INDEX METHODOLOGY

Step 1: Identify Entire Closed-End Fund Universe
Step 2: Narrow the Closed-End Fund Universe
Exclude funds that:
  • Do not trade on U.S. exchanges
  • Generate non-taxable income by investing at least 50% of their assets in non-taxable securities
  • Are interval funds
  • Have less than six months of operating history
  • Have market capitalizations of less than $250 million
  • Have a market share price less than $5
  • Have a trading volume of less than 1 million shares in each of the six months preceding reconstitution of the Index
  • Are not organized in the United States
Step 3: Rank Remaining Closed-End Funds Based on Premium/Discount (80% weighting) and Distribution Yield (20% weighting)
Step 4: Select the Top 75 Ranked Closed-End Funds:
Weightings based on each fund’s trading volume and premium/discount ranking

INDEX VALUE

as of 2/3/12
  VALUE
Close 90.04
Change .33
52-Week High 96.29
52-Week Low 76.97
Value History

Value Close and Value Change are the Index’s daily market “price” and “price change” as of the date noted. Figures are based on market close.

INDEX STATISTICS

as of 9/30/11
Index Ticker CLMRCEF
Rebalance Frequency Every 367 Days
Number of Constituents 76
Average Market Capitalization* $0.9 Bil
Average Indicated Dividend Yield* 9.29 %
Average Premium/Discount* -8.97 %

* Weighted average of the underlying closed-end funds that comprise the Index.

This data is subject to change on a daily basis.

INDEX PROFILE

Ticker CLMRCEF
Index Inception Date 12/5/07
Rebalance Frequency Every 367 Days
Maintained By Guggenheim Funds
Distributors, Inc.

INDEX ASSET CLASS WEIGHTINGS

as of 9/30/11
ASSET CLASS WEIGHTING
U.S. Equity 40.15 %
U.S. Fixed Income 21.94 %
Global Equity 14.37 %
Global Fixed Income 11.20 %
International Fixed Income 7.10 %
International Equity 3.98 %
Government/Agency 1.26 %

Index data is based on the individual closed-end funds that comprise the Index.

This data is subject to change on a daily basis.

Weightings and classifications derived by Guggenheim Fund Distributors, Inc. using Bloomberg data.

TOP INDEX CONSTITUENTS

as of 2/3/12
NAME WEIGHTING
EATON VANCE TAX-MANAGED GLOBAL DIVERSIFIED EQUITY INCOME FUND 4.59 %
NFJ DIVIDEND INTEREST & PREMIUM STRATEGY FUND 3.85 %
ABERDEEN ASIA-PACIFIC INCOME FUND INC 3.72 %
ALLIANCEBERNSTEIN INCOME FUND 3.36 %
EATON VANCE TAX-MANAGED DIVERSIFIED EQUITY INCOME FUND 3.14 %
EATON VANCE RISK-MANAGED DIVERSIFIED EQUITY INCOME FUND 2.72 %
EATON VANCE LIMITED DURATION INCOME FUND 2.59 %
MORGAN STANLEY EMERGING MARKETS DOMESTIC DEBT FUND INC 2.58 %
COHEN & STEERS INFRASTRUCTURE FUND INC 2.47 %
CALAMOS STRATEGIC TOTAL RETURN FUND 2.41 %

All Constituents

This data is subject to change on a daily basis.
This is not an offering of any closed-end fund listed.

RISKS AND OTHER CONSIDERATIONS

Guggenheim Funds Distributors, Inc. is the owner of, and has a trademark application pending for, Claymore CEF IndexSM in the United States.

Guggenheim Funds makes no representation or warranty, express or implied, regarding the ability of the Index to track general market performance. Guggenheim Funds shall not be liable to any person for any error in the Index nor shall it be under any obligation to advise any person of any error therein.

Certain Claymore CEF Index constituents may be closed-end funds advised by Guggenheim Funds Investment Advisors, LLC, an affiliate of Guggenheim Funds Distributors, Inc. Guggenheim Funds Investment Advisors, LLC, receives an advisory fee from such closed-end funds as investment adviser. Guggenheim Funds Distributors, Inc. may act as a servicing agent for certain closed-end funds included in the Claymore CEF Index and receives fees for this activity.

“The Claymore CEF IndexSM is calculated by NYSE Arca, Inc. (“NYSE Arca”). The Claymore Index-Linked GS Connect Exchange Traded Notes, which is based on the Index, is not sponsored, endorsed, sold or promoted by NYSE Arca, and NYSE Arca makes no representation regarding the advisability of investing in such product. NYSE Arca makes no express or implied warranties, and hereby expressly disclaims all warranties or merchantability or fitness for particular purpose with respect to the Claymore CEF IndexSM or any data included therein. In no event shall NYSE Arca have any liability for any special, punitive, indirect or consequential damages (including lost profits), even if notified of the possibility of such damages.”

NOT FDIC INSURED | NOT BANK GUARANTEED | MAY LOSE VALUE