agreement. The Board of Trustees, including the independent trustees, did not identify any single factor or group of factors as all important or controlling and considered all factors together. In evaluating whether to approve the Advisory Agreement for the Funds, the Board considered numerous factors, as described below.
With respect to the nature, extent and quality of the services to be provided by the Investment Adviser under the Advisory Agreement, the Board considered and reviewed information concerning the services proposed to be provided under the Advisory Agreement, the proposed investment parameters of the index for each Fund, the Investment Adviser's Form ADV, financial information regarding the Investment Adviser and its parent company, information describing the Investment Adviser's current organization and the background and experience of the persons who would be responsible for the management of the Funds, the anticipated financial support of the Funds and the nature and quality of services provided to other exchange-traded ("ETFs") and closed-end funds by the Investment Adviser. The Board also considered the services to be provided by the Investment Adviser in its oversight of the Funds'custodian, transfer agent, and accounting agent, as well as the index licensor for each Fund, and noted the significant time and effort that would be devoted to this oversight function. Since each Fund is newly organized and has no investment performance of the Funds, the Board did not consider investment performance of the Funds. Based upon its review, the Board concluded that the Investment Adviser was qualified to manage the Funds and to oversee the services to be provided by other service providers and that the services to be provided by the Investment Adviser to the Funds were expected to be satisfactory.
With respect to the costs of services to be provided and profits to be realized by the Investment Adviser, the Board considered the resources involved in managing the Funds as well as the proposed expense limitation for the Funds. The Board noted that because each Fund was newly organized and had no assets, the Investment Adviser did not provide profitability information. However, based upon the proposed expense limitation for the Funds, the Board concluded that profitability was not expected to be unreasonable.
The Board also reviewed information provided by the Investment Adviser showing the proposed advisory fee for the Fund as compared to those of a peer group of ETFs provided by the Investment Adviser. The Board noted the services to be provided by the Investment Adviser for the annual advisory fee of 0.50% of the Fund's average daily net assets. The Board also considered that the Investment Adviser had contractually agreed to waive its fee and/or pay expenses of the Fund to the extent necessary to absorb the annual operating expenses of the Fund (excluding interest expenses, 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 a Fund's business) over a certain amount until the earlier of December 31, 2009 or termination of the Advisory Agreement. The Board considered that each Fund's proposed advisory fee was within range of those in the peer group of ETFs provided by the Investment Adviser. The Board concluded that the Fund's advisory fee was reasonable given the nature, extent and anticipated quality of the services to be provided under the Advisory Agreement and the expense limitation that would be in place.
The Board considered the extent to which economies of scale would be realized as the Funds grow and whether fee levels reflect a reasonable sharing of such economies of scale for the benefit of each Fund's investors. Because each Fund was newly organized, the Board reviewed the Funds' proposed expense limitation and determined to review economies of scale in the future when each Fund had attracted assets. The Board also noted that the terms of the expense reimbursement agreement that the Investment Adviser had entered into with the Funds allow the Investment Adviser for a period of five years subsequent to each Fund's commencement of operations to 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 limitation.
The Board considered benefits to be derived by the Investment Adviser from its relationship with the Funds, including the benefits to the Investment Adviser from its separate Administration Agreement with the Trust. The Board concluded that the advisory fees were reasonable, taking into account these benefits.
68 | Annual Report | May 31, 2008
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Claymore Exchange-Traded Fund Trust 2
Trust Information |
Board of Trustees
Randall C. Barnes
Nicholas Dalmaso*
Ronald A. Nyberg
Ronald E. Toupin, Jr.
* Trustee is an "interested person" of the Trust as defined in the Investment Company Act of 1940, as amended, as a result of his former position as an officer of, and his equity ownership in the Adviser and certain of its affiliates.
Officers
J. Thomas Futrell
Chief Executive Officer
Steven M. Hill
Chief Accounting Officer,
Chief Financial Officer and Treasurer
Kevin Robinson
Chief Legal Officer
Bruce Saxon
Chief Compliance Officer
Melissa J. Nguyen
Secretary
William H. Belden III
Vice President
Chuck Craig
Vice President
Investment Adviser
Claymore Advisors, LLC
Lisle, IL
Distributor
Claymore Securities, Inc.
Lisle, IL
Administrator
Claymore Advisors, LLC
Lisle, IL
Accounting Agent, Custodian and Transfer Agent
The Bank of New York Mellon
New York, NY
Legal Counsel
Clifford Chance US LLP
New York, NY
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 the 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 or by accessing the Funds' Form N-PX on the SEC's website at www.sec.gov or www.claymore.com.
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 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 or at www.sec.gov.
Annual Report | May 31, 2008 | 71
Claymore Exchange-Traded Fund Trust 2
About the Fund Manager |
Claymore Advisors, LLC
Claymore Advisors, LLC 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. Claymore Advisors, LLC also acts as investment adviser to closed-end and open-end management investment companies. Claymore entities have provided supervision, management, servicing or distribution on approximately $19.3 billion in assets as of May 31, 2008. Claymore currently offers exchange-traded funds, closed-end funds, and unit investment trusts.
Portfolio Management
The portfolio manager who is currently responsible for the day-to-day management of the Funds' portfolio is Chuck Craig, CFA. Mr. Craig has managed each Fund's portfolio since its inception. Mr. Craig is a Managing Director, Portfolio Management and Supervision, of the Investment Adviser and Claymore Securities, Inc. and joined Claymore Securities, Inc. in May of 2003. Before joining Claymore Securities, Inc., Mr. Craig spent four years with First Trust Portfolios L.P. (formerly Nike Securities) as an equity-research analyst and portfolio manager within the Equity Strategy Research group. Mr. Craig received a M.S. in Financial Markets from the Center for Law and Financial Markets at the Illinois Institute of Technology. He also earned a B.S. in Finance from Northern Illinois University.
Claymore Exchange-Traded Fund Trust 2 Overview
The Claymore Exchange-Traded Fund Trust 2 (the "Trust") is an investment company consisting of 11 separate exchange-traded "index funds" as of May 31, 2008. The investment objective of each of the funds is to replicate as closely as possible, before fees and expenses, the performance of a specified market index.
This material must be preceded or accompanied by a prospectus for the fund being
offered. The prospectus contains information about the fund including a
discussion of investment objectives, risks, ongoing expenses and sales charges.
If a prospectus did not accompany this report, you can obtain one from your
financial adviser, from our website at http://www.claymore.com or by calling
(888) 949-3837. Please read the prospectus carefully before investing. The
Statement of Additional Information that includes additional information about
the Trustees is also available, without charge, upon request via our website at
http://www.claymore.com or by calling (888) 949-3837. All funds are subject to
market risk and shares when sold may be worth more or less than their original
cost. You can lose money investing in the funds.
Claymore Securities, Inc.
2455 Corporate West Drive
Lisle, IL 60532 Member FINRA/SIPC NOT FDIC-INSURED | NOT BANK-GUARANTEED | MAY LOSE VALUE (07/08) ETFT-002-AR-0508 |
Item 2. Code of Ethics.
(a) The registrant has adopted a code of ethics (the "Code of Ethics") that applies to its principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions.
(b) No information need be disclosed pursuant to this paragraph.
(c) During the period covered by the shareholder report presented in Item 1, there were no amendments to any provision of the registrant's Code of Ethics applicable to the registrant's principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions.
(d) The registrant has not granted a waiver or an implicit waiver to its principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions from a provision of its Code of Ethics during the period covered by this report.
(e) Not applicable.
(f) (1) The registrant's Code of Ethics is attached hereto as an exhibit.
(2) Not applicable.
(3) Not applicable.
Item 3. Audit Committee Financial Expert.
The registrant's Board of Trustees has determined that it has at least one audit committee financial expert serving on its audit committee, Ronald E. Toupin, Jr. Mr. Toupin is an "independent" Trustee as defined in Item 3 of Form N-CSR. Mr. Toupin qualifies as an audit committee financial expert by virtue of his experience obtained as a portfolio manager and research analyst, which included review and analysis of offering documents and audited and un-audited financial statements using GAAP to show accounting estimates, accruals and reserves.
(Under applicable securities laws, a person who is determined to be an audit committee financial expert will not be deemed an "expert" for any purpose, including without limitation for the purposes of Section 11 of the Securities Act of 1933, as amended, as a result of being designated or identified as an audit committee financial expert. The designation or identification of a person as an audit committee financial expert does not impose on such person any duties, obligations, or liabilities that are greater than the duties, obligations, and liabilities imposed on such person as a member of the audit committee and Board of Trustees in the absence of such designation or identification. The designation of identification of a person as an audit committee financial expert does not affect the duties, obligations or liability of any other member of the audit committee or Board of Trustees.)
Item 4. Principal Accountant Fees and Services.
(a) Audit Fees: the aggregate fees billed for the Trust's fiscal period ended May 31, 2008 for professional services rendered by the principal accountant for the audit of the registrant's annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for such fiscal period were $138,845. The aggregate Audit Fees billed for fiscal year 2007 for professional services rendered by the principal accountant were $0 as the Trust was not in existence in 2007.
(b) Audit-Related Fees: the aggregate fees billed for the Trust's fiscal period ended May 31, 2008 for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant's financial statements and are not reported under paragraph 4(a), including agreed upon procedures reports performed for rating agencies and the issuance of comfort letters, were $0. The Audit-Related Fees billed for fiscal year 2007 were $0 as the Trust was not in existence in 2007.
(c) Tax Fees: the aggregate fees billed for the Trust's fiscal period ended May 31, 2008 for professional services rendered by the principal accountant for tax compliance, tax advice and tax planning, including federal, state and local income tax return preparation and related advice and determination of taxable income and miscellaneous tax advice were $48,000. The Tax Fees billed for fiscal year 2007 were $0 as the Trust was not in existence in 2007.
(d) All Other Fees: the aggregate fees billed for the Trust's fiscal period ended May 31, 2008 for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item were $0. The Other Audit Fees billed for fiscal year 2007 were $0 as the Trust was not in existence in 2007.
(e) Audit Committee Pre-Approval Policies and Procedures:
In accordance with Rule 2-01(c)(7)(A), the Audit Committee pre-approves all of the Audit and Tax Fees of the registrant. All of the services described in paragraphs (b) through (d) above were approved by the Audit Committee in accordance with paragraph (c)(7)(i)(c) of Rule 2-01 of Regulation S-X.
The Trust's Audit Committee has adopted written policies relating to the pre-approval of the audit and non-audit services performed by the Trust's independent auditors. Unless a type of service to be provided by the independent auditors has received general pre-approval, it requires specific pre-approval by the Audit Committee. Under the policies, on an annual basis, the Trust's Audit Committee reviews and pre-approves the services to be provided by the independent auditors without having obtained specific pre-approval from the Audit Committee. The Audit Committee has delegated pre-approval authority to the Audit Committee Chairperson. In addition, the Audit Committee pre-approves any permitted non-audit services to be provided by the independent auditors to the registrant's investment adviser or any entity controlling, controlled by, or under common control with the adviser if such services related directly to the operations and financial reporting of the Trust.
(f) The percentage of hours expended on the principal accountant's engagement to audit the Trust's financial statements for the Trust's fiscal period ended May 31, 2008 attributable to work performed by persons other than the principal accountant's full-time, permanent employees was 0%.
(g) The aggregate non-audit fees billed by the registrant's accountant for services rendered to the registrant, the registrant's investment adviser (not including a sub-adviser whose role is primarily portfolio management and is sub-contracted with or overseen by another investment adviser) and/or any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant that directly related to the operations and financial reporting of the registrant for the registrant's fiscal period ended May 31, 2008 were $0.
(h) Not applicable.
Item 5. Audit Committee of Listed Registrants.
The Registrant has a separately designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Securities Exchange Act of 1934, as amended. The audit committee of the Registrant is comprised of: Ronald A. Nyberg; Ronald E. Toupin, Jr., and Randall C. Barnes.
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) 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 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) Code of Ethics for Chief Executive and Senior Financial Officer.
(a)(2) Certifications of principal executive officer and principal financial officer pursuant to Rule 30a-2(a) of the Investment Company Act of 1940.
(b) Certifications of principal executive officer and principal financial officer pursuant to Rule 30a-2(b) of the Investment Company Act of 1940.
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 2
By: /s/ J. Thomas Futrell ---------------------------------------------- Name: J. Thomas Futrell Title: Chief Executive Officer Date: August 5, 2008 |
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: August 5, 2008 By: /s/ Steven M. Hill ---------------------------------------------- Name: Steven M. Hill Title: Chief Financial Officer, Chief Accounting Officer and Treasurer Date: August 5, 2008 |
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