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US Low Volatility Strategy Portfolio Series 31

Trust Resources
Prospectus
secondary

Investment Objective

The US Low Volatility Strategy Portfolio, Series 31 ("Trust") seeks to provide total return that is comprised of current income and capital appreciation.

Principal Investment Strategy

Selection Criteria

Risks and Other Considerations

Portfolio Information

Daily Data

Offer Price N/A
Wrap Fee Price N/A
Liquidation Price $11.3137
Remaining Deferred Sales Charge $0.1350

CUSIPs

Monthly-Cash 40176A226
Monthly-Reinvest 40176A234
Monthly-Fee/Cash 40176A242
Monthly-Fee/Reinvest 40176A259

 

Deposit Information

Inception Date 5/1/2020
Non-Reoffered Date 8/3/2020
Mandatory Maturity Date 8/3/2021
NASDAQ Ticker Symbol CULOFX
Trust Structure Grantor
Inception Unit Price $10.0000
Inception Liquidation Price $9.8650
Deferred Sales Charge Dates Sep 2020
Oct 2020
Nov 2020
Term 15 Months
Number of Holdings 30

Historical Annual Dividend Distribution*

Per Unit $0.1712
Rate -
Rate Fee Based -

* The Historical Annual Dividend Distribution (HADD) per unit is as of the day prior to trust deposit and subject to change. The HADD per unit is the weighted average of the trailing twelve-month distributions paid by the securities included in the portfolio. The HADD rate is based on the HADD divided by the current offer price and recalculated daily. Both the HADD per unit and the rate shown are reduced to account for the effects of fees and expenses, which will be incurred when investing in the Trust. The HADD per unit and rate will vary 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. There is no guarantee the issuers of the securities included in the Trust will declare dividends or distributions in the future. The HADD of the securities included in the Trust is for illustrative purposes only and is not indicative of the Trust’s distribution. Due to the negative economic impact across many industries caused by the recent COVID-19 outbreak, certain issuers of the securities included in the trust may elect to reduce the amount of, or cancel entirely, dividends and/or distributions paid in the future. As a result, the HADD figure will likely be higher, and in some cases significantly higher, than the actual distribution rate achieved by the trust.


Portfolio Holdings Analysis

All data is subject to change daily. Data may differ from the prospectus due to different data sources or market changes. Please refer to prospectus for additional information about the trust including the portfolio section criteria. Source: FactSet Research Systems Inc. unless otherwise noted. The total percentages may not be equal to 100% due to rounding. N/A indicates that certain securities have not been identified and/or classified by the data provider. A unit is a combination of securities or types of securities traded together.

Fundamental Data

Weighted Average Price/Earnings (P/E) Ratio 35.22
Weighted Average Price/Book (P/B) Ratio 9.57
Weighted Average Market Cap (MM) $143,784.27

Market Cap & Style Breakdown

Value Growth Total
Large-Cap 29.30% 18.94% 48.24%
Mid-Cap 27.60% 24.16% 51.76%
Small-Cap -- -- --
Total 56.90% 43.10% 100.00%

Asset Class

US Common Stock 93.44%
REIT 6.56%
Total 100.00%

Market Cap Breakdown

Style Breakdown

Sector & Industry Breakdown

Consumer Staples 23.31%
 Beverages 2.98%
 Food & Staples Retailing 3.10%
 Food Products 6.03%
 Household Products 11.19%
Industrials 21.23%
 Air Freight & Logistics 7.31%
 Building Products 3.28%
 Commercial Services & Supplies 10.63%
Health Care 18.87%
 Health Care Technology 2.93%
 Life Sciences Tools & Services 7.08%
 Pharmaceuticals 8.85%
Consumer Discretionary 10.97%
 Internet & Direct Marketing Retail 7.73%
 Multiline Retail 3.23%
Information Technology 9.59%
 Communications Equipment 3.36%
 IT Services 3.28%
 Software 2.95%
Real Estate 6.56%
 Equity Real Estate Investment Trusts (REITs) 6.56%
Communication Services 6.27%
 Diversified Telecommunication Services 2.94%
 Media 3.33%
Financials 3.20%
 Diversified Financial Services 3.20%
Total 100.00%

Country Breakdown

United States 100.00%
Total 100.00%

Regional Breakdown

North America 100.00%
Total 100.00%

Developed Status

Developed 100.00%
Total 100.00%

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.


Principal Investment Strategy

Under normal circumstances, the Trust invests at least 80% of the value of its assets in common stocks of U.S. companies that the Sponsor believes are lower volatility securities. The Trust applies a series of screens to determine the final portfolio, including measuring the volatility of a security by using the standard deviation of daily returns for the previous trailing year for such a security and selecting the securities with the lowest volatility. The Trust seeks total returns that may exceed the S&P 500 Index’s market level in certain risk-adjusted return metrics. The Sponsor, with the assistance of Guggenheim Partners Investment Management, LLC (“GPIM”), an affiliate of Guggenheim Partners, LLC, has selected the securities to be included in the Trust’s portfolio. As a result of this strategy, the Trust is concentrated in the consumer products sector.

Selection Criteria

The Trust’s portfolio was constructed and the securities were selected on April 24, 2020 (the “Security Selection Date”) using the Security Selection Rules outlined below.

Security Selection Rules:

In constructing the Trust’s portfolio, securities were selected based on the following rules-based criteria.

  1. Initial Universe: Start with all securities that trade on a major exchange as of the Security Selection Date. Note that while the final selection step will include a subset of the initial universe, this initial universe of large, mid, and small cap stocks is used for fundamental ranks in step 2.
  2. Rank on Fundamentals: Rank every company identified in the initial universe against other companies in the same sector, as defined by Global Industry Classification Standard. Each ranking is determined as of the Security Selection Date using the most recently reported information and uses a scale of 1 through 10 (1 representing the highest scoring 10% in the sector and 10 representing the lowest scoring 10% in the sector):
    • Return on assets as provided by S&P Compustat, and calculated as latest four quarters of reported operating income divided by the average of most recent reported total assets and year ago reported total assets.
    • Earnings before interest, taxes, depreciation and amortization for the latest four quarters divided by enterprise value, as provided by S&P Compustat. Enterprise value is determined by adding the equity market capitalization as of the most recent closing price with the total outstanding long term and short term debt as determined by the most recently available balance sheet, and then subtracting any cash and short term investments, as determined by the most recently available balance sheet.
    • Year-over-year growth in sales per share, as provided by S&P Compustat. Trailing year-over-year growth is the percentage change in sales per-share for the trailing 12 months versus the sales per-share from the prior 12 months. Sales per-share is the trailing 12 months of sales from the most recent trailing quarterly filings divided by the end of period reported count of common shares outstanding used to calculate basic earnings per share.
    Each financial metric will create a separate score so that every company will have three scores. These three scores are averaged together to create one composite score for a company. This composite score is used to rank the companies in the next step in order to determine the sub-universe of securities.
  3. Define Sub-Universe: Reduce the initial universe of securities to a sub-universe that meets the following requirements, with each requirement being applied independently to the initial universe from the other requirements in this step, as of the Security Selection Date:
    • Exclude the lowest ranked 25% of securities from the initial universe determined by the average of the three financial rankings described in step 2.
    • Exclude the 20% of the initial universe with the lowest trailing 6 month total return.
    • Exclude securities that are not members of the S&P 500 Index.
    • Exclude all securities whose standard deviation of daily returns for the trailing year, as provided by FactSet, is above the median of that metric amongst all S&P 500 Index members.
    • Exclude all securities whose standard deviation of trailing 36 monthly returns, as provided by FactSet, is above the median of that metric amongst all S&P 500 Index members or which do not have 36 months of trading history.
    • Exclude all securities whose Beta, as provided by FactSet based on the trailing 2 years of weekly returns, is above the median of that metric amongst all S&P 500 Index members.
    • Exclude securities with a market capitalization less than $1 billion, as provided by FactSet based on the closing price as of the Security Selection Date.
    • Exclude securities with trading liquidity of less than $1 million, as determined by the median daily dollar trading volume (i.e., volume in shares multiplied by the closing price for the day, as provided by FactSet) during a 90 trading day look back from the Security Selection Date.
    • Exclude securities with share price less than $5.
    • Exclude securities that have a pending cash or stock merger and acquisition or bankruptcy announcement which will lead to delisting the security. Such events will be determined by reviewing the corporate action announcement data from Bloomberg where the announced date falls before the Security Selection Date.
  4. Selection: Select from the sub-universe the 30 securities with the lowest volatility, as measured by standard deviation of daily returns as sourced from FactSet for the previous trailing year, and equally weight these securities as of Security Selection Date. Selected securities must adhere to the following portfolio limits:
    • Maximum 25% weight in any sector (as defined by Global Industry Classification Standard).
    • Maximum 10% weight in any industry (as defined by Global Industry Classification Standard).
    • Maximum 20% weight in non-US countries (as defined by Bloomberg L.P. index methodology for country categorization). Once any of the investment limitations has been reached, additional securities of that kind will not be included in the Trust and the next lowest volatility security will be used.

Please note that due to the fluctuating nature of security prices, the weighting of an individual security, sector or industry in the Trust portfolio may change after the Security Selection Date.

INDEX DEFINITIONS: The S&P 500® Index is a market-weighted stock market index comprised of the stocks of 500 U.S. corporations. Indices are unmanaged and it is not possible to invest directly in an index.

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. Changes in legal, political, regulatory, tax and economic conditions may cause fluctuations in markets and securities prices, which could negatively impact the value of the Trust. Additionally, event such war, terrorism, natural and environmental disasters and the spread of infectious illnesses or other public health emergencies may adversely affect the economy, various markets and issuers. Recently, the outbreak of a novel and highly contagious form of coronavirus (“COVID-19”) has adversely impacted global commercial activity and contributed to significant volatility in certain markets. Many governments and businesses have instituted quarantines and closures, which has resulted in significant disruption in manufacturing, supply chains, consumer demand and economic activity. The potential impacts are increasingly uncertain, difficult to assess and impossible to predict, and may result in significant losses. Any adverse event could materially and negatively impact the value and performance of Trust and the Trust’s ability to achieve its investment objectives. 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.
  • Securities selected according to this strategy may not perform as intended. The Trust is exposed to additional risk due to its policy of investing in accordance with an investment strategy. Although the Trust’s investment strategy is designed to achieve the Trust’s investment objective, the strategy may not prove to be successful. The investment decisions may not produce the intended results and there is no guarantee that the investment objective will be achieved.
  • 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 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 more vulnerable to adverse general market or economic developments.
  • Share prices or distributions 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 distributions in the future and, if declared, whether they will remain at current levels or increase over time.
  • The Trust may be susceptible to potential risks through breaches in cybersecurity. A breach in cybersecurity refers to both intentional and unintentional events that may cause the Trust to lose proprietary information, suffer data corruption or lose operational capacity. Such events could cause the Sponsor of the Trust to incur regulatory penalties, reputational damage, additional compliance costs associated with corrective measures and/or financial loss. In addition, cybersecurity breaches of the Trust’s third-party service providers, or issuers in which the Trust invests, can also subject the Trust to many of the same risks associated with direct cybersecurity breaches.
  • The Trust is subject to risks arising from various operational factors and their service providers. Operational factors include, but not limited to, human error, processing and communication errors, errors of the Trust’s service providers, counterparties or other third-parties, failed or inadequate processes and technology or systems failures. Additionally, the Trust may be subject to the risk that a service provider may not be willing or able to perform their duties as required or contemplated by their agreements with the Trust. Although the Trust seeks to reduce these operational risks through controls and procedures, there is no way to completely protect against such risks.
  • 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.

Please see the Trust prospectus for more complete risk information.

Unit Investment Trusts are fixed, not actively managed and should be considered as part of a long-term strategy. Investors should consider their ability to invest in successive portfolios, if available, at the applicable sales charge. UITs are subject to annual fund operating expenses in addition to the sales charge. Investors should consult an attorney or tax advisor regarding tax consequences associated with an investment from one series to the next, if available, and with the purchase or sale of units. Guggenheim Funds Distributors, LLC does not offer tax advice.




Read a prospectus and summary prospectus (if available) carefully before investing. It contains the investment objective, risks charges, expenses and the other information, which should be considered carefully before investing. To obtain a prospectus and summary prospectus (if available) click here or call 800.820.0888.

Investing involves risk, including the possible loss of principal.

Guggenheim Investments represents the following affiliated investment management businesses of Guggenheim Partners, LLC: Guggenheim Partners Investment Management, LLC, Security Investors, LLC, Guggenheim Funds Distributors, LLC, Guggenheim Funds Investment Advisors, LLC, Guggenheim Corporate Funding, LLC, Guggenheim Partners Europe Limited, GS GAMMA Advisors, LLC, and Guggenheim Partners India Management. Securities offered through Guggenheim Funds Distributors, LLC.

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