UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, DC 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number	811-21906
Claymore Exchange-Traded Fund Trust
(Exact name of registrant as specified in charter)

227 West Monroe Street, Chicago, IL 60606

(Address of principal executive offices) (Zip code)

Amy J. Lee

227 West Monroe Street, Chicago, IL 60606

(Name and address of agent for service)

Registrant’s telephone number, including area code: (312) 827-0100

Date of fiscal year end: August 31

Date of reporting period: March 1, 2016 to May 31, 2016

Item 1. Schedule of Investments.

Attached hereto.

Guggenheim BRIC ETF
SCHEDULE OF INVESTMENTS (Unaudited)	May 31, 2016

	Shares		Value
COMMON STOCKS^† - 90.5%
Communications - 35.5%
Alibaba Group Holding Ltd. ADR^*		90,257	$	7,401,073
China Mobile Ltd.		453,450		5,171,845
Baidu, Inc. ADR^*		22,635		4,041,253
JD.com, Inc. ADR^*		78,624		1,934,936
Ctrip.com International Ltd. ADR^*		31,734		1,452,148
Qihoo 360 Technology Company Ltd. ADR^*		9,393		697,900
China Telecom Corporation Ltd. — Class H		1,335,203		622,212
China Unicom Hong Kong Ltd.		551,351		595,487
Mobile TeleSystems PJSC ADR		50,491		442,301
Vipshop Holdings Ltd. ADR^*		31,462		367,162
Mail.Ru Group Ltd. GDR^*		10,849		214,810
TIM Participacoes S.A. ADR		16,909		167,061
YY, Inc. ADR^*		3,480		151,206
SouFun Holdings Ltd. ADR^*		27,196		147,674
MegaFon OAO GDR		12,458		139,530
Sistema JSFC GDR		18,716		139,434
58.com, Inc. ADR^*		2,133		115,289
Autohome, Inc. ADR^*		4,524		112,150
21Vianet Group, Inc. ADR^*,1		7,365		106,940
Weibo Corp ADR^*		3,597		95,644
VimpelCom Ltd. ADR		21,356		81,153
Bitauto Holdings Ltd. ADR^*		3,941		79,963
Videocon d2h Ltd. ADR^*		6,156		54,912
E-Commerce China Dangdang, Inc. — Class A ADR^*		6,303		39,520
Total Communications				24,371,603
Energy - 18.2%
Gazprom PAO ADR		530,071		2,317,471
CNOOC Ltd.		1,440,354		1,720,678
Lukoil PJSC ADR		43,427		1,661,083
China Petroleum & Chemical Corp. — Class H		2,313,996		1,578,777
PetroChina Company Ltd. — Class H		1,922,011		1,321,233
Petroleo Brasileiro S.A. ADR^*,1		141,867		798,711
Novatek OAO GDR		6,745		677,198
Tatneft PAO ADR		22,959		635,735
Reliance Industries Ltd. GDR²		19,136		543,462
Rosneft OAO GDR		104,864		507,332
Surgutneftegas OAO ADR		93,935		476,250
Yanzhou Coal Mining Company Ltd. — Class H¹		193,793		104,279
Trina Solar Ltd. ADR^*,1		9,555		76,727
JinkoSolar Holding Company Ltd. ADR^*,1		2,405		52,285
JA Solar Holdings Company Ltd. ADR^*,1		4,859		38,726
Total Energy				12,509,947
Financial - 11.9%
HDFC Bank Ltd. ADR		36,136		2,325,714
Sberbank of Russia PJSC ADR		251,782		2,150,219
China Life Insurance Company Ltd. — Class H		671,933		1,503,343
ICICI Bank Ltd. ADR		133,885		962,633
VTB Bank PJSC GDR		246,651		501,441

	Shares		Value
COMMON STOCKS^† - 90.5% (continued)
Financial - 11.9% (continued)
State Bank of India GDR^*		9,249	$	278,857
Axis Bank Ltd. GDR		7,175		278,031
Banco Santander Brasil S.A. ADR¹		18,523		88,910
E-House China Holdings Ltd. ADR^*,1		8,522		54,882
Total Financial				8,144,030
Technology - 8.3%
Infosys Ltd. ADR		170,700		3,318,409
NetEase, Inc. ADR		6,850		1,218,204
Wipro Ltd. ADR¹		55,110		661,871
Semiconductor Manufacturing International Corp.^*		2,978,050		249,188
WNS Holdings Ltd. ADR^*		5,526		168,543
Momo, Inc. ADR^*		3,563		45,535
NQ Mobile, Inc. — Class A ADR^*,1		9,316		39,779
Total Technology				5,701,529
Consumer, Non-cyclical - 6.8%
Ambev S.A. ADR		389,706		2,049,853
Magnit PJSC GDR		27,298		966,349
BRF S.A. ADR		57,254		715,675
Dr Reddy's Laboratories Ltd. ADR		8,320		392,371
TAL Education Group ADR^*		4,587		245,038
X5 Retail Group N.V. GDR^*		10,801		211,160
QIWI plc ADR		5,075		62,575
Ros Agro plc GDR		2,637		34,808
Total Consumer, Non-cyclical				4,677,829
Basic Materials - 5.1%
MMC Norilsk Nickel PJSC ADR		62,765		884,987
Ultrapar Participacoes S.A. ADR¹		41,324		783,916
Vale S.A. ADR¹		146,545		575,922
Fibria Celulose S.A. ADR¹		23,176		215,073
Severstal PAO GDR		18,665		195,050
Sinopec Shanghai Petrochemical Company Ltd. — Class H		373,611		182,762
Vedanta Resources plc ADR		27,406		170,739
Cia Siderurgica Nacional S.A. ADR^*,1		74,658		134,384
PhosAgro OAO GDR		8,796		131,940
Aluminum Corporation of China Ltd. — Class H^*,1		418,505		126,605
Novolipetsk Steel PJSC GDR		9,171		118,764
Total Basic Materials				3,520,142
Consumer, Cyclical - 2.3%
Tata Motors Ltd. ADR^*		19,761		661,796
Qunar Cayman Islands Ltd. ADR^*		6,195		201,214
Mahindra & Mahindra Ltd. GDR		9,635		190,291
Lenta Ltd. GDR^*		27,150		185,706
China Southern Airlines Company Ltd. — Class H		188,837		110,849
China Lodging Group Ltd. ADR		3,111		105,494
China Eastern Airlines Corporation Ltd. — Class H^*,1		187,204		100,011

Guggenheim BRIC ETF
SCHEDULE OF INVESTMENTS (Unaudited)	May 31, 2016

	Shares		Value
COMMON STOCKS^† - 90.5% (continued)
Consumer, Cyclical - 2.3% (continued)
500.com Ltd. ADR^*,1		2,701	$	46,808
Total Consumer, Cyclical				1,602,169
Utilities - 1.2%
CPFL Energia S.A. ADR¹		31,951		322,066
Huaneng Power International, Inc. — Class H		413,706		282,793
Cia de Saneamento Basico do Estado de Sao Paulo ADR		35,540		249,491
Total Utilities				854,350
Industrial - 1.2%
Larsen & Toubro Ltd. GDR		16,015		349,127
Embraer S.A. ADR¹		16,190		337,076
Guangshen Railway Company Ltd. — Class H		162,441		78,626
Globaltrans Investment plc GDR		11,197		44,284
China Ming Yang Wind Power Group Ltd. ADR^*		12,669		30,532
Total Industrial				839,645
Total Common Stocks
(Cost $82,594,958)				62,221,244
PREFERRED STOCKS^† - 9.2%
Financial - 5.4%
Itau Unibanco Holding S.A. ADR		266,474		2,134,458
Banco Bradesco S.A. ADR		257,896		1,614,429
Total Financial				3,748,887
Energy - 1.2%
Petroleo Brasileiro S.A. ADR^*		193,789		854,609

	Shares		Value
PREFERRED STOCKS^† - 9.2% (continued)
Basic Materials - 1.2%
Vale S.A. ADR	196,382	$	604,857
Gerdau S.A. ADR	96,886		149,204
Braskem S.A. ADR¹	8,240		95,584
Total Basic Materials			849,645
Communications - 0.8%
Telefonica Brasil S.A. ADR¹	45,994		529,851
Consumer, Non-cyclical - 0.3%
Cia Brasileira de Distribuicao ADR¹	17,189		191,485
Utilities - 0.3%
Cia Energetica de Minas Gerais ADR	77,060		114,819
Cia Paranaense de Energia ADR¹	11,257		73,621
Total Utilities			188,440
Total Preferred Stocks
(Cost $25,369,557)			6,362,917
SECURITIES LENDING COLLATERAL^†^,3 - 5.3%
BNY Mellon Separately Managed Cash Collateral Account, 0.3075%	3,671,064		3,671,064
Total Securities Lending Collateral
(Cost $3,671,064)			3,671,064
Total Investments - 105.0%
(Cost $111,635,579)		$	72,255,225
Other Assets & Liabilities, net - (5.0)%			(3,454,049	)
Total Net Assets - 100.0%		$	68,801,176

*	Non-income producing security.
†	Value determined based on Level 1 inputs — See Note 2.
1	All or portion of this security is on loan at May 31, 2016 — See Note 4.
2	Security is a 144A or Section 4(a)(2) security. The total market value of 144A or Section 4(a)(2) securities is $543,462 (cost $543,705), or 0.8% of total net assets. These securities have been determined to be liquid under guidelines established by the Board of Trustees.
3	Securities lending collateral — See Note 4.

ADR	American Depositary Receipt
GDR	Global Depositary Receipt
plc	Public Limited Company

See Sector Classification in Supplemental Information section.

The following table summarizes the inputs used to value the Fund's investments at May 31, 2016 (See Note 2 in the Schedule of Investments):

	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs		Total
Assets
Common Stocks	$	62,221,244	$	—	$	—	$	62,221,244
Preferred Stocks		6,362,917		—		—		6,362,917
Securities Lending Collateral		3,671,064		—		—		3,671,064
Total	$	72,255,225	$	—	$	—	$	72,255,225

Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.

For the period ended May 31, 2016, there were no transfers between levels.

Guggenheim Defensive Equity ETF
SCHEDULE OF INVESTMENTS (Unaudited)	May 31, 2016

	Shares		Value
COMMON STOCKS^† - 99.9%
Financial - 23.7%
FNF Group		49,489	$	1,729,641
Digital Realty Trust, Inc. REIT		17,973		1,715,522
VEREIT, Inc. REIT		178,510		1,711,911
Starwood Property Trust, Inc. REIT		82,949		1,710,408
Ventas, Inc. REIT		25,685		1,703,687
Mid-America Apartment Communities, Inc. REIT		16,511		1,700,467
Crown Castle International Corp. REIT		18,375		1,668,634
WP Carey, Inc. REIT		26,021		1,668,206
Lamar Advertising Co. — Class A REIT		25,644		1,668,142
Camden Property Trust REIT		19,543		1,665,259
Axis Capital Holdings Ltd.		30,018		1,655,493
Travelers Companies, Inc.		14,502		1,655,258
RenaissanceRe Holdings Ltd.		14,302		1,652,024
UDR, Inc. REIT		45,563		1,641,635
Annaly Capital Management, Inc. REIT		154,503		1,634,642
National Retail Properties, Inc. REIT		35,957		1,629,931
Iron Mountain, Inc. REIT		43,945		1,614,539
Equity Residential REIT		23,259		1,609,755
Brixmor Property Group, Inc. REIT		63,322		1,598,881
Macerich Co. REIT		20,761		1,584,480
Welltower, Inc. REIT		22,885		1,577,005
Omega Healthcare Investors, Inc. REIT		47,236		1,507,773
Banco Santander Brasil S.A. ADR¹		311,701		1,496,165
Total Financial				37,799,458
Utilities - 21.2%
CenterPoint Energy, Inc.		74,119		1,669,901
PG&E Corp.		27,414		1,647,032
Xcel Energy, Inc.		39,703		1,642,512
National Grid plc ADR		22,172		1,636,515
NextEra Energy, Inc.		13,623		1,636,395
DTE Energy Co.		17,845		1,618,185
American Electric Power Company, Inc.		24,990		1,617,603
SCANA Corp.		23,125		1,616,669
PPL Corp.		41,939		1,616,329
Entergy Corp.		21,286		1,616,033
Pinnacle West Capital Corp.		21,927		1,613,608
Edison International		22,514		1,612,678
AGL Resources, Inc.		24,351		1,602,296
TECO Energy, Inc.		58,001		1,597,348
FirstEnergy Corp.		48,665		1,596,699
Duke Energy Corp.		20,375		1,593,936
Korea Electric Power Corp. ADR		59,858		1,580,850
Southern Co.		31,906		1,577,433
Consolidated Edison, Inc.		21,331		1,562,709
Public Service Enterprise Group, Inc.		34,836		1,558,911
Eversource Energy		28,183		1,556,829
Total Utilities				33,770,471

	Shares		Value
COMMON STOCKS^† - 99.9% (continued)
Communications - 16.1%
KT Corp. ADR¹		115,461	$	1,673,029
Cablevision Systems Corp. — Class A		47,797		1,657,600
Telekomunikasi Indonesia Persero Tbk PT ADR		30,142		1,656,302
Vodafone Group plc ADR		48,724		1,656,129
SK Telecom Company Ltd. ADR		79,426		1,654,444
Thomson Reuters Corp.¹		38,981		1,639,151
Orange S.A. ADR¹		94,278		1,637,609
Time Warner, Inc.		21,354		1,615,644
AT&T, Inc.		41,135		1,610,435
Chunghwa Telecom Company Ltd. ADR¹		47,194		1,600,349
Verizon Communications, Inc.		31,340		1,595,206
China Mobile Ltd. ADR		27,996		1,580,374
NTT DOCOMO, Inc. ADR		62,999		1,577,495
WPP plc ADR		13,606		1,577,344
Frontier Communications Corp.¹		295,657		1,528,547
CenturyLink, Inc.		51,092		1,385,615
Total Communications				25,645,273
Consumer, Non-cyclical - 14.0%
Clorox Co.		12,668		1,628,345
Altria Group, Inc.		25,481		1,621,610
Unilever plc ADR		35,489		1,616,879
Unilever N.V. — Class Y		36,103		1,615,970
Reynolds American, Inc.		32,407		1,610,628
Philip Morris International, Inc.		16,319		1,610,359
Procter & Gamble Co.		19,864		1,609,779
Dr Pepper Snapple Group, Inc.		17,471		1,596,849
British American Tobacco plc ADR		13,117		1,595,683
Sysco Corp.		33,087		1,591,816
GlaxoSmithKline plc ADR¹		37,154		1,574,215
Campbell Soup Co.		25,672		1,554,953
Tyson Foods, Inc. — Class A		24,124		1,538,629
Coca-Cola Femsa SAB de CV ADR		18,683		1,500,058
Total Consumer, Non-cyclical				22,265,773
Industrial - 8.2%
CH Robinson Worldwide, Inc.		22,398		1,679,402
LG Display Company Ltd. ADR		153,912		1,677,641
Grupo Aeroportuario del Pacifico SAB de CV ADR		16,392		1,654,117
Waste Management, Inc.		26,815		1,634,374
Republic Services, Inc. — Class A		33,818		1,632,733
Lockheed Martin Corp.		6,896		1,629,042
Bemis Company, Inc.		31,830		1,602,322
Cummins, Inc.		13,802		1,579,915
Total Industrial				13,089,546
Consumer, Cyclical - 7.7%
Wal-Mart Stores, Inc.		23,796		1,684,280
Gaming and Leisure Properties, Inc. REIT		48,591		1,599,130
Ford Motor Co.		118,089		1,593,021
Las Vegas Sands Corp.		34,404		1,590,841
WW Grainger, Inc.		6,860		1,566,481
Rite Aid Corp.^*		200,047		1,540,362
Target Corp.		20,075		1,380,759

Guggenheim Defensive Equity ETF
SCHEDULE OF INVESTMENTS (Unaudited)	May 31, 2016

	Shares		Value
COMMON STOCKS^† - 99.9% (continued)
Consumer, Cyclical - 7.7% (continued)
Kohl's Corp.		35,686	$	1,286,123
Total Consumer, Cyclical				12,240,997
Basic Materials - 4.8%
Agrium, Inc.		18,702		1,686,920
Syngenta AG ADR		19,757		1,558,630
Newmont Mining Corp.		46,837		1,517,987
Ultrapar Participacoes S.A. ADR¹		78,765		1,494,172
POSCO ADR		32,323		1,410,576
Total Basic Materials				7,668,285
Technology - 2.3%
Advanced Semiconductor Engineering, Inc. ADR		324,924		1,832,571
Siliconware Precision Industries Company Ltd. ADR¹		222,151		1,781,651
Total Technology				3,614,222
Energy - 1.9%
Total S.A. ADR¹		31,636		1,534,979

	Shares		Value
COMMON STOCKS^† - 99.9% (continued)
Energy - 1.9% (continued)
Valero Energy Corp.		26,887	$	1,470,719
Total Energy				3,005,698
Total Common Stocks
(Cost $147,033,095)				159,099,723

SECURITIES LENDING COLLATERAL^†^,2 - 4.2%

BNY Mellon Separately Managed Cash Collateral Account, 0.3025%		6,608,876		6,608,876
Total Securities Lending Collateral
(Cost $6,608,876)				6,608,876
Total Investments - 104.1%
(Cost $153,641,971)			$	165,708,599
Other Assets & Liabilities, net - (4.1)%				(6,461,647	)
Total Net Assets - 100.0%			$	159,246,952

*	Non-income producing security.
†	Value determined based on Level 1 inputs —See Note 2.
1	All or portion of this security is on loan at May 31, 2016 - See Note 4.
2	Securities lending collateral - See Note 4.

ADR	American Depositary Receipt
plc	Public Limited Company
REIT	Real Estate Investment Trust

See Sector Classification in Supplemental Information section.

The following table summarizes the inputs used to value the Fund's investments at May 31, 2016 (See Note 2 in the Notes to Schedule of Investments):

	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs		Total
Assets
Common Stocks	$	159,099,723	$	—	$	—	$	159,099,723
Securities Lending Collateral		6,608,876		—		—		6,608,876
Total	$	165,708,599	$	—	$	—	$	165,708,599

For the period ended May 31, 2016, there were no transfers between levels.

Summary of Fair Value Level 3 Activity

Following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value for the period ended May 31, 2016:

Beginning Balance	$	14,143
Realized Gain/Loss		(65,401	)
Change in Unrealized Gain/Loss		51,258
Sales		—
Ending Balance	$	—

Guggenheim Dow Jones Industrial Average Dividend ETF
SCHEDULE OF INVESTMENTS (Unaudited)	May 31, 2016

	Shares		Value
COMMON STOCKS^† - 99.5%
Consumer, Non-cyclical - 21.4%
Pfizer, Inc.		3,815	$	132,380
Merck & Company, Inc.		1,982		111,507
Procter & Gamble Co.		1,162		94,168
Coca-Cola Co.		2,066		92,144
Johnson & Johnson		762		85,870
UnitedHealth Group, Inc.		386		51,597
Total Consumer, Non-cyclical				567,666
Industrial - 18.6%
Caterpillar, Inc.		1,798		130,373
Boeing Co.		849		107,101
General Electric Co.		2,994		90,509
3M Co.		503		84,665
United Technologies Corp.		788		79,257
Total Industrial				491,905
Technology - 13.8%
International Business Machines Corp.		802		123,299
Intel Corp.		3,184		100,583
Microsoft Corp.		1,534		81,302
Apple, Inc.		605		60,415
Total Technology				365,599
Financial - 11.6%
JPMorgan Chase & Co.		1,515		98,884
American Express Co.		1,006		66,155
Travelers Companies, Inc.		574		65,516

	Shares		Value
COMMON STOCKS^† - 99.5% (continued)
Financial - 11.6% (continued)
Goldman Sachs Group, Inc.		324	$	51,672
Visa, Inc. — Class A		311		24,550
Total Financial				306,777
Communications - 10.8%
Verizon Communications, Inc.		2,440		124,196
Cisco Systems, Inc.		4,102		119,163
Walt Disney Co.		437		43,359
Total Communications				286,718
Consumer, Cyclical - 10.3%
Wal-Mart Stores, Inc.		1,291		91,377
McDonald's Corp.		719		87,761
Home Depot, Inc.		498		65,796
NIKE, Inc. — Class B		498		27,500
Total Consumer, Cyclical				272,434
Energy - 10.2%
Chevron Corp.		1,560		157,560
Exxon Mobil Corp.		1,275		113,500
Total Energy				271,060
Basic Materials - 2.8%
EI du Pont de Nemours & Co.		1,121		73,325
Total Common Stocks
(Cost $2,594,432)				2,635,484
Total Investments - 99.5%
(Cost $2,594,432)			$	2,635,484
Other Assets & Liabilities, net - 0.5%				11,792
Total Net Assets - 100.0%			$	2,647,276

†	Value determined based on Level 1 inputs — See Note 2.

See Sector Classification in Supplemental Information section.

The following table summarizes the inputs used to value the Fund's investments at May 31, 2016 (See Note 2 in the Schedule of Investments):

	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs		Total
Assets
Common Stocks	$	2,635,484	$	—	$	—	$	2,635,484
Total	$	2,635,484	$	—	$	—	$	2,635,484

For the period ended May 31, 2016, there were no transfers between levels.

Guggenheim Insider Sentiment ETF
SCHEDULE OF INVESTMENTS (Unaudited)	May 31, 2016

	Shares		Value
COMMON STOCKS^† - 96.3%
Financial - 20.1%
Great Western Bancorp, Inc.		31,423	$	1,069,010
Flagstar Bancorp, Inc.^*		40,303		976,945
Aflac, Inc.		13,357		927,777
Fifth Third Bancorp		48,313		911,667
MB Financial, Inc.		25,109		907,690
Aon plc		8,294		906,285
JPMorgan Chase & Co.		13,585		886,693
Huntington Bancshares, Inc.		84,846		886,641
Endurance Specialty Holdings Ltd.		12,764		866,931
Beneficial Bancorp, Inc.^*		62,465		860,143
Radian Group, Inc.		69,143		858,065
FS Investment Corp.¹		96,281		852,087
Brixmor Property Group, Inc. REIT		33,728		851,632
Welltower, Inc. REIT		12,342		850,487
Universal Insurance Holdings, Inc.		42,555		827,270
Pinnacle Financial Partners, Inc.		16,792		825,831
Ambac Financial Group, Inc.^*		49,666		818,993
BofI Holding, Inc.^*,1		43,533		817,114
Ryman Hospitality Properties, Inc. REIT		16,288		799,089
MGIC Investment Corp.^*		107,600		758,580
Total Financial				17,458,930
Consumer, Cyclical - 19.3%
Jack in the Box, Inc.		11,707		997,437
Newell Brands, Inc.		19,731		940,971
Penn National Gaming, Inc.^*		56,801		890,072
Texas Roadhouse, Inc. — Class A		19,287		864,250
Wesco Aircraft Holdings, Inc.^*		60,966		859,011
KB Home		61,012		850,507
American Eagle Outfitters, Inc.		54,301		849,268
Home Depot, Inc.		6,425		848,871
Genuine Parts Co.		8,671		840,393
Southwest Airlines Co.		19,380		823,263
Fastenal Co.¹		17,331		797,746
AutoZone, Inc.^*		1,041		793,450
Marriott International, Inc. — Class A¹		11,861		783,301
Bob Evans Farms, Inc.		17,302		771,842
Starbucks Corp.		13,796		757,262
Hanesbrands, Inc.		27,491		744,181
Tuesday Morning Corp.^*		109,332		743,458
Wyndham Worldwide Corp.		10,773		725,992
Delta Air Lines, Inc.		16,694		725,521
Target Corp.		10,218		702,794
Conn's, Inc.^*		42,226		469,131
Total Consumer, Cyclical				16,778,721
Consumer, Non-cyclical - 14.7%
Global Payments, Inc.		12,938		1,005,153
Archer-Daniels-Midland Co.		22,116		945,901
WellCare Health Plans, Inc.^*		8,701		882,455
Weight Watchers International, Inc.^*,1		58,014		879,492
HCA Holdings, Inc.^*		11,169		871,405
Altria Group, Inc.		13,091		833,111
Horizon Pharma plc^*		47,110		811,706

	Shares		Value
COMMON STOCKS^† - 96.3% (continued)
Consumer, Non-cyclical - 14.7% (continued)
Mallinckrodt plc^*		12,808	$	811,516
CONMED Corp.		20,368		811,054
Regeneron Pharmaceuticals, Inc.^*		2,028		809,030
Tyson Foods, Inc. — Class A		12,336		786,790
Mylan N.V.^*		17,810		771,885
Cardinal Health, Inc.		9,742		769,131
Coty, Inc. — Class A¹		28,976		763,228
Enanta Pharmaceuticals, Inc.^*		27,619		677,494
Valeant Pharmaceuticals International, Inc.^*		12,552		357,104
Total Consumer, Non-cyclical				12,786,455
Industrial - 11.6%
Dycom Industries, Inc.^*		13,529		1,148,478
Patrick Industries, Inc.^*		18,898		1,009,721
TransDigm Group, Inc.^*		3,708		977,206
Brady Corp. — Class A		30,703		976,048
Kennametal, Inc.		38,009		930,460
Actuant Corp. — Class A		33,260		907,665
Comfort Systems USA, Inc.		27,187		869,984
Allegion plc		12,561		849,626
Graco, Inc.		10,190		817,951
Sealed Air Corp.		17,510		813,164
Briggs & Stratton Corp.		35,632		795,306
Total Industrial				10,095,609
Technology - 10.2%
CDK Global, Inc.		17,628		974,828
Citrix Systems, Inc.^*		11,014		935,310
Cadence Design Systems, Inc.^*		36,756		908,608
DST Systems, Inc.		7,457		901,700
Ebix, Inc.		19,792		895,192
Blackbaud, Inc.		14,199		889,851
Mentor Graphics Corp.		40,747		873,616
VeriFone Systems, Inc.^*		32,374		854,674
QUALCOMM, Inc.		15,549		853,951
SS&C Technologies Holdings, Inc.		13,137		809,108
Total Technology				8,896,838
Utilities - 7.1%
NRG Energy, Inc.		65,060		1,065,683
California Water Service Group		31,148		907,964
SCANA Corp.		12,516		874,993
Calpine Corp.^*		58,685		868,538
Exelon Corp.		24,622		843,796
IDACORP, Inc.		11,400		834,594
NorthWestern Corp.		13,560		785,938
Total Utilities				6,181,506
Energy - 6.5%
Rice Energy, Inc.^*		81,779		1,656,025
Laredo Petroleum, Inc.^*,1		123,226		1,492,267
Plains GP Holdings, LP — Class A		102,455		962,052
Murphy USA, Inc.^*		12,123		824,243
Tesoro Corp.		9,472		739,574
Total Energy				5,674,161
Basic Materials - 4.2%
RPM International, Inc.		19,264		966,860
Royal Gold, Inc.		16,462		924,012

Guggenheim Insider Sentiment ETF
SCHEDULE OF INVESTMENTS (Unaudited)	May 31, 2016

	Shares		Value
COMMON STOCKS^† - 96.3% (continued)
Basic Materials - 4.2% (continued)
Stepan Co.		15,393	$	888,022
LyondellBasell Industries N.V. — Class A		10,194		829,384
Total Basic Materials				3,608,278
Communications - 2.6%
Time, Inc.		56,960		903,954
West Corp.		35,835		756,119
Stamps.com, Inc.^*		6,829		621,371
Total Communications				2,281,444
Total Common Stocks
(Cost $79,652,502)				83,761,942
MASTER LIMITED PARTNERSHIPS^† - 3.1%
Energy - 3.1%
Tallgrass Energy Partners, LP¹		22,351		1,011,607
Enterprise Products Partners, LP		33,783		937,816

	Shares		Value
MASTER LIMITED PARTNERSHIPS^† - 3.1% (continued)
Energy - 3.1% (continued)
Valero Energy Partners, LP		16,746	$	774,837
Total Master Limited Partnerships
(Cost $2,648,088)				2,724,260
SECURITIES LENDING COLLATERAL^†^,2 - 6.0%

BNY Mellon Separately Managed Cash Collateral Account, 0.3027%		5,220,588		5,220,588
Total Securities Lending Collateral
(Cost $5,220,588)				5,220,588
Total Investments - 105.4%
(Cost $87,521,178)			$	91,706,790
Other Assets & Liabilities, net - (5.4)%				(4,738,347	)
Total Net Assets - 100.0%			$	86,968,443

*	Non-income producing security.
†	Value determined based on Level 1 inputs — See Note 2.
1	All or portion of this security is on loan at May 31, 2016 — See Note 4.
2	Securities lending collateral — See Note 4.

plc	Public Limited Company

See Sector Classification in Supplemental Information section.

The following table summarizes the inputs used to value the Fund's investments at May 31, 2016 (See Note 2 in the Notes to Schedule of Investments):

	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs		Total
Assets
Common Stocks	$	83,761,942	$	—	$	—	$	83,761,942
Master Limited Partnership		2,724,260		—		—		2,724,260
Securities Lending Collateral		5,220,588		—		—		5,220,588
Total	$	91,706,790	$	—	$	—	$	91,706,790

For the period ended May 31, 2016, there were no transfers between levels.

Guggenheim Large Cap Optimized Diversification ETF
SCHEDULE OF INVESTMENTS (Unaudited)	May 31, 2016

	Shares		Value
COMMON STOCKS^† - 97.3%
Consumer, Non-cyclical - 36.0%
Medivation, Inc.^*		675	$	40,810
Envision Healthcare Holdings, Inc.^*		1,224		30,367
Vertex Pharmaceuticals, Inc.^*		314		29,249
United Therapeutics Corp.^*		228		27,148
Zoetis, Inc.		568		26,935
Church & Dwight Company, Inc.		272		26,787
Intuitive Surgical, Inc.^*		42		26,658
Kraft Heinz Co.		320		26,621
Quintiles Transnational Holdings, Inc.^*		390		26,477
Cooper Companies, Inc.		162		26,375
Sysco Corp.		536		25,787
Dr Pepper Snapple Group, Inc.		281		25,683
Hershey Co.		275		25,534
Verisk Analytics, Inc. — Class A^*		321		25,484
Altria Group, Inc.		400		25,456
ConAgra Foods, Inc.		556		25,409
Clorox Co.		196		25,194
Philip Morris International, Inc.		254		25,065
JM Smucker Co.		194		25,055
General Mills, Inc.		396		24,861
Reynolds American, Inc.		500		24,850
PepsiCo, Inc.		244		24,685
Procter & Gamble Co.		302		24,474
Mead Johnson Nutrition Co. — Class A		297		24,437
Kellogg Co.		328		24,393
Coca-Cola Co.		542		24,173
Coty, Inc. — Class A		906		23,864
Kimberly-Clark Corp.		186		23,629
Campbell Soup Co.		390		23,622
Humana, Inc.		136		23,461
Baxalta, Inc.		504		22,796
Allergan plc^*		92		21,689
Vantiv, Inc. — Class A^*		312		16,776
AmerisourceBergen Corp. — Class A		223		16,721
Pilgrim's Pride Corp.		470		11,689
Herbalife Ltd.^*		174		10,073
Monster Beverage Corp.^*		66		9,900
AbbVie, Inc.		90		5,664
Tyson Foods, Inc. — Class A		56		3,572
Total Consumer, Non-cyclical				901,423
Consumer, Cyclical - 18.8%
Ulta Salon Cosmetics & Fragrance, Inc.^*		130		30,291
Dollar Tree, Inc.^*		300		27,162
Allison Transmission Holdings, Inc.		932		26,180
Dollar General Corp.		290		26,071
Wal-Mart Stores, Inc.		364		25,764
Best Buy Company, Inc.		794		25,543
Tesla Motors, Inc.^*,1		111		24,778
McDonald's Corp.		201		24,534
Chipotle Mexican Grill, Inc. — Class A^*		54		23,866
Rite Aid Corp.^*		3,092		23,808
AutoZone, Inc.^*		31		23,628

	Shares		Value
COMMON STOCKS^† - 97.3% (continued)
Consumer, Cyclical - 18.8% (continued)
Walgreens Boots Alliance, Inc.		302	$	23,375
Lions Gate Entertainment Corp.		1,034		23,058
GameStop Corp. — Class A		788		22,931
Sally Beauty Holdings, Inc.^*		764		21,942
Urban Outfitters, Inc.^*		758		21,626
Foot Locker, Inc.		380		21,250
Target Corp.		302		20,772
Kohl's Corp.		544		19,606
O'Reilly Automotive, Inc.^*		57		15,072
Total Consumer, Cyclical				471,257
Financial - 13.2%
VEREIT, Inc. REIT		2,836		27,197
Lamar Advertising Co. — Class A REIT		414		26,931
American Capital Ltd.^*		1,652		26,531
Annaly Capital Management, Inc. REIT		2,462		26,048
Spirit Realty Capital, Inc. REIT		2,254		25,808
Apartment Investment & Management Co. — Class A REIT		602		25,675
American Capital Agency Corp. REIT		1,356		25,615
Ares Capital Corp.		1,718		25,495
Extra Space Storage, Inc. REIT		273		25,381
American Campus Communities, Inc. REIT		538		25,297
Taubman Centers, Inc. REIT		358		24,548
RenaissanceRe Holdings Ltd.		208		24,026
Corrections Corporation of America REIT		470		15,792
DDR Corp. REIT		266		4,578
Digital Realty Trust, Inc. REIT		12		1,145
Total Financial				330,067
Communications - 10.4%
Thomson Reuters Corp.		618		25,987
Facebook, Inc. — Class A^*		218		25,901
Netflix, Inc.^*		247		25,335
AT&T, Inc.		636		24,899
Verizon Communications, Inc.		464		23,618
Twitter, Inc.^*		1,532		23,317
Frontier Communications Corp.		4,454		23,027
CenturyLink, Inc.		754		20,448
Palo Alto Networks, Inc.^*		156		20,352
FireEye, Inc.^*		1,250		19,900
TripAdvisor, Inc.^*		238		16,122
Liberty Ventures^*		318		11,865
Total Communications				260,771
Utilities - 6.5%
PPL Corp.		666		25,668
AGL Resources, Inc.		386		25,399
Duke Energy Corp.		314		24,564
Exelon Corp.		706		24,195
Consolidated Edison, Inc.		330		24,176
Southern Co.		488		24,127
ITC Holdings Corp.		302		13,445
Total Utilities				161,574
Energy - 6.3%
Southwestern Energy Co.^*,1		3,277		44,797

Guggenheim Large Cap Optimized Diversification ETF
SCHEDULE OF INVESTMENTS (Unaudited)	May 31, 2016

	Shares		Value
COMMON STOCKS^† - 97.3% (continued)
Energy - 6.3% (continued)
Range Resources Corp.		774	$	32,965
Antero Resources Corp.^*		1,008		29,262
Kinder Morgan, Inc.		1,404		25,384
Tesoro Corp.		191		14,913
SolarCity Corp.^*,1		428		9,583
Total Energy				156,904
Technology - 3.4%
IMS Health Holdings, Inc.^*		962		25,118
athenahealth, Inc.^*		183		23,217
Apple, Inc.		228		22,768
Genpact Ltd.^*		552		15,561
Total Technology				86,664
Basic Materials - 1.4%
Newmont Mining Corp.		936		30,336
CF Industries Holdings, Inc.		156		4,315
Total Basic Materials				34,651
Industrial - 1.3%
GoPro, Inc. — Class A^*,1		2,060		21,156
SBA Communications Corp. — Class A^*		130		12,922
Total Industrial				34,078
Total Common Stocks
(Cost $2,447,519)				2,437,389

	Shares		Value
MASTER LIMITED PARTNERSHIPS^† - 0.9%
Financial - 0.9%
Oaktree Capital Group LLC		512	$	23,460
		–		–
Total Master Limited Partnerships
(Cost $24,473)				23,460

	Shares		Value
SECURITIES LENDING COLLATERAL^†^,2 - 2.5%
BNY Mellon Separately Managed Cash Collateral Account, 0.3235%		62,328		62,328
Total Securities Lending Fund
(Cost $62,328)				62,328
Total Investments - 100.7%
(Cost $2,534,320)			$	2,523,177
Other Assets & Liabilities, net - (0.7)%				(18,671	)
Total Net Assets - 100.0%			$	2,504,506

*	Non-income producing security.
†	Value determined based on Level 1 inputs — See Note 2.
1	All or portion of this security is on loan at May 31, 2016 — See Note 4.
2	Securities lending collateral — See Note 4.

plc	Public Limited Company
REIT	Real Estate Investment Trust

See Sector Classification in Other Information section.

The following table summarizes the inputs used to value the Fund's investments at May 31, 2016 (See Note 2 in the Notes to Schedule of Investments):

	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs		Total
Assets
Common Stocks	$	2,437,389	$	—	$	—	$	2,437,389
Master Limited Partnership		23,460		—		—		23,460
Securities Lending Collateral		62,328		—		—		62,328
Total	$	2,523,177	$	—	$	—	$	2,523,177

For the period ended May 31, 2016, there were no transfers between levels.

Guggenheim Mid-Cap Core ETF
SCHEDULE OF INVESTMENTS (Unaudited)	May 31, 2016

	Shares		Value
COMMON STOCKS^† - 91.4%
Financial – 35.0%
Vornado Realty Trust		31,740	$	3,031,804
Willis Towers Watson plc		23,633		3,025,497
TD Ameritrade Holding Corp.		90,895		2,969,540
Ameriprise Financial, Inc.		28,512		2,898,815
Northern Trust Corp.		38,956		2,886,639
Principal Financial Group, Inc.		51,253		2,283,833
Invesco Ltd.		70,833		2,224,156
Citizens Financial Group, Inc.		90,965		2,142,226
Credicorp Ltd.		14,153		1,984,250
CBRE Group, Inc. — Class A^*		57,437		1,714,494
Unum Group		41,429		1,529,559
Arch Capital Group Ltd.^*		20,474		1,487,641
CNA Financial Corp.		45,208		1,485,535
Arthur J Gallagher & Co.		29,748		1,437,721
SEI Investments Co.		27,206		1,399,477
Duke Realty Corp.		57,574		1,362,777
Brixmor Property Group, Inc.		49,467		1,249,042
WP Carey, Inc.		17,382		1,114,360
Apartment Investment & Management Co. — Class A		25,970		1,107,621
American Financial Group, Inc.		14,498		1,062,413
American Capital Agency Corp.		55,788		1,053,835
Grupo Financiero Santander Mexico SAB de CV ADR		112,055		1,011,857
East West Bancorp, Inc.		24,733		954,694
Liberty Property Trust		24,458		912,773
Axis Capital Holdings Ltd.		15,870		875,230
Douglas Emmett, Inc.		25,008		847,521
Endurance Specialty Holdings Ltd.		11,130		755,950
Erie Indemnity Co. — Class A		7,696		753,438
Validus Holdings Ltd.		13,742		669,098
Healthcare Trust of America, Inc. — Class A		21,780		657,320
Paramount Group, Inc.		36,000		589,680
CoreLogic, Inc.^*		14,979		558,267
Two Harbors Investment Corp.		59,085		501,041
Total Financial				48,538,104
Industrial - 16.5%
Tyco International plc		71,796		3,059,945
Ingersoll-Rand plc		43,490		2,905,566
Republic Services, Inc. — Class A		57,574		2,779,673
Agilent Technologies, Inc.		55,101		2,528,585
Textron, Inc.		45,826		1,744,137
Xylem, Inc.		29,542		1,319,346
Crown Holdings, Inc.^*		23,633		1,232,934
Huntington Ingalls Industries, Inc.		7,832		1,201,507
Allegion plc		16,351		1,105,981
Hubbell, Inc.		9,550		1,014,879
Keysight Technologies, Inc.^*		29,406		900,706
FLIR Systems, Inc.		23,086		719,129
BWX Technologies, Inc.		17,726		623,423
Waste Connections, Inc.^*		18,618		588,515
Crane Co.		10,030		575,722
ITT, Inc.		15,870		563,544
Total Industrial				22,863,592

	Shares		Value
COMMON STOCKS^† - 91.4% (continued)
Consumer, Non-cyclical - 10.6%
St. Jude Medical, Inc.		47,544	$	3,725,547
CR Bard, Inc.		12,023		2,633,518
Coca-Cola European Partners plc		52,655		2,043,541
Total System Services, Inc.		30,710		1,649,127
Aramark		40,192		1,337,992
Robert Half International, Inc.		21,574		897,263
VCA, Inc.^*		13,467		874,412
QIAGEN N.V.^*		39,573		853,985
Booz Allen Hamilton Holding Corp.		24,939		729,965
Total Consumer, Non-cyclical				14,745,350
Technology - 8.3%
Maxim Integrated Products, Inc.		47,681		1,809,971
Xerox Corp.		169,559		1,690,503
IMS Health Holdings, Inc.^*		56,268		1,469,157
Amdocs Ltd.		25,214		1,462,160
Broadridge Financial Solutions, Inc.		19,855		1,274,492
DST Systems, Inc.		5,634		681,263
ON Semiconductor Corp.^*		69,254		676,612
CSRA, Inc.		25,834		639,908
Brocade Communications Systems, Inc.		68,292		618,726
Syntel, Inc.^*		13,397		617,334
Leidos Holdings, Inc.		12,023		593,936
Total Technology				11,534,062
Basic Materials - 7.3%
International Paper Co.		69,872		2,945,804
Eastman Chemical Co.		25,008		1,834,586
Celanese Corp. — Class A		25,420		1,791,602
Axalta Coating Systems Ltd.^*		39,779		1,119,779
RPM International, Inc.		21,847		1,096,501
Israel Chemicals Ltd.¹		223,424		922,741
Cabot Corp.		10,580		483,612
Total Basic Materials				10,194,625
Utilities - 6.2%
FirstEnergy Corp.		71,177		2,335,317
Avangrid, Inc.		51,734		2,173,863
Alliant Energy Corp.		37,514		1,389,894
UGI Corp.		28,512		1,223,735
MDU Resources Group, Inc.		33,046		755,762
Vectren Corp.		13,672		679,225
Total Utilities				8,557,796
Consumer, Cyclical - 5.5%
Liberty Interactive Corporation QVC Group — Class A^*		76,881		2,074,250
Ferrari N.V.¹		32,360		1,373,035
PVH Corp.		12,847		1,205,049
Allison Transmission Holdings, Inc.		28,582		802,868
Watsco, Inc.		5,771		774,641
Scotts Miracle-Gro Co. — Class A		10,444		725,858
International Game Technology plc		32,977		625,244
Total Consumer, Cyclical				7,580,945

Guggenheim Mid-Cap Core ETF
SCHEDULE OF INVESTMENTS (Unaudited)	May 31, 2016

	Shares		Value
COMMON STOCKS^† - 91.4% (continued)
Communications - 2.0%
Symantec Corp.		111,505		1,935,727
IAC/InterActiveCorp		14,290		798,525
Total Communications				2,734,252
Total Common Stocks
(Cost $118,296,174)				126,748,726
MASTER LIMITED PARTNERSHIPS^† - 7.9%
Energy – 4.6%
Energy Transfer Partners, LP		84,438		3,061,722
Spectra Energy Partners, LP		49,948		2,244,663
TC PipeLines, LP		11,061		610,899
Tallgrass Energy Partners, LP¹		11,956		541,129
Total Energy				6,458,413
Financial - 1.5%
Icahn Enterprises, LP¹		22,741		1,235,291
Lazard Ltd. — Class A		22,603		795,174


Total Financial				2,030,465

	Shares		Value
MASTER LIMITED PARTNERSHIPS^† - 7.9% (continued)
Utilities - 1.4%
Brookfield Infrastructure Partners, LP^*,1		27,275	$	1,166,279
AmeriGas Partners, LP		15,734		721,876
Total Utilities				1,888,155
Consumer, Cyclical - 0.4%
Cedar Fair, LP		9,275		556,778
Total Master Limited Partnerships
(Cost $10,251,658)				10,933,811
SECURITIES LENDING COLLATERAL^†^,2 - 3.3%

BNY Mellon Separately Managed Cash Collateral Account, 0.3028%		4,595,524		4,595,524
Total Securities Lending Collateral
(Cost $4,595,524)				4,595,524
Total Investments - 102.6%
(Cost $133,143,356)			$	142,278,061
Other Assets & Liabilities, net - (2.6)%				(3,597,172	)
Total Net Assets - 100.0%			$	138,680,889

*	Non-income producing security.
†	Value determined based on Level 1 inputs — See Note 2.
1	All or portion of this security is on loan at May 31, 2016 — See Note 4.
2	Securities lending collateral — See Note 4.

ADR	American Depositary Receipt
plc	Public Limited Company

See Sector Classification in Supplemental Information section.

The following table summarizes the inputs used to value the Fund's investments at May 31, 2016 (See Note 2 in the Notes to Schedule of Investments):

	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs		Total
Assets
Common Stocks	$	126,748,726	$	—	$	—	$	126,748,726
Master Limited Partnership		10,933,811		—		—		10,933,811
Securities Lending Collateral		4,595,524		—		—		4,595,524
Total	$	142,278,061	$	—	$	—	$	142,278,061

For the period ended May 31, 2016, there were no transfers between levels.

Guggenheim Multi-Asset Income ETF
SCHEDULE OF INVESTMENTS (Unaudited)	May 31, 2016

	Shares		Value
COMMON STOCKS^† - 69.1%
Financial - 25.4%
Fifth Third Bancorp		262,041	$	4,944,714
Ventas, Inc. REIT		73,231		4,857,413
Prudential Financial, Inc.		60,949		4,830,208
MetLife, Inc.		102,274		4,658,581
Communications Sales & Leasing, Inc. REIT		182,490		4,558,600
EPR Properties REIT		63,612		4,534,263
BB&T Corp.		123,238		4,482,166
Annaly Capital Management, Inc. REIT		394,377		4,172,508
Fly Leasing Ltd. ADR¹		333,086		3,803,842
Navient Corp.		255,505		3,502,974
Corporate Office Properties Trust REIT		125,591		3,394,725
Bank of Nova Scotia		67,187		3,287,460
DuPont Fabros Technology, Inc. REIT		76,851		3,251,566
Royal Bank of Canada		53,097		3,196,970
Principal Financial Group, Inc.		70,801		3,154,893
HSBC Holdings plc ADR¹		96,198		3,120,663
Manulife Financial Corp.		209,658		3,117,614
Bank of Montreal		49,176		3,093,662
Apple Hospitality REIT, Inc.		169,268		3,085,756
Toronto-Dominion Bank		70,229		3,061,984
WP Carey, Inc. REIT		45,864		2,940,341
Retail Properties of America, Inc. — Class A REIT		176,414		2,796,162
Waddell & Reed Financial, Inc. — Class A		117,001		2,500,311
Piedmont Office Realty Trust, Inc. — Class A REIT		123,950		2,485,198
Physicians Realty Trust REIT		128,610		2,442,304
Banco Bilbao Vizcaya Argentaria S.A. ADR		362,062		2,393,230
Sumitomo Mitsui Financial Group, Inc. ADR		353,857		2,264,685
New York REIT, Inc.		224,010		2,045,211
Banco de Chile ADR		32,179		1,937,176
BOK Financial Corp.¹		26,588		1,694,719
Canadian Imperial Bank of Commerce		20,546		1,594,781
Sun Life Financial, Inc.¹		45,380		1,565,156
United Bankshares, Inc.		37,920		1,509,595
Select Income REIT		59,302		1,460,608
Maiden Holdings Ltd.		109,777		1,440,274
First Interstate BancSystem, Inc. — Class A		49,649		1,438,332
Aircastle Ltd.		67,966		1,436,801
LTC Properties, Inc. REIT		30,654		1,429,089
Apollo Commercial Real Estate Finance, Inc. REIT		82,589		1,338,768
Total Financial				112,823,303
Basic Materials - 7.2%
International Paper Co.		113,624		4,790,388
Dow Chemical Co.		83,569		4,292,104
LyondellBasell Industries N.V. — Class A		50,397		4,100,300
Huntsman Corp.		270,204		4,034,146
Mosaic Co.		157,940		3,984,826

	Shares		Value
COMMON STOCKS^† - 69.1% (continued)
Basic Materials - 7.2% (continued)
Rayonier Advanced Materials, Inc.		187,522	$	2,430,285
CF Industries Holdings, Inc.		82,813		2,290,608
Commercial Metals Co.		93,829		1,611,044
Schweitzer-Mauduit International, Inc.		42,501		1,462,034
A. Schulman, Inc.		54,566		1,381,065
Cameco Corp.		108,188		1,258,226
Total Basic Materials				31,635,026
Energy - 6.7%
BP plc ADR		133,847		4,202,796
Marathon Petroleum Corp.		116,089		4,043,379
Royal Dutch Shell plc — Class A ADR		76,187		3,694,308
Valero Energy Corp.		65,073		3,559,492
Oceaneering International, Inc.		98,294		3,249,600
Noble Corporation plc¹		345,030		2,877,550
Statoil ASA ADR		173,937		2,741,247
PBF Energy, Inc. — Class A		88,888		2,343,977
Western Refining, Inc.¹		95,474		2,027,868
Alon USA Energy, Inc.		122,623		925,804
Total Energy				29,666,021
Industrial - 6.6%
Cummins, Inc.		41,022		4,695,788
Boeing Co.		34,119		4,304,112
Packaging Corporation of America		55,596		3,793,314
WestRock Co.		90,347		3,578,645
Greenbrier Companies, Inc.¹		112,167		3,219,193
ABB Ltd. ADR		113,420		2,356,868
KapStone Paper and Packaging Corp.		143,665		2,190,891
GATX Corp.		31,601		1,449,538
American Railcar Industries, Inc.		35,282		1,399,990
DHT Holdings, Inc.		227,433		1,241,784
Teekay Tankers Ltd. — Class A		315,998		1,118,633
Total Industrial				29,348,756
Consumer, Non-cyclical - 6.2%
Archer-Daniels-Midland Co.		116,514		4,983,304
AbbVie, Inc.		71,844		4,521,142
Merck & Company, Inc.		78,001		4,388,336
GlaxoSmithKline plc ADR		72,572		3,074,876
Western Union Co.		145,017		2,820,581
AstraZeneca plc ADR		75,916		2,254,705
Cal-Maine Foods, Inc.¹		49,964		2,223,398
EVERTEC, Inc.		114,206		1,748,494
Capella Education Co.		28,962		1,519,636
Total Consumer, Non-cyclical				27,534,472
Utilities - 5.0%
American Electric Power Company, Inc.		62,588		4,051,321
OGE Energy Corp.		98,355		2,969,337
AES Corp.		262,132		2,907,044
Pinnacle West Capital Corp.		37,483		2,758,374
WEC Energy Group, Inc.		45,813		2,755,194
Ameren Corp.		55,369		2,743,534
Entergy Corp.		35,788		2,717,025

Guggenheim Multi-Asset Income ETF
SCHEDULE OF INVESTMENTS (Unaudited)	May 31, 2016

	Shares		Value
COMMON STOCKS^† - 69.1% (continued)
Utilities - 5.0% (continued)
Vectren Corp.		28,223	$	1,402,119
Total Utilities				22,303,948
Consumer, Cyclical - 4.7%
Ford Motor Co.		326,465		4,404,013
Harley-Davidson, Inc.		93,593		4,341,779
General Motors Co.		136,740		4,277,227
Macy's, Inc.		92,036		3,056,516
Outerwall, Inc.¹		43,800		1,806,750
Pier 1 Imports, Inc.		273,875		1,533,700
DineEquity, Inc.		14,012		1,177,849
Total Consumer, Cyclical				20,597,834
Communications - 4.0%
Viacom, Inc. — Class B		105,954		4,701,179
Verizon Communications, Inc.		77,604		3,950,044
Telefonica S.A. ADR		358,238		3,736,422
Telefonaktiebolaget LM Ericsson ADR		286,386		2,213,764
Chunghwa Telecom Company Ltd. ADR		56,704		1,922,832
West Corp.		60,895		1,284,885
Total Communications				17,809,126
Technology - 3.3%
International Business Machines Corp.		29,688		4,564,234
QUALCOMM, Inc.		76,545		4,203,851
Western Digital Corp.		89,798		4,179,199
Canon, Inc. ADR		62,992		1,817,319
Total Technology				14,764,603
Total Common Stocks
(Cost $309,875,905)				306,483,089
MASTER LIMITED PARTNERSHIPS^† - 10.9%
Energy - 10.0%
Summit Midstream Partners, LP		347,998		7,287,077
ONEOK Partners, LP		176,140		6,684,513
Tallgrass Energy Partners, LP		100,091		4,530,119
Sunoco, LP		133,288		4,421,163
MPLX, LP		122,661		3,912,885
TC PipeLines, LP		69,011		3,811,478
Buckeye Partners, LP		50,546		3,635,268
Tesoro Logistics, LP		64,032		3,147,173
Enterprise Products Partners, LP		113,172		3,141,655
Magellan Midstream Partners, LP		28,195		1,975,060
Spectra Energy Partners, LP		43,307		1,946,217
Total Energy				44,492,608
Utilities - 0.9%
AmeriGas Partners, LP¹		84,459		3,874,979
¹		–		–
Total Master Limited Partnerships
(Cost $42,815,823)				48,367,587
CLOSED-END FUNDS^† - 9.4%
PIMCO Dynamic Credit Income Fund¹		249,588		4,629,858
AllianzGI Convertible & Income Fund II		866,114		4,573,081
PIMCO Dynamic Income Fund		167,909		4,563,767

	Shares		Value
CLOSED-END FUNDS^† - 9.4% (continued)
First Trust Intermediate Duration Preferred & Income Fund		181,916	$	4,180,430
AllianzGI Convertible & Income Fund¹		471,053		2,812,186
Prudential Global Short Duration High Yield Fund, Inc.		150,213		2,230,663
Western Asset High Income Fund II, Inc.		318,817		2,174,332
AllianceBernstein Global High Income Fund, Inc.		178,750		2,164,663
Morgan Stanley Emerging Markets Domestic Debt Fund, Inc.		278,866		2,074,763
Prudential Short Duration High Yield Fund, Inc.		116,378		1,813,169
Brookfield Total Return Fund, Inc.		69,775		1,561,565
Wells Fargo Income Opportunities Fund		177,686		1,385,951
NexPoint Credit Strategies Fund		65,745		1,364,209
Babson Capital Global Short Duration High Yield Fund		73,262		1,283,550
PIMCO Income Strategy Fund II¹		137,674		1,247,326
John Hancock Preferred Income Fund III¹		58,111		1,119,799
Wells Fargo Global Dividend Opportunity Fund¹		169,496		1,027,146
John Hancock Preferred Income Fund		40,439		905,429
John Hancock Preferred Income Fund II		33,862		743,948
Nuveen Preferred Securities Income Fund		1		9
Total Closed-End Funds
(Cost $46,952,070)				41,855,844
PREFERRED STOCKS^† - 7.2%
Financial - 7.2%
JPMorgan Chase & Co. 6.15%^1,2		169,196		4,502,306
Endurance Specialty Holdings Ltd. 6.35%²		168,142		4,418,772
Wells Fargo & Co. 5.85%^2,3		150,252		3,980,176
Citigroup, Inc. 6.88%^2,3		122,431		3,404,806
JPMorgan Chase & Co. 6.10%^1,2		120,967		3,203,206
Morgan Stanley 6.38%^,2,3		110,797		3,005,923
US Bancorp 6.50%^2,3		81,212		2,459,911
PNC Financial Services Group, Inc. 6.13%^2,3		81,197		2,424,542
Charles Schwab Corp. 6.00%^1,2		87,206		2,323,168
Bank of America Corp. 6.50%²		86,459		2,321,424
Total Financial				32,044,234
Total Preferred Stocks
(Cost $31,193,607)				32,044,234
CONVERTIBLE PREFERRED STOCKS^† - 2.1%
Financial - 2.1%
Bank of America Corp. 7.25%²		3,987		4,606,979

Guggenheim Multi-Asset Income ETF
SCHEDULE OF INVESTMENTS (Unaudited)	May 31, 2016

	Shares		Value
CONVERTIBLE PREFERRED STOCKS^† - 2.1% (continued)
Financial - 2.1% (continued)
Wells Fargo & Co. 7.50%²		3,698	$	4,546,210
Total Financial				9,153,189
Total Convertible Preferred Stocks
(Cost $8,789,238)				9,153,189

	Shares		Value
SECURITIES LENDING COLLATERAL^†^,4 - 2.4%
BNY Mellon Separately Managed Cash Collateral Account, 0.3027%		10,807,992	$	10,807,992
Total Securities Lending Collateral
(Cost $10,807,992)				10,807,992
Total Investments - 101.1%
(Cost $450,434,635)			$	448,711,935
Other Assets & Liabilities, net - (1.1)%				(4,731,528	)
Total Net Assets - 100.0%			$	443,980,407

†	Value determined based on Level 1 inputs — See Note 2.
1	All or portion of this security is on loan at May 31, 2016 — See Note 4.
2	Perpetual maturity.
3	Variable rate security. Rate indicated is rate effective at May 31, 2016.
4	Securities lending collateral — See Note 4.

ADR	American Depositary Receipt
plc	Public Limited Company
REIT	Real Estate Investment Trust

See Sector Classification in Supplemental Information section.

The following table summarizes the inputs used to value the Fund's investments at May 31, 2016 (See Note 2 in the Notes to Schedule of Investments):

	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs		Total
Assets
Common Stocks	$	306,483,089	$	—	$	—	$	306,483,089
Master Limited Partnership		48,367,587		—		—		48,367,587
Closed-End Fund		41,855,844		—		—		41,855,844
Preferred Stocks		32,044,234		—		—		32,044,234
Convertible Preferred Stocks		9,153,189		—		—		9,153,189
Securities Lending Collateral		10,807,992		—		—		10,807,992
Total	$	448,711,935	$	—	$	—	$	448,711,935

For the period ended May 31, 2016, there were no transfers between levels.

Guggenheim Raymond James SB-1 Equity ETF
SCHEDULE OF INVESTMENTS (Unaudited)	May 31, 2016

	Shares		Value
COMMON STOCKS^† - 93.3%
Financial - 21.3%
Texas Capital Bancshares, Inc.^*		23,078	$	1,182,516
Argo Group International Holdings Ltd.		22,103		1,163,718
SVB Financial Group^*		10,459		1,152,582
PrivateBancorp, Inc. — Class A		25,730		1,141,126
BofI Holding, Inc.^*,1		59,997		1,126,144
BGC Partners, Inc. — Class A		120,269		1,117,299
LegacyTexas Financial Group, Inc.		41,253		1,110,531
Wintrust Financial Corp.		20,843		1,110,307
Equinix, Inc. REIT		3,067		1,110,254
Umpqua Holdings Corp.		69,279		1,107,771
Heartland Financial USA, Inc.		31,555		1,107,581
Bank of the Ozarks, Inc.		28,366		1,103,721
American Homes 4 Rent — Class A REIT		60,169		1,103,499
Northern Trust Corp.		14,821		1,098,236
Chemical Financial Corp.		27,855		1,097,487
Talmer Bancorp, Inc. — Class A		54,954		1,095,783
Zions Bancorporation		39,063		1,094,545
Union Bankshares Corp.		40,320		1,094,285
Regions Financial Corp.		111,126		1,092,369
Renasant Corp.		31,698		1,090,728
Extra Space Storage, Inc. REIT		11,725		1,090,073
Apartment Investment & Management Co. — Class A REIT		25,555		1,089,921
IBERIABANK Corp.		17,577		1,089,774
Lincoln National Corp.		23,713		1,087,241
MetLife, Inc.		23,750		1,081,813
Retail Opportunity Investments Corp. REIT		53,270		1,077,119
Meta Financial Group, Inc.		21,600		1,076,760
Willis Towers Watson plc		8,410		1,076,648
CyrusOne, Inc. REIT		21,820		1,075,944
American Tower Corp. — Class A REIT		10,141		1,072,715
Prudential Financial, Inc.		13,526		1,071,936
Allstate Corp.		15,744		1,062,877
ConnectOne Bancorp, Inc.¹		67,072		1,062,420
Fidus Investment Corp.		45,618		688,832
Alcentra Capital Corp.¹		32,509		397,260
Health Insurance Innovations, Inc. — Class A^*,1		32,140		233,015
MidSouth Bancorp, Inc.		22,300		231,251
Total Financial				37,866,081
Consumer, Cyclical - 15.4%
Dollar General Corp.		12,834		1,153,778
Harman International Industries, Inc.		14,677		1,148,328
Toll Brothers, Inc.^*		39,341		1,146,790
La-Z-Boy, Inc.		42,675		1,130,034
Restoration Hardware Holdings, Inc.^*,1		33,936		1,128,712
Red Robin Gourmet Burgers, Inc.^*		22,006		1,115,925
Bed Bath & Beyond, Inc.		24,920		1,115,170
Malibu Boats, Inc. — Class A		80,888		1,100,077
MCBC Holdings, Inc.^*		71,515		1,099,901

	Shares		Value
COMMON STOCKS^† - 93.3% (continued)
Consumer, Cyclical - 15.4% (continued)
Beacon Roofing Supply, Inc.^*		25,450	$	1,098,168
Select Comfort Corp.^*		48,947		1,097,392
MarineMax, Inc.^*		64,601		1,096,925
Whirlpool Corp.		6,276		1,095,915
Tractor Supply Co.		11,354		1,091,119
O'Reilly Automotive, Inc.^*		4,119		1,089,187
Pier 1 Imports, Inc.		194,162		1,087,307
Cinemark Holdings, Inc.		29,982		1,084,748
Mohawk Industries, Inc.^*		5,505		1,082,778
Polaris Industries, Inc.		12,694		1,079,244
Wal-Mart Stores, Inc.		15,207		1,076,351
Best Buy Company, Inc.		33,377		1,073,738
Regal Entertainment Group — Class A		50,888		1,070,175
Alaska Air Group, Inc.		16,094		1,068,642
AutoZone, Inc.^*		1,391		1,060,220
Carrols Restaurant Group, Inc.^*		83,987		1,017,922
Total Consumer, Cyclical				27,408,546
Consumer, Non-cyclical - 13.9%
Biogen, Inc.^*		4,067		1,178,332
Sagent Pharmaceuticals, Inc.^*		90,721		1,173,931
Amphastar Pharmaceuticals, Inc.^*		73,695		1,159,222
Alexion Pharmaceuticals, Inc.^*		7,570		1,142,313
Rent-A-Center, Inc.		86,259		1,136,031
TESARO, Inc.^*		24,473		1,133,100
TG Therapeutics, Inc.^*,1		148,848		1,119,337
Celgene Corp.^*		10,530		1,111,126
Aaron's, Inc.		44,254		1,110,775
Quintiles Transnational Holdings, Inc.^*		16,210		1,100,497
Service Corporation International		39,621		1,085,615
ICU Medical, Inc.^*		10,439		1,085,552
UnitedHealth Group, Inc.		8,095		1,082,059
Amsurg Corp. — Class A^*		14,436		1,079,668
Boston Scientific Corp.^*		47,468		1,077,998
Teleflex, Inc.		6,657		1,072,442
Carriage Services, Inc. — Class A^*		45,537		1,071,941
Merit Medical Systems, Inc.^*		57,038		1,070,603
HCA Holdings, Inc.^*		13,717		1,070,200
Becton Dickinson and Co.		6,419		1,068,443
Capital Senior Living Corp.^*		57,663		1,054,656
Surgery Partners, Inc.^*		73,850		1,015,807
Dipexium Pharmaceuticals, Inc.^*		25,824		285,355
ADMA Biologics, Inc.^*		28,375		219,906
Total Consumer, Non-cyclical				24,704,909
Energy - 12.7%
Nabors Industries Ltd.		132,706		1,247,436
Kosmos Energy Ltd.^*		207,157		1,189,081
SolarCity Corp.^*,1		51,662		1,156,712
Unit Corp.^*		82,733		1,155,780
Weatherford International plc^*		205,538		1,153,067
Superior Energy Services, Inc.		66,479		1,146,098
RPC, Inc.^*,1		77,550		1,143,863
Patterson-UTI Energy, Inc.		61,291		1,140,626
QEP Resources, Inc.		60,936		1,135,238
Newpark Resources, Inc.^*		243,601		1,118,129

Guggenheim Raymond James SB-1 Equity ETF
SCHEDULE OF INVESTMENTS (Unaudited)	May 31, 2016

	Shares		Value
COMMON STOCKS^† - 93.3% (continued)
Energy - 12.7% (continued)
Halliburton Co.		26,217	$	1,105,833
Parsley Energy, Inc. — Class A^*		41,976		1,094,314
Concho Resources, Inc.^*		9,003		1,092,424
RSP Permian, Inc.^*		33,062		1,088,732
Newfield Exploration Co.^*		26,501		1,080,446
Continental Resources, Inc.^*		25,686		1,080,353
Spectra Energy Corp.		33,881		1,079,449
Baker Hughes, Inc.		23,262		1,078,892
Occidental Petroleum Corp.		14,062		1,060,837
Pioneer Natural Resources Co.		6,462		1,035,988
Dawson Geophysical Co.^*		34,902		251,992
Total Energy				22,635,290
Industrial - 12.3%
Applied Optoelectronics, Inc.^*,1		119,586		1,261,632
YRC Worldwide, Inc.^*		127,096		1,170,554
Celadon Group, Inc.		117,450		1,160,406
Werner Enterprises, Inc.		44,992		1,119,851
Genesee & Wyoming, Inc. — Class A^*		18,580		1,116,100
ArcBest Corp.		64,721		1,115,143
Saia, Inc.^*		42,640		1,111,625
Briggs & Stratton Corp.		49,663		1,108,478
FLIR Systems, Inc.		35,385		1,102,243
Ryder System, Inc.		15,780		1,098,604
PGT, Inc.^*		101,973		1,093,151
Union Pacific Corp.		12,922		1,087,903
Kansas City Southern		11,627		1,082,474
Swift Transportation Co. — Class A^*		69,143		1,077,248
Covanta Holding Corp.		64,404		1,073,615
SBA Communications Corp. — Class A^*		10,800		1,073,520
Flextronics International Ltd.^*		86,118		1,072,169
Republic Services, Inc. — Class A		22,062		1,065,153
Waste Connections, Inc.^*		31,641		1,000,172
Casella Waste Systems, Inc. — Class A^*		123,795		888,848
Total Industrial				21,878,889
Technology - 9.5%
Micron Technology, Inc.^*		104,504		1,329,292
Applied Micro Circuits Corp.^*,1		175,685		1,156,007
BroadSoft, Inc.^*		26,152		1,140,227
Cavium, Inc.^*		22,873		1,137,932
Xilinx, Inc.		24,004		1,137,550
Benefitfocus, Inc.^*,1		30,888		1,133,898
NVIDIA Corp.		24,164		1,128,942
Microsemi Corp.^*		33,345		1,128,061
Envestnet, Inc.^*		33,366		1,127,437
Microsoft Corp.		20,913		1,108,389
salesforce.com, Inc.^*		12,978		1,086,388
VeriFone Systems, Inc.^*		40,980		1,081,872
ServiceNow, Inc.^*		15,087		1,080,682
Synchronoss Technologies, Inc.^*		30,538		1,077,075
Instructure, Inc.^*		61,326		1,064,006
Total Technology				16,917,758
Communications - 7.0%
ARRIS International plc^*		47,878		1,153,860
RingCentral, Inc. — Class A^*		56,306		1,111,480
Iridium Communications, Inc.^*,1		127,096		1,109,548

	Shares		Value
COMMON STOCKS^† - 93.3% (continued)
Communications - 7.0% (continued)
Telephone & Data Systems, Inc.		38,492	$	1,108,186
Comcast Corp. — Class A		17,466		1,105,598
United States Cellular Corp.^*		28,895		1,091,653
ORBCOMM, Inc.^*		115,898		1,089,441
WebMD Health Corp. — Class A^*		16,441		1,080,996
Zayo Group Holdings, Inc.^*		38,464		1,068,530
NeoPhotonics Corp.^*		114,511		1,031,744
Palo Alto Networks, Inc.^*		7,559		986,147
KVH Industries, Inc.^*		39,086		331,058
Connecture, Inc.^*,1		114,043		159,660
Total Communications				12,427,901
Basic Materials - 0.6%
Praxair, Inc.		9,562		1,050,481
		–		–
Utilities - 0.6%
EnerNOC, Inc.^*,1		155,674		1,027,448
		–		–
Total Common Stocks
(Cost $155,292,037)				165,917,303
MASTER LIMITED PARTNERSHIPS^† - 6.6%
Energy - 3.6%
Western Refining Logistics, LP¹		48,856		1,153,490
Tesoro Logistics, LP		22,062		1,084,347
Enterprise Products Partners, LP		38,746		1,075,589
Enviva Partners, LP		46,792		1,070,601
Antero Midstream Partners, LP		43,235		1,063,581
Magellan Midstream Partners, LP		14,725		1,031,486
Total Energy				6,479,094
Industrial - 0.7%
Fortress Transportation & Infrastructure Investors LLC		114,387		1,187,337
		–		–
Utilities - 0.6%
8Point3 Energy Partners, LP¹		72,030		1,110,703
		–		–
Financial - 0.6%
Lazard Ltd. — Class A		31,405		1,104,828
		–		–
Consumer, Non-cyclical - 0.6%
StoneMor Partners, LP¹		45,049		1,063,156
		–		–
Consumer, Cyclical - 0.3%
Green Plains Partners, LP		39,753		572,443
		–		–
Diversified - 0.2%
Landmark Infrastructure Partners, LP		22,038		334,978
		–		–
Total Master Limited Partnerships
(Cost $11,711,567)				11,852,539
SECURITIES LENDING COLLATERAL^†^,2 - 4.0%

BNY Mellon Separately Managed Cash Collateral Account, 0.3026%		7,223,620		7,223,620
Total Securities Lending Collateral
(Cost $7,223,620)				7,223,620
Total Investments - 103.9%
(Cost $174,227,224)			$	184,993,462
Other Assets & Liabilities, net - (3.9)%				(6,985,853	)
Total Net Assets - 100.0%			$	178,007,609

Guggenheim Raymond James SB-1 Equity ETF
SCHEDULE OF INVESTMENTS (Unaudited)	May 31, 2016

*	Non-income producing security.
†	Value determined based on Level 1 inputs — See Note 2.
1	All or portion of this security is on loan at May 31, 2016 — See Note 4.
2	Securities lending collateral — See Note 4.

plc	Public Limited Company

See Sector Classification in Supplemental Information section.

The following table summarizes the inputs used to value the Fund's investments at May 31, 2016 (See Note 2 in the Notes to Schedule of Investments):

	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs		Total
Assets
Common Stocks	$	165,917,303	$	—	$	—	$	165,917,303
Master Limited Partnership		11,852,539		—		—		11,852,539
Securities Lending Collateral		7,223,620		—		—		7,223,620
Total	$	184,993,462	$	—	$	—	$	184,993,462

For the period ended May 31, 2016, there were no transfers between levels.

Guggenheim Spin-Off ETF
SCHEDULE OF INVESTMENTS (Unaudited)	May 31, 2016

	Shares		Value
COMMON STOCKS^† - 100.0%
Consumer, Non-cyclical - 39.4%
AbbVie, Inc.		273,091	$	17,185,616
Kraft Heinz Co.		198,891		16,545,742
Zoetis, Inc.		343,871		16,306,363
PayPal Holdings, Inc.^*		428,867		16,206,884
Baxalta, Inc.		241,220		10,910,381
WhiteWave Foods Co. — Class A^*		132,579		5,919,652
Mallinckrodt plc^*		84,139		5,331,047
Halyard Health, Inc.^*		35,047		1,089,611
Total Consumer, Non-cyclical				89,495,296
Financial - 15.0%
Synchrony Financial^*		583,046		18,191,035
Navient Corp.		257,736		3,533,561
Communications Sales & Leasing, Inc. REIT		90,525		2,261,315
Urban Edge Properties REIT		69,423		1,864,008
NorthStar Asset Management Group, Inc.		145,628		1,821,806
Care Capital Properties, Inc. REIT		63,003		1,637,448
WP GLIMCHER, Inc. REIT		139,320		1,423,850
Alexander & Baldwin, Inc.		34,593		1,302,772
Colony Starwood Homes REIT		28,608		778,710
New Senior Investment Group, Inc. REIT		65,058		674,651
FNFV Group^*,1		51,662		620,977
Total Financial				34,110,133
Technology - 13.5%
Hewlett Packard Enterprise Co.		1,073,664		19,830,575
CDK Global, Inc.		116,740		6,455,722
CSRA, Inc.		102,452		2,537,736
Science Applications International Corp.		31,106		1,697,454
Total Technology				30,521,487
Communications - 12.0%
Liberty SiriusXM Group — Class C^*		145,376		4,572,075
Liberty Ventures^*		101,332		3,780,697
News Corp. — Class A		285,679		3,416,721
Liberty Broadband Corp. — Class C^*		49,403		2,856,975
Liberty SiriusXM Group — Class A^*		72,909		2,325,068
Zillow Group, Inc. — Class C^*,1		78,482		2,250,864
Cable One, Inc.		3,301		1,617,457
Gannett Company, Inc.		87,273		1,363,204
Time, Inc.		78,830		1,251,032
Liberty Global plc LiLAC — Class C^*		28,224		1,205,447
Liberty Broadband Corp. — Class A^*		18,696		1,080,629
Liberty Media Group — Class C^*		36,345		688,739
Liberty Braves Group — Class C^*,1		24,812		372,180
Liberty Media Group — Class A^*		18,228		355,081

	Shares		Value
COMMON STOCKS^† - 100.0% (continued)
Communications - 12.0% (continued)
Liberty Braves Group — Class A^*		7,290	$	113,432
Total Communications				27,249,601
Industrial - 8.5%
Allegion plc		72,247		4,886,788
Keysight Technologies, Inc.^*		128,795		3,944,991
Energizer Holdings, Inc.		46,485		2,200,135
Manitowoc Foodservice, Inc.^*		102,690		1,691,304
KLX, Inc.^*		39,679		1,305,042
GCP Applied Technologies, Inc.^*		53,107		1,260,229
TopBuild Corp.^*		28,451		1,028,219
Knowles Corp.^*,1		66,491		972,098
SPX FLOW, Inc.^*		31,298		938,001
Babcock & Wilcox Enterprises, Inc.^*		38,098		828,632
TimkenSteel Corp.		28,582		256,095
Total Industrial				19,311,534
Energy - 5.0%
Columbia Pipeline Group, Inc.		300,607		7,677,502
Murphy USA, Inc.^*		27,841		1,892,910
NOW, Inc.^*		80,667		1,398,766
California Resources Corp.		291,584		443,208
Total Energy				11,412,386
Consumer, Cyclical - 4.6%
Gaming and Leisure Properties, Inc. REIT		136,854		4,503,864
Madison Square Garden Co. — Class A^*		15,372		2,575,271
CST Brands, Inc.		56,849		2,156,283
Liberty TripAdvisor Holdings, Inc. — Class A^*		50,849		1,168,002
Total Consumer, Cyclical				10,403,420
Utilities - 1.3%
ONE Gas, Inc.		39,313		2,305,707
Talen Energy Corp.^*		48,314		555,611
Total Utilities				2,861,318
Basic Materials - 0.7%
Chemours Co.		136,363		1,187,722
Rayonier Advanced Materials, Inc.		32,229		417,688
Total Basic Materials				1,605,410
Total Common Stocks
(Cost $215,149,905)				226,970,585

SECURITIES LENDING COLLATERAL^†^,2 - 0.9%

BNY Mellon Separately Managed Cash Collateral Account, 0.3034%		1,997,009		1,997,009
Total Securities Lending Collateral
(Cost $1,997,009)				1,997,009
Total Investments - 100.9%
(Cost $217,146,914)			$	228,967,594
Other Assets & Liabilities, net - (0.9)%				(1,955,380	)
Total Net Assets - 100.0%			$	227,012,214

*	Non-income producing security.
†	Value determined based on Level 1 inputs — See Note 2.
1	All or portion of this security is on loan at May 31, 2016 — See Note 4.

Guggenheim Spin-Off ETF
SCHEDULE OF INVESTMENTS (Unaudited)	May 31, 2016

2	Securities lending collateral — See Note 4.

plc	Public Limited Company
REIT	Real Estate Investment Trust

See Sector Classification in Supplemental Information section.

The following table summarizes the inputs used to value the Fund's investments at May 31, 2016 (See Note 2 in the Notes to Schedule of Investments):

	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs		Total
Assets
Common Stocks	$	226,970,585	$	—	$	—	$	226,970,585
Securities Lending Collateral		1,997,009		—		—		1,997,009
Total	$	228,967,594	$	—	$	—	$	228,967,594

For the period ended May 31, 2016, there were no transfers between levels.

Wilshire Micro-Cap ETF
SCHEDULE OF INVESTMENTS (Unaudited)	May 31, 2016

	Shares		Value
COMMON STOCKS^† - 99.4%
Financial - 34.6%
Preferred Bank/Los Angeles CA		3,601	$	118,545
Peoples Bancorp, Inc.		5,308		114,600
CU Bancorp^*		4,388		101,363
Financial Institutions, Inc.		3,567		99,733
Bear State Financial, Inc.¹		9,968		94,895
Pacific Continental Corp.		5,675		94,148
OceanFirst Financial Corp.		4,979		92,833
Fidelity Southern Corp.		5,614		91,844
Gladstone Commercial Corp. REIT		5,516		91,730
Meta Financial Group, Inc.		1,802		89,830
Independent Bank Corp.		5,942		88,179
PennantPark Floating Rate Capital Ltd.		7,189		86,339
Federal Agricultural Mortgage Corp. — Class C		2,348		84,692
Arbor Realty Trust, Inc. REIT		12,042		84,053
Independence Realty Trust, Inc. REIT		10,692		83,397
United Insurance Holdings Corp.		4,706		82,638
QCR Holdings, Inc.		3,026		82,580
Horizon Bancorp		3,323		82,078
First Defiance Financial Corp.		2,029		81,911
Peapack Gladstone Financial Corp.		4,307		81,876
Sierra Bancorp		4,679		80,806
MidWestOne Financial Group, Inc.		2,772		80,693
Whitestone REIT — Class B REIT		5,832		79,782
Guaranty Bancorp		4,736		75,776
Arlington Asset Investment Corp. — Class A¹		5,636		74,959
Heritage Commerce Corp.		6,937		74,642
One Liberty Properties, Inc. REIT		3,279		74,302
Mercantile Bank Corp.		3,010		73,564
HCI Group, Inc.		2,307		73,247
CommunityOne Bancorp^*,1		5,404		72,306
CorEnergy Infrastructure Trust, Inc. REIT		2,962		71,236
United Community Financial Corp.		11,438		69,657
Preferred Apartment Communities, Inc. — Class A REIT		4,988		69,383
Ares Commercial Real Estate Corp. REIT		5,489		65,758
Federated National Holding Co.		3,023		65,236
American National Bankshares, Inc.		2,333		63,248
West Bancorporation, Inc.		3,353		63,103
Bluerock Residential Growth REIT, Inc.		5,258		62,781
Gladstone Investment Corp.		8,767		61,544
Macatawa Bank Corp.		8,498		60,846
Monarch Financial Holdings, Inc.		3,161		60,660
WashingtonFirst Bankshares, Inc.		2,683		60,233
Southwest Bancorp, Inc.		3,476		58,988

	Shares		Value
COMMON STOCKS^† - 99.4% (continued)
Financial - 34.6% (continued)
Territorial Bancorp, Inc.		2,139	$	56,277
Northrim BanCorp, Inc.		2,073		55,038
Equity Bancshares, Inc. — Class A^*		2,300		54,625
National Bankshares, Inc.¹		1,623		54,127
TriplePoint Venture Growth BDC Corp.		4,991		53,803
Orchid Island Capital, Inc. REIT		5,175		53,717
WhiteHorse Finance, Inc.¹		5,100		53,346
Phoenix Companies, Inc.^*		1,451		53,310
Trupanion, Inc.^*,1		3,500		52,920
CatchMark Timber Trust, Inc. — Class A REIT		4,807		51,964
Southern National Bancorp of Virginia, Inc.		4,267		50,820
CNB Financial Corp.		2,846		50,801
Consolidated-Tomoka Land Co.¹		1,055		50,745
Community Healthcare Trust, Inc. REIT		2,700		50,382
Marlin Business Services Corp.		3,313		50,225
Easterly Government Properties, Inc. REIT		2,642		49,458
Severn Bancorp, Inc.^*,1		8,212		48,287
Suffolk Bancorp		1,895		47,925
Fidus Investment Corp.¹		3,158		47,686
Summit Financial Group, Inc.		2,708		46,821
First Connecticut Bancorp, Inc.		2,872		46,584
Horizon Technology Finance Corp.		3,847		46,164
Fox Chase Bancorp, Inc.		2,236		45,257
Bank of Marin Bancorp		889		45,188
Shore Bancshares, Inc.		3,999		44,069
BSB Bancorp, Inc.^*		1,909		43,850
Citizens & Northern Corp.		2,149		43,582
Oppenheimer Holdings, Inc. — Class A		2,741		43,143
Farmland Partners, Inc. REIT		3,825		42,725
Westfield Financial, Inc.		5,404		41,665
Republic First Bancorp, Inc.^*,1		9,720		41,504
Enterprise Bancorp, Inc.		1,777		41,351
Old Second Bancorp, Inc.		5,708		41,269
Sun Bancorp, Inc.^*		1,975		40,981
Farmers Capital Bank Corp.		1,503		40,867
Gladstone Land Corp. REIT		3,937		40,276
Penns Woods Bancorp, Inc.		948		40,138
First Bancorp, Inc.		1,974		39,776
UMH Properties, Inc. REIT		3,889		38,657
Bankwell Financial Group, Inc.		1,777		38,223
Owens Realty Mortgage, Inc. REIT		2,375		37,929
Avenue Financial Holdings, Inc.^*		1,912		37,380
Entegra Financial Corp.^*,1		2,097		36,698
Southern First Bancshares, Inc.^*		1,427		36,531
Century Bancorp, Inc. — Class A		847		36,184
Middleburg Financial Corp.		1,300		35,113
Bar Harbor Bankshares		1,029		34,667
Jernigan Capital, Inc. REIT¹		2,475		34,403
Merchants Bancshares, Inc.		1,125		34,324
Ellington Residential Mortgage REIT		2,629		34,151

Wilshire Micro-Cap ETF
SCHEDULE OF INVESTMENTS (Unaudited)	May 31, 2016

	Shares		Value
COMMON STOCKS^† - 99.4% (continued)
Financial - 34.6% (continued)
Medallion Financial Corp.¹		4,420	$	34,034
MutualFirst Financial, Inc.		1,255		33,885
GSV Capital Corp.¹		6,479		33,432
C&F Financial Corp.		754		33,101
Higher One Holdings, Inc.^*		8,773		32,986
CM Finance, Inc.¹		4,001		32,848
National Commerce Corp.^*		1,400		32,354
MBT Financial Corp.		4,053		32,140
Hallmark Financial Services, Inc.^*		3,289		32,134
Home Bancorp, Inc.		1,156		32,056
1347 Property Insurance Holdings, Inc.^*		4,612		31,915
SI Financial Group, Inc.		2,290		31,854
Access National Corp.		1,531		31,431
Garrison Capital, Inc.		3,039		31,241
Conifer Holdings, Inc.^*,1		4,612		30,716
Chemung Financial Corp.		962		30,553
BBX Capital Corp. — Class A^*		2,008		30,120
First Internet Bancorp		1,171		29,966
Gladstone Capital Corp.		4,053		29,384
Emergent Capital, Inc.^*		7,320		29,280
Heritage Oaks Bancorp		3,613		29,085
Southcoast Financial Corp.^*		1,999		28,726
Monroe Capital Corp.		1,928		28,380
MainSource Financial Group, Inc.		1,243		28,067
Investors Title Co.		300		27,978
Saratoga Investment Corp.¹		1,687		27,650
Southern Missouri Bancorp, Inc.		1,142		27,556
Independence Holding Co.		1,732		27,435
ESSA Bancorp, Inc.		1,971		26,983
First Financial Northwest, Inc.		1,999		26,547
Lake Sunapee Bank Group¹		1,593		26,189
Melrose Bancorp, Inc.^*		1,687		26,149
Veritex Holdings, Inc.^*		1,662		25,877
Sotherly Hotels, Inc. REIT		5,035		25,779
Central Valley Community Bancorp¹		1,848		25,392
MidSouth Bancorp, Inc.		2,441		25,313
Provident Bancorp, Inc.^*		1,800		25,218
Manning & Napier, Inc. — Class A		2,674		25,189
Union Bankshares, Inc.		748		25,152
People's Utah Bancorp		1,462		25,073
Nicholas Financial, Inc.^*		2,312		24,969
ZAIS Financial Corp. REIT		1,700		24,565
Silvercrest Asset Management Group, Inc. — Class A		2,000		24,500
Stellus Capital Investment Corp.		2,406		24,060
Wheeler Real Estate Investment Trust, Inc. REIT		15,748		23,779
Riverview Bancorp, Inc.		4,858		22,638
Atlas Financial Holdings, Inc.^*		1,258		22,631
Codorus Valley Bancorp, Inc.		1,057		22,630
BCB Bancorp, Inc.		2,100		22,008
Timberland Bancorp, Inc.		1,466		21,961
Provident Financial Holdings, Inc.		1,200		21,864

	Shares		Value
COMMON STOCKS^† - 99.4% (continued)
Financial - 34.6% (continued)
Maui Land & Pineapple Company, Inc.^*,1		3,600	$	21,744
Premier Financial Bancorp, Inc.		1,300		21,073
First South Bancorp, Inc.		2,304		21,059
Pacific Mercantile Bancorp^*		2,900		21,025
Norwood Financial Corp.¹		741		20,933
Peoples Bancorp of North Carolina, Inc.		1,071		20,863
Parke Bancorp, Inc.		1,584		20,814
BRT Realty Trust REIT^*,1		2,867		20,585
AmeriServ Financial, Inc.		6,307		20,245
Triumph Bancorp, Inc.^*		1,253		20,123
Cherry Hill Mortgage Investment Corp. REIT		1,262		19,649
First United Corp.^*		1,900		19,646
Evans Bancorp, Inc.		800		19,400
Consumer Portfolio Services, Inc.^*		4,960		19,394
Full Circle Capital Corp.		7,236		19,320
Five Oaks Investment Corp. REIT		3,836		19,180
Ocean Shore Holding Co.		1,100		19,129
Regional Management Corp.^*		1,111		18,965
Bank of South Carolina Corp.		1,186		18,751
Impac Mortgage Holdings, Inc.^*,1		1,300		18,369
US Global Investors, Inc. — Class A		10,911		18,330
Atlantic American Corp.		5,062		18,071
Poage Bankshares, Inc.¹		1,052		17,106
Harvest Capital Credit Corp.		1,298		16,926
First Acceptance Corp.^*		8,523		13,722
Power REIT^*		2,700		12,744
Plumas Bancorp^*		1,350		12,650
First Marblehead Corp.^*		3,228		12,525
NMI Holdings, Inc. — Class A^*		2,000		12,480
Medley Management, Inc. — Class A		2,032		12,334
Urstadt Biddle Properties, Inc. REIT		631		11,901
AeroCentury Corp.^*		1,237		11,529
Carolina Bank Holdings, Inc.^*,1		700		11,200
Porter Bancorp, Inc.^*		5,987		10,836
Institutional Financial Markets, Inc.		12,374		10,425
Vestin Realty Mortgage II, Inc. REIT^*		4,499		10,393
Fifth Street Asset Management, Inc.		2,261		9,926
United Security Bancshares, Inc.		900		7,785
Transcontinental Realty Investors, Inc.^*		787		7,764
American Realty Investors, Inc.^*		1,100		5,500
JG Wentworth Co. — Class A^*		3,825		2,219
Total Financial				7,726,346
Consumer, Non-cyclical - 25.7%
NeoGenomics, Inc.^*		16,627		149,144
BioTelemetry, Inc.^*		6,576		114,555
Galena Biopharma, Inc.^*,1		49,733		90,016
Carriage Services, Inc. — Class A		3,471		81,707

Wilshire Micro-Cap ETF
SCHEDULE OF INVESTMENTS (Unaudited)	May 31, 2016

	Shares		Value
COMMON STOCKS^† - 99.4% (continued)
Consumer, Non-cyclical - 25.7% (continued)
Exactech, Inc.^*		3,137	$	77,421
Enzo Biochem, Inc.^*		12,007		73,842
Akebia Therapeutics, Inc.^*		8,167		72,768
GenMark Diagnostics, Inc.^*		9,363		70,503
Barrett Business Services, Inc.		1,841		68,780
BioTime, Inc.^*,1		22,562		64,527
Paratek Pharmaceuticals, Inc.^*		3,808		61,575
Agenus, Inc.^*,1		14,507		61,220
Franklin Covey Co.^*		3,819		58,431
Limoneira Co.¹		3,537		58,184
MGP Ingredients, Inc.		1,725		56,441
Ampio Pharmaceuticals, Inc.^*,1		14,821		56,319
BioSpecifics Technologies Corp.^*		1,459		54,755
Teligent, Inc.^*,1		8,845		52,982
Loxo Oncology, Inc.^*,1		1,936		52,272
Cytokinetics, Inc.^*,1		6,267		51,076
Care.com, Inc.^*		5,200		46,435
Nature's Sunshine Products, Inc.		4,637		45,628
Vitae Pharmaceuticals, Inc.^*		4,475		44,884
Idera Pharmaceuticals, Inc.^*,1		28,282		44,686
Newtek Business Services Corp.		3,359		43,936
Hanger, Inc.^*		6,800		43,724
Lifevantage Corp.^*,1		3,500		43,680
Applied Genetic Technologies Corp.^*		2,525		43,430
Versartis, Inc.^*		4,685		43,149
Addus HomeCare Corp.^*		2,154		43,080
Hackett Group, Inc.		2,852		41,696
Heska Corp.^*		1,143		41,456
Proteostasis Therapeutics, Inc.^*		2,500		41,300
Entellus Medical, Inc.^*,1		2,300		41,262
Collectors Universe, Inc.		2,086		40,594
NanoString Technologies, Inc.^*,1		2,983		40,509
LeMaitre Vascular, Inc.		2,899		40,498
Crimson Wine Group Ltd.^*		4,756		39,713
Primo Water Corp.^*		3,443		39,077
Trevena, Inc.^*		5,246		38,400
RadNet, Inc.^*		7,277		37,913
CytRx Corp.^*,1		12,601		37,677
Voyager Therapeutics, Inc.^*		2,700		37,476
Cutera, Inc.^*		3,473		36,397
MyoKardia, Inc.^*,1		2,900		35,843
Adamis Pharmaceuticals Corp.^*,1		4,118		35,702
Griffin Land & Nurseries, Inc.		1,111		35,513
Cara Therapeutics, Inc.^*,1		5,492		35,478
Advaxis, Inc.^*,1		3,825		35,420
Tandem Diabetes Care, Inc.^*		5,388		35,291
PRGX Global, Inc.^*		7,100		35,287
Information Services Group, Inc.^*		9,263		35,014
Flexion Therapeutics, Inc.^*		1,991		34,723
Zogenix, Inc.^*,1		3,409		34,363
Utah Medical Products, Inc.		515		33,702
Vital Therapies, Inc.^*,1		4,135		33,618
PFSweb, Inc.^*		2,659		33,171
Agile Therapeutics, Inc.^*,1		4,144		33,152
MediciNova, Inc.^*,1		5,029		32,739

	Shares		Value
COMMON STOCKS^† - 99.4% (continued)
Consumer, Non-cyclical - 25.7% (continued)
AcelRx Pharmaceuticals, Inc.^*,1		9,415	$	32,576
Seneca Foods Corp. — Class A^*		1,034		32,281
Concert Pharmaceuticals, Inc.^*		2,402		31,971
Aclaris Therapeutics, Inc.^*,1		1,600		31,968
Patriot National, Inc.^*		4,200		31,710
Cadiz, Inc.^*,1		5,200		31,668
Nutraceutical International Corp.^*		1,333		31,579
Synthetic Biologics, Inc.^*		14,269		31,249
Inotek Pharmaceuticals Corp.^*		3,375		31,050
GlycoMimetics, Inc.^*		3,749		30,892
Alico, Inc.¹		1,012		30,815
iRadimed Corp.^*		1,654		30,666
PharmAthene, Inc.^*		13,442		30,110
Edgewater Technology, Inc.^*		3,300		29,238
National Research Corp. — Class A		2,123		29,085
Five Star Quality Care, Inc.^*		14,464		29,073
Assembly Biosciences, Inc.^*,1		5,058		28,881
CTI BioPharma Corp.^*,1		63,588		28,348
Collegium Pharmaceutical, Inc.^*		1,687		28,207
Alliance One International, Inc.^*		1,480		28,105
Chembio Diagnostics, Inc.^*		3,262		28,021
Genocea Biosciences, Inc.^*,1		5,737		26,964
Willdan Group, Inc.^*		2,698		26,872
VIVUS, Inc.^*		20,810		26,429
Iridex Corp.^*		1,900		26,220
ArQule, Inc.^*		14,771		25,997
Peregrine Pharmaceuticals, Inc.^*		61,193		25,811
Cidara Therapeutics, Inc.^*		2,175		25,709
Derma Sciences, Inc.^*,1		6,343		25,689
Durect Corp.^*		21,943		25,673
Oncocyte Corp.^*,1		5,897		25,121
Immune Design Corp.^*,1		2,001		25,113
Ardelyx, Inc.^*		2,724		24,925
Senomyx, Inc.^*,1		8,673		24,545
AxoGen, Inc.^*		4,406		24,497
Stemline Therapeutics, Inc.^*		2,839		23,620
CAS Medical Systems, Inc.^*		12,711		23,515
Harvard Bioscience, Inc.^*		6,431		23,473
Symmetry Surgical, Inc.^*		1,800		23,327
Golden Enterprises, Inc.		4,274		23,251
Digirad Corp.		4,600		23,092
Synutra International, Inc.^*,1		5,573		22,849
FONAR Corp.^*		1,426		22,702
Cenveo, Inc.^*		23,400		22,410
Juniper Pharmaceuticals, Inc.^*,1		3,218		22,236
Rexahn Pharmaceuticals, Inc.^*		69,312		22,180
Inventure Foods, Inc.^*,1		2,855		21,384
Anthera Pharmaceuticals, Inc.^*,1		5,796		21,329
Axsome Therapeutics, Inc.^*,1		2,700		21,195
Hudson Global, Inc.		9,593		21,105
REGENXBIO, Inc.^*,1		1,687		20,851
XBiotech, Inc.^*,1		1,350		20,790
Edge Therapeutics, Inc.^*		2,500		20,700
Fortress Biotech, Inc.^*		7,263		20,482
USMD Holdings, Inc.^*,1		1,012		20,250

Wilshire Micro-Cap ETF
SCHEDULE OF INVESTMENTS (Unaudited)	May 31, 2016

	Shares		Value
COMMON STOCKS^† - 99.4% (continued)
Consumer, Non-cyclical - 25.7% (continued)
CoLucid Pharmaceuticals, Inc.^*,1		2,812	$	19,684
Intersections, Inc.^*,1		8,124		19,579
CCA Industries, Inc.^*,1		5,962		19,436
Universal Technical Institute, Inc.		5,800		19,082
Cumberland Pharmaceuticals, Inc.^*		4,212		18,954
T2 Biosystems, Inc.^*,1		2,179		18,783
Avinger, Inc.^*,1		1,665		18,765
Aviragen Therapeutics, Inc.^*		12,600		18,648
Fibrocell Science, Inc.^*,1		7,836		18,101
Neos Therapeutics, Inc.^*,1		1,700		17,816
Mannatech, Inc.^*		862		17,680
AVEO Pharmaceuticals, Inc.^*		18,592		17,662
Bellicum Pharmaceuticals, Inc.^*,1		1,462		17,062
SeaSpine Holdings Corp.^*		1,687		16,836
Tobira Therapeutics, Inc.^*		1,812		16,761
Tonix Pharmaceuticals Holding Corp.^*		6,706		16,363
Calithera Biosciences, Inc.^*,1		2,975		15,589
Sientra, Inc.^*,1		2,657		15,464
Proteon Therapeutics, Inc.^*,1		2,418		15,427
Tokai Pharmaceuticals, Inc.^*,1		2,126		15,414
MEI Pharma, Inc.^*		10,600		15,264
AstroNova, Inc.		1,061		15,225
Cerulean Pharma, Inc.^*,1		6,287		15,215
vTv Therapeutics, Inc. — Class A^*,1		2,475		14,751
Biolase, Inc.^*		12,700		14,732
Electromed, Inc.^*		3,487		14,680
Luna Innovations, Inc.^*		13,349		14,550
Ocera Therapeutics, Inc.^*		5,601		14,227
Catabasis Pharmaceuticals, Inc.^*,1		2,100		14,175
Verastem, Inc.^*		9,500		14,155
Alimera Sciences, Inc.^*,1		9,092		14,002
Coffee Holding Co., Inc.^*		3,825		14,000
Minerva Neurosciences, Inc.^*		1,125		13,838
CareDx, Inc.^*,1		3,037		13,484
Aldeyra Therapeutics, Inc.^*		2,300		13,363
Catalyst Pharmaceuticals, Inc.^*		21,595		13,281
General Employment Enterprises, Inc.^*,1		3,300		13,233
AdCare Health Systems, Inc.¹		6,553		12,844
Eleven Biotherapeutics, Inc.^*		10,331		12,810
InfuSystem Holdings, Inc.^*		4,197		12,717
MGC Diagnostics Corp.^*		2,087		12,522
Sunesis Pharmaceuticals, Inc.^*		25,009		12,505
Natural Alternatives International, Inc.^*		1,012		12,478
Reed's, Inc.^*		3,718		12,418
Acme United Corp.		675		12,191
OncoGenex Pharmaceuticals, Inc.^*		12,124		12,124
Veracyte, Inc.^*		2,161		11,864
Egalet Corp.^*,1		2,025		11,583
Palatin Technologies, Inc.^*		21,822		11,463
Opexa Therapeutics, Inc.^*		3,487		11,333

	Shares		Value
COMMON STOCKS^† - 99.4% (continued)
Consumer, Non-cyclical - 25.7% (continued)
Vermillion, Inc.^*		9,667	$	11,214
Stereotaxis, Inc.^*		9,111		11,207
Threshold Pharmaceuticals, Inc.^*		22,900		10,706
Cytori Therapeutics, Inc.^*		3,783		10,668
Arrhythmia Research Technology, Inc.^*		2,362		10,629
Hemispherx Biopharma, Inc.^*		89,500		10,606
ITT Educational Services, Inc.^*,1		4,837		10,496
KemPharm, Inc.^*,1		1,462		10,366
Evoke Pharma, Inc.^*		1,900		10,241
Truett-Hurst, Inc.^*		6,187		10,209
Kindred Biosciences, Inc.^*		2,497		10,188
Windtree Therapeutics, Inc.^*,1		3,900		10,179
Lantheus Holdings, Inc.^*		5,212		10,163
Pieris Pharmaceuticals, Inc.^*,1		5,287		10,045
Dipexium Pharmaceuticals, Inc.^*,1		900		9,945
Abeona Therapeutics, Inc.^*,1		3,400		9,928
Argos Therapeutics, Inc.^*,1		1,596		9,847
ImmunoCellular Therapeutics Ltd.^*		37,859		9,840
Avalon Holdings Corp. — Class A^*		4,612		9,685
Fate Therapeutics, Inc.^*		6,299		9,637
Northwest Biotherapeutics, Inc.^*,1		12,251		9,373
Acura Pharmaceuticals, Inc.^*		3,712		9,317
OXiGENE, Inc.^*		13,948		9,207
Ocean Bio-Chem, Inc.¹		3,975		9,182
DLH Holdings Corp.^*		2,100		8,820
Corium International, Inc.^*		2,101		8,803
Reliv International, Inc.^*		13,723		8,783
Command Security Corp.^*,1		3,487		8,613
aTyr Pharma, Inc.^*		2,575		8,523
Invuity, Inc.^*,1		1,350		8,438
Oculus Innovative Sciences, Inc.^*		8,661		8,401
Crystal Rock Holdings, Inc.^*		11,586		8,342
BioLife Solutions, Inc.^*,1		5,274		8,280
Arcadia Biosciences, Inc.^*,1		5,375		8,116
Apricus Biosciences, Inc.^*		18,500		8,048
Eiger BioPharmaceuticals, Inc.^*		376		7,937
Zynerba Pharmaceuticals, Inc.^*,1		900		7,866
Repros Therapeutics, Inc.^*,1		4,237		7,838
Strongbridge Biopharma plc^*		1,600		7,760
Escalon Medical Corp.^*		9,899		7,729
Recro Pharma, Inc.^*,1		900		7,533
Galectin Therapeutics, Inc.^*		5,026		7,438
TetraLogic Pharmaceuticals Corp.^*,1		21,865		7,325
Second Sight Medical Products, Inc.^*,1		1,850		7,215
Cleveland BioLabs, Inc.^*,1		3,280		7,118
Chiasma, Inc.^*,1		2,062		6,619
Cogentix Medical, Inc.^*		9,224		6,568
SPAR Group, Inc.^*		6,749		6,547
Alphatec Holdings, Inc.^*		31,101		6,438
OpGen, Inc.^*		3,600		6,408

Wilshire Micro-Cap ETF
SCHEDULE OF INVESTMENTS (Unaudited)	May 31, 2016

	Shares		Value
COMMON STOCKS^† - 99.4% (continued)
Consumer, Non-cyclical - 25.7% (continued)
Hooper Holmes, Inc.^*		54,219	$	6,344
Akers Biosciences, Inc.^*		2,850		6,127
QC Holdings, Inc.^*		5,624		5,905
CytoSorbents Corp.^*		1,350		5,792
Signal Genetics, Inc.^*		9,762		5,613
HTG Molecular Diagnostics, Inc.^*		1,900		5,491
EyeGate Pharmaceuticals, Inc.^*		1,462		5,483
ProPhase Labs, Inc.^*		3,937		5,472
ERBA Diagnostics, Inc.^*		6,074		5,467
Joint Corp.^*		1,800		5,364
Pernix Therapeutics Holdings, Inc.^*,1		11,827		5,204
Cardica, Inc.^*		1,987		5,146
Ritter Pharmaceuticals, Inc.^*		3,262		5,089
Aytu BioScience, Inc.^*		12,244		4,898
Biocept, Inc.^*		7,700		4,856
Carbylan Therapeutics, Inc.^*		4,387		4,826
Marrone Bio Innovations, Inc.^*,1		6,862		4,735
EPIRUS Biopharmaceuticals, Inc.^*,1		7,582		4,637
Strata Skin Sciences, Inc.^*		6,187		4,481
NeuroMetrix, Inc.^*		2,615		4,419
Zosano Pharma Corp.^*		2,300		4,347
InterCloud Systems, Inc.^*		5,287		4,335
Lpath, Inc. — Class A^*		23,198		3,944
Allied Healthcare Products, Inc.^*		5,962		3,756
Ceres, Inc.^*		16,200		3,605
BioPharmX Corp.^*		5,624		3,557
Viking Therapeutics, Inc.^*		2,500		3,450
PhotoMedex, Inc.^*		12,036		3,250
American CareSource Holdings, Inc.^*		15,124		3,025
Cellectar Biosciences, Inc.^*,1		928		3,016
Premier Exhibitions, Inc.^*		5,962		2,981
Semler Scientific, Inc.^*		1,500		2,820
CombiMatrix Corp.^*,1		794		2,628
Bellerophon Therapeutics, Inc.^*,1		2,200		2,574
Amedica Corp.^*		1,905		2,572
GlobeImmune, Inc.^*		2,137		2,543
Neothetics, Inc.^*,1		1,587		2,238
SunLink Health Systems, Inc.^*		4,612		2,214
Universal Security Instruments, Inc.^*,1		337		1,180
NovaBay Pharmaceuticals, Inc.^*,1		355		1,044
Onconova Therapeutics, Inc.^*		2,362		992
Perseon Corp.^*		13,048		697
Great Basin Scientific, Inc.^*		289		561
Rock Creek Pharmaceuticals, Inc.^*		8,324		151
Total Consumer, Non-cyclical				5,745,279
Industrial - 10.9%
Kadant, Inc.		2,000		99,520
Stoneridge, Inc.^*		5,420		88,942
Mesa Laboratories, Inc.		739		72,888
VSE Corp.		1,054		70,839
IES Holdings, Inc.^*,1		4,982		70,445

	Shares		Value
COMMON STOCKS^† - 99.4% (continued)
Industrial - 10.9% (continued)
CECO Environmental Corp.		8,336	$	67,938
Casella Waste Systems, Inc. — Class A^*		9,264		66,516
LSI Industries, Inc.		5,847		65,194
Hurco Companies, Inc.		1,860		59,948
Kratos Defense & Security Solutions, Inc.^*		11,999		50,156
Covenant Transportation Group, Inc. — Class A^*		2,350		50,148
AEP Industries, Inc.		820		49,208
Heritage-Crystal Clean, Inc.^*		3,987		47,445
Advanced Emissions Solutions, Inc.^*		5,767		43,541
Energous Corp.^*,1		3,767		39,930
Sparton Corp.^*		1,947		37,791
SL Industries, Inc.^*		900		35,996
CyberOptics Corp.^*		2,100		35,469
LMI Aerospace, Inc.^*,1		4,000		33,680
NVE Corp.		593		33,487
Layne Christensen Co.^*,1		3,800		32,870
ZAGG, Inc.^*		6,790		32,864
Control4 Corp.^*,1		3,944		30,960
UFP Technologies, Inc.^*		1,423		30,666
Key Technology, Inc.^*		3,303		29,727
Allied Motion Technologies, Inc.		1,298		29,568
Research Frontiers, Inc.^*,1		7,100		28,897
Revolution Lighting Technologies, Inc.^*		4,460		28,812
Intevac, Inc.^*		5,849		28,602
Core Molding Technologies, Inc.^*		2,207		27,830
Hudson Technologies, Inc.^*		8,000		27,680
USA Truck, Inc.^*		1,362		27,185
Willis Lease Finance Corp.^*		1,100		26,906
Imprivata, Inc.^*		1,964		26,691
Goldfield Corp.^*		9,458		26,672
Hardinge, Inc.		2,511		26,215
American Superconductor Corp.^*		2,600		25,402
TRC Companies, Inc.^*		3,984		25,338
KEMET Corp.^*		9,400		25,286
Napco Security Technologies, Inc.^*		3,732		24,557
MOCON, Inc.		1,748		24,315
MicroVision, Inc.^*,1		12,323		23,414
Broadwind Energy, Inc.^*		5,858		22,963
Applied Optoelectronics, Inc.^*,1		2,175		22,946
Gencor Industries, Inc.^*		1,526		22,676
Omega Flex, Inc.		647		22,451
Dynamic Materials Corp.		2,103		22,103
Lawson Products, Inc.^*		1,134		21,875
Aspen Aerogels, Inc.^*		5,167		20,720
Pure Cycle Corp.^*,1		4,610		20,699
Manitex International, Inc.^*,1		2,925		20,475
PAM Transportation Services, Inc.^*		974		20,055
Sterling Construction Company, Inc.^*		3,786		19,119
Perma-Fix Environmental Services, Inc.^*		4,050		19,035

Wilshire Micro-Cap ETF
SCHEDULE OF INVESTMENTS (Unaudited)	May 31, 2016

	Shares		Value
COMMON STOCKS^† - 99.4% (continued)
Industrial - 10.9% (continued)
Ballantyne Strong, Inc.^*		3,700	$	18,500
CUI Global, Inc.^*,1		3,200		18,464
Taylor Devices, Inc.^*		1,100		18,062
Innovative Solutions & Support, Inc.^*		6,299		18,015
Iteris, Inc.^*		7,161		17,186
Arotech Corp.^*,1		6,100		16,775
IEC Electronics Corp.^*		3,600		16,344
Frequency Electronics, Inc.^*		1,550		15,330
Intellicheck Mobilisa, Inc.^*		7,537		15,300
Ideal Power, Inc.^*		3,100		14,787
Xerium Technologies, Inc.^*		2,216		14,005
Astrotech Corp.^*,1		7,312		12,430
Capstone Turbine Corp.^*		7,800		12,168
SigmaTron International, Inc.^*,1		1,912		10,898
Tecogen, Inc.^*		2,312		10,820
Energy Focus, Inc.^*,1		1,687		10,594
Lime Energy Co.^*,1		4,499		10,438
Fuel Tech, Inc.^*		6,765		10,215
Global Power Equipment Group, Inc.^*		5,599		9,742
Giga-Tronics, Inc.^*		7,874		9,291
CVD Equipment Corp.^*,1		1,286		9,092
Turtle Beach Corp.^*,1		9,312		9,080
Resonant, Inc.^*,1		2,300		9,062
Chicago Rivet & Machine Co.		337		9,011
Empire Resources, Inc.¹		2,436		8,916
American Electric Technologies, Inc.^*,1		3,487		8,648
EnSync, Inc.^*		20,360		8,551
Digital Ally, Inc.^*,1		2,312		8,439
A. M. Castle & Co.^*,1		4,612		8,394
Document Security Systems, Inc.^*		40,945		8,394
P&F Industries, Inc. — Class A		900		7,974
WSI Industries, Inc.		2,600		7,592
Aehr Test Systems^*		7,087		7,087
Active Power, Inc.^*		12,936		6,791
MagneGas Corp.^*,1		8,212		6,652
Superconductor Technologies, Inc.^*		29,359		6,650
AG&E Holdings, Inc.		20,248		6,479
Applied DNA Sciences, Inc.^*,1		2,025		5,933
Insignia Systems, Inc.^*		1,800		4,284
Metabolix, Inc.^*,1		4,962		3,970
Clean Diesel Technologies, Inc.^*		9,699		3,783
CTI Industries Corp.^*,1		562		3,709
IntriCon Corp.^*		337		1,820
Erickson, Inc.^*,1		2,137		1,613
Axion Power International, Inc.^*		1,487		21
Total Industrial				2,425,964
Consumer, Cyclical - 9.7%
Unifi, Inc.^*		3,269		82,150
Green Brick Partners, Inc.^*,1		9,686		69,158
Malibu Boats, Inc. — Class A^*		4,462		60,683
Empire Resorts, Inc.^*,1		3,100		60,419
Culp, Inc.		2,172		59,708
Reading International, Inc. — Class A^*		4,739		59,332
Beazer Homes USA, Inc.^*		7,467		58,615

	Shares		Value
COMMON STOCKS^† - 99.4% (continued)
Consumer, Cyclical - 9.7% (continued)
Build-A-Bear Workshop, Inc. — Class A^*		4,230	$	58,543
Bassett Furniture Industries, Inc.		2,039		56,908
Spartan Motors, Inc.		7,987		51,118
Monarch Casino & Resort, Inc.^*		2,414		50,984
Skyline Corp.^*,1		4,724		48,752
Supreme Industries, Inc. — Class A		3,667		48,404
Superior Uniform Group, Inc.		2,719		48,126
Miller Industries, Inc.		2,190		46,778
Hooker Furniture Corp.		1,835		44,389
West Marine, Inc.^*		4,778		43,862
Destination XL Group, Inc.^*		9,173		42,929
Luby's, Inc.^*		8,448		42,156
Nathan's Famous, Inc.^*		983		41,855
Jamba, Inc.^*,1		3,486		39,775
Winmark Corp.		404		39,693
Flexsteel Industries, Inc.		958		39,182
NACCO Industries, Inc. — Class A		714		37,514
Lifetime Brands, Inc.		2,469		35,998
Kona Grill, Inc.^*,1		2,848		35,913
Del Frisco's Restaurant Group, Inc.^*		2,099		32,451
America's Car-Mart, Inc.^*,1		1,354		32,198
Johnson Outdoors, Inc. — Class A		1,210		31,896
J Alexander's Holdings, Inc.^*		3,037		31,585
Freshpet, Inc.^*,1		3,312		30,669
Commercial Vehicle Group, Inc.^*		8,200		30,340
Escalade, Inc.		2,568		29,198
Rocky Brands, Inc.		2,435		27,759
Golden Entertainment, Inc.^*		2,245		27,524
UCP, Inc. — Class A^*		3,681		26,614
Century Casinos, Inc.^*		4,502		25,661
RCI Hospitality Holdings, Inc.		2,270		24,652
Noodles & Co.^*,1		2,608		24,463
Gaiam, Inc. — Class A^*		3,200		24,256
Red Lion Hotels Corp.^*		2,979		23,951
New York & Company, Inc.^*		13,595		23,927
Delta Apparel, Inc.^*		1,072		22,019
Black Diamond, Inc.^*		5,235		21,830
Canterbury Park Holding Corp.		2,025		21,425
Morgans Hotel Group Co.^*		9,200		20,148
PCM, Inc.^*		1,792		19,354
Strattec Security Corp.		386		17,856
New Home Company, Inc.^*		1,758		17,809
Lakeland Industries, Inc.^*,1		2,000		17,640
MCBC Holdings, Inc.^*		1,125		17,303
Cherokee, Inc.^*		1,200		16,932
Kewaunee Scientific Corp.		887		14,724
Dixie Group, Inc.^*,1		4,302		14,584
Papa Murphy's Holdings, Inc.^*,1		1,879		14,093
Nevada Gold & Casinos, Inc.^*,1		6,299		12,661
ADDvantage Technologies Group, Inc.^*		7,424		12,621
Peak Resorts, Inc.		2,856		12,366
Unique Fabricating, Inc.		900		12,195
Rave Restaurant Group, Inc.^*,1		2,832		11,696

Wilshire Micro-Cap ETF
SCHEDULE OF INVESTMENTS (Unaudited)	May 31, 2016

	Shares		Value
COMMON STOCKS^† - 99.4% (continued)
Consumer, Cyclical - 9.7% (continued)
Boot Barn Holdings, Inc.^*,1		1,498	$	11,400
Entertainment Gaming Asia, Inc.^*		5,624		11,304
DGSE Companies, Inc.^*		19,685		10,433
Cosi, Inc.^*		18,007		9,846
Diversified Restaurant Holdings, Inc.^*		5,287		8,406
Bon-Ton Stores, Inc.		5,500		8,305
Full House Resorts, Inc.^*		3,937		6,299
Gordmans Stores, Inc.^*		3,487		5,963
Forward Industries, Inc.^*		4,724		5,858
Virco Manufacturing Corp.^*		1,600		5,648
Koss Corp.^*		2,925		5,324
Comstock Holding Companies, Inc.^*		2,700		5,184
AMREP Corp.^*		1,125		4,883
bebe stores, Inc.^*		13,048		4,567
Differential Brands Group, Inc.^*		850		3,443
Ignite Restaurant Group, Inc.^*		1,348		3,033
Total Consumer, Cyclical				2,157,240
Technology - 6.2%
Mitek Systems, Inc.^*		8,100		73,629
Cascade Microtech, Inc.^*		3,552		73,456
Axcelis Technologies, Inc.^*		23,642		63,833
Immersion Corp.^*		7,129		45,626
Instructure, Inc.^*		2,600		45,110
Exa Corp.^*		3,650		44,164
Model N, Inc.^*		3,500		43,050
Digimarc Corp.^*,1		1,520		42,043
Radisys Corp.^*		9,100		40,495
Five9, Inc.^*		3,800		38,722
GSE Systems, Inc.^*		15,523		33,994
Hutchinson Technology, Inc.^*		9,280		32,666
QAD, Inc. — Class B		2,050		32,534
Brightcove, Inc.^*		4,837		32,408
ExOne Co.^*,1		3,043		32,012
Appfolio, Inc. — Class A^*		2,250		31,500
USA Technologies, Inc.^*		7,100		31,240
American Software, Inc. — Class A		3,150		30,366
Ultra Clean Holdings, Inc.^*		5,196		29,617
CSP, Inc.		3,825		29,529
Datalink Corp.^*		3,600		29,052
Xactly Corp.^*		2,925		28,841
Mattersight Corp.^*,1		6,658		26,299
EMCORE Corp.^*		4,348		24,610
GigPeak, Inc.^*		8,400		23,605
AXT, Inc.^*		6,557		23,343
Simulations Plus, Inc.		2,900		22,156
Upland Software, Inc.^*		2,937		21,146
Guidance Software, Inc.^*,1		3,700		20,535
Richardson Electronics Ltd.		3,754		19,521
Everyday Health, Inc.^*		2,767		18,622
Datawatch Corp.^*		3,500		18,340
Intermolecular, Inc.^*		9,899		17,818
Computer Task Group, Inc.		3,353		17,737
Evolving Systems, Inc.		3,300		17,391
SharpSpring, Inc.^*		4,499		17,321
Data I/O Corp.^*		6,974		17,296

	Shares		Value
COMMON STOCKS^† - 99.4% (continued)
Technology - 6.2% (continued)
Imation Corp.^*		9,800	$	17,248
NCI, Inc. — Class A		1,290		16,680
GSI Technology, Inc.^*		4,132		16,528
Concurrent Computer Corp.		2,411		15,672
Pixelworks, Inc.^*		7,900		15,642
SunEdison Semiconductor Ltd.^*		2,336		13,315
Sonic Foundry, Inc.^*,1		2,137		13,292
Asure Software, Inc.^*		2,300		11,385
Amber Road, Inc.^*,1		1,831		10,967
Xplore Technologies Corp.^*		3,037		9,688
MoSys, Inc.^*		22,423		8,745
Adesto Technologies Corp.^*,1		2,300		8,211
Technical Communications Corp.^*		3,150		8,206
Majesco Entertainment Co.		7,400		6,364
Rubicon Technology, Inc.^*		8,824		6,000
Medical Transcription Billing Corp.^*		5,737		5,622
Sysorex Global Holdings Corp.^*		9,449		4,158
Total Technology				1,377,350
Communications - 5.7%
Clearfield, Inc.^*,1		3,463		62,715
FairPoint Communications, Inc.^*		4,567		61,883
Straight Path Communications, Inc. — Class B^*,1		1,819		58,225
Zix Corp.^*		14,407		57,916
Hawaiian Telcom Holdco, Inc.^*		2,765		56,378
Alliance Fiber Optic Products, Inc.^*		2,582		47,819
Reis, Inc.		1,851		43,350
Saga Communications, Inc. — Class A¹		953		39,425
Preformed Line Products Co.		900		39,312
Numerex Corp. — Class A^*,1		5,038		37,785
Autobytel, Inc.^*		2,172		31,125
A H Belo Corp. — Class A		5,795		29,612
MeetMe, Inc.^*		7,600		28,728
Remark Media, Inc.^*		5,849		27,666
A10 Networks, Inc.^*		3,997		25,821
RELM Wireless Corp.		4,379		23,866
ClearOne, Inc.		2,100		23,163
Lee Enterprises, Inc.^*		11,784		22,979
HC2 Holdings, Inc.^*,1		5,061		22,724
KVH Industries, Inc.^*		2,524		21,378
Alaska Communications Systems Group, Inc.^*		12,088		21,275
US Auto Parts Network, Inc.^*		5,341		20,670
Value Line, Inc.		1,237		20,509
Beasley Broadcast Group, Inc. — Class A		4,162		19,561
Rightside Group Ltd.^*,1		2,137		19,340
ID Systems, Inc.^*		3,800		18,962
Aerohive Networks, Inc.^*		2,925		18,340
RF Industries Ltd.		7,874		17,953
YuMe, Inc.^*,1		4,274		16,626
Tessco Technologies, Inc.		1,262		16,456
Unwired Planet, Inc.^*,1		2,700		16,146
EVINE Live, Inc.^*,1		9,924		15,233
Cumulus Media, Inc. — Class A^*		47,300		15,127

Wilshire Micro-Cap ETF
SCHEDULE OF INVESTMENTS (Unaudited)	May 31, 2016

	Shares		Value
COMMON STOCKS^† - 99.4% (continued)
Communications - 5.7% (continued)
Support.com, Inc.^*		18,500	$	14,614
Ooma, Inc.^*,1		2,025		13,973
TheStreet.com, Inc.		11,900		13,923
Tremor Video, Inc.^*		7,537		13,642
Covisint Corp.^*		6,299		12,661
Aviat Networks, Inc.^*		21,841		12,559
Wireless Telecom Group, Inc.^*		9,224		12,130
Globalscape, Inc.		3,298		11,840
MaxPoint Interactive, Inc.^*,1		1,100		11,517
LightPath Technologies, Inc. — Class A^*		5,737		10,901
Lantronix, Inc.^*		10,574		10,785
Xcel Brands, Inc.^*		1,700		10,200
Radio One, Inc. — Class D^*		3,700		10,027
eGain Corp.^*		3,104		9,933
Net Element, Inc.^*		4,195		9,690
Marin Software, Inc.^*		4,011		9,466
Inuvo, Inc.^*		5,624		9,448
Emmis Communications Corp. — Class A^*		17,800		9,347
Sajan, Inc.^*		2,137		9,167
Spark Networks, Inc.^*,1		5,713		8,627
CafePress, Inc.^*		2,187		7,283
Fusion Telecommunications International, Inc.^*		5,137		6,935
DraftDay Fantasy Sports, Inc.^*		16,424		5,338
Bridgeline Digital, Inc.^*		6,974		5,231
Corindus Vascular Robotics, Inc.^*,1		4,499		5,039
Cinedigm Corp. — Class A^*		3,080		4,189
RLJ Entertainment, Inc.^*		6,862		3,844
Towerstream Corp.^*		13,000		2,418
Total Communications				1,262,795
Energy - 3.2%
Natural Gas Services Group, Inc.^*		3,352		67,945
Pioneer Energy Services Corp.^*		16,000		57,119
Pacific Ethanol, Inc.^*,1		8,894		56,299
Panhandle Oil and Gas, Inc. — Class A		3,165		50,893
Dawson Geophysical Co.^*		6,890		49,746
Trecora Resources^*		4,036		45,404
Willbros Group, Inc.^*		12,399		40,173
Evolution Petroleum Corp.		5,711		31,924
Adams Resources & Energy, Inc.		726		28,162
Renewable Energy Group, Inc.^*		2,800		25,788
Zion Oil & Gas, Inc.^*		15,284		23,690
Gastar Exploration, Inc.^*		22,600		20,792
Isramco, Inc.^*,1		216		20,131
Resolute Energy Corp.^*		24,243		15,031
Approach Resources, Inc.^*		5,624		15,016
VAALCO Energy, Inc.^*		13,836		14,943
Basic Energy Services, Inc.^*,1		7,100		13,916
Key Energy Services, Inc.^*		44,432		13,472
Houston American Energy Corp.^*		58,970		12,679
Enphase Energy, Inc.^*,1		5,523		11,543
ION Geophysical Corp.^*,1		1,612		11,236
PetroQuest Energy, Inc.^*		3,600		10,476

	Shares		Value
COMMON STOCKS^† - 99.4% (continued)
Energy - 3.2% (continued)
Superior Drilling Products, Inc.^*		5,062	$	9,112
Sunworks, Inc.^*,1		3,250		7,573
Harvest Natural Resources, Inc.^*		15,300		7,497
Magellan Petroleum Corp.^*		5,624		7,311
Lucas Energy, Inc.^*,1		1,687		6,613
Vantage Drilling Co.^*		467,750		6,502
Mexco Energy Corp.^*,1		2,334		5,590
Warren Resources, Inc.^*		38,100		5,029
Gevo, Inc.^*,1		14,100		4,935
US Energy Corp.^*		13,048		4,697
Vertex Energy, Inc.^*,1		3,222		4,479
Barnwell Industries, Inc.^*		2,700		4,320
Royale Energy, Inc.^*		9,561		3,777
Yuma Energy, Inc.^*		13,723		3,565
FieldPoint Petroleum Corp.^*		4,274		2,479
Tengasco, Inc.^*		3,150		2,394
ZaZa Energy Corp.^*		18,448		1,476
Ascent Solar Technologies, Inc.^*		34,308		806
Total Energy				724,533
Basic Materials - 2.0%
Landec Corp.^*		7,777		90,058
Orchids Paper Products Co.		2,622		83,275
KMG Chemicals, Inc.		2,625		56,385
Ryerson Holding Corp.^*		3,164		44,075
Oil-Dri Corporation of America		983		31,957
Uranium Energy Corp.^*		29,286		22,843
Codexis, Inc.^*		4,900		18,619
United States Lime & Minerals, Inc.		337		18,026
Ikonics Corp.^*,1		1,350		14,823
Northern Technologies International Corp.^*		1,181		14,763
General Moly, Inc.^*		34,034		12,201
Charles & Colvard Ltd.^*		10,686		11,007
Solitario Exploration & Royalty Corp.^*		22,811		9,809
Vista Gold Corp.^*		12,936		9,081
US Antimony Corp.^*		23,700		6,162
Timberline Resources Corp.^*		8,437		2,362
Total Basic Materials				445,446
Utilities - 1.0%
York Water Co.		2,996		80,892
Artesian Resources Corp. — Class A		1,643		46,333
Delta Natural Gas Company, Inc.		1,335		33,375
RGC Resources, Inc.¹		1,275		29,771
Synthesis Energy Systems, Inc.^*		20,864		22,742
US Geothermal, Inc.^*		25,852		20,449
Total Utilities				233,562
Diversified - 0.4%
Resource America, Inc. — Class A		8,127		78,344
		–		–
Total Common Stocks
(Cost $24,736,926)				22,176,859
MASTER LIMITED PARTNERSHIPS^† - 0.1%
Diversified - 0.1%
Landmark Infrastructure Partners, LP		1,912		29,062

Wilshire Micro-Cap ETF
SCHEDULE OF INVESTMENTS (Unaudited)	May 31, 2016

Value

MASTER LIMITED PARTNERSHIPS^† - 0.1% (continued)

Diversified - 0.1% (continued)

–

Total Master Limited Partnerships

(Cost $28,527)

29,062

ROYALTY TRUST^† - 0.1%

Energy - 0.1%

Cross Timbers Royalty Trust¹

1,900

32,110

–

Total Royalty Trust

(Cost $30,294)

32,110

Face

Amount

Value

CONVERTIBLE BONDS^†† - 0.0%^**

Consumer, Non-cyclical - 0.0%^**

Catalyst Biosciences, Inc.

0.00% due 02/19/18

6,475

6,151

Total Convertible Bonds

(Cost $6,475)

6,151

	Shares		Value
SECURITIES LENDING COLLATERAL^†,2 - 12.9%
BNY Mellon Separately Managed Cash Collateral Account, 0.3028%		2,872,546	$	2,872,546
Total Securities Lending Collateral
(Cost $2,872,546)				2,872,546
Total Investments - 112.5%
(Cost $27,674,768)			$	25,116,728
Other Assets & Liabilities, net - (12.5)%				(2,797,146	)
Total Net Assets - 100.0%			$	22,319,582

*	Non-income producing security.
**	Less than 0.1%
†	Value determined based on Level 1 inputs — See Note 2.
††	Value determined based on Level 2 inputs — See Note 2.
1	All or portion of this security is on loan at May 31, 2016 — See Note 4.
2	Securities lending collateral — See Note 4.

plc	Public Limited Company
REIT	Real Estate Investment Trust

See Sector Classification in Other Information section.

The following table summarizes the inputs used to value the Fund's investments at May 31, 2016 (See Note 2 in the Notes to Schedule of Investments):

	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs		Total
Assets
Common Stocks	$	22,176,859	$	—	$	—	$	22,176,859
Convertible Bonds		—		6,151		—		6,151
Master Limited Partnership		29,062		—		—		29,062
Royalty Trust		32,110		—		—		32,110
Securities Lending Collateral		2,872,546		—		—		2,872,546
Total	$	25,110,577	$	6,151	$	—	$	25,116,728

Wilshire Micro-Cap ETF
SCHEDULE OF INVESTMENTS (Unaudited)	May 31, 2016

For the period ended May 31, 2016, there were no transfers between levels.

Wilshire US REIT ETF
SCHEDULE OF INVESTMENTS (Unaudited)	May 31, 2016

	Shares		Value
COMMON STOCKS^† - 99.4%
Financial - 99.4%
Simon Property Group, Inc.		9,028	$	1,784,293
Public Storage		4,422		1,121,906
Equity Residential		10,471		724,698
Prologis, Inc.		15,049		715,279
AvalonBay Communities, Inc.		3,929		706,749
Welltower, Inc.		10,184		701,779
Ventas, Inc.		9,637		639,222
Boston Properties, Inc.		4,404		553,274
Vornado Realty Trust		5,408		516,572
HCP, Inc.		13,350		438,815
Essex Property Trust, Inc.		1,876		426,283
Digital Realty Trust, Inc.		4,201		400,985
General Growth Properties, Inc.		14,678		394,397
Kimco Realty Corp.		11,864		334,328
Extra Space Storage, Inc.		3,586		333,390
Host Hotels & Resorts, Inc.		21,572		332,209
Federal Realty Investment Trust		2,002		306,686
SL Green Realty Corp.		2,869		290,802
Macerich Co.		3,636		277,500
UDR, Inc.		7,517		270,838
Duke Realty Corp.		9,919		234,783
Mid-America Apartment Communities, Inc.		2,164		222,870
Camden Property Trust		2,492		212,343
Regency Centers Corp.		2,659		203,679
Apartment Investment & Management Co. — Class A		4,491		191,541
Alexandria Real Estate Equities, Inc.		1,957		189,633
Equity LifeStyle Properties, Inc.		2,426		177,826
American Campus Communities, Inc.		3,737		175,714
Kilroy Realty Corp.		2,646		167,095
CubeSmart		5,039		160,442
DDR Corp.		9,219		158,659
Forest City Realty Trust, Inc. — Class A		6,927		158,005
Liberty Property Trust		4,193		156,483
Douglas Emmett, Inc.		4,225		143,185
Highwoods Properties, Inc.		2,756		134,107
Weingarten Realty Investors		3,555		133,775
Senior Housing Properties Trust		6,810		127,211
Sovran Self Storage, Inc.		1,130		122,345
Sun Communities, Inc.		1,675		116,965
Healthcare Trust of America, Inc. — Class A		3,742		112,934
Taubman Centers, Inc.		1,641		112,523
Hospitality Properties Trust		4,346		111,258
DCT Industrial Trust, Inc.		2,537		109,421
Retail Properties of America, Inc. — Class A		6,804		107,843
Equity Commonwealth^*		3,611		104,322
CyrusOne, Inc.		2,073		102,220
American Homes 4 Rent — Class A		5,146		94,378
Healthcare Realty Trust, Inc.		2,931		93,176

	Shares		Value
COMMON STOCKS^† - 99.4% (continued)
Financial - 99.4% (continued)
Apple Hospitality REIT, Inc.		5,000	$	91,150
Tanger Factory Outlet Centers, Inc.		2,557		90,058
Post Properties, Inc.		1,415		85,707
Piedmont Office Realty Trust, Inc. — Class A		4,160		83,408
DuPont Fabros Technology, Inc.		1,911		80,854
Brandywine Realty Trust		5,013		79,155
First Industrial Realty Trust, Inc.		3,190		78,984
Education Realty Trust, Inc.		1,824		78,049
National Health Investors, Inc.		1,101		76,883
Paramount Group, Inc.		4,684		76,724
PS Business Parks, Inc.		775		76,516
LaSalle Hotel Properties		3,238		74,830
Sunstone Hotel Investors, Inc.		6,194		74,576
Equity One, Inc.		2,520		74,239
RLJ Lodging Trust		3,574		73,231
Columbia Property Trust, Inc.		3,540		72,995
Hudson Pacific Properties, Inc.		2,579		72,496
Ryman Hospitality Properties, Inc.		1,471		72,167
Urban Edge Properties		2,676		71,851
Brixmor Property Group, Inc.		2,745		69,311
Acadia Realty Trust		2,020		68,478
Mack-Cali Realty Corp.		2,569		67,411
CoreSite Realty Corp.		879		66,672
Corporate Office Properties Trust		2,440		65,953
Empire State Realty Trust, Inc. — Class A		3,473		65,813
Cousins Properties, Inc.		6,063		65,117
Kite Realty Group Trust		2,392		64,273
Care Capital Properties, Inc.		2,404		62,480
EastGroup Properties, Inc.		929		59,484
Washington Real Estate Investment Trust		1,956		57,956
Retail Opportunity Investments Corp.		2,856		57,748
Parkway Properties, Inc.		3,202		55,875
WP GLIMCHER, Inc.		5,314		54,309
American Assets Trust, Inc.		1,302		52,093
Pebblebrook Hotel Trust		2,063		52,029
DiamondRock Hospitality Co.		5,756		51,459
Monogram Residential Trust, Inc.		4,778		48,449
CBL & Associates Properties, Inc.		4,890		47,042
New York REIT, Inc.		4,733		43,212
Pennsylvania Real Estate Investment Trust		1,987		41,926
Chesapeake Lodging Trust		1,723		41,076
Ramco-Gershenson Properties Trust		2,270		40,883
Government Properties Income Trust		2,040		39,984
Sabra Health Care REIT, Inc.		1,869		39,137
Franklin Street Properties Corp.		2,873		32,781
Summit Hotel Properties, Inc.		2,489		29,121
Terreno Realty Corp.		1,182		28,297
FelCor Lodging Trust, Inc.		4,003		26,460

	Shares		Value
COMMON STOCKS^† - 99.4% (continued)
Financial - 99.4% (continued)
Alexander's, Inc.		68	$	24,912
Chatham Lodging Trust		1,100		23,859
Hersha Hospitality Trust		1,275		22,593
Urstadt Biddle Properties, Inc. — Class A		1,031		21,816
Monmouth Real Estate Investment Corp.		1,753		20,843
QTS Realty Trust, Inc. — Class A		402		20,771
Tier REIT, Inc.		1,369		20,535
Investors Real Estate Trust		3,286		20,439
NorthStar Realty Europe Corp.		1,807		20,329
Rouse Properties, Inc.		1,078		19,674
Universal Health Realty Income Trust		359		19,207
Saul Centers, Inc.		341		19,157
Cedar Realty Trust, Inc.		2,437		16,547
Silver Bay Realty Trust Corp.		975		15,249

	Shares		Value
COMMON STOCKS^† - 99.4% (continued)
Financial - 99.4% (continued)
First Potomac Realty Trust		1,666	$	14,911
National Storage Affiliates Trust		660		13,761
Ashford Hospitality Trust, Inc.		2,601		13,083
Ashford Hospitality Prime, Inc.		943		10,203
NexPoint Residential Trust, Inc.		562		7,947
Easterly Government Properties, Inc.		385		7,207
Total Financial				18,736,486
Total Common Stocks
(Cost $16,845,597)				18,736,486
Total Investments - 99.4%
(Cost $16,845,597)			$	18,736,486
Other Assets & Liabilities, net - 0.6%				112,559
Total Net Assets - 100.0%			$	18,849,045

*	Non-income producing security.
†	Value determined based on Level 1 inputs — See Note 2.

REIT	Real Estate Investment Trust

See Sector Classification in Supplemental Information section.

The following table summarizes the inputs used to value the Fund's investments at May 31, 2016 (See Note 2 in the Notes to Schedule of Investments):

	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs		Total
Assets
Common Stocks	$	18,736,486	$	—	$	—	$	18,736,486

For the period ended May 31, 2016, there were no transfers between levels.

NOTES TO SCHEDULE OF INVESTMENTS (Unaudited)

For information on the Claymore Exchange–Traded Fund Trust’s (the “Trust”) policy regarding valuation of investments and other significant accounting policies, please refer to the Trust’s most recent semiannual or annual shareholder report.

The following 11 portfolios have a quarterly reporting period ended on May 31, 2016:

Guggenheim BRIC ETF

Guggenheim Defensive Equity ETF

Guggenheim Dow Jones Industrial Average Dividend ETF

Guggenheim Insider Sentiment ETF

Guggenheim Large Cap Optimized Diversification ETF

Guggenheim Mid-Cap Core ETF

Guggenheim Multi-Asset Income ETF

Guggenheim Raymond James SB-1 Equity ETF

Guggenheim Spin-Off ETF

Wilshire Micro-Cap ETF

Wilshire US REIT ETF

Each portfolio represents a separate series of the Trust (each a “Fund” or collectively the “Funds”).

1.	Significant Accounting Policies

The Trust operates as an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 Financial Services – Investment Companies.

The following significant accounting policies are in conformity with U.S. generally accepted accounting principles (“GAAP”) and are consistently followed by the Funds. This requires management to make estimates and assumptions that affect the reported amount of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from these estimates. All time references are based on Eastern Time.

The Board of Trustees of the Funds (the “Board”) has adopted policies and procedures for the valuation of the Funds’ investments (the “Valuation Procedures”). Pursuant to the Valuation Procedures, the Board has delegated to a valuation committee, consisting of representatives from Guggenheim’s investment management, fund administration, legal and compliance departments (the “Valuation Committee”), the day-to-day responsibility for implementing the Valuation Procedures, including, under most circumstances, the responsibility for determining the fair value of the Funds’ securities or other assets.

Valuations of the Funds’ securities are supplied primarily by pricing services appointed pursuant to the processes set forth in the Valuation Procedures. The Valuation Committee convenes monthly, or more frequently as needed and will review the valuation of all assets which have been fair valued for reasonableness. The Funds’ officers, through the Valuation Committee and consistent with the monitoring and review responsibilities set forth in the Valuation Procedures, regularly review procedures used by, and valuations provided by, the pricing services.

If the pricing service cannot or does not provide a valuation for a particular investment or such valuation is deemed unreliable, such investment is fair valued by the Valuation Committee.

Equity securities listed on an exchange (New York Stock Exchange (“NYSE”) or American Stock Exchange) are valued at the last quoted sales price as of the close of U.S. business on the NYSE, usually 4:00 p.m. Eastern time on the valuation date. Equity securities listed on the NASDAQ market system are valued at the NASDAQ Official Closing Price on the valuation date, which may not necessarily represent the last sale price. If there has been no sale on such exchange or NASDAQ on such day, the security is valued at the mean of the most recent bid and ask prices on such day.

Open-end investment companies (“Mutual Funds”) are valued at their NAV as of the close of business on the valuation date. Exchange traded funds (“ETFs”) and closed-end investment companies are valued at the last quoted sale price.

NOTES TO SCHEDULE OF INVESTMENTS (Unaudited)

Debt securities with a maturity of greater than 60 days at acquisition are valued at prices that reflect broker/dealer supplied valuations or are obtained from independent pricing services, which may consider the trade activity, treasury spreads, yields or price of bonds of comparable quality, coupon, maturity, and type, as well as prices quoted by dealers who make markets in such securities. Short-term securities with remaining maturities of 60 days or less are valued at market price, or if a market price is not available, at amortized cost, provided such amount approximates market value. Money market funds are valued at net asset value.

Generally, trading in foreign securities markets is substantially completed each day at various times prior to the close of the NYSE. The values of foreign securities are determined as of the close of such foreign markets or the close of the NYSE, if earlier. All investments quoted in foreign currency are valued in U.S. dollars on the basis of the foreign currency exchange rates prevailing at the close of U.S. business at 4:00 p.m. Eastern time. Investments in foreign securities may involve risks not present in domestic investments. The Valuation Committee will determine the current value of such foreign securities by taking into consideration certain factors which may include those discussed above, as well as the following factors, among others: the value of the securities traded on other foreign markets, ADR trading, closed-end fund trading, foreign currency exchange activity, and the trading prices of financial products that are tied to foreign securities such as World Equity Benchmark Securities. In addition, under the Valuation Procedures, the Valuation Committee and Guggenheim Funds Investment Advisors, LLC (“GFIA” or the “Investment Adviser”) are authorized to use prices and other information supplied by a third party pricing vendor in valuing foreign securities.

Investments for which market quotations are not readily available are fair valued as determined in good faith by the Investment Adviser, subject to review by the Valuation Committee, pursuant to methods established or ratified by the Board. Valuations in accordance with these methods are intended to reflect each security’s (or asset’s) “fair value.” Each such determination is based on a consideration of all relevant factors, which are likely to vary from one pricing context to another. Examples of such factors may include, but are not limited to: (i) the type of security, (ii) the initial cost of the security, (iii) the existence of any contractual restrictions on the security’s disposition, (iv) the price and extent of public trading in similar securities of the issuer or of comparable companies, (v) quotations or evaluated prices from broker-dealers and/or pricing services, (vi) information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange traded securities), (vii) an analysis of the company’s financial statements, and (viii) an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold (e.g. the existence of pending merger activity, public offerings or tender offers that might affect the value of the security).

2.	Fair Value Measurement

In accordance with GAAP, fair value is defined as the price that the Funds would receive to sell an investment or pay to transfer a liability in an orderly transaction with an independent buyer in the principal market, or in the absence of a principal market, the most advantageous market for the investment or liability. GAAP establishes a three-tier fair value hierarchy based on the types of inputs used to value assets and liabilities and requires corresponding disclosure. The hierarchy and the corresponding inputs are summarized below:

Level 1 — quoted prices in active markets for identical assets or liabilities.

Level 2 — significant other observable inputs (for example quoted prices for securities that are similar based on characteristics such as interest rates, prepayment speeds, credit risk, etc.).

Level 3— significant unobservable inputs based on the best information available under the circumstances, to the extent observable inputs are not available, which may include assumptions.

The types of inputs available depend on a variety of factors, such as the type of security and the characteristics of the markets in which it trades, if any. Fair valuation determinations that rely on fewer or no observable inputs require greater judgment. Accordingly, fair value determinations for Level 3 securities require the greatest amount of judgment.

Independent pricing services are used to value a majority of the Funds’ investments. When values are not available from a pricing service, they will be determined under the valuation policies that have been reviewed and approved by the Board. In any event, values are determined using a variety of sources and techniques, including: market prices; broker quotes; and models which derive prices based on inputs such as prices of securities with comparable maturities and characteristics or based on inputs such as anticipated cash flows or collateral spread over Treasuries, and other information and analysis.

NOTES TO SCHEDULE OF INVESTMENTS (Unaudited)

The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The suitability of the techniques and sources employed to determine fair valuation are regularly monitored and subject to change.

3.	Federal Income Taxes

As of May 31, 2016, the cost of investments and accumulated unrealized appreciation/depreciation on investments for federal income tax purposes were as follows:

	Cost of Investments for Tax Purposes		Gross Tax Unrealized Appreciation		Gross Tax Unrealized Depreciation			Net Tax Unrealized Appreciation (Depreciation)
Guggenheim BRIC ETF	$	112,902,144	$	7,374,696	$	(48,021,615	)	$	(40,646,919	)
Guggenheim Defensive Equity ETF		154,433,193		14,870,607		(3,595,201	)		11,275,406
Guggenheim Dow Jones Industrial Average Dividend ETF		2,594,432		90,390		(49,338	)		41,052
Guggenheim Insider Sentiment ETF		88,293,879		10,075,429		(6,662,518	)		3,412,911
Guggenheim Large Cap Optimized Diversification ETF		2,534,320		66,058		(77,201	)		(11,143	)
Guggenheim Mid-Cap Core ETF		134,434,382		11,329,755		(3,486,076	)		7,843,679
Guggenheim Multi-Asset Income ETF		452,432,613		23,885,455		(27,606,133	)		(3,720,678	)
Guggenheim Raymond James SB-1 Equity ETF		182,240,802		19,985,147		(17,232,487	)		2,752,660
Guggenheim Spin-Off ETF		219,308,363		12,733,950		(3,074,719	)		9,659,231
Wilshire Micro-Cap ETF		28,453,398		1,975,884		(5,312,554	)		(3,336,670	)
Wilshire US REIT ETF		16,780,788		2,519,375		(563,677	)		1,955,698

4.	Portfolio Securities Loaned

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. The cash collateral received is held in a separately managed account established for each respective Fund and maintained by the lending agent exclusively for the investment of securities lending cash collateral on behalf of each Fund. The separately managed accounts invest in short-term investments valued at amortized cost, which approximates market value. 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 paid to the lending agent. Such compensation is accrued daily and payable to the Fund monthly. 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. These payments from the borrower are not eligible for reduced tax rates as “qualified dividend income” under the Jobs and Growth Tax Reconciliation Act of 2003. The Funds retain all or a portion of the interest received on investment of cash collateral or receive 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.

As of May 31, 2016 the Funds participated in securities lending as follows:

	Value of Securities Loaned		Cash Collateral		Non-Cash Collateral		Total Collateral
Guggenheim BRIC ETF	$	3,496,383	$	3,671,064	$	116,898	$	3,787,962
Guggenheim Defensive Equity ETF		8,789,305		6,608,876		2,498,221		9,107,097
Guggenheim Dow Jones Industrial Average Dividend ETF		-		-		-		-
Guggenheim Insider Sentiment ETF		5,076,907		5,220,588		-		5,220,588
Guggenheim Large Cap Optimized Diversification ETF		60,731		62,328		-		62,328
Guggenheim Mid-Cap Core ETF		4,470,749		4,595,524		-		4,595,524
Guggenheim Multi-Asset Income ETF		10,524,103		10,807,992		-		10,807,992
Guggenheim Raymond James SB-1 Equity ETF		7,046,689		7,223,620		-		7,223,620
Guggenheim Spin-Off ETF		1,914,425		1,997,009		-		1,997,009
Wilshire Micro-Cap ETF		2,735,823		2,872,546		-		2,872,546
Wilshire US REIT ETF		-		-		-		-

SUPPLEMENTAL INFORMATION (Unaudited)

Sector Classification

Information in the “Schedule of Investments” is categorized by sectors using sector-level classifications used by Bloomberg Industry Classification System, a widely recognized industry classification system provider. In the Fund’s registration statement, the Fund has investment policies relating to concentration in specific industries. For purposes of these investment policies, the Fund usually classifies industries based on industry-level classifications used by widely recognized industry classification system providers such as Bloomberg Industry Classification System, Global Industry Classification Standards and Barclays Global Classification Scheme.

Item 2. Controls and Procedures.

(a)

The registrant’s principal executive officer and principal financial officer have evaluated the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “Investment Company Act”)) as of a date within 90 days of the filing date of this report and have concluded, based on such evaluation, that 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-Q was recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms.

(b)

There was no change in the registrant’s internal controls over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the registrant’s last fiscal quarter that has materially affected or is reasonably likely to materially affect the registrant’s internal control over financial reporting.

Item 3. Exhibits.

A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)), is attached hereto.

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.

Claymore Exchange-Traded Fund Trust

By:	/s/ Donald C. Cacciapaglia

Donald C. Cacciapaglia

President and Chief Executive Officer

Date:

July 29, 2016

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By:	/s/ Donald C. Cacciapaglia

Donald C. Cacciapaglia

President and Chief Executive Officer

Date:

July 29, 2016

By:	/s/ John L. Sullivan

John L. Sullivan

Chief Financial Officer, Chief Accounting Officer and Treasurer

Date:

July 29, 2016