UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-21910
Claymore Exchange-Traded Fund Trust 2
(Exact name of registrant as specified in charter)
2455 Corporate West Drive, Lisle, IL 60532
(Address of principal executive offices) (Zip code)
J. Thomas Futrell
2455 Corporate West Drive, Lisle, IL 60532
(Name and address of agent for service)
Registrant's telephone number, including area code: (630) 505-3700
Date of fiscal year end: May 31
Date of reporting period: May 31, 2008
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]
Contents
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 |
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
Fund Overview
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.
Index Methodology
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.
Fund Performance
All Fund returns cited - whether based on net asset value ("NAV") or market
price - assume the reinvestment of all distributions. This report discusses the
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)
Performance Attribution
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
Fund Overview
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.
Index Methodology
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.
Fund Performance
All Fund returns cited - whether based on net asset value ("NAV") or market
price - assume the reinvestment of all distributions. This report discusses the
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)
Performance Attribution
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
Fund Overview
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.
Index Methodology
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.
Fund Performance
All Fund returns cited - whether based on net asset value ("NAV") or market
price - assume the reinvestment of all distributions. This report discusses the
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)
Performance Attribution
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
Fund Overview
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.
Index Methodology
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.
Fund Performance
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.
Performance Attribution
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
Fund Overview
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.
Index Methodology
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.
Fund Performance
All Fund returns cited--whether based on net asset value ("NAV") or market
price--assume the reinvestment of all distributions. This report discusses the
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.
Performance Attribution
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.
Index Methodology
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.
Fund Performance
All Fund returns cited - whether based on net asset value ("NAV") or market
price - assume the reinvestment of all distributions. This report discusses the
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)
Performance Attribution
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
Fund Overview
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.
Index Methodology
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.
Fund Performance
All Fund returns cited - whether based on net asset value ("NAV") or market
price - assume the reinvestment of all distributions. This report discusses the
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.
Performance Attribution
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
Fund Overview
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.
Index Methodology
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.
Fund Performance
All Fund returns cited - whether based on net asset value ("NAV") or market
price - assume the reinvestment of all distributions. This report discusses the
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.
Performance Attribution
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
Risks and Other Considerations
The views expressed in this report reflect those of the portfolio managers and
Claymore only through the report period as stated on the cover. These views are
subject to change at any time, based on market and other conditions and should
not be construed as a recommendation of any kind. The material may also contain
forward looking statements that involve risk and uncertainty, and there is no
guarantee they will come to pass.
This information does not represent an offer to sell securities of the Funds and
it is not soliciting an offer to buy securities of the Funds. An investment in
the various Claymore ETFs is subject to certain risks and other considerations.
Below are some general risks and considerations associated with investing in the
Fund, which may cause you to lose money, including the entire principal that you
invest. Please refer to the individual ETF prospectus for a more detailed
discussion of the Fund-specific risks and considerations.
Equity Risk: The value of the securities held by the Funds will fall due to
general market and economic conditions, perceptions regarding the industries in
which the issuers of securities held by the Funds participate, or factors
relating to specific companies in which the Funds invest.
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.
Performance of a $10,000 Investment
[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.
Performance of a $10,000 Investment
[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.
Performance of a $10,000 Investment
[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.
Performance of a $10,000 Investment
[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.
Performance of a $10,000 Investment
[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.
Performance of a $10,000 Investment
[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.
Performance of a $10,000 Investment
[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.
Performance of a $10,000 Investment
[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
This Page Intentionally Left Blank.
This Page Intentionally Left Blank.
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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