SERIES8
s&p defensive equity strategy series 8
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DAILY DATA
as of
3/17/10
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Portfolio Status
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Primary
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Offer Price1
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$10.482400
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Bid Price2
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$10.368100
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Liquidation Price3
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$10.223100
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1 The "offer" price represents the net asset value of one unit
of a trust plus a transactional sales charge.
2 The "bid" price represents the net asset value of one unit
of a trust excluding deferred sales charge.
3 The "liquidation" price represents the net asset value of
one unit of a trust and includes any front-end and deferred sales charges accounted
for if investors liquidate units.
4 The Historical Annual Dividend Distribution is as of date of deposit. The amount of distributions of the Trust may be lower or greater than the above-stated
amount due to certain factors that may include, but are not limited to, a change
in the dividends paid by issuers, a change in Trust expenses or the sale or maturity
of securities in the portfolio. Fees and expenses of the Trust may vary as a result
of a variety of factors including the Trust's size, redemption activity, brokerage and
other transaction costs and extraordinary expenses.
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DEPOSIT INFORMATION
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Inception Date
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1/4/2010
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Mandatory Termination Date
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4/1/2011
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NASDAQ Ticker Symbol
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CSDEHX
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Inception Unit Price
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$10.000000
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Inception Bid Price
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$9.900000
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Inception Liquidation Price
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$9.755000
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Historical Annual Dividend Distribution4
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$0.15180
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Deferred Sales Charge Dates
5
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May 2010
Jun 2010
Jul 2010
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| CUSIP - Monthly-Cash |
18387K142 |
| CUSIP - Monthly-Reinvest |
18387K159 |
| CUSIP - Monthly-Fee/Cash |
18387K167 |
| CUSIP - Monthly-Fee/Reinvest |
18387K175 |
5 Early redemption of units will still cause payment of deferred sales charge.
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Past performance is no guarantee of future results. Investment returns and principal value will fluctuate with changes in market conditions. Investors' units, when redeemed, may be worth more or less than their original cost.
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INVESTMENT OBJECTIVE
The S&P Defensive Equity Strategy, Series 8 ("Trust") seeks to provide total return primarily through capital appreciation by investing in a portfolio of common stocks.
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PRINCIPAL INVESTMENT STRATEGY
The Trust’s investment strategy uses a quantitative selection process to determine the constituents of a final portfolio. Stocks are selected from all of the companies included in the S&P 500® Index (the “S&P 500”) as of the selection date. The Sponsor seeks to select companies that Standard & Poor’s Investment Advisory Services LLC (“SPIAS”), a subsidiary of The McGraw-Hill Companies, Inc., identifies as defensive in down markets. Defensive companies are defined as those belonging to the five selected sectors with the lowest downward momentum, as explained in the following section.
The Sponsor has selected SPIAS to serve as the Trust’s portfolio consultant. The portfolio consultant is responsible for assisting the Sponsor with the selection of the Trust’s portfolio.
The screening process is performed on all companies included in the S&P 500 as of the selection date. The screening process to determine the actual investment portfolio of the trust will be run approximately five business days before the Trust’s initial date of deposit (the “Inception Date”).
The portfolio of the Trust is comprised of 30 common stocks. See “Investment Policies” in Part B of the prospectus for additional information.
S&P 500 Index is a capitalization-weighted index of 500 stocks. The index is designed to measure performance of the broad domestic economy through changes in the aggregate market value of 500 stocks representing all major industries.
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SELECTION CRITERIA
The Sponsor selects the Trust’s portfolio based on the following screens. The Trust portfolio is approximately equally-weighted as of the Inception Date.
- The starting universe includes all of the companies included in the S&P 500 as of the selection date.
- Select a sub-universe from the S&P 500 by selecting the five Global Industry Classification Standard (“GICS®”) sectors (out of ten) with the lowest downward momentum.
Downward momentum is defined as the cumulative average monthly returns in down markets (down markets are months when the S&P 500 has a negative return). The month prior to the deposit date, SPIAS ranks the ten GICS® sectors by downward momentum on a monthly basis and selects the five sectors with the lowest downward momentum. Downward momentum is calculated with an “increasing rolling window” to capture the longest available history of monthly sector returns. Downward momentum is calculated over the entire period beginning January 1971 to November 2009 to identify the sub-universe on which to apply the following screens.
- A Quality Screen is then applied to the sub-universe to eliminate stocks with Standard & Poor’s (“S&P”) Credit Ratings and S&P Quality Rankings below B- which are considered to be negative ratings and rankings.
The S&P Quality Ranking is an appraisal of past performance of a stock’s earnings and dividends. Growth and stability of earnings and dividends are key elements in establishing S&P Quality Rankings for common stocks.
S&P uses a computerized scoring system to compute basic scores for earnings and dividends, then adjusts the scores based on growth, stability within long-term trend and cyclicality. The final numeric score is translated into the letter ranks A+, A, A-, B+, B, B-, C and D, with A+ being the highest quality. All stocks with a rating of B- or below are eliminated.
The S&P Credit Rating is a current opinion of an obligor’s overall financial capacity (its creditworthiness) to pay its financial obligations. This opinion focuses on the obligor’s capacity and willingness to meet its financial commitments as they come due. It does not apply to any specific financial obligation, as it does not take into account the nature of and provisions of the obligation, its standing in bankruptcy or liquidation, statutory preferences, or the legality and enforceability of the obligation. In addition, it does not take into account the creditworthiness of the guarantors, insurers or other forms of credit enhancement on the obligation. The S&P Credit Rating is not a recommendation to purchase, sell or hold a financial obligation issued by an obligor, as it does not comment on market price or suitability for a particular investor.
- Select only stocks that have decreased their shares outstanding over the last four quarters. Regardless of the cause, outstanding shares decrease is calculated by the year-over-year change, if any, in calendar quarterly shares outstanding and only retain those stocks with a decrease in shares outstanding. In the case the number of stocks with a decrease in shares outstanding is less than 50, rank the stocks on year-over-year change in shares outstanding and only retain the bottom 50 ranked stocks (the ones that had the greatest decrease or smaller increase in shares outstanding).
- Select the 30 stocks with the highest sector de-medianed free cash flow yield.
Free cash flow (“FCF”) is defined as four-quarter trailing cash flow from operations minus four-quarter trailing capital expenditures. FCF yield is calculated by dividing FCF by market capitalization. For example, if the stock is classified in the utilities sector, earnings yield will be used in place of the FCF yield. Earnings yield is defined as four-quarter trailing income before extraordinary items and discontinued operations divided by market capitalization. The de-medianed FCF yield (earnings yield for utilities stocks) is calculated by subtracting from each stock’s FCF yield the sector FCF yield median value. FCF is obtained through public company filings that are included in the Compustat Database.
If the portfolio weighting to any one single industry is greater than approximately 20% when the portfolio is selected, the portfolio will be adjusted by reducing the number of the stocks in the overweighted industry(s) to bring the weighting of such industry to approximately 20%. The adjustment will consist of excluding from a overweighted industry the stocks with the lowest FCF yield and by replacing them with the stocks with the highest FCF yield selected from the screened universe. Please note that due to the fluctuating nature of security prices, the weighting of each industry in the Trust may change after the portfolio selection date.
The 30 stocks are approximately equally-weighted on the Inception Date.
Standard & Poor’s Investment Advisory Services LLC
In 1995, Standard & Poor’s Investment Advisory Services LLC was established as a subsidiary of The McGraw-Hill Companies, Inc. for the express purpose of providing investment advice to the financial community. SPIAS’s clients have included brokerage firms, mutual funds, insurance companies, retirement plans, financial planners and other financial services professionals. In addition to receiving a portfolio consulting fee, the trust pays SPIAS a licensing fee for the use of intellectual property owned by The McGraw-Hill Companies, Inc.
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RISKS AND OTHER CONSIDERATIONS
As with all investments, you may lose some or all of your investment in the Trust. No assurance can be given that the Trust’s investment objective will be achieved. The Trust also might not perform as well as you expect. This can happen for reasons such as these:
- Securities prices can be volatile. The value of your investment may fall over time. Market value fluctuates in response to various factors. These can include stock market movements, purchases or sales of securities by the Trust, government policies, litigation, and changes in interest rates, inflation, the financial condition of the securities’ issuer or even perceptions of the issuer. Units of the Trust are not deposits of any bank and are not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency.
- Due to the current state of the economy, the value of the securities held by the Trust may be subject to steep declines or increased volatility due to changes in performance or perception of the issuers. Starting in December 2007 and throughout most of 2009, economic activity declined across all sectors of the economy, and the United States has experienced increased unemployment. The economic crisis affected the global economy with European and Asian markets also suffering historic losses. Although the latest economic data suggests slightly increased activity in the U.S. economy, unemployment remains high. Extraordinary steps have been taken by the governments of several leading economic countries to combat the economic crisis; however, the impact of these measures is not yet fully known and cannot be predicted.
- The portfolio selected for the Trust may not be defensive. Although the Trust’s strategy seeks sectors and securities that perform better than their peers in down markets, there can be no assurance that the selected sectors and securities will have the lowest downward momentum relative to their peers.
- Share prices or dividend rates on the securities in the Trust may decline during the life of the Trust. There is no guarantee that the issuers of the securities will declare dividends in the future and, if declared, whether they will remain at current levels or increase over time.
- The Trust includes securities issued by companies in the health care sector. General risks of companies in the health care sector include extensive competition, generic drug sales or the loss of patent protection, product liability litigation and increased government regulation.
- The Trust includes securities of companies in the consumer staples sector. General risks of companies in the consumer staples sector include cyclicality of revenues and earnings, economic recession, currency fluctuations, changing consumer tastes, extensive competition, product liability litigation and increased government regulation. A weak economy and its effect on consumer spending would adversely affect companies in the consumer staples sector.
- The Trust invests in securities issued by mid-capitalization companies. These securities customarily involve more investment risk than securities of large-capitalization companies. Mid-capitalization companies may have limited product lines, markets or financial resources and may be vulnerable to adverse general market or economic developments.
- Inflation may lead to a decrease in the value of assets or income from investments.
- The Sponsor does not actively manage the portfolio. The Trust will generally hold, and may continue to buy, the same securities even though a security’s outlook, market value or yield may have changed.
Please see the Trust prospectus for more complete risk information.
UITs are fixed and not actively managed. Investors can lose some or all of their investment in this Trust. An investment in this fixed portfolio should be made with an understanding of the risks involved with owning various types of investments. Industry predictions may not materialize and securities selected for the Trust may not participate in overall industry growth, if any. There is no guarantee that this portfolio will achieve its investment objective. The economic condition of the issuers of the securities in this portfolio as well as the stock market, in general, may worsen and therefore reduce the value of the units of the portfolio.
This UIT is part of a long-term strategy, and investors should consider their ability to invest in successive portfolios at the applicable sales charge, if available. There are tax consequences associated with an investment from one series to the next. Investors should consult their tax advisor to determine tax consequences associated with an investment from one portfolio to the next. Units of certain portfolios may be well suited for purchase by Individual Retirement Accounts or other qualified retirement plans. Consult your attorney or tax advisor regarding tax consequences associated with the purchase of units. Claymore Securities, Inc. does not offer tax advice.
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Investors should carefully consider the investment objectives and policies, risk considerations, charges
and ongoing expenses of any investment product before investing. The prospectus contains this and other
relevant information. Please read the prospectus carefully before you invest. To obtain a prospectus,
please contact a securities representative or Claymore Securities, Inc., 2455 Corporate West Drive, Lisle,
Illinois 60532, 800-345-7999, or download one by accessing the Literature section
of this website.
NOT FDIC-INSURED | NOT BANK-GUARANTEED | MAY LOSE VALUE
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