European Small-Cap Capital Strength Portfolio Series 4

As of the initial date of deposit, the Trust will invest at least 80% of the value of its assets in common stocks of small-capitalization European companies. The Trust will invest in a portfolio of European companies, which are defined as companies included in the Russell Developed Europe Index, that are also defined as small-capitalization companies by Russell Investments. While the definition of “small-capitalization” changes with time, as of the most recent Russell reconstitution date on June 26, 2015, this ranged to companies as large as approximately $4.5 billion USD.

The Trust invests in a portfolio of European companies that the Sponsor believes have had strong returns on capital and balance sheets. Strong returns on capital are evidenced by the company’s return on capital compared to the selected company’s peer group. Companies with strong balance sheets are typically those entities that are less leveraged than their peers. The Trust's investment process is designed to favor these companies that also trade at reasonable multiples of their free cash flow and earnings. However, there can be no assurance that the Trust's investment strategy will identify companies that will perform well in the future. As a result of this strategy, the Trust is concentrated in the consumer products sector and in securities issued by companies headquartered or incorporated in Great Britain. Additionally, as a result of this strategy, the Trust invests significantly in the industrials sector.

The Trust’s portfolio is constructed by the Sponsor using the methodology described below:

• Begin with a starting universe composed of the smallest 70% of companies in the Russell Developed Europe Index.

• Focus on companies which have demonstrated several years of consistently higher return on equity, and which have debt leverage levels lower than the median of the market or their industry peers.

• Filter out “value traps,” which are those companies with the worst fundamentals in their sector, as determined by the Sponsor, or with steep market declines that imply a turn in fundamentals.

• Select a portfolio of common stocks from the remaining universe by favoring undervalued companies, as determined by the Sponsor, based on cash flow & earnings, while maintaining limits on any single sector to 28% maximum weight, country concentration to +/- 10% of the market cap weight based concentration of the starting universe and minimum 80% total weight in small-capitalization companies as defined by Russell Investments.

Guggenheim Partners Investment Management, LLC

Guggenheim Partners Investment Management, LLC is a subsidiary of Guggenheim Partners, LLC and an affiliate of the Sponsor, which offers financial services expertise within its asset management, investment advisory, capital markets, institutional finance and merchant banking business lines. Clients consist of a mix of individuals, family offices, endowments, foundations, insurance companies, pension plans and other institutions that together have entrusted the firm with supervision of more than $100 billion in assets. A global diversified financial services firm, Guggenheim Partners, LLC office locations include New York, Chicago, Los Angeles, Miami, Boston, Philadelphia, St. Louis, Houston, London, Dublin, Geneva, Hong Kong, Singapore, Mumbai and Dubai.

The Sponsor is also a subsidiary of Guggenheim Partners, LLC. See “General Information” for additional information.

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.

• The Trust invests in an foreign securities listed on a foreign exchange. The Trust’s investment in foreign securities listed on a foreign exchange, presents additional risk. Securities of foreign issuers present risks beyond those of domestic securities. More specifically, foreign risk is the risk that foreign securities will be more volatile than U.S. securities due to such factors as adverse economic, currency, political, social or regulatory developments in a country, including government seizure of assets, excessive taxation, limitations on the use or transfer of assets, the lack of liquidity or regulatory controls with respect to certain industries or differing legal and/or accounting standards.

• The Trust includes securities whose value may be dependent on currency exchange rates. The U.S. dollar value of these securities may vary with fluctuations in foreign exchange rates. Most foreign currencies have fluctuated widely in value against the U.S. dollar for various economic and political reasons such as the activity level of large international commercial banks, various central banks, speculators, hedge funds and other buyers and sellers of foreign currencies.

• The Trust is concentrated in securities issued by European companies. As a result, political, economic or social developments in Europe may have a significant impact on the securities included in the Trust. Furthermore, the European sovereign debt crisis and the related austerity measures in certain countries have had, and continue to have, a significant negative impact on the economies of certain European countries and their future economic outlooks.

• The Trust is concentrated in securities issued by companies headquartered or incorporated in Great Britain. As a result, political, economic or social developments in Great Britain may have a significant impact on the securities included in the Trust. The British economy relies heavily on export of financial services to the United States and other European countries. As a result, the British economy may be impacted by changes to the economic health of the United States and other European countries. In addition, the British economy, along with certain other European economies, experienced a significant economic slowdown during the recent financial crisis.

• The Trust is concentrated in the consumer products sector. As a result, the factors that impact the consumer products sector will likely have a greater effect on this Trust than on a more broadly diversified Trust. General risks of companies in the consumer products 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 products sector.

• The Trust invests significantly in the industrials sector. As a result, the factors that impact the industrials sector will likely have a greater effect on this Trust than on a more broadly diversified Trust. Adverse developments in this sector may significantly affect the value of your units. Companies involved in the industrials sector must contend with the state of the economy, intense competitors, domestic and international politics, excess capacity and spending trends.

• The Trust invests in securities issued by small-capitalization and mid-capitalization companies. These securities customarily involve more investment risk than securities of largecapitalization companies. Smallcapitalization and mid-capitalization companies may have limited product lines, markets or financial resources and may be more vulnerable to adverse general market or economic developments.

• Share prices or dividend rates on the securities in the Trust may decline during the life of the Trust. There is no guarantee that share prices of the securities in the Trust will not decline and 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.

• 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, when creating additional units, continue to buy, the same securities even though a security’s outlook, market value or yield may have changed.

See “Investment Risks” in Part A of the prospectus and “Risk Factors” in Part B of the prospectus for additional information.