ETF August 31, 2015 GUGGENHEIM FUNDS ANNUAL REPORT EEB DEF NFO CZA CVY RYJ CSD WMCR WREI GUGGENHEIMINVESTMENTS.COM ... YOUR ROAD TO THE LATEST, MOST UP-TO-DATE INFORMATION The shareholder report you are reading right now is just the beginning of the story. Online at guggenheiminvestments.com, you will find: • Daily and historical fund pricing, fund returns, portfolio holdings and characteristics, and distribution history. • Investor guides and fund fact sheets. • Regulatory documents including a prospectus and copies of shareholder reports. Guggenheim Funds Distributors, LLC 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. Contents Dear Shareholder 3 Economic and Market Overview 4 Management Discussion of Fund Performance 6 Performance Report and Fund Profile 17 About Shareholders’ Fund Expenses 35 Schedule of Investments 37 Statement of Assets and Liabilities 65 Statement of Operations 68 Statements of Changes in Net Assets 71 Financial Highlights 76 Notes to Financial Statements 85 Report of Independent Registered Public Accounting Firm 93 Supplemental Information 94 Approval of Advisory Agreements 97 Trust Information 103 About the Trust Adviser Back Cover August 31, 2015 DEAR SHAREHOLDER Guggenheim Funds Investment Advisors, LLC (the “Investment Adviser”), is pleased to present the annual shareholder report for several of our exchange-traded funds (“ETFs” or “Funds”). This report covers performance of the Funds for the annual fiscal period ended August 31, 2015. The Investment Adviser is part of Guggenheim Investments, which represents the investment management businesses of Guggenheim Partners, LLC (“Guggenheim”), a global diversified financial services firm. Guggenheim Funds Distributors, LLC, the distributor of the Funds, is committed to providing investors with innovative investment solutions. We have built on the investment management strengths of Guggenheim Investments and worked with a diverse group of index providers to create some of the most distinctive ETFs available. To learn more about economic and market conditions over the last year and the objective and performance of each ETF, we encourage you to read the Economic and Market Overview section of the report, which follows this letter, and the Management Discussion of Fund Performance for each ETF, which begins on page 6. Sincerely, Donald Cacciapaglia President, Chief Executive Officer and Trustee Claymore Exchange-Traded Fund Trust September 30, 2015 CLAYMORE EXCHANGE-TRADED FUND TRUST ANNUAL REPORT l 3 ECONOMIC AND MARKET OVERVIEW August 31, 2015 The U.S. economic expansion is beginning to approach its late stages, but the underlying fundamentals of the economy remain strong. Growth mid-year bounced back from a weather-induced slowdown in the first quarter, with GDP increasing 3.7% for the third quarter. The labor and housing markets continue to strengthen, and consumption has benefited from low energy prices. Markets have been anticipating a rate hike by the U.S. Federal Reserve (the “Fed”) sometime before the end of 2015, but the Fed’s insistence on being data dependent provides it with significant flexibility. Among measures being watched closely is wage growth, an indicator of inflationary pressure, which has been subdued. Once the Fed begins its tightening process, the terminal value of the Fed funds rate may be lower than expected. Overseas, growth in the Chinese economy continues to slow, with a recent devaluation a government attempt to stimulate exports. Policymakers are likely to continue to do whatever is necessary to maintain growth at an acceptable level, but turbulence is expected to persist. The Japanese economy’s long-term prospects also remain weak, with continued monetary accommodation leading to more capital being exported. In Europe, economic data have also slipped recently, and export growth may suffer due to falling demand from China. Events in Greece are likely to remain unsettled. Responsible for much of this international turbulence is the massive misalignment of exchange rates, which finds its roots in quantitative easing. Japan, for example, has weakened its currency by over 50% against the U.S. dollar while China, Japan’s largest trading partner, has basically pegged the renminbi to the dollar. Strains on the terms of trade between countries that have devalued and those that have not have built to the point that perpetuating these disparities is destabilizing to the countries that have staunchly fought devaluation. Witness China’s recent move to devalue the renminbi versus the dollar, proving that artificial equilibrium is not only impossible to maintain, but ultimately disruptive to markets and economic growth. Now we are facing the turbulent path to a new equilibrium, including the potential for several months of volatility for risk assets. In such a challenging period, many take comfort in governments’ willingness to use the printing press. It is a handy tool to prop up asset prices and temporarily spur economic growth, which is the main reason a recession does not appear to be on the horizon for either the G-7 nations or China. It’s also worth noting that there has never been a recession in the post-war period without the Fed first raising interest rates, after which it typically takes several years for a recession to be induced. For the 12 months ended August 31, 2015, the Standard & Poor’s 500® (“S&P 500”) Index returned 0.48%. The Morgan Stanley Capital International (“MSCI”) Europe-Australasia-Far East (“EAFE”) Index returned -7.47%. The return of the MSCI Emerging Markets Index was -22.95%. In the bond market, the Barclays U.S. Aggregate Bond Index posted a 1.56% return for the period, while the Barclays U.S. Corporate High Yield Index returned -2.93%. The return of the Bank of America Merrill Lynch 3-Month U.S. Treasury Bill Index was 0.03% for the 12-month period. The opinions and forecasts expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy. 4 l CLAYMORE EXCHANGE-TRADED FUND TRUST ANNUAL REPORT August 31, 2015 Index Definitions All indices described below are unmanaged and reflect no expenses. It is not possible to invest directly in any index. The Bank of America Merrill Lynch 3-Month U.S. Treasury Bill Index is an unmanaged market Index of U.S. Treasury securities maturing in 90 days that assumes reinvestment of all income. The Barclays U.S. Aggregate Bond Index is a broad-based benchmark that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market, including U.S. Treasuries, government-related and corporate securities, mortgage-backed securities or “MBS” (agency fixed-rate and hybrid adjustable-rate mortgage, or “ARM”, pass-throughs), asset-backed securities (“ABS”), and commercial mortgage-backed securities (“CMBS”). The Barclays U.S. Corporate High Yield Index measures the market of U.S. dollar-denominated, non-investment grade, fixed-rate, taxable corporate bonds. Securities are classified as high yield if the middle rating of Moody’s, Fitch, and S&P is Ba1/BB +/BB + or below. The Dow Jones U.S. Select Dividend Index is a selection of stocks that is based almost entirely on dividend yield and dividend history. Stocks are also required to have an annual average daily dollar trading volume of more than $1.5 million. The FTSE NAREIT Equity REIT Index is a free float-adjusted index of REITs that own, manage, and lease investment-grade commercial real estate. Specifically, a company is classified as an Equity REIT if 75% or more of its gross invested book assets are invested in real property. The MSCI EAFE Index is a capitalization-weighted measure of stock markets in Europe, Australasia, and the Far East. The MSCI Emerging Markets Index is a free float-adjusted market capitalization-weighted index that is designed to measure equity market performance in the global emerging markets. The Russell Midcap Index measures the performance of the mid-cap segment of the U.S. equity universe. The Russell Midcap is a subset of the Russell 1000® Index. It includes approximately 800 of the smallest securities based on a combination of their market cap and current index membership. The Russell Midcap represents approximately 31% of the total market capitalization of the Russell 1000® companies. The Russell 2000® Index measures the performance of the 2,000 smallest companies in the Russell 3000® Index, which represents approximately 10% of the total market capitalization of the Russell 3000® Index. The Standard and Poor’s 500 Index (S&P 500®) is a broad-based index, the performance of which is based on the performance of 500 widely held common stocks chosen for market size, liquidity, and industry group representation. The S&P MidCap 400® provides investors with a benchmark for mid-sized companies. The index covers over 7% of the U.S. equity market, and seeks to remain an accurate measure of midsized companies, reflecting the risk and return characteristics of the broader mid-cap universe on an on-going basis. Industry Sectors Comments about industry sectors in these Fund commentaries are based on Bloomberg industry classifications. CLAYMORE EXCHANGE-TRADED FUND TRUST ANNUAL REPORT l 5 MANAGEMENT DISCUSSION OF FUND PERFORMANCE (Unaudited) August 31, 2015 EEB Guggenheim BRIC ETF Fund Overview Performance Attribution The Guggenheim BRIC ETF, NYSE Arca ticker: EEB (the “Fund”) seeks For the 12-month period ended August 31, 2015, the technology sector investment results that correspond generally to the performance, before contributed the most to the Fund’s return and was the only sector to fees and expenses, of the BNY Mellon BRIC Select DR Index (the “Index”).