UNITED STATESSECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811- 02753

Guggenheim Variable Funds Trust (Exact name of registrant as specified in charter)

805 King Farm Boulevard, Suite 600Rockville, Maryland 20850 (Address of principal executive offices) (Zip code)

Amy J. Lee

Guggenheim Variable Funds Trust805 King Farm Boulevard, Suite 600Rockville, Maryland 20850 (Name and address of agent for service)

Registrant's telephone number, including area code: 1-301-296-5100

Date of fiscal year end: December 31

Date of reporting period: December 31, 2014

Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e‑1 under the Investment Company Act of 1940 (17 CFR 270.30e‑1).  The Commission may use the information provided on Form N‑CSR in its regulatory, disclosure review, inspection, and policymaking roles.

A registrant is required to disclose the information specified by Form N‑CSR, and the Commission will make this information public.  A registrant is not required to respond to the collection of information contained in Form N‑CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number.  Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549‑0609.  The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. §3507.

Item 1. Reports to Stockholders.

12.31.2014

Guggenheim Variable Funds Trust Annual Report

Series
Series A	(StylePlus—Large Core Series)
Series B	(Large Cap Value Series)
Series C	(Money Market Series)
Series D	(World Equity Income Series)
Series E	(Total Return Bond Series)
Series F	(Floating Rate Strategies Series)
Series J	(StylePlus—Mid Growth Series)
Series M	(Macro Opportunities Series)
Series N	(Managed Asset Allocation Series)
Series O	(All Cap Value Series)
Series P	(High Yield Series)
Series Q	(Small Cap Value Series)
Series V	(Mid Cap Value Series)
Series X	(StylePlus—Small Growth Series)
Series Y	(StylePlus—Large Growth Series)
Series Z	(Alpha Opportunity Series)

GVFT-ANN-2-1214x1215 guggenheiminvestments.com

This report and the financial statements contained herein are submitted for the general information of our shareholders. The report is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus.

Distributed by Guggenheim Funds Distributors, LLC.

TABLE OF CONTENTS

DEAR SHAREHOLDER	2
ECONOMIC AND MARKET OVERVIEW	5
ABOUT SHAREHOLDERS’ FUND EXPENSES	7
SERIES A (STYLEPLUS—LARGE CORE SERIES)	9
SERIES B (LARGE CAP VALUE SERIES)	18
SERIES C (MONEY MARKET SERIES)	26
SERIES D (WORLD EQUITY INCOME SERIES)	32
SERIES E (TOTAL RETURN BOND SERIES)	41
SERIES F (FLOATING RATE STRATEGIES SERIES)	54
SERIES J (STYLEPLUS—MID GROWTH SERIES)	64
SERIES M (MACRO OPPORTUNITIES SERIES)	74
SERIES N (MANAGED ASSET ALLOCATION SERIES)	87
SERIES O (ALL CAP VALUE SERIES)	94
SERIES P (HIGH YIELD SERIES)	102
SERIES Q (SMALL CAP VALUE SERIES)	114
SERIES V (MID CAP VALUE SERIES)	122
SERIES X (STYLEPLUS—SMALL GROWTH SERIES)	130
SERIES Y (STYLEPLUS—LARGE GROWTH SERIES)	140
SERIES Z (ALPHA OPPORTUNITY SERIES)	149
NOTES TO FINANCIAL STATEMENTS	155
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM	180
OTHER INFORMATION	181
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS	182
GUGGENHEIM INVESTMENTS PRIVACY POLICIES	186

THE GUGGENHEIM FUNDS ANNUAL REPORT | 1

December 31, 2014

Dear Shareholder:

Security Investors, LLC and Guggenheim Partners Investment Management (the “Investment Advisers”) are pleased to present the annual shareholder report for 16 of our funds that are part of the Guggenheim Variable Funds Trust (the “Funds”). This report covers performance of the Funds for the annual period ended December 31, 2014.

The Investment Advisers are part of Guggenheim Investments, which represents the investment management businesses of Guggenheim Partners, LLC, a global, diversified financial services firm.

Guggenheim Funds Distributors, LLC is the distributor of the Funds. Guggenheim Funds Distributors, LLC is affiliated with Guggenheim Partners, LLC and the Investment Advisers.

We encourage you to read the Economic and Market Overview section of the report, which follows this letter, and then the Manager’s Commentary for each Fund.

We are committed to providing innovative investment solutions and appreciate the trust you place in us.

Sincerely,

Donald C. Cacciapaglia

President

January 31, 2015

Read a prospectus and summary prospectus (if available) carefully before investing. It contains the investment objectives, risks, charges, expenses and other information, which should be considered carefully before investing. Obtain a prospectus and summary prospectus (if available) at guggenheiminvestments.com or call 800.820.0888.

The Series StylePlus Funds may not be suitable for all investors. Investments in large capitalization stocks may underperform other segments of the equity market or the equity market as a whole. • Investments in small-sized company securities may present additional risks such as less predictable earnings, higher volatility and less liquidity than larger, more established companies. • Growth stocks may be more volatile than other stocks because they are more sensitive to investor perceptions regarding the growth potential of the issuing companies. • The Funds may invest in derivative instruments, which may be more volatile and less liquid, increasing the risk of loss when compared to traditional securities. Certain of the derivative instruments are also subject to the risks of counterparty default and adverse tax treatment. • The Funds’ use of leverage, through borrowings or instruments such as derivatives, may cause the Funds to be more volatile than if it had not been leveraged. • The Funds’ investments in other investment vehicles subject the Funds to those risks and expenses affecting the investment vehicle. • The Funds may invest in foreign securities which carry additional risks when compared to U.S. securities, due to the impact of diplomatic, political or economic developments in the country in question

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December 31, 2014

(investments in emerging markets securities are generally subject to an even greater level of risks). • The Funds may invest in fixed income securities whose market value will change in response to interest rate changes and market conditions among other factors. In general, bond prices rise when interest rates fall and vice versa. • The Fund’s exposure to high yield securities may subject the Fund to greater volatility. • The Funds may invest in bank loans and asset-backed securities, including mortgage-backed, which involve special types of risks. • The Funds may invest in restricted securities which may involve financial and liquidity risk. • You may have a gain or loss when you sell your shares. • It is important to note that the Funds are not guaranteed by the U.S. government. • Please read the prospectus for more detailed information regarding these and other risks.

The Series Value Funds may not be suitable for all investors. • An investment in the Funds will fluctuate and is subject to investment risks, which means investors could lose money. The intrinsic value of the underlying stocks may never be realized or the stocks may decline in value. Investments in small- and/or mid-sized company securities may present additional risks such as less predictable earnings, higher volatility and less liquidity than larger, more established companies. • Please read the prospectus for more detailed information regarding these and other risks.

The Series C (Money Market Series) may not be suitable for all investors. • An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other governmental agency. • It is possible to lose money by investing in the Fund. The principal risks of investing in the Fund are listed below. • The Fund could lose money if the issuer of a bond is unable to repay interest and principal on time or defaults. • The issuer of a bond could also suffer a decrease in quality rating, which would affect the volatility and liquidity of the bond. • Investments in fixed-income securities are subject to the possibility that interest rates could rise sharply, causing the value of the Fund’s securities and share price to decline. • Fixed income securities with longer durations are subject to more volatility than those with shorter durations. • Regulations of money market funds are evolving. • New regulations may affect negatively the Fund’s performance, yield and cost. • Please read the prospectus for more detailed information regarding these and other risks.

The Series D (World Equity Income Series) may not be suitable for all investors. • Investments in securities in general are subject to market risks that may cause their prices to fluctuate over time. •The Fund’s investments in foreign securities carry additional risks when compared to U.S. securities, due to the impact of diplomatic, political or economic developments in the country in question (investments in emerging markets are generally subject to an even greater level of risks). Additionally, the Fund’s exposure to foreign currencies subjects the fund to the risk that those currencies will decline in value relative to the U.S. Dollar. • The Fund’s investments in derivatives may pose risks in addition to those associated with investing directly in securities or other investments, including illiquidity of the derivatives, imperfect correlations with underlying investments or the Fund’s other portfolio holdings, lack of availability and counterparty risk. •The Fund’s use of leverage, through instruments such as derivatives, may cause the fund to be more volatile than if it had not been leveraged. •The Fund’s investments in other investment vehicles subject the Fund to those risks and expenses affecting the investment vehicle. •The Fund may have significant exposure to securities in a particular capitalization range e.g., large-, mid- or small-cap securities. As a result, the Fund may be subject to the risk that the pre-denominate capitalization range may underperform other segments of the equity market or the equity market as a whole. • Please read the prospectus for more detailed information regarding these and other risks.

The Series E (Total Return Bond Series) may not be suitable for all investors. • The Fund’s market value will change in response to interest rate changes and market conditions among other factors. In general, bond prices rise when interest rates fall and vice versa. • The Fund’s exposure to high yield securities may subject the Fund to greater volatility. • When market conditions are deemed appropriate, the Fund will leverage to the full extent permitted by its investment policies and restrictions and applicable law. Leveraging will exaggerate the effect on net asset value of any increase or decrease in the market value of the Fund’s portfolio. • The Fund may invest in derivative instruments, which may be more volatile and less liquid, increasing the risk of loss when compared to traditional securities. Certain of the derivative instruments are also subject to the risks of counterparty default and adverse tax treatment. • Instruments and strategies (such as borrowing transactions and reverse repurchase agreements) may provide leveraged exposure to a particular investment, which will magnify any gains or losses on those investments. • Investments in reverse repurchase agreements expose the Fund to the many of the same risks as investments in derivatives. • The Fund’s investments in other investment vehicles subject the Fund to those risks and expenses affecting the investment vehicle. • The Fund’s investments in foreign securities carry additional risks when compared to U.S. securities, due to the impact of diplomatic, political or economic developments in the country in question (investments in emerging markets securities are generally subject to an even greater level of risks). • Investments in syndicated bank loans generally offer a floating interest rate and involve special types of risks. • The Fund’s investments in municipal securities can be affected by events that affect the municipal bond market. • The Fund’s investments in real estate securities subject the Fund to the same risks as direct investments in real estate, which is particularly sensitive to economic downturns. • The Fund’s investments in restricted securities may involve financial and liquidity risk. • You may have a gain or loss when you sell your shares. • It is important to note that the Fund is not guaranteed by the U.S. government. • Please read the prospectus for more detailed information regarding these and other risks.

The Series F (Floating Rate Strategies Series) may not be suitable for all investors. • Investments in floating rate senior secured syndicated bank loans and other floating rate securities involve special types of risks, including credit rate risk, interest rate risk, liquidity risk and prepayment risk. • The Fund’s market value will change in response to interest rate changes and market conditions among other factors. In general, bond prices rise when interest rates fall and vice versa. • The Fund’s exposure to high yield securities may subject the Fund to greater volatility. • When market conditions are deemed appropriate, the Fund will leverage to the full extent permitted by its investment policies and restrictions and applicable law. Leveraging will exaggerate the effect on net asset value of any increase or decrease in the market value of the Fund’s portfolio. • The Fund may invest in derivative instruments, which may be more volatile and less liquid, increasing the risk of loss when compared to traditional securities. Certain of the derivative instruments are also subject to the risks of counterparty default and adverse tax treatment. • Instruments and strategies (such as borrowing transactions and reverse repurchase agreements) may provide leveraged exposure to a particular investment, which will magnify any gains or losses on those investments. • Investments in reverse repurchase agreements and synthetic instruments (such as synthetic collateralized debt obligations) expose the Fund to the many of the same risks as investments in derivatives. • The Fund’s investments in other investment vehicles subject the Fund to those risks and expenses affecting the investment vehicle. • The Fund’s investments in foreign securities carry additional risks when compared to U.S. securities, due to the impact of diplomatic, political or economic developments in the country in question (investments in emerging markets securities are generally subject to an even greater level of risks). • The Fund’s investments in real estate securities subject the Fund to the same risks as direct investments in real estate, which is particularly sensitive to economic downturns. • The Fund’s investments in restricted securities may involve financial and liquidity risk. • The Fund is subject to active trading risks that may increase volatility and impact its ability to achieve its investment objective. • You may have a gain or loss when you sell your shares. • It is important to note that the Fund is not guaranteed by the U.S. government. • Please read the prospectus for more detailed information regarding these and other risks.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 3

December 31, 2014

The Series M (Macro Opportunities Series) may not be suitable for all investors. • The Fund’s market value will change in response to interest rate changes and market conditions among other factors. In general, bond prices rise when interest rates fall and vice versa. • The Fund’s exposure to high yield securities may subject the Fund to greater volatility. • The intrinsic value of the underlying stocks in which the Fund invests may never be realized or the stock may decline in value. • When market conditions are deemed appropriate, the Fund will leverage to the full extent permitted by its investment policies and restrictions and applicable law. Leveraging will exaggerate the effect on net asset value of any increase or decrease in the market value of the Fund’s portfolio. • The use of short selling involves increased risks and costs. You risk paying more for a security than you received from its sale. Theoretically, stocks sold short have the risk of unlimited losses. • The Fund may invest in derivative instruments, which may be more volatile and less liquid, increasing the risk of loss when compared to traditional securities. Certain of the derivative instruments are also subject to the risks of counterparty default and adverse tax treatment. • Instruments and strategies (such as borrowing transactions and reverse repurchase agreements) may provide leveraged exposure to a particular investment, which will magnify any gains or losses on those investments. • Investments in reverse repurchase agreements expose the Fund to the many of the same risks as investments in derivatives. • The Fund’s investments in other investment vehicles subject the Fund to those risks and expenses affecting the investment vehicle. • The Fund’s investments in foreign securities carry additional risks when compared to U.S. securities, due to the impact of diplomatic, political or economic developments in the country in question (investments in emerging markets securities are generally subject to an even greater level of risks). • Investments in syndicated bank loans generally offer a floating interest rate and involve special types of risks. • A highly liquid secondary market may not exist for the commodity-linked structured notes the Fund invests in, and there can be no assurance that a highly liquid secondary market will develop. • The Fund’s exposure to the commodity markets may subject the Fund to greater volatility as commodity-linked investments may be affected by changes in overall market movements, commodity index volatility, changes in interest rates or factors affecting a particular industry or commodity such as droughts, floods, weather, embargos, tariffs and international economic, political and regulatory developments. • The Fund’s investments in municipal securities can be affected by events that affect the municipal bond market. • The Fund’s investments in real estate securities subject the Fund to the same risks as direct investments in real estate, which is particularly sensitive to economic downturns. • The Fund’s investments in restricted securities may involve financial and liquidity risk. • You may have a gain or loss when you sell your shares. • It is important to note that the Fund is not guaranteed by the U.S. government. • This Fund is considered nondiversified and can invest a greater portion of its assets in securities of individual issuers than a diversified fund. As a result, changes in the market value of a single security could cause greater fluctuations in the value of fund shares than would occur in a more diversified fund. • Please read the prospectus for more detailed information regarding these and other risks.

The Series N (Managed Asset Allocation Series) may not be suitable for all investors. • The value of an investment in the Fund will fluctuate and is subject to investment risks, which means investors could lose money. The Fund could lose money if the issuer of a bond or a counterparty to a derivatives transaction or other transaction is unable to repay interest and principal on time or defaults. The issuer of a bond could also suffer a decrease in quality rating, which would affect the volatility and liquidity of the bond. Derivatives may pose risks in addition to those associated with investing directly in securities or other investments, including the risk that the Fund will be unable to sell, unwind or value the derivative because of an illiquid market, the risk that the derivative is not well correlated with underlying investments or the Fund’s other portfolio holdings, and the risk that the counterparty is unwilling or unable to meet its obligation. The use of derivatives by the Fund to hedge risk may reduce the opportunity for gain by offsetting the positive effect of favorable price movements. Furthermore, if the Investment Manager is incorrect about its expectations of market conditions, the use of derivatives could result in a loss, which in some cases may be unlimited. Foreign securities carry additional risks when compared to U.S. securities, including currency fluctuations, adverse political and economic developments, unreliable or untimely information, less liquidity, limited legal recourse and higher transactional costs. The Investment Manager may not be able to cause certain of the underlying funds’ performance to match or correlate to that of the underlying funds’ respective underlying index or benchmark, either on a daily or aggregate basis. Factors such as underlying fund expenses, imperfect correlation between an underlying fund’s investments and those of its underlying index or underlying benchmark, rounding of share prices, changes to the composition of the underlying index or underlying benchmark, regulatory policies, high portfolio turnover rate, and the use of leverage all contribute to tracking error. Tracking error may cause an underlying fund’s and, thus the Fund’s, performance to be less than you expect. • Please read the prospectus for more detailed information regarding these and other risks.

The Series P (High Yield Series) may not be suitable for all investors. • The Fund’s market value will change in response to interest rate changes and market conditions among other factors. In general, bond prices rise when interest rates fall and vice versa. • The Fund’s exposure to high yield securities may subject the Fund to greater volatility. • The Fund may invest in derivative instruments, which may be more volatile and less liquid, increasing the risk of loss when compared to traditional securities. Certain of the derivative instruments are also subject to the risks of counterparty default and adverse tax treatment. •The Fund’s use of leverage, through borrowings or instruments such as derivatives, may cause the Fund to be more volatile than if it had not been leveraged. • Instruments and strategies (such as borrowing transactions and reverse repurchase agreements) may provide leveraged exposure to a particular investment, which will magnify any gains or losses on those investments. • The Fund may invest in foreign securities which carry additional risks when compared to U.S. securities, due to the impact of diplomatic, political or economic developments in the country in question (investments in emerging markets securities are generally subject to an even greater level of risks). • Investments in syndicated bank loans generally offer a floating interest rate and involve special types of risks. • The Fund’s investments in other investment vehicles subject the Fund to those risks and expenses affecting the investment vehicle. • The Fund’s investments in restricted securities may involve financial and liquidity risk. • You may have a gain or loss when you sell your shares. • It is important to note that the Fund is not guaranteed by the U.S. government. • Please read the prospectus for more detailed information regarding these and other risks.

The Series Z (Alpha Opportunity Series) may not be suitable for all investors. • The Alpha Opportunity Fund is subject to a number of risks and is not suitable for all investors. • Investments in securities and derivatives, in general, are subject to market risks that may cause their prices to fluctuate over time. An investment in the Fund may lose money. There can be no guarantee the Fund will achieve it investment objective. •The Fund’s use of derivatives such as futures, options and swap agreements may expose the Fund to additional risks that it would not be subject to if it invested directly in the securities underlying those derivatives. • Certain of the derivative instruments, such as swaps and structured notes, are also subject to the risks of counterparty default and adverse tax treatment. •The more the fund invests in leveraged instruments, the more the leverage will magnify any gains or losses on those investments. • The Fund’s use of short selling involves increased risk and costs, including paying more for a security than it received from its sale and the risk of unlimited losses. •In certain circumstances the Fund may be subject to liquidity risk and it may be difficult for the Fund to purchase and sell particular investments within a reasonable time at a fair price. •In certain circumstances, it may be difficult for the Fund to purchase and sell particular investments within a reasonable time at a fair price. •The Fund’s fixed income investments will change in value in response to interest rate changes and other factors. •See the prospectus for more information on these and additional risks.

4 | THE GUGGENHEIM FUNDS ANNUAL REPORT

ECONOMIC AND MARKET OVERVIEW (Unaudited) December 31, 2014

The U.S. economy continued to grow throughout the 12 months ended December 31, 2014, despite some seasonal volatility in September and October that caused spreads in leveraged credit to widen and upward momentum in U.S. stocks to deteriorate. By the end of October, the spread widening had reversed and equities regained their footing, with some key indices shooting to new highs. Markets similarly overcame a weather-related winter soft patch in the first quarter of 2014. The benchmark U.S. 10-year Treasury rate declined from 3.03% to 2.17% over the period, a positive stimulant to continued economic expansion.

U.S. growth appears to have decoupled from the rest of the world. The third quarter’s 5% U.S. gross domestic product (GDP) growth—the fastest pace in 11 years—signals that the U.S. economy is doing very well. Deeming growth sustainable, the U.S. Federal Reserve (the “Fed”) formally ended its quantitative easing (QE) program in October, and all eyes are now on economic data—primarily inflation and employment figures—that would prompt the Fed to raise rates in 2015. Slowing global growth has translated into expectations of weaker demand for oil in an already oversupplied market, which contributed to oil’s 49% decline in the second half of the year, with West Texas Intermediate ending the year at a five-year low of $53 a barrel.

The bright side to declining energy prices is that it leaves more money for consumers to spend on other goods. Data are already confirming this, as American consumer confidence reached new post-recession highs, and fourth quarter retail spending posted solid gains. Overall, this should be positive for consumer-related companies with primarily domestic operations.

The U.S. added 246,000 jobs per month on average in 2014. Employment levels are transitioning from the recovery phase to the expansion phase, which typically coincides with accelerating economic activity. The downward trend in labor force participation has begun to flatten and, as fewer people leave the workforce, the rapid decline in the nation’s unemployment rate could begin to slow. Until unemployment falls below the natural rate of unemployment, it’s unlikely that the U.S. economy will experience the kind of meaningful wage pressure that would spur action by the Fed. An improving labor market, subdued mortgage rates, and tight housing inventory all point to a rebound in the housing market.

The battle against deflation in Europe forced the European Central Bank (ECB) to announce its own form of QE via purchases of asset-backed securities (ABS) and covered bonds. The consensus appears to be that in its current form, the program is insufficient to avert a slowdown. The next step for the ECB may be to buy sovereign bonds, which the ECB will decide on in the coming months. The only notable positive for Europe over the past year has been the devaluation of the euro, which fell by 13% against the U.S. dollar between May and December. A weaker euro makes exports more competitive, but still will not be enough to boost inflation in the region.

While markets were already anxious over Europe’s struggles and the potential impact of a stronger dollar on U.S. company earnings, Japan relapsed into recession. This drove the Bank of Japan to announce it would expand its asset purchase program in 2015. China also faces slowing growth as financing costs remain high for smaller companies, forcing the People’s Bank of China (PBOC) to cut benchmark interest rates for the first time since July 2012.

From an investment standpoint, U.S. assets continue to look attractive. With global central banks easing or engaging in their form of QE, global yields remain anchored and are driving investors into U.S. markets. But we are wary of the potential for a setback in U.S. equities as certain factors, such as oil prices and currency fluctuations, drive markets to aggressively discount valuations for some sectors more than others.

For the year ended December 31, 2014, the Standard & Poor’s 500^® (“S&P 500”) Index* returned 13.69%. The Morgan Stanley Capital International (“MSCI”) Europe-Australasia-Far East (“EAFE”) Index* returned -4.90%. The return of the MSCI Emerging Markets Index* was -2.19%.

In the bond market, the Barclays U.S. Aggregate Bond Index* posted a 5.97% return for the period, while the Barclays U.S. Corporate High Yield Index* returned 2.45%. The return of the Bank of America Merrill Lynch 3-Month U.S. Treasury Bill Index* was 0.04% for the 12-month period.

The opinions and forecasts expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 5

ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) December 31, 2014

*Index Definitions:

The following indices are referenced throughout this report. Indices are unmanaged and not available for direct investment. Index performance does not reflect transaction costs, fees, or expenses.

Barclays U.S. Aggregate Bond Index is a broad-based benchmark that measures the investment grade, U.S. dollar denominated, fixed-rate taxable bond market, including U.S. Treasuries, government-related and corporate securities, MBS (agency fixed-rate and hybrid ARM pass-throughs), ABS, and CMBS.

Barclays U.S. Corporate High Yield Index measures the market of U.S. dollar denominated, non-investment grade, fixed-rate, taxable corporate bonds. Securities are classified as high yield if the middle rating of Moody’s, Fitch, and S&P is Ba1/BB +/BB + or below.

Barclays U.S. Intermediate Government/Credit Bond Index measures the performance of U.S. dollar denominated U.S. Treasuries, government-related and investment grade U.S. corporate securities that have a remaining maturity of greater than one year and less than ten years.

Bank of America (“BofA”) Merrill Lynch 3-Month U.S. Treasury Bill Index is an unmanaged market index of U.S. Treasury securities maturing in 90 days that assumes reinvestment of all income.

Credit Suisse Leveraged Loan Index is designed to mirror the investable universe of the U.S. dollar-denominated leveraged loan market.

MSCI EAFE Index is a free float-adjusted market capitalization index that is designed to measure the equity market performance of developed markets, excluding the U.S. & Canada.

MSCI Emerging Markets Index is a free float-adjusted market capitalization weighted index that is designed to measure equity market performance in the global emerging markets.

MSCI World Index is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed markets.

S&P 500^® Index is a capitalization-weighted index of 500 stocks designed to measure the performance of the broad economy, representing all major industries and is considered a representation of the U.S. stock market.

Russell 3000^® Value Index measures the performance of the broad value segment of the U.S. equity value universe. It includes those Russell 3000 companies with lower price-to-book ratios and lower forecasted growth values.

Russell 2500^® Value Index measures the performance of the small- to mid-cap value segment of the U.S. equity universe. It includes those Russell 2500 companies with lower price-to-book ratios and lower forecasted growth values.

Russell 2000^® Growth Index measures the performance of the small-cap growth segment of the U.S. equity universe. It includes those Russell 2000 companies with higher price-to-book ratios and higher forecasted growth values.

Russell 2000^® Value Index measures the performance of the small-cap value segment of the U.S. equity universe. It includes those Russell 2000 companies with lower price-to-book ratios and lower forecasted growth values.

Russell 1000^® Growth Index measures the performance of the large-cap growth segment of the U.S. equity universe. It includes those Russell 1000 companies with higher price-to-book ratios and higher forecasted growth value.

Russell 1000^® Value Index measures the performance for the large-cap value segment of the U.S. equity universe. It includes those Russell 1000 companies with lower price-to-book ratios and lower expected growth values.

Russell Midcap^® Growth Index measures the performance of the mid-cap growth segment of the U.S. equity universe. It includes those Russell Midcap Index companies with higher price-to-book ratios and higher forecasted growth values.

6 | THE GUGGENHEIM FUNDS ANNUAL REPORT

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)

All mutual funds have operating expenses and it is important for our shareholders to understand the impact of costs on their investments. Shareholders of a Fund incur two types of costs: (i) transaction costs, including sales charges (loads) on purchase payments, reinvested dividends, or other distributions; and exchange fees; and (ii) ongoing costs, including management fees, administrative services, and shareholder reports, among others. These ongoing costs, or operating expenses, are deducted from a fund’s gross income and reduce the investment return of the fund.

A fund’s expenses are expressed as a percentage of its average net assets, which is known as the expense ratio. The following examples are intended to help investors understand the ongoing costs (in dollars) of investing in a Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The examples are based on an investment of $1,000 made at the beginning of the period and held for the entire six-month period beginning June 30, 2014 and ending December 31, 2014.

The following tables illustrate a Fund’s costs in two ways:

Table 1. Based on actual Fund return. This section helps investors estimate the actual expenses paid over the period. The “Ending Account Value” shown is derived from the Fund’s actual return, and the fourth column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Fund. Investors may use the information here, together with the amount invested, to estimate the expenses paid over the period. Simply divide the Fund’s account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number provided under the heading “Expenses Paid During Period.”

Table 2. Based on hypothetical 5% return. This section is intended to help investors compare a Fund’s cost with those of other mutual funds. The table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses paid during the period. The example is useful in making comparisons because the U.S. Securities and Exchange Commission (the “SEC”) requires all mutual funds to calculate expenses based on the 5% return. Investors can assess a Fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.

The calculations illustrated above assume no shares were bought or sold during the period. Actual costs may have been higher or lower, depending on the amount of investment and the timing of any purchases or redemptions.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) on purchase payments, and contingent deferred sales charges (“CDSC”) on redemptions, if any. Therefore, the second table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

More information about a Fund’s expenses, including annual expense ratios for the past five years, can be found in the Financial Highlights section of this report. For additional information on operating expenses and other shareholder costs, please refer to the appropriate Fund prospectus.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 7

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(concluded)

	Expense Ratio1	Fund Return	Beginning Account Value June 30, 2014	Ending Account Value December 31, 2014	Expenses Paid During Period2
Table 1. Based on actual Fund return3
Series A (StylePlus—Large Core Series)	0.96%	6.29%	$1,000.00	$1,062.90	$4.99
Series B (Large Cap Value Series)	0.84%	1.22%	1,000.00	1,012.20	4.26
Series C (Money Market Series)	0.50%	(0.15%)	1,000.00	998.50	2.52
Series D (World Equity Income Series)	0.98%	(5.12%)	1,000.00	948.80	4.81
Series E (Total Return Bond Series)	0.81%	2.19%	1,000.00	1,021.90	4.13
Series F (Floating Rate Strategies Series)	1.16%	0.04%	1,000.00	1,000.40	5.85
Series J (StylePlus—Mid Growth Series)	0.98%	5.02%	1,000.00	1,050.20	5.06
Series M (Macro Opportunities Series)	1.42%	1.10%	1,000.00	1,011.00	7.20
Series N (Managed Asset Allocation Series)	0.93%	1.36%	1,000.00	1,013.60	4.72
Series O (All Cap Value Series)	0.90%	(0.11%)	1,000.00	998.90	4.53
Series P (High Yield Series)	1.13%	(3.23%)	1,000.00	967.70	5.60
Series Q (Small Cap Value Series)	1.17%	(4.95%)	1,000.00	950.50	5.75
Series V (Mid Cap Value Series)	0.95%	(5.61%)	1,000.00	943.90	4.65
Series X (StylePlus—Small Growth Series)	1.29%	4.03%	1,000.00	1,040.30	6.63
Series Y (StylePlus—Large Growth Series)	1.20%	6.79%	1,000.00	1,067.90	6.25
Series Z (Alpha Opportunity Series)	2.56%	3.37%	1,000.00	1,033.70	13.12
Table 2. Based on hypothetical 5% return (before expenses)
Series A (StylePlus—Large Core Series)	0.96%	5.00%	$1,000.00	$1,020.37	$4.89
Series B (Large Cap Value Series)	0.84%	5.00%	1,000.00	1,020.97	4.28
Series C (Money Market Series)	0.50%	5.00%	1,000.00	1,022.68	2.55
Series D (World Equity Income Series)	0.98%	5.00%	1,000.00	1,020.27	4.99
Series E (Total Return Bond Series)	0.81%	5.00%	1,000.00	1,021.12	4.13
Series F (Floating Rate Strategies Series)	1.16%	5.00%	1,000.00	1,019.36	5.90
Series J (StylePlus—Mid Growth Series)	0.98%	5.00%	1,000.00	1,020.27	4.99
Series M (Macro Opportunities Series)	1.42%	5.00%	1,000.00	1,018.05	7.22
Series N (Managed Asset Allocation Series)	0.93%	5.00%	1,000.00	1,020.52	4.74
Series O (All Cap Value Series)	0.90%	5.00%	1,000.00	1,020.67	4.58
Series P (High Yield Series)	1.13%	5.00%	1,000.00	1,019.51	5.75
Series Q (Small Cap Value Series)	1.17%	5.00%	1,000.00	1,019.31	5.96
Series V (Mid Cap Value Series)	0.95%	5.00%	1,000.00	1,020.42	4.84
Series X (StylePlus—Small Growth Series)	1.29%	5.00%	1,000.00	1,018.70	6.56
Series Y (StylePlus—Large Growth Series)	1.20%	5.00%	1,000.00	1,019.16	6.11
Series Z (Alpha Opportunity Series)	2.56%	5.00%	1,000.00	1,012.30	12.98

1	Annualized and excludes expenses of the underlying funds in which the Funds invest.
2	Expenses are equal to the Fund’s annualized expense ratio, net of any applicable fee waivers, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). Expenses shown do not include fees charged by insurance companies.
3	Actual cumulative return at net asset value for the period June 30, 2014 to December 31, 2014.

8 | THE GUGGENHEIM FUNDS ANNUAL REPORT

MANAGER'S COMMENTARY (Unaudited) December 31, 2014

To Our Shareholders:

The Series A (StylePlus—Large Core Series) is managed by a team of seasoned professionals, including B. Scott Minerd, Global Chairman of Investments and Chief Investment Officer; Farhan Sharaff, Senior Managing Director and Assistant Chief Investment Officer, Equities; Jayson Flowers, Senior Managing Director and Head of Equity and Derivative Strategies; and Scott Hammond, Managing Director and Portfolio Manager. In the following paragraphs, the investment team discusses performance for the fiscal year ended December 31, 2014.

For the year ended December 31, 2014, the Series A (StylePlus—Large Core Series) returned 15.48%, compared with the 13.69% return of its benchmark, the S&P 500 Index.

The Fund seeks to outperform the S&P 500 Index by combining actively managed and passive equity exposure, along with an actively managed fixed income portfolio. The passive equity position is maintained with swap agreements and futures contracts. The Fund’s fixed income component invests in a variety of fixed income sectors, including asset-backed securities (ABS), mortgage-backed securities (MBS), high yield corporate bonds and bank loans.

The allocation between active and passive equity is tactically managed based on the environment for stock-picking opportunities. When stock selection opportunities are less attractive, the Fund invests in derivatives based on the target index, backed by a diversified portfolio of fixed income instruments. In this way, the Fund believes it will deliver the target index return plus an alpha component commensurate with the yield achieved on the active fixed income portfolio.

For the period, the Fund maintained an average allocation of a little more than 20% to the actively managed equity allocation and slightly less than 80% to the passive equity position. The actively managed equity sleeve was scaled down from 25% to 20% mid-year, as U.S. equity and credit markets became more volatile beginning in the third quarter. While the sell-off was initially sparked by market unease over the Fed winding down its purchases of U.S. Treasuries and mortgage-backed securities, it continued through the fourth quarter as markets grew anxious over the weakening global outlook. The actively managed sleeve was maintained at about 20% for the rest of the period.

The Fund’s active equity and active fixed income exposures both contributed to performance for the period. The passive equity position was neutral to performance, and the swap agreements contributed to performance.

The actively managed equity portfolio was underweight the more expensive smaller and momentum names (based on various measures, such as price-to-earnings), and overweight the less expensive and larger holdings. Sectors that contributed most to performance for the year were Consumer Staples and Industrials. Sectors that detracted most from performance for the year were Financials and Utilities.

Uncorrelated with the Fund’s active equity component, the fixed-income component was largely invested in ABS and MBS. These positions constituted the majority of the fixed income sleeve’s total return.

Performance displayed represents past performance, which is no guarantee of future results.

The opinions and forecast expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 9

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) December 31, 2014

SERIES A (STYLEPLUS—LARGE CORE SERIES)

OBJECTIVE: Seeks long-term growth of capital.

Holdings Diversification

(Market Exposure as % of Net Assets)

“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments or investments in Guggenheim Strategy Funds Trust mutual funds.

Portfolio Composition by Quality Rating**
Rating
Fixed Income Instruments
AAA	6.3%
AA	3.0%
A	4.7%
BBB	5.3%
BB	0.5%
B	2.3%
CCC	0.4%
Other Instruments
Mutual Funds	53.5%
Common Stocks	21.0%
Short Term Investments	3.0%
Total Investments	100.0%
The chart above reflects percentages of the value of total investments.

Inception Date: May 1, 1979

Ten Largest Holdings (% of Total Net Assets)
Guggenheim Variable Insurance Strategy Fund III	23.2%
Guggenheim Strategy Fund I	17.4%
Guggenheim Strategy Fund II	7.5%
Guggenheim Strategy Fund III	5.0%
HSI Asset Securitization Corporation Trust — Class 2A3	1.0%
Duane Street CLO IV Ltd. — Class A1T	0.9%
Apple, Inc.	0.8%
Resource Capital Corporation CRE Notes 2013 Ltd. — Class B	0.8%
Boca Hotel Portfolio Trust — Class D	0.8%
Argent Securities Incorporated Asset-Backed Pass-Through Certificates Series — Class A2D	0.8%
Top Ten Total	58.2%
“Ten Largest Holdings” exclude any temporary cash or derivative instruments.

10 | THE GUGGENHEIM FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) December 31, 2014

Cumulative Fund Performance*^,†

Average Annual Returns*

Periods Ended December 31, 2014^†

	1 Year	5 Year	10 Year
Series A (StylePlus— Large Core Series)	15.48%	13.45%	5.52%
S&P 500 Index	13.69%	15.45%	7.67%

*	The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return.
**	Source: Factset. Credit quality ratings are measured on a scale that generally ranges from AAA (highest) to D (lowest). All rated securities have been rated by Moody’s, Standard & Poor’s (“S&P”), or Fitch, which are all a Nationally Recognized Statistical Rating Organization (“NRSRO”). For purposes of this presentation, when ratings are available from more than one agency, the highest rating is used. Guggenheim Investments has converted Moody’s and Fitch ratings to the equivalent S&P rating. Unrated securities do not necessarily indicate low credit quality. Security ratings are determined at the time of purchase and may change thereafter.
†	Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Guggenheim Variable Funds Trust are available only through the purchase of such products.

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 11

SCHEDULE OF INVESTMENTS	December 31, 2014
SERIES A (STYLEPLUS—LARGE CORE SERIES)

	Shares		Value
COMMON STOCKS† - 20.9%
CONSUMER, NON-CYCLICAL - 7.3%
Johnson & Johnson		12,643	$	1,322,078
Pfizer, Inc.		34,965		1,089,160
Merck & Company, Inc.		16,891		959,240
Gilead Sciences, Inc.*		9,100		857,766
Philip Morris International, Inc.		10,385		845,858
UnitedHealth Group, Inc.		7,822		790,727
Coca-Cola Co.		17,673		746,154
Express Scripts Holding Co.*		8,625		730,279
Medtronic, Inc.		9,607		693,625
Archer-Daniels-Midland Co.		12,949		673,348
PepsiCo, Inc.		7,109		672,227
Mondelez International, Inc. — Class A		18,008		654,140
Procter & Gamble Co.		6,900		628,521
Kimberly-Clark Corp.		5,406		624,609
Baxter International, Inc.		8,445		618,934
Cardinal Health, Inc.		7,534		608,220
Aetna, Inc.		6,715		596,493
Kroger Co.		9,249		593,878
Cigna Corp.		5,641		580,515
Kellogg Co.		8,198		536,477
Kraft Foods Group, Inc.		7,307		457,857
General Mills, Inc.		8,126		433,360
Eli Lilly & Co.		4,517		311,628
Anthem, Inc.		2,299		288,915
Altria Group, Inc.		4,496		221,518
Stryker Corp.		2,152		202,998
Amgen, Inc.		1,238		197,201
Abbott Laboratories		4,126		185,753
Actavis plc*		626		161,139
Becton Dickinson and Co.		1,092		151,963
Total Consumer, Non-cyclical				17,434,581
INDUSTRIAL - 4.1%
General Electric Co.		31,079		785,366
United Technologies Corp.		6,731		774,065
Boeing Co.		5,817		756,095
Lockheed Martin Corp.		3,534		680,542
Caterpillar, Inc.		7,241		662,769
Emerson Electric Co.		10,229		631,436
FedEx Corp.		3,623		629,170
Norfolk Southern Corp.		5,655		619,844
General Dynamics Corp.		4,481		616,675
Corning, Inc.		26,172		600,124
Waste Management, Inc.		11,615		596,082
Raytheon Co.		5,491		593,961
Northrop Grumman Corp.		3,990		588,086
Cummins, Inc.		4,018		579,275
Honeywell International, Inc.		4,254		425,060
CSX Corp.		6,856		248,393
Total Industrial				9,786,943
TECHNOLOGY - 3.6%
Apple, Inc.		17,419		1,922,709
Microsoft Corp.		25,863		1,201,336
International Business Machines Corp.		5,828		935,044
Intel Corp.		25,469		924,269
Hewlett-Packard Co.		18,758		752,759
EMC Corp.		21,823		649,016
Western Digital Corp.		5,307		587,485
Micron Technology, Inc.*		16,355		572,589
Oracle Corp.		11,082		498,358
QUALCOMM, Inc.		4,097		304,530
Texas Instruments, Inc.		3,034		162,213
Total Technology				8,510,308
FINANCIAL - 1.8%
MetLife, Inc.		12,246		662,387
Prudential Financial, Inc.		6,979		631,320
American International Group, Inc.		10,548		590,794
Allstate Corp.		6,793		477,208
Wells Fargo & Co.		7,664		420,140
JPMorgan Chase & Co.		6,280		393,002
Aflac, Inc.		5,331		325,671
Berkshire Hathaway, Inc. — Class B*		1,568		235,435
Bank of America Corp.		11,675		208,866
Charles Schwab Corp.		5,206		157,169
Travelers Companies, Inc.		1,472		155,811
State Street Corp.		1,955		153,468
Total Financial				4,411,271
ENERGY - 1.8%
Exxon Mobil Corp.		9,858		911,372
Chevron Corp.		8,019		899,571
ConocoPhillips		11,188		772,643
Valero Energy Corp.		11,901		589,100
Occidental Petroleum Corp.		5,244		422,719
Anadarko Petroleum Corp.		5,014		413,655
Kinder Morgan, Inc.		4,069		172,159
Halliburton Co.		3,841		151,067
Total Energy				4,332,286
COMMUNICATIONS - 1.2%
Cisco Systems, Inc.		33,729		938,172
Verizon Communications, Inc.		9,965		466,163
Viacom, Inc. — Class B		5,909		444,653
Comcast Corp. — Class A		6,142		356,297
Google, Inc. — Class C*		657		345,845
Time Warner, Inc.		2,639		225,423
Total Communications				2,776,553
CONSUMER, CYCLICAL - 1.1%
Wal-Mart Stores, Inc.		9,636		827,540
Walgreens Boots Alliance, Inc.		8,292		631,850
CVS Health Corp.		6,501		626,111
Southwest Airlines Co.		6,832		289,130

12 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (continued)	December 31, 2014
SERIES A (STYLEPLUS—LARGE CORE SERIES)

	Shares		Value
Delta Air Lines, Inc.		5,629	$	276,891
Total Consumer, Cyclical				2,651,522
Total Common Stocks
(Cost $44,541,253)				49,903,464
MUTUAL FUNDS†,1 - 53.2%
Guggenheim Variable Insurance Strategy Fund III		2,234,897		55,514,847
Guggenheim Strategy Fund I		1,672,774		41,551,695
Guggenheim Strategy Fund II		726,187		18,045,743
Guggenheim Strategy Fund III		483,567		12,011,805
Total Mutual Funds
(Cost $127,673,685)				127,124,090
SHORT TERM INVESTMENTS† - 2.9%
Dreyfus Treasury Prime Cash Management Fund		7,065,861		7,065,861
Total Short Term Investments
(Cost $7,065,861)				7,065,861
	Face Amount
ASSET-BACKED SECURITIES†† - 17.4%
Duane Street CLO IV Ltd.
2007-4A, 0.46% due 11/14/212,3	$	2,199,736		2,181,037
Argent Securities Incorporated Asset-Backed Pass-Through Certificates Series
2005-W3, 0.51% due 11/25/352		1,893,179		1,818,696
Goldman Sachs Asset Management CLO plc
2007-1A, 2.98% due 08/01/222,3		1,800,000		1,787,760
Brentwood CLO Corp.
2006-1A, 0.50% due 02/01/222,3		1,241,197		1,222,455
2006-1A, 1.05% due 02/01/222,3		600,000		541,620
Garrison Funding 2013-2 Ltd.
2013-2A, 2.03% due 09/25/232,3		1,770,000		1,763,805
Salus CLO 2012-1 Ltd.
2013-1AN, 2.48% due 03/05/212,3		1,700,000		1,695,240
ALM VII R-2 Ltd.
2013-7R2A, 2.83% due 04/24/242,3		1,700,000		1,636,930
JP Morgan Mortgage Acquisition Trust
2007-CH3, 0.32% due 03/25/372		1,602,083		1,579,681
Cerberus Onshore II CLO LLC
2014-1A, 2.93% due 10/15/232,3		1,350,000		1,329,885
2014-1A, 2.23% due 10/15/232,3		250,000		249,450
Central Park CLO Ltd.
2011-1A, 3.43% due 07/23/222,3		1,580,000		1,560,092
Cornerstone CLO Ltd.
2007-1A, 0.45% due 07/15/212,3		1,557,913		1,544,204
KKR Financial CLO 2007-1 Ltd.
2007-1A, 2.48% due 05/15/212,3		1,400,000		1,387,680

Black Diamond CLO 2005-1 Delaware Corp.
2005-1A, 2.15% due 06/20/172,3	1,350,000	1,310,715
GreenPoint Mortgage Funding Trust
2005-HE4, 0.87% due 07/25/302	1,344,649	1,268,462
Symphony CLO VII Ltd.
2011-7A, 3.43% due 07/28/212,3	1,250,000	1,248,250
GSC Group CDO Fund VIII Ltd.
2007-8A, 0.61% due 04/17/212,3	1,250,000	1,226,750
Aegis Asset Backed Securities Trust
2005-3, 0.64% due 08/25/352	1,205,222	1,188,264
Wells Fargo Home Equity Asset-Backed Securities 2006-2 Trust
2006-3, 0.32% due 01/25/372	1,234,227	1,181,730
N-Star REL CDO VIII Ltd.
2006-8A, 0.46% due 02/01/412,3	1,171,724	1,128,371
Race Point V CLO Ltd.
2014-5AR, 3.09% due 12/15/222,3	1,050,000	1,045,695
Foothill CLO Ltd.
2007-1A, 0.48% due 02/22/212,3	1,005,499	997,556
Popular ABS Mortgage Pass-Through Trust
2005-A, 0.60% due 06/25/352	1,005,922	968,852
OFSI Fund V Ltd.
2013-5A, 3.43% due 04/17/252,3	1,000,000	965,200
Northwoods Capital VII Ltd.
2006-7A, 1.78% due 10/22/212,3	960,000	949,632
Black Diamond CLO 2006-1 Luxembourg S.A.
2007-1A, 0.62% due 04/29/192,3	1,000,000	940,700
Golub Capital Partners CLO 18 Ltd.
2014-18A, 2.73% due 04/25/262,3	880,000	877,800
H2 Asset Funding Ltd.
2.06% due 03/19/37	850,000	851,785
Symphony CLO IX, LP
2012-9A, 2.73% due 04/16/222,3	800,000	799,040
Hewett’s Island CDO Ltd.
2007-6A, 2.49% due 06/09/192,3	750,000	744,900
Soundview Home Loan Trust
2003-1, 2.42% due 08/25/312	545,296	540,661
Tricadia CDO 2006-6 Ltd.
2006-6A, 0.78% due 11/05/412,3	522,320	518,977
Race Point IV CLO Ltd.
2007-4A, 0.98% due 08/01/212,3	500,000	485,700
Halcyon Loan Advisors Funding 2012-1 Ltd.
2012-1A, 3.23% due 08/15/232,3	500,000	485,550
NewStar Commercial Loan Trust
2007-1A, 1.53% due 09/30/222,3	500,000	474,500
DIVCORE CLO Ltd.
2013-1A B, 4.06% due 11/15/32	400,000	400,120
West Coast Funding Ltd.
2006-1A, 0.39% due 11/02/412,3	308,544	304,255
Global Leveraged Capital Credit Opportunity Fund
2006-1A, 0.53% due 12/20/182,3	279,136	278,773

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 13

SCHEDULE OF INVESTMENTS (concluded)	December 31, 2014
SERIES A (STYLEPLUS—LARGE CORE SERIES)

	Face Amount		Value
Golub Capital Partners Fundings Ltd.
2007-1A, 0.49% due 03/15/222,3	$	160,758	$	159,826
Total Asset-Backed Securities
(Cost $41,130,999)				41,640,599
MORTGAGE-BACKED SECURITIES†† - 5.0%
HSI Asset Securitization Corporation Trust
2007-WF1, 0.34% due 05/25/372		2,539,781		2,456,360
Resource Capital Corporation CRE Notes 2013 Ltd.
2013-CRE1, 3.01% due 12/15/282,3		1,900,000		1,908,568
Boca Hotel Portfolio Trust
2013-BOCA, 3.21% due 08/15/262,3		1,900,000		1,898,848
Hilton USA Trust
2013-HLF, 2.92% due 11/05/302,3		1,675,291		1,675,378
SRERS Funding Ltd.
2011-RS, 0.41% due 05/09/462,3		1,377,704		1,312,263
Bank of America Merrill Lynch Commercial Mortgage, Inc.
2005-6, 6.13% due 09/10/472,3		1,053,600		1,069,402
HarborView Mortgage Loan Trust
2006-12, 0.35% due 01/19/382		1,231,062		1,043,008
Wachovia Bank Commercial Mortgage Trust Series
2007-WHL8, 0.24% due 06/15/202,3		534,289		533,050
Total Mortgage-Backed Securities
(Cost $11,695,432)				11,896,877
Total Investments - 99.4%
(Cost $232,107,230)			$	237,630,891
Other Assets & Liabilities, net - 0.6%				1,444,541
Total Net Assets - 100.0%			$	239,075,432

	Contracts		Unrealized Gain (Loss)
EQUITY FUTURES CONTRACTS PURCHASED†
March 2015 S&P 500 Index Equity Mini Futures Contracts (Aggregate Value of Contracts $1,026,000)		10	$	(8,532	)
	Units
OTC EQUITY INDEX SWAP AGREEMENTS††
Bank of America January 2015 S&P 500 Index Swap, Terminating 01/02/154 (Notional Value $185,488,360)		90,091	$	654,255

*	Non-income producing security.
†	Value determined based on Level 1 inputs — See Note 4.
††	Value determined based on Level 2 inputs — See Note 4.
1	Affiliated issuer — See Note 10.
2	Variable rate security. Rate indicated is rate effective at December 31, 2014.
3	Security is a 144A or Section 4(a)(2) security. The total market value of 144A or Section 4(a)(2) securities is $40,239,857 (cost $39,916,768), or 16.8% of total net assets. These securities have been determined to be liquid under guidelines established by the Board of Trustees.
4	Total Return based on S&P 500 Index +/- financing at a variable rate.
	plc — Public Limited Company

14 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SERIES A (STYLEPLUS—LARGE CORE SERIES)

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2014
Assets:
Investments in unaffiliated issuers, at value (cost $104,433,545)	$	110,506,801
Investments in affiliated issuers, at value (cost $127,673,685)		127,124,090
Total investments (cost $232,107,230)		237,630,891
Unrealized appreciation on swap agreements		654,255
Segregated cash with broker		46,000
Prepaid expenses		10,180
Receivables:
Securities sold		734,748
Dividends		263,130
Fund shares sold		237,028
Interest		116,054
Foreign taxes reclaim		575
Total assets		239,692,861
Liabilities:
Overdraft due to custodian bank		12,331
Payable for:
Securities purchased		201,938
Fund shares redeemed		173,211
Management fees		152,220
Fund accounting/administration fees		19,288
Variation margin		12,350
Transfer agent/maintenance fees		3,453
Trustees’ fees*		717
Miscellaneous		41,921
Total liabilities		617,429
Net assets	$	239,075,432
Net assets consist of:
Paid in capital	$	236,181,406
Undistributed net investment income		3,137,523
Accumulated net realized loss on investments		(6,412,881	)
Net unrealized appreciation on investments		6,169,384
Net assets	$	239,075,432
Capital shares outstanding		6,370,923
Net asset value per share	$	37.53

STATEMENT OF OPERATIONS

Year Ended December 31, 2014
Investment Income:
Interest	$	2,445,520
Dividends from securities of affiliated issuers		1,503,227
Dividends from securities of unaffiliated issuers		1,238,985
Total investment income		5,187,732
Expenses:
Management fees		1,746,485
Transfer agent/maintenance fees		25,005
Fund accounting/administration fees		221,225
Trustees’ fees*		22,810
Line of credit fees		21,200
Custodian fees		10,156
Tax expense		7
Miscellaneous		205,611
Total expenses		2,252,499
Less:
Expenses waived by Adviser		(46,924	)
Net expenses		2,205,575
Net investment income		2,982,157
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		7,750,273
Investments in affiliated issuers		(149,822	)
Swap agreements		21,219,870
Futures contracts		236,171
Net realized gain		29,056,492
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		1,205,517
Investments in affiliated issuers		(353,199	)
Swap agreements		654,255
Futures contracts		(8,532	)
Net change in unrealized appreciation (depreciation)		1,498,041
Net realized and unrealized gain		30,554,533
Net increase in net assets resulting from operations	$	33,536,690

* Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 15

SERIES A (STYLEPLUS—LARGE CORE SERIES)

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended December 31, 2014			Year Ended December 31, 2013
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	2,982,157		$	1,223,101
Net realized gain on investments		29,056,492			69,445,264
Net change in unrealized appreciation (depreciation) on investments		1,498,041			(15,861,052	)
Net increase in net assets resulting from operations		33,536,690			54,807,313
Capital share transactions:
Proceeds from sale of shares		15,968,926			13,501,310
Cost of shares redeemed		(41,624,282	)		(35,729,632	)
Net decrease from capital share transactions		(25,655,356	)		(22,228,322	)
Net increase in net assets		7,881,334			32,578,991
Net assets:
Beginning of year		231,194,098			198,615,107
End of year	$	239,075,432		$	231,194,098
Undistributed net investment income at end of year	$	3,137,523		$	1,196,673
Capital share activity:
Shares sold		467,403			476,713
Shares redeemed		(1,210,200	)		(1,236,898	)
Net decrease in shares		(742,797	)		(760,185	)

16 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SERIES A (STYLEPLUS—LARGE CORE SERIES)

FINANCIAL HIGHLIGHTS

This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.

	Year Ended December 31, 2014			Year Ended December 31, 2013			Year Ended December 31, 2012			Year Ended December 31, 2011			Year Ended December 31, 2010
Per Share Data
Net asset value, beginning of period	$	32.50		$	25.22		$	22.31		$	23.24		$	19.97
Income (loss) from investment operations:
Net investment income (loss)a		.44			.16			.23			.13			.18
Net gain (loss) on investments (realized and unrealized)		4.59			7.12			2.68			(1.06	)		3.09
Total from investment operations		5.03			7.28			2.91			(.93	)		3.27
Net asset value, end of period	$	37.53		$	32.50		$	25.22		$	22.31		$	23.24
Total Returnb		15.48	%		28.87	%		13.04	%		(4.00	%)		16.37	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	239,075		$	231,194		$	198,615		$	206,995		$	243,820
Ratios to average net assets:
Net investment income (loss)		1.28	%		0.56	%		0.92	%		0.57	%		0.89	%
Total expensesd		0.97	%		0.96	%		0.94	%		0.90	%		0.92	%
Net expensesc,d		0.95	%		0.96	%		0.94	%		0.90	%		0.92	%
Portfolio turnover rate		88	%		267	%		103	%		87	%		111	%

a	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
b	Total return does not take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Guggenheim Variable Funds Trust are available only through the purchase of such products.
c	Net expense information reflects the expense ratios after expense waivers.
d	Does not include expenses of the underlying funds in which the Fund invests.

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 17

MANAGER'S COMMENTARY (Unaudited) December 31, 2014

To Our Shareholders:

The Series B (Large Cap Value Series) is managed by a team of seasoned professionals led by Mark A. Mitchell, CFA, Portfolio Manager. In the following paragraphs, he discusses performance of the Fund for the fiscal year ended December 31, 2014.

For the fiscal year ended December 31, 2014, the Series B (Large Cap Value Series) returned 9.47%, compared with the Russell 1000^® Value Index, which returned 13.45%.

Strategy and Market Overview

Our investment approach focuses on understanding how companies make money and how easily companies can either improve returns, or maintain existing high levels of profitability or benefit from change that occurs in the industries in which they operate.

In today’s rapid-fire environment marked by very sharp, quick but constrained volatility, our long term orientation and discipline are a competitive advantage. This should become especially critical when the environment of indiscriminant valuation expansion subsides and when fundamentals once again become a more dominant factor in the market.

Performance Review

The largest contributors to the Fund’s performance for the period were stock selection within the Health Care, Industrials and Utilities sectors.

Health Care proved somewhat defensive in the period as global growth concerns impacted industries with higher non-U.S. exposure. We believe many health care names are fairly valued and thus maintain the Fund’s underweight position—which offset the benefit from stock selection for the period. Teva Pharmaceuticals was a big contributor to the sector’s performance, based on success of its drugs for multiple sclerosis.

CVS Health, which is part of the Consumer Staples sector, was one of the top individual contributors for the year and a large position in the portfolio—the company has been reporting solid earnings and continues to benefit from its acquisition of pharmacy benefit manager PBM. In addition, store chains like CVS saw less drop-off in traffic compared with more traditional retailers in the discretionary space.

While the Fund’s stock selection within the Industrials sector helped performance, it was offset by an overweight in the sector. This is a large and eclectic sector in which we have diverse holdings. We believe the portfolio is well positioned to benefit from the growing cap-ex and construction environment tied to infrastructure renewal and reindustrialization in the U.S.

Utilities benefited from stock selection from the Fund’s main holding in the sector, Edison International, which was the largest individual contributor to performance for the year. The sector is one the largest underweights relative to the index, as we do not view Utilities as attractive from either a fundamental or valuation standpoint. Edison was up partly due to a settlement in which it will recoup some expenses related to a nuclear plant shutdown, but we like the holding due to its diversity of business.

The Energy sector provided the only negative return in the benchmark and the Fund amid a general commodities selloff and falling crude oil prices. Both its performance and the Fund’s overweight to the sector detracted from performance for the year. Our belief is that longer-term energy prices will be higher than current levels as the cost to pull oil out of the ground isn’t declining and the demand trends ultimately are positive.

Poor stock selection in Information Technology was another detractor from return for the Fund. Our overall sector position weight is in-line with the benchmark, but we own more stable, services-related companies and non-personal computer related hardware providers. The Fund also does not own large benchmark companies that were up significantly for the year, Apple and Intel. Both are good companies, but we view their future prospects as already fully valued in the current share price.

18 | THE GUGGENHEIM FUNDS ANNUAL REPORT

MANAGER'S COMMENTARY (Unaudited)(concluded) December 31, 2014

Financials was a modest detractor for the year, but included one of the leading individual detractors, Ocwen Financial Corp. The company has been under pressure due to inquiries about its mortgage servicing practices in California and New York.

Fund performance was also impacted slightly by poor stock selection in Materials. Underperformance in this sector was driven mostly by Coeur Mining, Inc., which is not in the index and fell as part of a wider commodities selloff over the past year. Coeur was the largest single stock detractor for the year.

Portfolio Positioning

The largest relative sector exposures for the year were an underweight in Health Care and overweights in Energy and Consumer Staples. Only the Consumer Staples positioning benefited Fund performance for the year.

The Health Care sector underweight was predominantly driven by our view that the large pharmaceutical companies look fairly valued, thus are less attractive than companies in other sectors.

The overweights in both Energy and Consumer Staples were driven by our bottom-up fundamental research having identified several companies with favorable risk-return profiles.

Portfolio and Market Outlook

Despite a firming economy, investors were very cautious over the period, as safe-haven areas such as Utilities, REITs, Health Care and Consumer Staples continued to lead. As the world continues to look towards the U.S. economy to be the engine for growth, and as foreign investors continue to fear the safety of their own currencies and economies, interest in U.S. assets should continue to be robust. The continued decline in U.S. government bond yields should continue to make equities an attractive alternative for incremental investment dollars.

Our portfolios tend to reflect a bias toward companies with balance sheet quality. We continue to find niche companies with what we believe to be attractive growth opportunities and, as such, are constructive on the outlook.

Performance displayed represents past performance, which is no guarantee of future results.

The opinions and forecast expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 19

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) December 31, 2014

SERIES B (LARGE CAP VALUE SERIES)

OBJECTIVE: Seeks long-term growth of capital.

Holdings Diversification

(Market Exposure as % of Net Assets)

“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments or investments in Guggenheim Strategy Funds Trust mutual funds.

Cumulative Fund Performance*^,†

Inception Date: May 1, 1979

Ten Largest Holdings (% of Total Net Assets)
Wells Fargo & Co.	4.0%
American International Group, Inc.	3.4%
Citigroup, Inc.	2.9%
JPMorgan Chase & Co.	2.9%
Wal-Mart Stores, Inc.	2.6%
Teva Pharmaceutical Industries Ltd. ADR	2.5%
Chevron Corp.	2.5%
Cisco Systems, Inc.	2.4%
Dow Chemical Co.	2.3%
Republic Services, Inc. — Class A	2.2%
Top Ten Total	27.7%
“Ten Largest Holdings” exclude any temporary cash or derivative investments.

Average Annual Returns*

Periods Ended December 31, 2014^†

	1 Year	5 Year	10 Year
Series B (Large Cap Value Series)	9.47%	13.27%	7.78%
Russell 1000 Value Index	13.45%	15.42%	7.30%

*

The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Russell 1000 Value Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return.

†

Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Guggenheim Variable Funds Trust are available only through the purchase of such products.

20 | THE GUGGENHEIM FUNDS ANNUAL REPORT

SCHEDULE OF INVESTMENTS	December 31, 2014
SERIES B (LARGE CAP VALUE SERIES)

	Shares		Value
COMMON STOCKS† - 97.6%
FINANCIAL – 28.9%
Wells Fargo & Co.		202,295	$	11,089,812
American International Group, Inc.		166,669		9,335,131
Citigroup, Inc.		149,070		8,066,178
JPMorgan Chase & Co.		127,030		7,949,537
Bank of New York Mellon Corp.		151,090		6,129,721
Reinsurance Group of America, Inc. — Class A		55,640		4,875,177
Allstate Corp.		59,020		4,146,155
Zions Bancorporation		132,691		3,783,020
CME Group, Inc. — Class A		34,190		3,030,944
Bank of America Corp.		156,590		2,801,395
BB&T Corp.		71,800		2,792,302
NASDAQ OMX Group, Inc.		57,515		2,758,419
Unum Group		78,872		2,751,055
Legg Mason, Inc.		51,540		2,750,690
Navient Corp.		85,340		1,844,197
Capital One Financial Corp.		16,750		1,382,713
Synchrony Financial*		46,410		1,380,698
Simon Property Group, Inc.		7,430		1,353,077
Equity Residential		18,710		1,344,126
Total Financial				79,564,347
CONSUMER, NON-CYCLICAL - 19.9%
Teva Pharmaceutical Industries Ltd. ADR		119,400		6,866,694
Johnson & Johnson		58,430		6,110,025
Mondelez International, Inc. — Class A		119,120		4,327,034
DeVry Education Group, Inc.		86,350		4,099,035
UnitedHealth Group, Inc.		36,710		3,711,014
Pfizer, Inc.		109,640		3,415,286
Kellogg Co.		52,000		3,402,880
Quanta Services, Inc.*		108,170		3,070,946
MasterCard, Inc. — Class A		32,070		2,763,151
Archer-Daniels-Midland Co.		52,560		2,733,120
Zimmer Holdings, Inc.		24,050		2,727,751
Philip Morris International, Inc.		33,460		2,725,317
Medtronic, Inc.		36,750		2,653,350
Kraft Foods Group, Inc.		34,863		2,184,516
Tenet Healthcare Corp.*		40,070		2,030,347
ADT Corp.		37,608		1,362,538
Patterson Companies, Inc.		9,774		470,129
Total Consumer, Non-cyclical				54,653,133
INDUSTRIAL - 12.0%
Republic Services, Inc. — Class A		153,560		6,180,790
Parker-Hannifin Corp.		42,810		5,520,349
United Technologies Corp.		45,940		5,283,100
FLIR Systems, Inc.		124,690		4,028,734
Covanta Holding Corp.		165,770		3,648,598
TE Connectivity Ltd.		45,381		2,870,348
Rock-Tenn Co. — Class A		44,822		2,733,246
Huntington Ingalls Industries, Inc.		13,000		1,461,980
General Electric Co.		55,170		1,394,146
Total Industrial				33,121,291
CONSUMER, CYCLICAL - 10.2%
Wal-Mart Stores, Inc.		84,300		7,239,683
CVS Health Corp.		57,160		5,505,079
PulteGroup, Inc.		164,810		3,536,823
WESCO International, Inc.*		44,450		3,387,535
Oshkosh Corp.		58,660		2,853,809
Lear Corp.		28,670		2,811,954
Kohl’s Corp.		45,470		2,775,489
Total Consumer, Cyclical				28,110,372
ENERGY - 6.8%
Chevron Corp.		61,000		6,842,979
Exxon Mobil Corp.		36,780		3,400,311
Whiting Petroleum Corp.*		58,270		1,922,910
Patterson-UTI Energy, Inc.		107,040		1,775,794
Superior Energy Services, Inc.		71,970		1,450,196
Marathon Oil Corp.		49,110		1,389,322
Apache Corp.		21,954		1,375,857
Oasis Petroleum, Inc.*		32,580		538,873
Total Energy				18,696,242
COMMUNICATIONS - 5.8%
Cisco Systems, Inc.		233,880		6,505,373
Time Warner, Inc.		48,553		4,147,397
AT&T, Inc.		91,570		3,075,836
DigitalGlobe, Inc.*		70,975		2,198,096
Total Communications				15,926,702
TECHNOLOGY - 5.5%
Computer Sciences Corp.		86,230		5,436,801
QUALCOMM, Inc.		56,320		4,186,266
Microsoft Corp.		57,860		2,687,597
NetApp, Inc.		64,760		2,684,302
Total Technology				14,994,966
UTILITIES - 4.4%
Edison International		85,420		5,593,302
UGI Corp.		99,510		3,779,389
AGL Resources, Inc.		50,580		2,757,116
Total Utilities				12,129,807
BASIC MATERIALS - 4.1%
Dow Chemical Co.		136,770		6,238,080
Cameco Corp.		315,790		5,182,114
Total Basic Materials				11,420,194
Total Common Stocks
(Cost $213,424,262)				268,617,054

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 21

SCHEDULE OF INVESTMENTS (concluded)	December 31, 2014
SERIES B (LARGE CAP VALUE SERIES)

	Shares		Value
WARRANTS† - 0.3%
American International Group, Inc.
$45.00, 01/19/21		36,910	$	908,724
Total Warrants
(Cost $694,721)				908,724
SHORT TERM INVESTMENTS† - 1.6%
Dreyfus Treasury Prime Cash Management Fund		4,327,308		4,327,308
Total Short Term Investments
(Cost $4,327,308)				4,327,308
Total Investments - 99.5%
(Cost $218,446,291)			$	273,853,086
Other Assets & Liabilities, net - 0.5%				1,347,010
Total Net Assets - 100.0%			$	275,200,096

*	Non-income producing security.
†	Value determined based on Level 1 inputs — See Note 4.
	ADR — American Depositary Receipt

22 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SERIES B (LARGE CAP VALUE SERIES)

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2014
Assets:
Investments, at value (cost $218,446,291)	$	273,853,086
Prepaid expenses		9,422
Cash		3,559
Receivables:
Securities sold		4,177,778
Dividends		463,032
Foreign taxes reclaim		11,657
Fund shares sold		7,334
Total assets		278,525,868
Liabilities:
Payable for:
Securities purchased		2,967,010
Fund shares redeemed		155,629
Management fees		151,803
Fund accounting/administration fees		22,186
Trustees’ fees*		4,903
Transfer agent/maintenance fees		3,910
Miscellaneous		20,331
Total liabilities		3,325,772
Net assets	$	275,200,096
Net assets consist of:
Paid in capital	$	203,467,960
Undistributed net investment income		2,928,952
Accumulated net realized gain on investments		13,396,389
Net unrealized appreciation on investments		55,406,795
Net assets	$	275,200,096
Capital shares outstanding		6,646,827
Net asset value per share	$	41.40

STATEMENT OF OPERATIONS

Year Ended December 31, 2014
Investment Income:
Dividends (net of foreign withholding tax of $18,563)	$	5,239,124
Interest		11
Total investment income		5,239,135
Expenses:
Management fees		1,820,432
Transfer agent/maintenance fees		25,005
Fund accounting/administration fees		266,059
Trustees’ fees*		33,241
Line of credit fees		4,461
Custodian fees		3,606
Tax expense		709
Miscellaneous		162,095
Total expenses		2,315,608
Net investment income		2,923,527
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		49,560,301
Net realized gain		49,560,301
Net change in unrealized appreciation (depreciation) on:
Investments		(27,214,240	)
Net change in unrealized appreciation (depreciation)		(27,214,240	)
Net realized and unrealized gain		22,346,061
Net increase in net assets resulting from operations	$	25,269,588

* Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 23

SERIES B (LARGE CAP VALUE SERIES)

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended December 31, 2014			Year Ended December 31, 2013
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	2,923,527		$	2,829,968
Net realized gain on investments		49,560,301			31,731,371
Net change in unrealized appreciation (depreciation) on investments		(27,214,240	)		39,490,698
Net increase in net assets resulting from operations		25,269,588			74,052,037
Capital share transactions:
Proceeds from sale of shares		11,339,234			21,372,678
Cost of shares redeemed		(44,935,737	)		(58,004,399	)
Net decrease from capital share transactions		(33,596,503	)		(36,631,721	)
Net increase (decrease) in net assets		(8,326,915	)		37,420,316
Net assets:
Beginning of year		283,527,011			246,106,695
End of year	$	275,200,096		$	283,527,011
Undistributed net investment income at end of year	$	2,928,952		$	2,829,968
Capital share activity:
Shares sold		285,616			651,050
Shares redeemed		(1,135,601	)		(1,740,993	)
Net decrease in shares		(849,985	)		(1,089,943	)

24 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SERIES B (LARGE CAP VALUE SERIES)

FINANCIAL HIGHLIGHTS

This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.

	Year Ended December 31, 2014			Year Ended December 31, 2013			Year Ended December 31, 2012			Year Ended December 31, 2011			Year Ended December 31, 2010
Per Share Data
Net asset value, beginning of period	$	37.82		$	28.66		$	24.79		$	25.79		$	22.20
Income (loss) from investment operations:
Net investment income (loss)a		.41			.35			.35			.26			.19
Net gain (loss) on investments (realized and unrealized)		3.17			8.81			3.52			(1.26	)		3.40
Total from investment operations		3.58			9.16			3.87			(1.00	)		3.59
Net asset value, end of period	$	41.40		$	37.82		$	28.66		$	24.79		$	25.79
Total Returnb		9.47	%		31.96	%		15.61	%		(3.88	%)		16.17	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	275,200		$	283,527		$	246,107		$	249,451		$	298,181
Ratios to average net assets:
Net investment income (loss)		1.04	%		1.05	%		1.28	%		1.00	%		0.81	%
Total expenses		0.83	%		0.83	%		0.83	%		0.80	%		0.80	%
Portfolio turnover rate		47	%		26	%		17	%		19	%		17	%

a	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
b	Total return does not take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Guggenheim Variable Funds Trust are available only through the purchase of such products.

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 25

MANAGER'S COMMENTARY (Unaudited) December 31, 2014

To Our Shareholders:

The Series C (Money Market Series) is managed by a team of seasoned professionals at Guggenheim Investments. In the following paragraphs, the team discusses performance of the Series C for the fiscal year ended December 31, 2014.

For the fiscal year ended December 31, 2014, the Series C (Money Market Series) returned -0.38%.

Interest rates defied expectations and continued to decline throughout the year. Short-term government agency and repurchase agreement rates were range-bound through the third quarter 2014. Short-term rates rose only slightly during the fourth quarter. Short-term rates were “anchored” by the Federal Reserve’s (the Fed) monetary policy. The Fed’s chair, Janet Yellen, maintained that the central bank would keep short-term rates low, until unemployment fell below 6.5%. The Federal Reserve controls the fed funds rate. This rate, which guides other short-term rates, has been set close to zero since 2008.

A government money market fund, subject to stricter money market regulations, presents lower yields, yet may afford greater safety and liquidity.

The Series primarily holds commercial paper, which affords, in the current environment, slightly higher yields (10 to 15 basis points) above short-term Treasuries and Agencies. Since some commercial paper issuers were able to finance their needs elsewhere, many companies were out of that market resulting in less availability. The increase in demand prompted lower than usual commercial paper interest rates throughout the year.

Performance displayed represents past performance, which is no guarantee of future results.

The opinions and forecast expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.

26 | THE GUGGENHEIM FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) December 31, 2014

SERIES C (MONEY MARKET SERIES)

OBJECTIVE: Seeks as high a level of current income as is consistent with preservation of capital by investing in money market securities with varying maturities.

Holdings Diversification

(Market Exposure as % of Net Assets)

Inception Date: May 1, 1979

The Fund invests principally in money market instruments such as commercial paper.

Average Annual Returns*

Periods Ended December 31, 2014^†

	1 Year	5 Year	10 Year
Series C (Money Market Series)	-0.38%	-0.48%	1.10%

*

The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes.

†

Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Guggenheim Variable Funds Trust are available only through the purchase of such products.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 27

SCHEDULE OF INVESTMENTS	December 31, 2014
SERIES C (MONEY MARKET SERIES)

	Shares		Value
SHORT TERM INVESTMENTS† - 39.7%
Dreyfus Treasury Prime Cash Management Fund		27,956,605	$	27,956,605
Total Short Term Investments
(Cost $27,956,605)				27,956,605
	Face Amount
ASSET-BACKED SECURITIES†† - 0.1%
Small Business Administration Pools
#503295, 0.75% due 04/25/211	$	38,469		38,449
#502353, 1.00% due 09/25/181		13,640		13,656
#503303, 0.75% due 04/25/211		13,607		13,597
Total Asset-Backed Securities
(Cost $65,724)				65,702
COMMERCIAL PAPER†† - 61.0%
Toyota Motor Credit Corp.
0.18% due 01/28/15		4,000,000		3,999,758
General Electric Capital Corp.
0.16% due 01/28/15		2,000,000		1,999,892
0.14% due 03/02/15		1,400,000		1,399,760
0.17% due 02/05/15		500,000		499,965
Total General Electric Capital Corp.				3,899,617
Sheffield Receivables Corp.
0.17% due 01/23/152		1,900,000		1,899,817
0.24% due 01/23/152		1,100,000		1,099,895
0.25% due 03/05/152		800,000		799,740
Total Sheffield Receivables Corp.				3,799,452
Prudential PLC
0.19% due 02/17/152		2,500,000		2,499,420
0.18% due 02/17/152		1,000,000		999,768
Total Prudential PLC				3,499,188
Societe Generale North America, Inc.
0.32% due 03/06/15		3,000,000		2,998,954
0.18% due 01/05/15		350,000		349,994
Total Societe Generale North America, Inc.				3,348,948

Abbott Laboratories
0.09% due 01/15/152	3,300,000		3,299,885
AstraZeneca plc
0.08% due 01/06/152	3,000,000		2,999,949
Jupiter Securitization Co. LLC
0.23% due 06/05/152	3,000,000		2,996,646
General RE Corp.
0.14% due 03/09/15	2,000,000		1,999,377
0.13% due 03/09/15	500,000		499,844
Total General RE Corp.			2,499,221
ING U.S. Funding LLC
0.30% due 02/02/15	2,450,000		2,449,654
0.18% due 02/20/15	600,000		599,849
Total ING U.S. Funding LLC			3,049,503
John Deere Capital Corp.
0.11% due 02/04/152	2,000,000		1,999,792
Nestle Capital Corp.
0.14% due 02/23/153	2,000,000		1,999,682
Caterpillar Financial Services Corp.
0.17% due 03/18/15	2,000,000		1,999,247
American Honda Finance Corp.
0.12% due 02/18/15	1,800,000		1,799,620
Coca-Cola Co.
0.18% due 05/07/152	1,000,000		999,411
0.18% due 05/13/152	800,000		799,489
Total Coca-Cola Co.			1,798,900
Total Commercial Paper
(Cost $42,988,201)			42,989,408
Total Investments - 100.8%
(Cost $71,010,530)		$	71,011,715
Other Assets & Liabilities, net - (0.8)%			(590,252	)
Total Net Assets - 100.0%		$	70,421,463

†	Value determined based on Level 1 inputs — See Note 4.
††	Value determined based on Level 2 inputs — See Note 4.
1	Variable rate security. Rate indicated is rate effective at December 31, 2014.
2	Security is a 144A or Section 4(a)(2) security. The total market value of 144A or Section 4(a)(2) securities is $22,393,494 (cost $22,393,555), or 31.8% of total net assets. These securities have been determined to be liquid under guidelines established by the Board of Trustees.
	plc — Public Limited Company

28 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SERIES C (MONEY MARKET SERIES)

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2014
Assets:
Investments, at value (cost $71,010,530)	$	71,011,715
Prepaid expenses		826
Receivables:
Fund shares sold		104,820
Securities sold		805
Interest		89
Total assets		71,118,255
Liabilities:
Payable for:
Fund shares redeemed		639,922
Management fees		9,741
Fund accounting/administration fees		5,346
Transfer agent/maintenance fees		2,693
Trustees’ fees*		2,528
Miscellaneous		36,562
Total liabilities		696,792
Net assets	$	70,421,463
Net assets consist of:
Paid in capital	$	70,420,429
Undistributed net investment income		—
Accumulated net realized loss on investments		(151	)
Net unrealized appreciation on investments		1,185
Net assets	$	70,421,463
Capital shares outstanding		5,320,081
Net asset value per share	$	13.24

STATEMENT OF OPERATIONS

Year Ended December 31, 2014
Investment Income:
Interest	$	81,641
Total investment income		81,641
Expenses:
Management fees		372,427
Transfer agent/maintenance fees		24,748
Fund accounting/administration fees		70,760
Trustees’ fees*		10,220
Custodian fees		1,290
Tax expense		2
Miscellaneous		80,098
Total expenses		559,545
Less:
Expenses waived by Adviser		(179,834	)
Net expenses		379,711
Net investment loss		(298,070	)
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		(14	)
Net realized loss		(14	)
Net change in unrealized appreciation (depreciation) on:
Investments		(486	)
Net change in unrealized appreciation (depreciation)		(486	)
Net realized and unrealized loss		(500	)
Net decrease in net assets resulting from operations	$	(298,570	)

* Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 29

SERIES C (MONEY MARKET SERIES)

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended December 31, 2014			Year Ended December 31, 2013
Increase (Decrease) in Net Assets from Operations:
Net investment loss	$	(298,070	)	$	(395,179	)
Net realized gain (loss) on investments		(14	)		1,246
Net change in unrealized appreciation (depreciation) on investments		(486	)		(1,813	)
Net decrease in net assets resulting from operations		(298,570	)		(395,746	)
Capital share transactions:
Proceeds from sale of shares		86,068,579			99,294,222
Cost of shares redeemed		(91,652,757	)		(95,965,272	)
Net increase (decrease) from capital share transactions		(5,584,178	)		3,328,950
Net increase (decrease) in net assets		(5,882,748	)		2,933,204
Net assets:
Beginning of year		76,304,211			73,371,007
End of year	$	70,421,463		$	76,304,211
Undistributed net investment income at end of year	$	—		$	—
Capital share activity:
Shares sold		6,490,360			7,454,058
Shares redeemed		(6,911,723	)		(7,205,162	)
Net increase (decrease) in shares		(421,363	)		248,896

30 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SERIES C (MONEY MARKET SERIES)

FINANCIAL HIGHLIGHTS

This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.

	Year Ended December 31, 2014			Year Ended December 31, 2013			Year Ended December 31, 2012			Year Ended December 31, 2011			Year Ended December 31, 2010
Per Share Data
Net asset value, beginning of period	$	13.29		$	13.36		$	13.43		$	13.50		$	13.56
Income (loss) from investment operations:
Net investment income (loss)a		(.05	)		(.07	)		(.07	)		(.08	)		(.06	)
Net gain (loss) on investments (realized and unrealized)		(—	)d		(—	)d		(—	)d		.01			(—	)d
Total from investment operations		(.05	)		(.07	)		(.07	)		(.07	)		(.06	)
Net asset value, end of period	$	13.24		$	13.29		$	13.36		$	13.43		$	13.50
Total Returnb		(0.38	%)		(0.52	%)		(0.52	%)		(0.52	%)		(0.44	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	70,421		$	76,304		$	73,371		$	108,617		$	106,191
Ratios to average net assets:
Net investment income (loss)		(0.40	%)		(0.50	%)		(0.53	%)		(0.57	%)		(0.46	%)
Total expenses		0.75	%		0.71	%		0.71	%		0.70	%		0.70	%
Net expensesc,e		0.51	%		0.64	%		0.71	%		0.70	%		0.70	%
Portfolio turnover rate		—			—			—			—			—

a	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
b	Total return does not take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Guggenheim Variable Funds Trust are available only through the purchase of such products.
c	Net expense information reflects the expense ratios after expense waivers.
d	Less than $0.01 per share.
e	Net expenses may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the operating expense ratios for the period would be:

12/31/14	12/31/13
0.50%	0.63%

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 31

MANAGER'S COMMENTARY (Unaudited) December 31, 2014

To Our Shareholders:

The Series D (World Equity Income Series) is managed by a team of seasoned professionals, including Farhan Sharaff, Senior Managing Director and Assistant Chief Investment Officer, Equities; Nardin Baker, CFA, Managing Director and Portfolio Manager; Ole Jakob Wold, Managing Director and Portfolio Manager; and Scott Hammond, Managing Director and Portfolio Manager. In the following paragraphs, the investment team discusses performance for the fiscal year ended December 31, 2014.

For the one-year period ended December 31, 2014, the Series D (World Equity Income Series) returned 5.00%, compared with the 4.94% return of its benchmark, the MSCI World Index.

The Fund seeks to deliver superior risk-adjusted returns by taking advantage of market inefficiencies that, at times, misprice stable companies. To identify the degree to which the market could potentially reward stability and other factors, the Fund’s investment team distills the global equity market down to 60 discrete fundamental stock characteristics which it uses to rank stocks it considers for the portfolio.

The Fund delivered a return that was slightly higher than the benchmark, but with 10% less risk (approximately 10% for the benchmark compared with 9% for the Series). For the year, the continued strength of the U.S. market (as represented by the S&P 500 Index) versus global markets (as represented by the MSCI World Index) was a headwind. So was a fourth quarter rally in lower quality companies. The Fund seeks to invest sensibly in a world with a rising number of risks; its focus on stable companies (those with factor characteristics like strong balance sheets, attractive earnings, healthy margins and lower market volatility) is designed to offer protection when the market sells off, but presents a challenge when companies lacking in these characteristics outperform.

Contributing to performance for the year was good stock selection and an underweight to Financials, which was a relative underperforming sector in the benchmark. An overweight to Telecommunications Services (the largest in the Series) and good stock selection also helped performance.

Detracting from performance was stock selection in the Energy sector, which was the worst-performing sector in the benchmark and the Fund. An underweight in Information Technology also hurt performance. The tech sector had the best return in the benchmark for the year, but it was the sector the Fund was most underweight.

From a country perspective, the Fund was most underweight the U.S. and most overweight Australia.

The Australian position was a result of the Fund focus on positions with ties to tangible goods, which hedge against the currency debasement that is occurring in many countries around the world as way to promote growth. The Fund’s investment team believes mining offers this and Australia has extensive mining interests. But to avoid being overly exposed to a slowing in China’s growth, which could dampen demand for minerals and metals, the Australian allocation is skewed to banking and insurance holdings.

The largest country underweight remains the U.S., despite the dollar’s recent strength. In the short-term this effect has been negative, as an increasing dollar has been the tide to lift all U.S. boats, thus hurting the U.S. underweight. Earnings of U.S. companies, however, are facing more pressure due to substantial foreign earnings being translated into fewer U.S. dollars.

We also believe the macro picture will ultimately reward a U.S. underweight strategy. As central banks of the world compete to implement ever more aggressive stimulus plans, we continue to look for attractive equity opportunities. The greatest driver of returns within the U.S. equity markets since 2009 has been size of Fed’s balance sheet. We believe this will be the case in Europe and Japan, as they continue with their quantitative easing. Thus, the Fund is overweight Japan, and underweight the U.S. and the UK, countries late in the monetary cycle. Europe remains an underweight for now, due to economic and monetary challenges the continent faces, but the longer term thesis remains in play.

Positioning relative to sectors shows that the cyclically defensive sectors of Telecommunications Services and Utilities were the largest overweights for the year, whereas Information Technology and Consumer Discretionary were the largest underweights.

32 | THE GUGGENHEIM FUNDS ANNUAL REPORT

MANAGER'S COMMENTARY (Unaudited)(concluded) December 31, 2014

The team believes the Telecom sector continues to benefit from consolidation within the sector and the wider merger and acquisition trend driven by high cash balances and low financing costs.

Energy was a large underweight for much of the year, but the gap was reduced in the fourth quarter, when models used by the Fund began to favor Energy, mostly attributable to the rapid industry growth tied to shale oil technology. For much of the year, these companies were growing far faster than the broad market, and the late-year reversal in their fortunes could be temporary.

As noted, this allocation suffered in tandem with the decline in the price of oil for the last half of 2014. We believe the falling price was largely a function of the strengthening U.S. dollar, as opposed to a change in demand fundamentals, so we view the selloff in upstream oil names as providing an attractive entry point.

Performance displayed represents past performance, which is no guarantee of future results.

The opinions and forecast expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 33

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) December 31, 2014

SERIES D (WORLD EQUITY INCOME SERIES)

OBJECTIVE: Seeks to provide total return, comprised of capital appreciation and income.

Holdings Diversification

(Market Exposure as % of Net Assets)

“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments or investments in Guggenheim Strategy Funds Trust mutual funds.

COUNTRY DIVERSIFICATION

At December 31, 2014, the investment diversification of the Fund by country was as follows:

Country	% of Common Stocks	Value
United States	54.3%	$95,752,889
Japan	7.5%	13,143,946
Australia	7.4%	12,954,324
United Kingdom	6.9%	12,229,749
Switzerland	6.6%	11,695,425
Hong Kong	5.6%	9,917,571
Netherlands	1.7%	2,954,666
Other	10.0%	17,566,323
Total Investments	100.0%	$176,214,893

Inception Date: April 19, 1984

Ten Largest Holdings (% of Total Net Assets)
Pfizer, Inc.	2.2%
Novartis AG	2.2%
AT&T, Inc.	2.0%
Roche Holding AG	1.9%
Merck & Company, Inc.	1.9%
Wal-Mart Stores, Inc.	1.9%
International Business Machines Corp.	1.8%
Eli Lilly & Co.	1.8%
Lockheed Martin Corp.	1.8%
Duke Energy Corp.	1.8%
Top Ten Total	19.3%
“Ten Largest Holdings” exclude any temporary cash or derivative investments.

34 | THE GUGGENHEIM FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) December 31, 2014

Cumulative Fund Performance*^,†

Average Annual Returns*

Periods Ended December 31, 2014^†

	1 Year	5 Year	10 Year
Series D (World Equity Income Series)	5.00%	7.30%	4.29%
MSCI World Index	4.94%	10.20%	6.03%

*

The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The MSCI World Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return.

†

Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Guggenheim Variable Funds Trust are available only through the purchase of such products.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 35

SCHEDULE OF INVESTMENTS	December 31, 2014
SERIES D (WORLD EQUITY INCOME SERIES)

	Shares		Value
COMMON STOCKS† - 98.7%
CONSUMER, NON-CYCLICAL - 24.4%
Pfizer, Inc.		128,300	$	3,996,545
Novartis AG††		41,400		3,839,966
Roche Holding AG††		12,600		3,414,215
Merck & Company, Inc.		59,900		3,401,721
Eli Lilly & Co.		46,500		3,208,035
Cardinal Health, Inc.		37,600		3,035,448
Baxter International, Inc.		41,400		3,034,206
Koninklijke Ahold N.V.††		166,200		2,954,073
Anthem, Inc.		22,900		2,877,843
Dr Pepper Snapple Group, Inc.		32,200		2,308,096
Nestle S.A.††		30,900		2,252,868
Johnson & Johnson		18,100		1,892,717
Kimberly-Clark Corp.		14,500		1,675,330
Altria Group, Inc.		25,600		1,261,312
Philip Morris International, Inc.		15,200		1,238,040
Procter & Gamble Co.		11,600		1,056,644
GlaxoSmithKline plc††		25,200		540,477
Reynolds American, Inc.		8,400		539,868
Automatic Data Processing, Inc.		6,200		516,894
AmerisourceBergen Corp. — Class A		4,900		441,784
Total Consumer, Non-cyclical				43,486,082
FINANCIAL - 15.9%
People’s United Financial, Inc.		151,600		2,301,289
National Australia Bank Ltd.††		78,968		2,153,725
Insurance Australia Group Ltd.††		406,151		2,062,474
Friends Life Group Ltd.††		360,600		2,048,094
New York Community Bancorp, Inc.		128,000		2,048,000
Stockland††		552,878		1,847,865
American Capital Agency Corp.		82,700		1,805,341
Government Properties Trust, Inc.††		508,000		1,798,042
ASX Ltd.††		59,100		1,763,423
Novion Property Group††		998,717		1,716,812
Bendigo & Adelaide Bank Ltd.††		164,800		1,713,777
Annaly Capital Management, Inc.		157,800		1,705,818
Boston Properties, Inc.		9,900		1,274,031
Simon Property Group, Inc.		6,500		1,183,715
Admiral Group plc††		43,500		891,803
Wells Fargo & Co.		16,100		882,602
U.S. Bancorp		15,500		696,725
Gjensidige Forsikring ASA††		23,100		376,579
Hannover Rueck SE††		1,600		144,349
Total Financial				28,414,464
COMMUNICATIONS - 15.5%
AT&T, Inc.		104,000		3,493,360
Verizon Communications, Inc.		52,600		2,460,628
NTT DOCOMO, Inc.††		159,100		2,317,273
Swisscom AG††		4,170		2,188,376
Time Warner Cable, Inc.		14,100		2,144,046
PCCW Ltd.††		3,025,400		2,059,981
Elisa Oyj††		72,500		1,979,038
Belgacom S.A.††		53,700		1,948,571
Spark New Zealand Ltd.††		801,000		1,941,783
Singapore Press Holdings Ltd.††		568,400		1,804,259
Bezeq The Israeli Telecommunication Corporation Ltd.††		879,100		1,559,562
Motorola Solutions, Inc.		21,700		1,455,636
Windstream Holdings, Inc.		148,300		1,221,992
CenturyLink, Inc.		28,600		1,131,988
Total Communications				27,706,493
UTILITIES - 12.0%
Duke Energy Corp.		37,700		3,149,458
Southern Co.		62,900		3,089,019
CLP Holdings Ltd.††		264,600		2,291,294
Power Assets Holdings Ltd.††		223,800		2,163,715
PPL Corp.		51,500		1,870,995
Enagas S.A.††		57,800		1,823,210
Snam SpA††		357,800		1,770,964
AGL Energy Ltd.††		155,500		1,696,248
TransAlta Corp.††		162,300		1,469,613
SSE plc††		48,000		1,212,170
Entergy Corp.		10,700		936,036
Total Utilities				21,472,722
CONSUMER, CYCLICAL - 11.2%
Wal-Mart Stores, Inc.		38,700		3,323,556
Mitsui & Company Ltd.††		175,800		2,354,807
McDonald’s Corp.		25,100		2,351,870
ITOCHU Corp.††		207,600		2,216,428
InterContinental Hotels Group plc††		52,600		2,115,786
Sumitomo Corp.††		195,800		2,011,253
Compass Group plc††		116,300		1,986,256
Marubeni Corp.††		278,400		1,665,981
Mitsubishi Corp.††		67,400		1,233,583
Costco Wholesale Corp.		5,200		737,100
Total Consumer, Cyclical				19,996,620
INDUSTRIAL - 9.1%
Lockheed Martin Corp.		16,600		3,196,663
AP Moeller - Maersk A/S — Class A††		1,300		2,487,746
TransDigm Group, Inc.		9,800		1,924,230
IMI plc††		94,700		1,851,387
Northrop Grumman Corp.		11,500		1,694,985
Rexam plc††		225,000		1,583,776
Cheung Kong Infrastructure Holdings Ltd.††		199,000		1,463,409
United Parcel Service, Inc. — Class B		6,500		722,605
Waste Management, Inc.		13,400		687,688
Caterpillar, Inc.		6,900		631,557
TNT Express N.V.††		89		593
Total Industrial				16,244,639

36 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (concluded)	December 31, 2014
SERIES D (WORLD EQUITY INCOME SERIES)

	Shares		Value
TECHNOLOGY - 4.4%
International Business Machines Corp.		20,000	$	3,208,800
Apple, Inc.		14,400		1,589,472
Canon, Inc.††		42,300		1,344,621
Intel Corp.		25,400		921,766
Microsoft Corp.		15,600		724,620
Total Technology				7,789,279
ENERGY - 3.5%
ConocoPhillips		42,400		2,928,144
Exxon Mobil Corp.		10,700		989,215
Pembina Pipeline Corp.††		22,300		812,689
Repsol S.A.††		35,700		668,384
Vermilion Energy, Inc.††		11,900		583,835
Chevron Corp.		2,300		258,014
Total Energy				6,240,281
BASIC MATERIALS - 1.6%
Dow Chemical Co.		47,100		2,148,231
International Paper Co.		14,500		776,910
Total Basic Materials				2,925,141
DIVERSIFIED - 1.1%
Hutchison Whampoa Ltd.††		169,632		1,939,172
Total Common Stocks
(Cost $174,201,481)				176,214,893
SHORT TERM INVESTMENTS† - 1.0%
Goldman Sachs Financial Square Funds - Treasury Instruments Fund		1,806,884		1,806,884
Total Short Term Investments
(Cost $1,806,884)				1,806,884
Total Investments - 99.7%
(Cost $176,008,365)			$	178,021,777
Other Assets & Liabilities, net - 0.3%				526,610
Total Net Assets - 100.0%			$	178,548,387

†	Value determined based on Level 1 inputs, unless otherwise noted — See Note 4.
††	Value determined based on Level 2 inputs — See Note 4.
	plc — Public Limited Company

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 37

SERIES D (WORLD EQUITY INCOME SERIES)

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2014
Assets:
Investments, at value (cost $176,008,365)	$	178,021,777
Prepaid expenses		6,604
Receivables:
Dividends		528,864
Foreign taxes reclaim		254,550
Fund shares sold		6,594
Total assets		178,818,389
Liabilities:
Overdraft due to custodian bank		12
Payable for:
Management fees		107,192
Fund shares redeemed		79,643
Custodian fees		28,857
Fund accounting/administration fees		22,970
Transfer agent/maintenance fees		3,907
Trustees’ fees*		1,955
Miscellaneous		25,466
Total liabilities		270,002
Net assets	$	178,548,387
Net assets consist of:
Paid in capital	$	224,204,195
Undistributed net investment income		5,477,207
Accumulated net realized loss on investments		(53,120,371	)
Net unrealized appreciation on investments		1,987,356
Net assets	$	178,548,387
Capital shares outstanding		14,173,347
Net asset value per share	$	12.60

STATEMENT OF OPERATIONS

Year Ended December 31, 2014
Investment Income:
Dividends (net of foreign withholding tax of $819,913)	$	7,543,607
Other income		1,691
Total investment income		7,545,298
Expenses:
Management fees		1,333,171
Transfer agent/maintenance fees		25,005
Fund accounting/administration fees		285,680
Custodian fees		38,892
Trustees’ fees*		19,487
Tax expense		3,334
Line of credit fees		3,026
Miscellaneous		209,834
Total expenses		1,918,429
Net investment income		5,626,869
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		9,997,680
Foreign currency		(153,411	)
Net realized gain		9,844,269
Net change in unrealized appreciation (depreciation) on:
Investments		(5,842,946	)
Foreign currency		(30,787	)
Net change in unrealized appreciation (depreciation)		(5,873,733	)
Net realized and unrealized gain		3,970,536
Net increase in net assets resulting from operations	$	9,597,405

* Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.

38 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SERIES D (WORLD EQUITY INCOME SERIES)

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended December 31, 2014			Year Ended December 31, 2013
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	5,626,869		$	4,738,479
Net realized gain on investments		9,844,269			20,668,997
Net change in unrealized appreciation (depreciation) on investments		(5,873,733	)		7,871,299
Net increase in net assets resulting from operations		9,597,405			33,278,775
Distributions to shareholders from:
Net investment income		(7,072	)		—
Total distributions to shareholders		(7,072	)		—
Capital share transactions:
Proceeds from sale of shares		6,713,201			10,130,604
Distributions reinvested		7,072			—
Cost of shares redeemed		(31,356,416	)		(35,047,932	)
Net decrease from capital share transactions		(24,636,143	)		(24,917,328	)
Net increase (decrease) in net assets		(15,045,810	)		8,361,447
Net assets:
Beginning of year		193,594,197			185,232,750
End of year	$	178,548,387		$	193,594,197
Undistributed net investment income at end of year	$	5,477,207		$	5,045,200
Capital share activity:
Shares sold		524,779			918,433
Shares issued from reinvestment of distributions		561			—
Shares redeemed		(2,489,949	)		(3,199,531	)
Net decrease in shares		(1,964,609	)		(2,281,098	)

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 39

SERIES D (WORLD EQUITY INCOME SERIES)

FINANCIAL HIGHLIGHTS

This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.

	Year Ended December 31, 2014			Year Ended December 31, 2013			Year Ended December 31, 2012			Year Ended December 31, 2011			Year Ended December 31, 2010
Per Share Data
Net asset value, beginning of period	$	12.00		$	10.06		$	8.63		$	10.25		$	8.86
Income (loss) from investment operations:
Net investment income (loss)a		.37			.28			.19			.12			.04
Net gain (loss) on investments (realized and unrealized)		.23			1.66			1.24			(1.74	)		1.35
Total from investment operations		.60			1.94			1.43			(1.62	)		1.39
Less distributions from:
Net investment income		(—	)b		—			—			—			—
Total distributions		(—	)b		—			—			—			—
Net asset value, end of period	$	12.60		$	12.00		$	10.06		$	8.63		$	10.25
Total Returnc		5.00	%		19.28	%		16.57	%		(15.80	%)		15.69	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	178,548		$	193,594		$	185,233		$	185,747		$	269,645
Ratios to average net assets:
Net investment income (loss)		2.95	%		2.50	%		2.03	%		1.23	%		0.49	%
Total expenses		1.01	%		1.14	%		1.17	%		1.21	%		1.26	%
Portfolio turnover rate		132	%		150	%		36	%		171	%		283	%

a	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
b	Distributions from net investment income are less than $0.01 per share.
c	Total return does not take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Guggenheim Variable Funds Trust are available only through the purchase of such products.

40 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

MANAGER'S COMMENTARY (Unaudited) December 31, 2014

To Our Shareholders

The Series E (Total Return Bond Series) is managed by a team of seasoned professionals, including B. Scott Minerd, Chairman of Investments and Global Chief Investment Officer; Anne B. Walsh, Senior Managing Director and Assistant Chief Investment Officer; Jeffrey B. Abrams, Senior Managing Director and Portfolio Manager; and James W. Michal, Managing Director and Portfolio Manager. In the following paragraphs, the investment team discusses the market environment and Series performance for the fiscal year ended December 31, 2014.

For the one-year period ended December 31, 2014 (the “period”), the Series E (Total Return Bond Series) returned 8.10%, compared with the 5.97% return of its benchmark, the Barclays U.S. Aggregate Bond Index.

The Fund seeks to provide total return, comprised of current income and capital appreciation. The Fund pursues its investment objective by investing at least 80% of its assets in debt securities. The Fund may hold fixed income securities of any quality, rated or unrated, including those that are rated below investment grade, or if unrated, determined to be of comparable quality (also known as “high yield securities” or “junk bonds”). However, the Fund may not invest more than 33 1/3% of its assets in fixed-income securities that are below investment grade. The Fund may hold securities of any duration or maturity.

Credit-spread and risk assets continued to find investor favor through 2014, even though severe winter weather in the first quarter produced volatility and mixed economic data. Additional liquidity from central banks outside the U.S. supported foreign capital flows into U.S. assets, which, along with the search for yield among U.S. investors, was positive for fixed income. The yield on the U.S. government 10-year bond declined from 3.03% to 2.17%, and we expect longer-term rates to remain range-bound in the near-term, with the potential for downward pressure.

But just as the market appeared to be growing complacent in the third quarter of 2014, leveraged credit had its first correction in a year, as mutual fund investors withdrew from the sector amid concerns about frothy valuations and talk of credit bubble. U.S. equity and credit markets were not safe from the risk aversion that drove volatility during the second half of the year. While the sell-off was initially sparked by market unease over the Fed winding down its purchases of U.S. Treasuries and mortgage-backed securities, it continued through the fourth quarter as markets grew anxious over the weakening global outlook.

Investment grade corporate bonds saw spreads widen slightly over 2014, as markets grew anxious over economic troubles in Europe, Japan, China, and Russia. With oil prices continuing to collapse through the end of the year, most of the pressure was experienced in energy investment-grade bonds where spreads widened by 64 basis points in the fourth quarter. Total new issuance for the year was $857 billion, with 73% of issuance concentrated in BBB and single-A rated bonds.

High yield corporate bonds and bank loans continued their strong performance through the first half of 2014, but then faltered in the second half. High-yield bond funds and bank loan funds recorded net outflows of $6.3 billion and $17.3 billion for the year, respectively. Leveraged credit new issue activity remained robust despite weaker demand, reaching $833 billion–the second highest volume on record. Mergers, acquisitions and leveraged buyout activity represented 40% of new issue volume, the highest share since 2008. The decline in oil prices during the second half had a material impact on high-yield bond spreads generally, as energy-related companies represented 16% of the high-yield corporate bond market.

ABS performance was positive for the fourth quarter, as rates markets sold off primarily in the front end of the curve, and for the year. New ABS issuance for the year was $222.4 billion, 21% above 2013. New ABS issuance was diversified across all classes, with auto and credit card new issues remaining strong. Credit performance across the commercial ABS and CLO sectors remain favorable given the benign credit conditions and collateral valuations across the U.S. economy.

The non-Agency RMBS market showed positive performance, even though mortgage credit fundamentals dimmed a bit at the end of the year. The inventory of homes listed for sale remained historically low (at 5.1 months) despite increasing over early 2014. Existing home sales remained in the 4.9 to 5.2 million range (seasonally-adjusted annualized) but remain below the post-crisis peak seen in mid 2013. New home sales and housing starts remain near post-crisis highs, but at year end were mixed relative to consensus expectations.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 41

MANAGER'S COMMENTARY (Unaudited)(concluded) December 31, 2014

During the period, the Fund continued to see further price appreciation attributable to tightening of credit spreads outside of high yield. Positive returns have largely been driven by the Fund’s investments in asset-backed securities (ABS) as spreads continued to normalize across various subsectors including collateralized loan obligations (CLOs), commercial real estate collateralized debt obligations (CDOs), and aircraft lease securitizations. The Fund continues to maintain low interest rate duration, particularly at the front end of the yield curve, and thus has largely avoided losses due to a flattening curve. The concentration of the Fund’s credit investments in relatively short maturity high yield bonds and leveraged loans has muted the impact of the recent turmoil in risk assets and the Fund continues to use these periods of weakness to add to attractive assets.

Performance displayed represents past performance, which is no guarantee of future results.

The opinions and forecast expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.

42 | THE GUGGENHEIM FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) December 31, 2014

SERIES E (TOTAL RETURN BOND SERIES)

OBJECTIVE: Seeks to provide total return, comprised of current income and capital appreciation.

Holdings Diversification

(Market Exposure as % of Net Assets)

“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments or investments in Guggenheim Strategy Funds Trust mutual funds.

Portfolio Composition by Quality Rating**
Rating
Fixed Income Instruments
AAA	3.4%
AA	15.1%
A	17.0%
BBB	31.2%
BB	6.6%
B	6.7%
CCC	4.8%
CC	0.3%
NR	1.4%
Other Instruments
Mutual Funds	9.1%
Preferred Stocks	2.9%
Unit Investment Trusts	0.1%
Short Term Investments	1.4%
Total Investments	100.0%
The chart above reflects percentages of the value of total investments.

Inception Date: April 26, 1985

Ten Largest Holdings (% of Total Net Assets)
Total Return Bond Fund	9.5%
GCAT 2014-2 LLC — Class A1	1.8%
Willis Engine Securitization Trust II — Class A	1.6%
LSTAR Securities Investment Trust 2014-1	1.5%
SunTrust Banks, Inc.	1.5%
Northwoods Capital VIII Ltd. — Class D	1.4%
T2 Income Fund CLO Ltd. — Class C	1.1%
New Jersey Transportation Trust Fund Authority Revenue Bonds	1.1%
County of Miami-Dade Florida Revenue Bonds	1.0%
AASET — Class A	1.0%
Top Ten Total	21.5%
“Ten Largest Holdings” exclude any temporary cash or derivative investments.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 43

PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) December 31, 2014

Cumulative Fund Performance*^,†

Average Annual Returns*

Periods Ended December 31, 2014^†

	1 Year	5 Year	10 Year
Series E (Total Return Bond Series)	8.10%	5.36%	3.41%
Barclays U.S. Intermediate Government/Credit Bond Index	3.14%	3.54%	4.10%
Barclays U.S. Aggregate Bond Index	5.97%	4.45%	4.71%

*	The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Barclays U.S. Aggregate Bond Index and Barclays U.S. Intermediate Government/Credit Bond Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns.
**	Source: Factset. Credit quality ratings are measured on a scale that generally ranges from AAA (highest) to D (lowest). All rated securities have been rated by Moody’s, Standard & Poor’s (“S&P”), or Fitch, which are all a Nationally Recognized Statistical Rating Organization (“NRSRO”). For purposes of this presentation, when ratings are available from more than one agency, the highest rating is used. Guggenheim Investments has converted Moody’s and Fitch ratings to the equivalent S&P rating. Unrated securities do not necessarily indicate low credit quality. Security ratings are determined at the time of purchase and may change thereafter.
†	Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Guggenheim Variable Funds Trust are available only through the purchase of such products.

44 | THE GUGGENHEIM FUNDS ANNUAL REPORT

SCHEDULE OF INVESTMENTS	December 31, 2014
SERIES E (TOTAL RETURN BOND SERIES)

	Shares		Value
PREFERRED STOCKS† - 3.0%
Aspen Insurance Holdings Ltd.
5.95%1,2		40,000	$	1,010,400
Goldman Sachs Group, Inc.
5.50%1,2		21,450		523,380
Seaspan Corp.
6.38% due 04/30/19		18,000		446,400
Wells Fargo & Co.
5.85%1,2		15,000		384,750
Morgan Stanley
7.13%1,2		10,000		275,300
CoBank ACB
6.20%2		2,500		250,000
Woodbourne Capital Trust II
0.03%†††,1,2,3		300,000		166,500
Woodbourne Capital Trust III
0.03%†††,1,2,3		300,000		166,500
Woodbourne Capital Trust I
0.03%†††,1,2,3		300,000		166,500
Woodbourne Capital Trust IV
0.03%†††,1,2,3		300,000		166,500
AgriBank FCB
6.88%1,2		1,500		157,641
City National Corp.
6.75%1,2		4,000		111,280
Total Preferred Stocks
(Cost $4,297,241)				3,825,151
UNIT INVESTMENT TRUSTS† - 0.1%
Rescap Liquidating Trust		9,655		151,584
Total Unit Investment Trusts
(Cost $487,486)				151,584
MUTUAL FUNDS†,4 - 9.5%
Guggenheim Total Return Bond Fund – Institutional Class		449,456		12,126,325
Total Mutual Funds
(Cost $12,180,481)				12,126,325
SHORT TERM INVESTMENTS† - 1.4%
Dreyfus Treasury Prime Cash Management Fund		1,849,777		1,849,777
Total Short Term Investments
(Cost $1,849,777)				1,849,777

	Face Amount
ASSET-BACKED SECURITIES†† - 42.4%
GCAT 2014-2 LLC
2014-2, 3.72% due 10/25/193	$	2,305,968	2,296,134
Willis Engine Securitization Trust II
2012-A, 5.50% due 09/15/373		2,030,187	2,050,285
AASET
2014-1, 5.13% due 12/15/291		1,250,000	1,246,875
2014-1, 7.38% due 12/15/291		750,000	748,125
Northwoods Capital VIII Ltd.
2007-8A, 2.23% due 07/28/221,3		1,750,000	1,741,600
T2 Income Fund CLO Ltd.
2007-1A, 1.73% due 07/15/191,3		1,450,000	1,447,970
Emerald Aviation Finance Ltd.
2013-1, 4.65% due 10/15/383		1,158,854	1,170,443
2013-1, 6.35% due 10/15/383		231,771	235,247
Castlelake Aircraft Securitization Trust
2014-1, 5.25% due 02/15/29		865,604	862,315
2014-1, 7.50% due 02/15/29		432,802	426,353
CIT Mortgage Loan Trust
2007-1, 1.62% due 10/25/371,3		1,300,000	1,221,398
ALM VII R-2 Ltd.
2013-7R2A, 2.83% due 04/24/241,3		1,250,000	1,203,625
Grayson CLO Ltd.
2006-1A, 0.64% due 11/01/211,3		1,250,000	1,161,625
CKE Restaurant Holdings, Inc.
2013-1A, 4.47% due 03/20/433		1,119,813	1,135,557
Copper River CLO Ltd.
2007-1A, 0.00% due 01/20/211,3,10		600,000	617,820
2007-1A, 0.63% due 01/20/211,3		500,000	483,000
Rise Ltd.
4.74% due 02/12/39		1,090,104	1,095,555
Telos CLO 2007-2 Ltd.
2007-2A, 2.43% due 04/15/221,3		1,100,000	1,059,190
Nationstar HECM Loan Trust
2014-1A, 4.50% due 11/25/173		1,016,700	1,016,903
Great Lakes CLO 2012-1 Ltd.
2012-1A, 4.33% due 01/15/231,3		1,000,000	1,004,300
KKR Financial CLO 2007-1 Ltd.
2007-1A, 2.48% due 05/15/211,3		1,000,000	991,200
Fortress Credit Opportunities V CLO Ltd.
2014-5A, 2.88% due 10/15/261,3		1,000,000	984,400
Northwoods Capital XIV Ltd.
2014-14A, 2.69% due 11/12/25†††,1,3		1,000,000	978,900
Telos CLO Ltd.
2013-3A, 3.23% due 01/17/241,3		1,000,000	962,600
GSAA Trust
2005-10, 0.82% due 06/25/351		1,050,000	952,521
RAIT CRE CDO I Ltd.
2006-1X, 0.49% due 11/20/46		1,006,104	915,253
Turbine Engines Securitization Ltd.
2013-1A, 5.13% due 12/13/483		860,414	869,018

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 45

SCHEDULE OF INVESTMENTS (continued)	December 31, 2014
SERIES E (TOTAL RETURN BOND SERIES)

	Face Amount		Value
Garanti Diversified Payment Rights Finance Co.
2007-A, 0.42% due 07/09/171	$	880,000	$	852,016
Rockwall CDO II Ltd.
2007-1A, 0.78% due 08/01/241,3		900,000		819,270
Gramercy Real Estate CDO 2007-1 Ltd.
2007-1A, 0.51% due 08/15/561,3		914,950		816,959
Acis CLO 2013-2 Ltd.
2013-2A, 3.44% due 10/14/221,3		750,000		750,300
ARES XII CLO Ltd.
2007-12A, 3.48% due 11/25/201,3		750,000		749,925
Chesterfield Financial Holdings LLC
2014-1A, 4.50% due 12/15/343		750,000		749,925
MCF CLO I LLC
2013-1A, 3.78% due 04/20/231,3		750,000		742,350
N-Star Real Estate CDO IX Ltd.
0.47% due 02/01/415		781,150		741,077
ICE EM CLO
2007-1A, 0.93% due 08/15/221,3		750,000		725,850
KVK CLO 2013-1 Ltd.
2013-1A, 0.00% due 04/14/253,10		900,000		694,800
Babson CLO Limited 2012-II
2012-2A, 0.00% due 05/15/233,10		750,000		617,400
Ivy Hill Middle Market Credit Fund VII Ltd.
2013-7A, 3.68% due 10/20/251,3		600,000		595,260
Structured Asset Securities Corporation Mortgage Loan Trust
2006-OPT1, 0.43% due 04/25/361		600,000		541,349
Black Diamond CLO 2012-1 Ltd.
2013-1A, 3.48% due 02/01/231,3		550,000		537,790
Apidos CDO IX
2012-9A, 3.98% due 07/15/231,3		500,000		507,950
Babson CLO Limited 2014-I
2014-IA, 0.00% due 07/20/253,10		550,000		499,125
Newstar Trust
2012-2A, 3.48% due 01/20/231,3		500,000		499,100
Oxford Finance Funding Trust 2014-1
2014-1A, 3.48% due 12/15/223		500,000		497,450
Icon Brand Holdings LLC
2013-1A, 4.35% due 01/25/433		497,243		493,911
Cent CLO 16, LP
2014-16AR, 2.68% due 08/01/241,3		500,000		492,850
Fortress Credit Opportunities III CLO, LP
2014-3A, 2.73% due 04/28/261,3		300,000		295,380
2014-3A, 3.48% due 04/28/261,3		200,000		196,880
KKR CLO Trust
2012-1A, 3.54% due 12/15/241,3		500,000		492,050
Dryden XXIII Senior Loan Fund
2014-23RA, 3.18% due 07/17/231,3		500,000		492,000
OCP CLO 2014-6 Ltd.
2014-6A, 2.31% due 07/17/261,3		500,000		485,200
Golub Capital Partners Fundings Ltd.
2007-1A, 0.99% due 03/15/221,3		500,000		482,300
MCF CLO III LLC
2014-3A, 3.21% due 01/20/241,3		500,000		478,050
New Century Home Equity Loan Trust
2005-3, 0.68% due 07/25/351		550,000		475,836
N-Star REL CDO VIII Ltd.
2006-8A, 0.53% due 02/01/411,3		500,000		450,650
Wachovia Asset Securitization Issuance II LLC Trust
2007-HE1, 0.31% due 07/25/371,3		497,263		446,433
AABS Ltd.
4.87% due 01/15/38		440,104		445,033
Acis CLO 2013-1 Ltd.
2013-1A, 3.18% due 04/18/241,3		400,000		384,280
Eastland CLO Ltd.
2007-1A, 0.63% due 05/01/221,3		400,000		372,160
Northwoods Capital VII Ltd.
2006-7A, 1.78% due 10/22/211,3		350,000		346,220
Halcyon Loan Advisors Funding 2012-2 Ltd.
2012-2A, 4.75% due 12/20/241,3		350,000		345,170
Newstar Commercial Loan Funding 2013-1 LLC
2013-1A, 4.80% due 09/20/231,3		350,000		343,805
UCFC Manufactured Housing Contract
1997-2, 7.38% due 10/15/28		307,080		333,913
Cerberus Offshore Levered I, LP
2012-1A, 4.99% due 11/30/181,3		309,635		309,573
Saxon Asset Securities Trust
2005-4, 0.61% due 11/25/371		350,000		303,855
DIVCORE CLO Ltd.
2013-1A B, 4.06% due 11/15/32		300,000		300,090
Salus CLO 2012-1 Ltd.
2013-1AN, 3.98% due 03/05/211,3		300,000		299,940
Westwood CDO I Ltd.
2007-1A, 0.92% due 03/25/211,3		300,000		279,240
GreenPoint Mortgage Funding Trust
2005-HE4, 0.87% due 07/25/301		288,139		271,813
West Coast Funding Ltd.
2006-1A, 0.39% due 11/02/411,3		257,120		253,546
TICC CLO 2012-1 LLC
2012-1A, 4.98% due 08/25/231,3		250,000		250,025
Great Lakes CLO 2014-1 Ltd.
2014-1A, 3.93% due 04/15/251,3		250,000		249,375
Golub Capital Partners CLO 17 Ltd.
2013-17A, 4.06% due 10/25/251,3		250,000		249,125
Garrison Funding 2013-2 Ltd.
2013-2A, 3.63% due 09/25/231,3		250,000		247,650
Gallatin CLO VII 2014-1 Ltd.
2014-1A, 3.13% due 07/15/231,3		250,000		247,525
NewStar Arlington Senior Loan Program LLC
2014-1A, 3.53% due 07/25/251,3		250,000		243,725
Anchorage Capital CLO 4 Ltd.
2014-4A, 2.44% due 07/28/261,3		250,000		241,250
ALM XIV Ltd.
2014-14A, 3.18% due 07/28/261,3		250,000		241,025

46 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (continued)	December 31, 2014
SERIES E (TOTAL RETURN BOND SERIES)

	Face Amount		Value
Drug Royalty II Limited Partnership 2
2014-1, 3.08% due 07/15/231,3	$	237,672	$	239,050
Venture XIV CLO Ltd.
2013-14A, 2.99% due 08/28/251,3		250,000		237,400
Carlyle Global Market Strategies
2012-3A, 0.00% due 10/04/243,10		250,000		220,050
Neuberger Berman CLO Ltd.
2012-12A, 0.00% due 07/25/233,10		300,000		216,570
Keuka Park CLO Limited 2013-1
2013-1A, due 10/21/243,10		250,000		205,825
GSAA Home Equity Trust
2007-7, 0.44% due 07/25/371		202,143		170,659
New Century Home Equity Loan Trust
2005-1, 0.89% due 03/25/351		137,831		120,283
First Franklin Mortgage Loan Trust 2006-FF1
2006-FF1, 0.51% due 01/25/361		50,000		44,037
Credit-Based Asset Servicing and Securitization LLC
2005-CB5, 0.42% due 08/25/351		16,745		16,682
Total Asset-Backed Securities
(Cost $53,222,192)				54,126,542
CORPORATE BONDS†† - 23.9%
FINANCIAL - 14.6%
Citigroup, Inc.
5.35%1,2		1,110,000		1,023,975
5.80%1,2		800,000		800,000
6.30%1,2		160,000		157,600
SunTrust Banks, Inc.
5.63%1,2		1,850,000		1,859,250
JPMorgan Chase & Co.
5.00%1,2		1,100,000		1,076,280
5.15%1,2		650,000		612,300
EPR Properties
5.25% due 07/15/237		1,000,000		1,042,688
5.75% due 08/15/227		400,000		436,946
Fifth Third Bancorp
5.10%1,2		870,000		805,838
4.90%1,2		500,000		483,750
Susquehanna Bancshares, Inc.
5.38% due 08/15/227		1,100,000		1,211,675
AmTrust Financial Services, Inc.
6.13% due 08/15/23		1,000,000		1,054,680
Icahn Enterprises Limited Partnership / Icahn Enterprises Finance Corp.
6.00% due 08/01/207		1,000,000		1,030,200
Bank of America Corp.
6.50%1,2		1,000,000		1,017,900
HSBC Holdings plc
5.63%1,2		600,000		602,100
6.38%1,2		200,000		202,000
Nippon Life Insurance Co.
5.10% due 10/16/441,3		750,000		783,750
Lancashire Holdings Ltd.
5.70% due 10/01/223		700,000		753,186
ACC Group Housing LLC
6.35% due 07/15/54†††,3		250,000		259,125
3.50% due 07/15/18†††,3		250,000		251,950
Corporation Financiera de Desarrollo S.A.
5.25% due 07/15/291,3		450,000		456,840
Pacific Northwest Communities LLC
5.91% due 06/15/503		400,000		437,412
Customers Bank
6.13% due 06/26/291,3		400,000		407,000
Wilton Re Finance LLC
5.88% due 03/30/331,3		375,000		394,466
Atlantic Marine Corporations Communities LLC
5.43% due 12/01/503		339,286		344,046
Royal Bank of Scotland Group plc
5.13% due 05/28/24		300,000		305,157
Allstate Corp.
5.75% due 08/15/531,7		250,000		263,438
Assured Guaranty US Holdings, Inc.
5.00% due 07/01/247		200,000		210,988
CIC Receivables Master Trust
4.89% due 10/07/21†††		200,000		202,920
Cadence Bank North America
6.25% due 06/28/291,9		150,000		152,250
Cadence Financial Corp.
4.88% due 06/28/199		100,000		100,500
Total Financial				18,740,210
BASIC MATERIALS - 2.6%
Newcrest Finance Pty Ltd.
4.20% due 10/01/223,7		1,100,000		992,480
4.45% due 11/15/213		500,000		475,139
Yamana Gold, Inc.
4.95% due 07/15/24		950,000		927,178
AngloGold Ashanti Holdings plc
5.13% due 08/01/22		1,015,000		926,201
Total Basic Materials				3,320,998
CONSUMER, CYCLICAL - 2.4%
Northern Group Housing LLC
6.80% due 08/15/533		600,000		711,882
United Airlines 2014-2 Class B Pass Through Trust
4.63% due 09/03/22		700,000		686,001
Sabre GLBL, Inc.
8.50% due 05/15/193,7		600,000		642,000
Continental Airlines 2012-2 Class B Pass Through Trust
5.50% due 10/29/20		362,393		375,076
GRD Holdings III Corp.
10.75% due 06/01/193		250,000		273,125
QVC, Inc.
7.38% due 10/15/203		250,000		261,875

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 47

SCHEDULE OF INVESTMENTS (continued)	December 31, 2014
SERIES E (TOTAL RETURN BOND SERIES)

	Face Amount		Value
Continental Airlines 2012-1 Class B Pass Through Trust
6.25% due 04/11/20	$	105,996	$	111,296
Total Consumer, Cyclical				3,061,255
INDUSTRIAL - 1.6%
Quality Distribution LLC / QD Capital Corp.
9.88% due 11/01/18		750,000		781,875
Chicago Bridge & Iron Co.
5.15% due 12/27/22†††,5		750,000		777,975
SBM Baleia Azul
5.50% due 09/15/27†††,5		453,600		401,617
Prosight Global Inc.
7.50% due 11/26/20†††,5		100,000		102,330
Total Industrial				2,063,797
CONSUMER, NON-CYCLICAL - 1.0%
CDK Global, Inc.
4.50% due 10/15/247		1,000,000		1,014,394
Central Garden and Pet Co.
8.25% due 03/01/18		250,000		251,875
Total Consumer, Non-cyclical				1,266,269
ENERGY - 0.8%
Regency Energy Partners Limited Partnership / Regency Energy Finance Corp.
8.38% due 06/01/19		415,000		434,713
BreitBurn Energy Partners Limited Partnership / BreitBurn Finance Corp.
7.88% due 04/15/227		550,000		424,875
Crestwood Midstream Partners Limited Partnership / Crestwood Midstream Finance Corp.
7.75% due 04/01/19		110,000		112,750
Total Energy				972,338
COMMUNICATIONS - 0.5%
Avaya, Inc.
7.00% due 04/01/193		650,000		633,750
DIVERSIFIED - 0.4%
Leucadia National Corp.
5.50% due 10/18/237		450,000		460,855
Total Corporate Bonds
(Cost $30,511,291)				30,519,472
MORTGAGE-BACKED SECURITIES†† - 6.8%
COMM 2014-KYO Mortgage Trust
2014-KYO, 2.51% due 06/11/271,3		1,000,000		994,126
2014-KYO, 2.16% due 06/11/271,3		500,000		497,056
Hilton USA Trust 2013-HLT
2013-HLT, 4.41% due 11/05/303		950,000		971,649
2013-HLT, 5.22% due 11/05/181,3		300,000		307,369
SRERS Funding Ltd.
2011-RS, 0.41% due 05/09/461,3		1,239,934		1,181,037
Boca Hotel Portfolio Trust
2013-BOCA, 3.21% due 08/15/261,3		1,000,000		999,393
CSMC Series 2014-ICE
2014-ICE, 2.31% due 04/15/271,3		1,000,000		993,950
BBCMS Trust 2013-TYSN
2013-TYSN, 3.71% due 09/05/323		900,000		884,032
HarborView Mortgage Loan Trust
2006-12, 0.35% due 01/19/381		996,574		844,340
Motel 6 Trust
2012-MTL6, 3.78% due 10/05/253		450,000		444,970
GMAC Commercial Mortgage Asset Corp.
2003-PRES, 6.24% due 10/10/41†††,3		240,893		255,997
T2 Income Fund CLO Ltd.
2007-1X, 1.73% due 07/15/19		250,000		249,650
Ginnie Mae
518436, 7.25% due 09/15/29		9,356		9,933
Fannie Mae8
1990-68, 6.95% due 07/25/20		781		840
1990-103, 7.50% due 09/25/20		227		245
Freddie Mac8
1990-188, 7.00% due 09/15/21		374		408
Total Mortgage-Backed Securities
(Cost $8,513,909)				8,634,995
MUNICIPAL BONDS†† - 6.7%
FLORIDA - 1.4%
County of Miami-Dade Florida Revenue Bonds
0.00% due 10/01/456		5,600,000		1,311,072
0.00% due 10/01/426		1,500,000		410,175
Total Florida				1,721,247
NEW JERSEY - 1.1%
New Jersey Transportation Trust Fund Authority Revenue Bonds
0.00% due 12/15/326		3,000,000		1,347,749
ALABAMA - 1.0%
County of Jefferson Alabama Sewer Revenue Revenue Bonds
0.00% due 10/01/306		1,000,000		449,440
0.00% due 10/01/346		775,000		255,456
0.00% due 10/01/366		875,000		250,810
0.00% due 10/01/356		525,000		161,443
0.00% due 10/01/316		275,000		115,090
0.00% due 10/01/326		250,000		96,375
Total Alabama				1,328,614
PUERTO RICO - 1.0%
Puerto Rico Commonwealth Aqueduct & Sewer Authority Revenue Bonds
5.13% due 07/01/47		1,000,000		1,000,970

48 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (continued)	December 31, 2014
SERIES E (TOTAL RETURN BOND SERIES)

	Face Amount		Value
Puerto Rico Highways & Transportation Authority Revenue Bonds
5.50% due 07/01/28	$	200,000	$	210,326
Total Puerto Rico				1,211,296
ILLINOIS - 0.9%
State of Illinois General Obligation Unlimited
6.90% due 03/01/35		500,000		576,235
5.65% due 12/01/38		400,000		421,324
City of Chicago Illinois General Obligation Unlimited
5.00% due 01/01/27		150,000		161,349
0.00% due 01/01/306		100,000		49,848
Total Illinois				1,208,756
MICHIGAN - 0.8%
Detroit City School District General Obligation Unlimited
7.75% due 05/01/39		750,000		993,338
CALIFORNIA - 0.5%
Stockton Unified School District General Obligation Unlimited
0.00% due 08/01/366		755,000		294,042
0.00% due 08/01/356		490,000		200,978
Inland Valley Development Agency Tax Allocation
5.50% due 03/01/33		170,000		181,353
Total California				676,373
Total Municipal Bonds
(Cost $8,089,961)				8,487,373
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 5.9%
LSTAR Securities Investment Trust
2014-1, 3.26% due 09/01/211,9		1,950,039		1,950,039
Luminent Mortgage Trust
2006-2, 0.37% due 02/25/461		1,350,618		1,017,629
American Home Mortgage Investment Trust
2006-1, 0.37% due 03/25/461		1,195,709		1,003,005
Alternative Loan Trust
2003-18CB, 5.25% due 09/25/33		956,236		993,404
HarborView Mortgage Loan Trust
2006-14, 0.31% due 01/25/471		940,773		735,192
Washington Mutual Mortgage Pass-Through Certificates WMALT Series Trust
2006-AR9, 0.95% due 11/25/461		605,826		422,060
Chase Mortgage Finance Trust Series
2006-S3, 6.00% due 11/25/36		431,835		367,476
Washington Mutual Mortgage Pass-Through Certificates WMALT Series Trust
2006-8, 5.76% due 10/25/36		336,798		270,284
Nomura Resecuritization Trust
2012-1R, 0.61% due 08/27/471,3		271,876		251,485
Structured Asset Mortgage Investments II Trust
2006-AR1, 0.40% due 02/25/361		212,970		181,177
Morgan Stanley Re-REMIC Trust
2010-R5, 0.45% due 06/26/361,3		194,752		139,359
American Home Mortgage Assets Trust
2007-1, 0.81% due 02/25/471		224,554		137,957
JP Morgan Mortgage Trust
2006-A3, 2.62% due 04/25/361		68,259		58,832
Total Collateralized Mortgage Obligations
(Cost $7,538,565)				7,527,899
SENIOR FLOATING RATE INTERESTS††,1 - 4.2%
INDUSTRIAL - 0.4%
Capstone Logistics
5.50% due 10/07/21		399,000		396,506
CareCore National LLC
5.50% due 03/05/21		149,623		147,753
Total Industrial				544,259
CONSUMER, CYCLICAL - 1.3%
Landry’s, Inc.
4.00% due 04/24/18		620,655		615,691
Ollies Bargain Outlet
4.75% due 09/28/19		435,301		426,595
Neiman Marcus Group, Inc.
4.25% due 10/25/20		346,507		338,204
1-800 Contacts, Inc.
4.25% due 01/29/21		248,125		240,991
Total Consumer, Cyclical				1,621,481
TECHNOLOGY - 0.9%
Avago Technologies Ltd.
3.75% due 05/06/21		796,000		792,354
Greenway Medical Technologies
6.00% due 11/04/205		346,500		343,035
Total Technology				1,135,389
FINANCIAL - 0.6%
Corporate Capital Trust
4.00% due 05/20/19		297,750		294,028
Magic Newco, LLC
5.00% due 12/12/18		246,225		244,994
National Financial Partners Corp.
4.50% due 07/01/20		197,506		195,037
American Stock Transfer & Trust
5.75% due 06/26/20		96,401		95,678
Total Financial				829,737

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 49

SCHEDULE OF INVESTMENTS (concluded)	December 31, 2014
SERIES E (TOTAL RETURN BOND SERIES)

	Face Amount		Value
COMMUNICATIONS - 0.4%
Asurion Corp.
5.00% due 05/24/19	$	455,390	$	448,805
MergerMarket Ltd.
4.50% due 02/04/21		99,250		93,791
Total Communications				542,596
BASIC MATERIALS - 0.4%
Fortescue Metals Group Ltd.
3.75% due 06/30/19		496,231		449,585
CONSUMER, NON-CYCLICAL - 0.2%
NES Global Talent
6.50% due 10/03/19		146,250		138,938
Performance Food Group
6.25% due 11/14/19		98,995		96,891
Total Consumer, Non-cyclical				235,829
Total Senior Floating Rate Interests
(Cost $5,447,283)				5,358,876
U.S. GOVERNMENT SECURITIES†† - 1.0%
U.S. Treasury Bonds
0.00% due 05/15/446		2,855,000		1,234,985
Total U.S. Government Securities
(Cost $1,154,865)				1,234,985
Total Investments - 104.9%
(Cost $133,293,051)			$	133,842,979
Other Assets & Liabilities, net - (4.9)%				(6,192,789	)
Total Net Assets - 100.0%			$	127,650,190

*	Non-income producing security.
†	Value determined based on Level 1 inputs, unless otherwise noted — See Note 4.
††	Value determined based on Level 2 inputs, unless otherwise noted — See Note 4.
†††	Value determined based on Level 3 inputs — See Note 4.
1	Variable rate security. Rate indicated is rate effective at December 31, 2014.
2	Perpetual maturity.
3	Security is a 144A or Section 4(a)(2) security. The total market value of 144A or Section 4(a)(2) securities is $61,376,458 (cost $60,862,177), or 48.1% of total net assets. These securities have been determined to be liquid under guidelines established by the Board of Trustees.
4	Affiliated issuer — See Note 10.
5	Illiquid security.
6	Zero coupon rate security.
7	Security or a portion thereof is held as collateral for reverse repurchase agreements — See Note 14.
8	On September 7, 2008, the issuer was placed in conservatorship by the Federal Housing Finance Agency (FHFA). As conservator, the FHFA has full powers to control the assets and operations of the firm.
9	Security is a 144A or Section 4(a)(2) security. These securities are considered illiquid and restricted under guidelines established by the Board of Trustees. The total market value of 144A or Section 4(a)(2) securities is $2,202,789 (cost $2,198,781) or 1.7% of total net assets — See Note 15.
10	Residual interest.
	plc — Public Limited Company
	REIT — Real Estate Investment Trust

50 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SERIES E (TOTAL RETURN BOND SERIES)

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2014
Assets:
Investments in unaffiliated issuers, at value (cost $121,112,570)	$	121,716,654
Investments in affiliated issuers, at value (cost $12,180,481)		12,126,325
Total investments (cost $133,293,051)		133,842,979
Cash		630,491
Prepaid expenses		4,410
Receivables:
Interest		717,031
Fund shares sold		86,495
Dividends		66,943
Securities sold		784
Total assets		135,349,133
Liabilities:
Reverse Repurchase Agreements		6,896,743
Payable for:
Management fees		27,172
Securities purchased		659,716
Fund shares redeemed		31,481
Distribution and service fees		26,955
Fund accounting/administration fees		10,243
Trustees’ fees*		5,054
Transfer agent/maintenance fees		4,074
Miscellaneous		37,505
Total liabilities		7,698,943
Net assets	$	127,650,190
Net assets consist of:
Paid in capital	$	132,386,174
Undistributed net investment income		2,294,184
Accumulated net realized loss on investments		(7,580,096	)
Net unrealized appreciation on investments		549,928
Net assets	$	127,650,190
Capital shares outstanding		8,032,008
Net asset value per share	$	15.89

STATEMENT OF OPERATIONS

Year Ended December 31, 2014
Investment Income:
Interest	$	4,307,791
Dividends from securities of unaffiliated issuers		204,748
Dividends from securities of affiliated issuers		202,591
Total investment income		4,715,130
Expenses:
Management fees		712,359
Transfer agent/maintenance fees		25,005
Distribution and service fees		63,063
Fund accounting/administration fees		98,219
Interest expense		41,123
Trustees’ fees*		10,276
Line of credit fees		9,151
Custodian fees		6,093
Tax expense		3
Miscellaneous		119,857
Total expenses		1,085,149
Less:
Expenses waived by Adviser		(211,408	)
Net expenses		873,741
Net investment income		3,841,389
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		1,018,392
Investments in affiliated issuers		(25,957	)
Swap agreements		468,194
Foreign currency		(1,135	)
Forward foreign currency exchange contracts		25,757
Options purchased		(115,258	)
Options written		26,026
Realized gain distributions received from investment company shares		15,906
Net realized gain		1,411,925
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		2,457,233
Investments in affiliated issuers		(54,156	)
Swap agreements		(83,700	)
Net change in unrealized appreciation (depreciation)		2,319,377
Net realized and unrealized gain		3,731,302
Net increase in net assets resulting from operations	$	7,572,691

* Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 51

SERIES E (TOTAL RETURN BOND SERIES)

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended December 31, 2014			Year Ended December 31, 2013
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	3,841,389		$	3,908,285
Net realized gain on investments		1,411,925			4,211,573
Net change in unrealized appreciation (depreciation) on investments		2,319,377			(6,427,341	)
Net increase in net assets resulting from operations		7,572,691			1,692,517
Capital share transactions:
Proceeds from sale of shares		66,326,336			31,425,503
Cost of shares redeemed		(40,371,887	)		(51,786,447	)
Net increase (decrease) from capital share transactions		25,954,449			(20,360,944	)
Net increase (decrease) in net assets		33,527,140			(18,668,427	)
Net assets:
Beginning of year		94,123,050			112,791,477
End of year	$	127,650,190		$	94,123,050
Undistributed net investment income at end of year	$	2,294,184		$	3,078,802
Capital share activity:
Shares sold		4,264,463			2,168,510
Shares redeemed		(2,634,663	)		(3,573,041	)
Net increase (decrease) in shares		1,629,800			(1,404,531	)

52 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SERIES E (TOTAL RETURN BOND SERIES)

FINANCIAL HIGHLIGHTS

This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.

	Year Ended December 31, 2014			Year Ended December 31, 2013			Year Ended December 31, 2012			Year Ended December 31, 2011			Year Ended December 31, 2010
Per Share Data
Net asset value, beginning of period	$	14.70		$	14.45		$	13.65		$	12.98		$	12.24
Income (loss) from investment operations:
Net investment income (loss)a		.58			.54			.38			.34			.35
Net gain (loss) on investments (realized and unrealized)		.61			(.29	)		.42			.33			.39
Total from investment operations		1.19			.25			.80			.67			.74
Net asset value, end of period	$	15.89		$	14.70		$	14.45		$	13.65		$	12.98
Total Returnb		8.10	%		1.73	%		5.86	%		5.16	%		6.05	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	127,650		$	94,123		$	112,791		$	123,575		$	127,091
Ratios to average net assets:
Net investment income (loss)		3.72	%		3.69	%		2.75	%		2.57	%		2.72	%
Total expensesc		1.05	%		1.07	%		0.94	%		0.92	%		0.92	%
Net expensesd,e		0.85	%		0.87	%		0.81	%		0.81	%		0.79	%
Portfolio turnover rate		62	%		109	%		79	%		49	%		38	%

a	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
b	Total return does not take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Guggenheim Variable Funds Trust are available only through the purchase of such products.
c	Does not include expenses of the underlying funds in which the Fund invests.
d	Net expense information reflects the expense ratios after expense waivers.
e	Net expenses may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the operating ratios for the periods would be:

12/31/14	12/31/13
0.79%	0.81%

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 53

MANAGER'S COMMENTARY (Unaudited) December 31, 2014

To Our Shareholders

The Series F (Floating Rate Strategies Series) is managed by a team of seasoned professionals, including B. Scott Minerd, Chairman of Investments and Global Chief Investment Officer; Anne B. Walsh, Senior Managing Director and Assistant Chief Investment Officer; Kevin H. Gundersen CFA, Senior Managing Director and Portfolio Manager; James W. Michal, Managing Director and Portfolio Manager; and Thomas J. Hauser, Managing Director and Portfolio Manager, who was added as a portfolio manager for the Series during the period. Michael P. Damaso no longer serves as a portfolio manager for the Series. In the following paragraphs, the investment team discusses the market environment and Series performance for the fiscal year ended December 31, 2014.

For the one-year period ended December 31, 2014, the Series F (Floating Rate Strategies Series) returned 2.38%, compared with the 2.04% return of its benchmark, the Credit Suisse Leveraged Loan Index.

After a strong start for leveraged credit in the first half of 2014, significant volatility in the second half ultimately culminated in the weakest performance since 2008 for high yield bonds and since 2011 for leveraged loans.

While the sell-off was initially sparked by market unease over the Fed winding down its purchases of U.S. Treasuries and mortgage-backed securities, it continued through the fourth quarter as markets grew anxious over the weakening global outlook and the potentially adverse effects of a continued plunge in oil prices on the leveraged credit market. With energy credit issuers making up more than 20% of the high yield bond market, the sudden decline in oil prices affected the prices of issuers in that sector, and the Fund moved quickly to reduce exposure to energy credits.

Sector fund flows remained volatile throughout the year. High-yield bond funds and bank loan funds recorded net outflows of $6.3 billion and $17.3 billion for the year, respectively.

Positive performance in the year was primarily a result of credit selection and timely moves between high yield and bank loan allocations. The Fund ended the period with approximately 70% of assets invested in leveraged loans, down slightly from the beginning of the period. The next-largest allocation, high yield bonds, doubled to about 11% at year end. Despite weaker performance in the broader bank loan market relative to high yield during the year, the Fund’s allocation to bank loans had a positive impact on portfolio performance as its loan positions handily outperformed the Credit Suisse Leveraged Loan Index by over the period.

Most bank loans traded wide of ex-recession averages for the period, indicating that there may be room for further spread compression. The Fund favored BB-rated and B-rated bank loans, which we believe offered better relative value than loans in the lower-quality CCC space. The Fund has maintained an average portfolio quality of B+ and has the ability to invest across the ratings spectrum.

The Fund’s overweight in floating rate securities is in line with our view that interest rates will remain low but volatile for an extended time, and meets investors’ need to protect against the inevitable volatility associated with an eventual change in policy from the Fed. Market volatility has begun to rise in part as a result of geo-political and macroeconomic uncertainty, and the Fed’s indicated intention to begin raising interest rates in 2015 looming. Our view is that it is prudent to protect against volatility and rising interest rates in advance of these factors becoming more pronounced. We believe bank loans will outperform fixed-rated investments in a rising rate environment.

While retail demand for bank loans weakened during the latter half of the year, institutional investor demand remained strong. Bank loans offer good investor protection at the high end of the capital structure, as evidenced by the record $124 billion of collateralized loan obligation (CLO) issuances in 2014. Combined with yields having increased in the high yield market and Treasury rates’ continuing declines, this should provide a tailwind to the asset category in the near term.

We remain positive on credit and do not expect to see widespread defaults over the next year, but with the potential for more volatility ahead, we continue to focus on upgrading credit quality. We believe current spreads present attractive entry points to certain sectors and credits. The sell-off over the past six months presents an opportunity to carefully analyze loans and bonds that may have been oversold and are currently trading below fair value.

Performance displayed represents past performance, which is no guarantee of future results.

The opinions and forecast expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.

54 | THE GUGGENHEIM FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) December 31, 2014

SERIES F (FLOATING RATE STRATEGIES SERIES)

OBJECTIVE: Seeks to provide a high level of current income while maximizing total return.

Holdings Diversification

(Market Exposure as % of Net Assets)

“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments or investments in Guggenheim Strategy Funds Trust mutual funds.

Portfolio Composition by Quality Rating**
Rating
Fixed Income Instruments
AA	0.6%
A	5.0%
BBB	5.8%
BB	18.7%
B	62.1%
CCC	5.5%
NR	0.2%
Other Instruments
Short Term Investments	2.1%
Total Investments	100.0%
The chart above reflects percentages of the value of total investments.

Inception Date: April 24, 2013

Ten Largest Holdings (% of Total Net Assets)
Cengage Learning Acquisitions, Inc.	1.8%
Active Network, Inc., The	1.6%
Phillips-Medsize Corp.	1.3%
BJ’s Wholesale Club, Inc.	1.3%
Compucom Systems, Inc.	1.2%
Fitness International LLC	1.2%
Albertson’s (Safeway) Holdings LLC	1.2%
Element Materials Technology	1.2%
Evergreen Skill	1.1%
Grocery Outlet, Inc.	1.1%
Top Ten Total	13.0%
“Ten Largest Holdings” exclude any temporary cash or derivative investments.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 55

PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) December 31, 2014

Cumulative Fund Performance*^,†

Average Annual Returns*

Periods Ended December 31, 2014^†

	1 Year	Since Inception (04/24/13)
Series F (Floating Rate Strategies Series)	2.38%	2.89%
Credit Suisse Leveraged Loan Index	2.04%	3.06%

*	The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Credit Suisse Leveraged Loan Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return.
**	Source: Factset. Credit quality ratings are measured on a scale that generally ranges from AAA (highest) to D (lowest). All rated securities have been rated by Moody’s, Standard & Poor’s (“S&P”), or Fitch, which are all a Nationally Recognized Statistical Rating Organization (“NRSRO”). For purposes of this presentation, when ratings are available from more than one agency, the highest rating is used. Guggenheim Investments has converted Moody’s and Fitch ratings to the equivalent S&P rating. Unrated securities do not necessarily indicate low credit quality. Security ratings are determined at the time of purchase and may change thereafter.
†	Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Guggenheim Variable Funds Trust are available only through the purchase of such products.

56 | THE GUGGENHEIM FUNDS ANNUAL REPORT

SCHEDULE OF INVESTMENTS	December 31, 2014
SERIES F (FLOATING RATE STRATEGIES SERIES)

	Shares		Value
SHORT TERM INVESTMENTS† - 2.0%
Federated U.S. Treasury Cash Reserve Fund		928,575	$	928,575
Total Short Term Investments
(Cost $928,575)				928,575
	Face Amount
SENIOR FLOATING RATE INTERESTS††,2 - 82.4%
INDUSTRIAL - 18.1%
Element Materials Technology
5.25% due 08/06/21	$	548,625		540,395
B/E Aerospace
4.00% due 11/19/21		500,000		496,999
CareCore National LLC
5.50% due 03/05/21		497,622		491,401
GYP Holdings III Corp.
4.75% due 04/01/21		497,500		481,953
Brickman Group Holdings, Inc.
4.00% due 12/18/20		495,504		480,173
Landmark Aviation (US)
4.75% due 10/25/19		463,169		458,538
AlliedBarton Security Services LLC
4.25% due 02/12/21		440,470		432,211
Power Borrower, LLC
4.25% due 05/06/20		430,096		417,912
Knowledge Learning Corp.
5.25% due 03/18/21		397,000		396,008
US Infrastructure Corp.
4.00% due 07/10/20		394,000		382,180
Thermasys Corp.
5.25% due 05/03/19		385,000		377,300
Nord Anglia Education Finance LLC
4.50% due 03/31/21		348,250		343,897
Amber Bidco Foster + Partners
4.62% due 07/18/21†††		350,000		343,372
Mitchell International, Inc.
8.50% due 10/11/21		300,000		298,050
Connolly Corp.
5.00% due 05/14/21		298,500		295,142
Mast Global
8.75% due 09/12/19†††,1		259,098		257,033
VAT Holding AG
4.75% due 02/11/21		248,125		245,748
Doncasters Group Ltd.
9.50% due 10/09/20		220,690		217,103
syncreon
5.25% due 10/28/20		198,000		192,060
SI Organization
5.75% due 11/23/19		187,435		186,029
Crosby Worldwide
3.75% due 11/23/20		168,050		156,287

NaNa Development Corp.
8.00% due 03/15/181	162,500	153,563
Learning Care Group (US), Inc.
5.50% due 05/05/21	149,250	147,571
Ceva Logistics US Holdings
6.50% due 03/19/21	156,453	145,501
Ceva Logistics Holdings BV (Dutch)
6.50% due 03/19/21	113,429	105,489
Ceva Group plc (United Kingdom)
6.50% due 03/19/21	108,374	100,788
Pregis Holding I Corp.
5.00% due 05/20/21	99,500	98,256
Landmark Aviation (Canada)
4.75% due 10/25/19	18,383	18,200
Ceva Logistics Canada, ULC
6.50% due 03/19/21	19,557	18,188
Total Industrial		8,277,347
TECHNOLOGY - 15.8%
Active Network, Inc., The
5.50% due 11/13/20	729,352	712,336
Evergreen Skill
5.75% due 04/28/21	532,250	520,109
MSC Software Corp.
5.00% due 05/29/20	497,500	495,013
Go Daddy Operating Company, LLC
4.75% due 05/13/21	494,471	490,041
TIBCO Software, Inc.
6.50% due 11/25/20	500,000	483,335
Deltek, Inc.
4.50% due 10/10/18	433,666	428,028
Flexera Software LLC
4.50% due 04/02/20	338,105	331,343
8.00% due 04/02/21	100,000	95,000
Greenway Medical Technologies
6.00% due 11/04/201	396,000	392,040
EIG Investors Corp.
5.00% due 11/09/19	393,020	390,072
Sabre, Inc.
4.50% due 02/19/19	395,000	387,594
LANDesk Group, Inc.
5.00% due 02/25/20	395,015	387,443
American Builders & Contractors Supply Co., Inc.
3.50% due 04/16/20	398,990	385,899
Aspect Software, Inc.
7.25% due 05/07/16	370,000	358,900
Wall Street Systems
4.50% due 04/30/21	327,174	321,448
Telx Group
4.50% due 04/09/20	149,250	144,773
7.50% due 04/09/21	100,000	97,167
CCC Information Services, Inc.
4.00% due 12/20/19	245,614	241,930

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 57

SCHEDULE OF INVESTMENTS (continued)	December 31, 2014
SERIES F (FLOATING RATE STRATEGIES SERIES)

	Face Amount		Value
Renaissance Learning Corp.
4.50% due 04/09/21	$	248,125	$	241,716
Sparta Holding Corp.
6.25% due 07/28/20†††		200,000		198,130
Infor (US), Inc.
3.75% due 06/03/20		167,404		161,985
Total Technology				7,264,302
CONSUMER, CYCLICAL - 13.8%
BJ’s Wholesale Club, Inc.
4.50% due 09/26/19		596,985		584,830
Compucom Systems, Inc.
4.25% due 05/07/20		600,000		571,878
Fitness International LLC
5.50% due 07/01/20		597,000		570,135
Eyemart Express
5.00% due 12/16/21		500,000		497,500
Ceridian Corp.
4.50% due 09/15/20		506,327		497,153
Dunkin’ Brands, Inc.
3.25% due 02/07/21		498,187		483,555
Smart & Final Stores LLC
4.75% due 11/15/19		414,105		407,893
Burger King Corp.
4.50% due 12/12/21		400,000		398,284
Lions Gate Entertainment Corp.
5.00% due 07/19/20		400,000		395,500
Information Resources, Inc.
4.75% due 09/26/20		395,000		393,025
American Tire Distributors, Inc.
5.75% due 06/01/18		347,874		347,004
Fleetpride Corp.
5.25% due 11/19/19		303,287		296,715
Dave & Busters, Inc.
4.25% due 07/25/20		202,830		201,563
Acosta, Inc.
5.00% due 09/26/21		200,000		199,714
Ollies Bargain Outlet
4.75% due 09/28/19		185,012		181,312
Mattress Firm
5.25% due 10/20/21		150,000		148,875
Aecom Techology Corp.
3.75% due 10/15/21		127,961		127,847
Total Consumer, Cyclical				6,302,783
FINANCIAL - 11.3%
Magic Newco, LLC
12.00% due 06/12/19		250,000		270,157
5.00% due 12/12/18		246,474		245,242
AssuredPartners
4.50% due 04/02/21		498,750		492,515
Transunion Holding Co.
4.00% due 04/09/21		496,250		488,185
Lineage Logistics LLC
4.50% due 04/07/21		496,250		480,951
HUB International Ltd.
4.25% due 10/02/20		493,769		477,104
STG-Fairway Acquisitions, Inc.
6.25% due 02/28/19		393,003		386,617
Cunningham Lindsey U.S., Inc.
5.00% due 12/10/19		392,982		382,175
HDV Holdings
5.75% due 12/18/181		338,760		336,928
DTZ US Borrower, LLC
5.50% due 11/04/21		300,000		298,500
American Stock Transfer & Trust
5.75% due 06/26/20		289,203		287,034
Fly Leasing Ltd.
4.50% due 08/09/19		285,000		282,595
Intertrust Group
8.00% due 04/11/22		200,000		197,000
Corporate Capital Trust
4.00% due 05/20/19		198,500		196,019
Harbourvest
3.25% due 02/04/21		171,712		165,487
Expert Global Solutions
8.52% due 04/03/18		161,981		160,767
RCS Capital
6.50% due 04/29/19		28,829		26,715
Total Financial				5,173,991
CONSUMER, NON-CYCLICAL - 9.5%
Phillips-Medsize Corp.
4.75% due 06/16/21		597,000		586,553
Albertson’s (Safeway) Holdings LLC
4.50% due 08/25/21		550,000		549,428
Grocery Outlet, Inc.
5.75% due 10/21/21		500,000		498,750
Performance Food Group
6.25% due 11/14/19		495,617		485,085
NES Global Talent
6.50% due 10/03/19		487,500		463,125
Reddy Ice Holdings, Inc.
6.75% due 04/01/191		393,985		346,707
Diamond Foods, Inc.
4.25% due 08/20/18		338,296		334,913
Arctic Glacier Holdings, Inc.
5.00% due 05/10/19		320,616		310,998
Authentic Brands
5.50% due 05/27/21		297,750		296,261
Mitel Networks Corp.
5.25% due 01/31/20		214,164		214,097
Hearthside Foods
4.50% due 06/02/21		149,250		147,571

58 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (continued)	December 31, 2014
SERIES F (FLOATING RATE STRATEGIES SERIES)

	Face Amount		Value
CTI Foods Holding Co. LLC
8.25% due 06/28/21	$	100,000	$	97,750
Total Consumer, Non-cyclical				4,331,238
COMMUNICATIONS - 7.7%
Cengage Learning Acquisitions, Inc.
7.00% due 03/31/20		845,117		835,609
Ziggo BV
3.50% due 01/15/22		500,000		485,400
Internet Brands
5.00% due 07/08/21		465,155		457,401
Avaya, Inc.
6.50% due 03/31/18		244,938		240,855
4.67% due 10/26/17		199,411		190,936
Live Nation Worldwide, Inc.
3.50% due 08/14/20		395,000		390,063
Asurion Corp.
5.00% due 05/24/19		384,447		378,888
MergerMarket Ltd.
4.50% due 02/04/21		347,375		328,269
Anaren, Inc.
5.50% due 02/18/21		148,500		145,530
9.25% due 08/18/21		100,000		98,625
Total Communications				3,551,576
BASIC MATERIALS - 4.6%
CPG International, Inc.
4.75% due 09/30/20		395,000		388,336
Royal Adhesives and Sealants
5.50% due 07/31/18		387,068		388,036
Ennis-Flint
4.25% due 03/31/21		297,750		283,607
7.75% due 09/30/21		100,000		90,000
Styrolution US Holding, LLC
6.50% due 11/07/19		300,000		290,250
Entegris, Inc.
3.50% due 04/30/21		246,503		240,649
Atkore International, Inc.
7.75% due 10/09/21		200,000		195,000
Minerals Technologies, Inc.
4.00% due 05/07/21		188,231		185,878
WR Grace & Co.
3.00% due 02/03/21		57,735		57,194
Total Basic Materials				2,118,950
ENERGY - 1.2%
Cactus Wellhead
7.00% due 07/31/20		548,625		433,413
Floatel International Ltd.
6.00% due 06/27/20		118,251		94,601
Total Energy				528,014
UTILITIES - 0.4%
Expro Holdings UK 3 Ltd.
5.75% due 09/02/21		249,375		203,241
Total Senior Floating Rate Interests
(Cost $38,489,718)				37,751,442
ASSET-BACKED SECURITIES†† - 12.5%
Castlelake Aircraft Securitization Trust
2014-1, 5.25% due 02/15/29		432,802		431,158
Gramercy Real Estate CDO 2007-1 Ltd.
2007-1A, 0.51% due 08/15/562,3		467,208		417,170
Cedar Woods CRE CDO Ltd.
2006-1A, 0.43% due 07/25/51		390,552		350,364
N-Star Real Estate CDO IX Ltd.
0.47% due 02/01/411		355,068		336,853
GreenPoint Mortgage Funding Trust
2005-HE4, 0.87% due 07/25/302		336,162		317,116
RAIT CRE CDO I Ltd.
2006-1X, 0.49% due 11/20/46		309,570		281,616
Salus CLO 2012-1 Ltd.
2013-1AN, 4.98% due 03/05/212,3		250,000		250,475
DIVCORE CLO Ltd.
2013-1A B, 4.06% due 11/15/32		250,000		250,075
Garrison Funding 2013-2 Ltd.
2013-2A, 4.88% due 09/25/232,3		250,000		247,575
COA Summit CLO Limited
2014-1A, 4.08% due 04/20/232,3		250,000		246,300
OZLM Funding Ltd.
2012-2A, 3.48% due 10/30/232,3		250,000		245,975
Newstar Commercial Loan Funding 2013-1 LLC
2013-1A, 4.80% due 09/20/232,3		250,000		245,575
Jasper CLO Ltd.
2005-1A, 1.13% due 08/01/172,3		250,000		244,475
NewStar Arlington Senior Loan Program LLC
2014-1A, 3.53% due 07/25/252,3		250,000		243,725
Acis CLO 2013-2 Ltd.
2013-2A, 4.08% due 10/14/222,3		250,000		241,825
Duane Street CLO IV Ltd.
2007-4A, 2.48% due 11/14/212,3		250,000		240,775
Kingsland III Ltd.
2006-3A, 1.83% due 08/24/212,3		250,000		238,500
Cerberus Onshore II CLO LLC
2014-1A, 4.23% due 10/15/232,3		250,000		236,400
ALM XIV Ltd.
2014-14A, 3.68% due 07/28/262,3		250,000		232,625
Kingsland IV Ltd.
2007-4A, 1.68% due 04/16/212,3		250,000		230,300
Wachovia Asset Securitization Issuance II LLC Trust
2007-HE1, 0.31% due 07/25/372,3		139,234		125,001
New Century Home Equity Loan Trust
2004-4, 0.96% due 02/25/352		58,210		52,856

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 59

SCHEDULE OF INVESTMENTS (concluded)	December 31, 2014
SERIES F (FLOATING RATE STRATEGIES SERIES)

	Face Amount		Value
West Coast Funding Ltd.
2006-1A, 0.39% due 11/02/412,3	$	21,756	$	21,454
Total Asset-Backed Securities
(Cost $5,589,584)				5,728,188
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 1.2%
GreenPoint Mortgage Funding Trust
2006-AR1, 0.46% due 02/25/362		240,011		201,032
Nomura Resecuritization Trust
2012-1R, 0.61% due 08/27/472,3		151,042		139,714
Bear Stearns Mortgage Funding Trust
2007-AR5, 0.34% due 06/25/472		151,737		122,261
Morgan Stanley Re-REMIC Trust
2010-R5, 0.45% due 06/26/362,3		129,835		92,906
Total Collateralized Mortgage Obligations
(Cost $564,616)				555,913
MORTGAGE-BACKED SECURITIES†† - 0.3%
HarborView Mortgage Loan Trust
2006-12, 0.35% due 01/19/382		156,325		132,445
Total Mortgage-Backed Securities
(Cost $132,453)				132,445
Total Investments - 98.4%
(Cost $45,704,946)			$	45,096,563
Other Assets & Liabilities, net - 1.6%				740,231
Total Net Assets - 100.0%			$	45,836,794

†	Value determined based on Level 1 inputs — See Note 4.
††	Value determined based on Level 2 inputs, unless otherwise noted — See Note 4.
†††	Value determined based on Level 3 inputs — See Note 4.
1	Illiquid security.
2	Variable rate security. Rate indicated is rate effective at December 31, 2014.
3	Security is a 144A or Section 4(a)(2) security. The total market value of 144A or Section 4(a)(2) securities is $3,940,770 (cost $3,906,286), or 8.6% of total net assets. These securities have been determined to be liquid under guidelines established by the Board of Trustees.
	plc — Public Limited Company

60 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SERIES F (FLOATING RATE STRATEGIES SERIES)

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2014
Assets:
Investments, at value (cost $45,704,946)	$	45,096,563
Cash		154,259
Prepaid expenses		2,397
Receivables:
Securities sold		2,114,479
Interest		166,150
Fund shares sold		146,955
Total assets		47,680,803
Liabilities:
Unfunded loan commitment, at value (commitment fees received $52)		45
Payable for:
Securities purchased		1,792,724
Management fees		21,652
Distribution and service fees		10,231
Fund accounting/administration fees		3,888
Fund shares redeemed		2,184
Transfer agent/maintenance fees		2,123
Trustees’ fees*		460
Miscellaneous		10,702
Total liabilities		1,844,009
Net assets	$	45,836,794
Net assets consist of:
Paid in capital	$	44,590,258
Undistributed net investment income		1,752,081
Accumulated net realized gain on investments		102,831
Net unrealized depreciation on investments		(608,376	)
Net assets	$	45,836,794
Capital shares outstanding		1,747,052
Net asset value per share	$	26.24

STATEMENT OF OPERATIONS

Year Ended December 31, 2014
Investment Income:
Interest	$	2,440,529
Dividends		3,719
Total investment income		2,444,248
Expenses:
Management fees		329,893
Transfer agent/maintenance fees		25,040
Distribution and service fees		126,882
Fund accounting/administration fees		48,215
Custodian fees		12,015
Trustees’ fees*		5,515
Line of credit fees		4,389
Tax expense		2
Miscellaneous		74,997
Total expenses		626,948
Less:
Expenses waived by Adviser		(36,089	)
Net expenses		590,859
Net investment income		1,853,389
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		145,895
Net realized gain		145,895
Net change in unrealized appreciation (depreciation) on:
Investments		(826,040	)
Net change in unrealized appreciation (depreciation)		(826,040	)
Net realized and unrealized loss		(680,145	)
Net increase in net assets resulting from operations	$	1,173,244

* Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 61

SERIES F (FLOATING RATE STRATEGIES SERIES)

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended December 31, 2014			Period Ended December 31, 2013a
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	1,853,389		$	763,204
Net realized gain on investments		145,895			85,624
Net change in unrealized appreciation (depreciation) on investments		(826,040	)		217,664
Net increase in net assets resulting from operations		1,173,244			1,066,492
Capital share transactions:
Proceeds from sale of shares		50,117,000			62,571,845
Cost of shares redeemed		(51,795,965	)		(17,295,822	)
Net increase (decrease) from capital share transactions		(1,678,965	)		45,276,023
Net increase (decrease) in net assets		(505,721	)		46,342,515
Net assets:
Beginning of period		46,342,515			—
End of period	$	45,836,794		$	46,342,515
Undistributed net investment income at end of period	$	1,752,081		$	794,675
Capital share activity:
Shares sold		1,921,033			2,495,635
Shares redeemed		(1,983,273	)		(686,343	)
Net increase (decrease) in shares		(62,240	)		1,809,292

^a Since commencement of operations: April 24, 2013.

62 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SERIES F (FLOATING RATE STRATEGIES SERIES)

FINANCIAL HIGHLIGHTS

This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.

	Year Ended December 31, 2014			Period Ended December 31, 2013a
Per Share Data
Net asset value, beginning of period	$	25.61		$	25.00
Income (loss) from investment operations:
Net investment income (loss)b		.95			.49
Net gain (loss) on investments (realized and unrealized)		(.32	)		.12
Total from investment operations		.63			.61
Net asset value, end of period	$	26.24		$	25.61
Total Returnc		2.38	%		2.48	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	45,837		$	46,343
Ratios to average net assets:
Net investment income (loss)		3.65	%		2.81	%
Total expenses		1.24	%		1.35	%d
Net expensese		1.16	%		1.17	%
Portfolio turnover rate		90	%		53	%

a	Since commencement of operations: April 24, 2013. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
b	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
c	Total return does not take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Guggenheim Variable Funds Trust are available only through the purchase of such products.
d	Due to limited length of Fund operations, ratios for this period may not be indicative of future performance.
e	Net expenses may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the operating expense ratios for the periods would be:

12/31/14	12/31/13
1.15%	1.15%

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 63

MANAGER'S COMMENTARY (Unaudited) December 31, 2014

To Our Shareholders:

The Series J (StylePlus—Mid Growth Series) is managed by a team of seasoned professionals, including B. Scott Minerd, Global Chairman of Investments and Chief Investment Officer; Farhan Sharaff, Senior Managing Director and Assistant Chief Investment Officer, Equities; Jayson Flowers, Senior Managing Director and Head of Equity and Derivative Strategies; and Scott Hammond, Managing Director and Portfolio Manager. In the following paragraphs, the investment team discusses performance for the fiscal year ended December 31, 2014.

For the year ended December 31, 2014, the Series J (StylePlus—Mid Growth Series) returned 13.05%, compared with the 11.90% return of its benchmark, the Russell Midcap^® Growth Index.

The Fund seeks to outperform the Russell Midcap Growth Index by combining actively managed and passive equity exposure, along with an actively managed fixed income portfolio. The passive equity position is maintained with swap agreements and futures contracts. The Fund’s fixed income component invests in a variety of fixed income sectors, including asset-backed securities (ABS), mortgage-backed securities (MBS), high yield corporate bonds and bank loans.

The allocation between active and passive equity is tactically managed based on the environment for stock-picking opportunities. When stock selection opportunities are less attractive, the Fund invests in derivatives based on the target index, backed by a diversified portfolio of fixed income instruments. In this way, the Fund believes it will deliver the target index return plus an alpha component commensurate with the yield achieved on the active fixed income portfolio.

For the period, the Fund maintained an average allocation of a little more than 20% to the actively managed equity allocation and slightly less than 80% to the passive equity position. The actively managed equity sleeve was scaled down from 25% to 20% mid-year, as U.S. equity and credit markets became more volatile beginning in the third quarter. While the sell-off was initially sparked by market unease over the Fed winding down its purchases of U.S. Treasuries and mortgage-backed securities, it continued through the fourth quarter as markets grew anxious over the weakening global outlook. The actively managed sleeve was maintained at about 20% for the rest of the period.

The Fund’s active equity and active fixed income exposures both contributed to performance for the period. The passive equity position was neutral to performance, and the swap agreements contributed to performance.

The actively managed equity portfolio was underweight the more expensive smaller and momentum names (based on various measures, such as price-to-earnings), and overweight the less expensive and larger holdings. Sectors that contributed most to performance for the year were Industrials and Health Care. Sectors that detracted most from performance for the year were Consumer Discretionary and Telecommunication Services.

Uncorrelated with the Fund’s active equity component, the fixed-income component was largely invested in ABS and MBS. These positions constituted the majority of the fixed income sleeve’s total return.

Performance displayed represents past performance, which is no guarantee of future results.

The opinions and forecast expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.

64 | THE GUGGENHEIM FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) December 31, 2014

SERIES J (STYLEPLUS—MID GROWTH SERIES)

OBJECTIVE: Seeks long-term growth of capital

Holdings Diversification

(Market Exposure as % of Net Assets)

“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments or investments in Guggenheim Strategy Funds Trust mutual funds.

Portfolio Composition by Quality Rating**
Rating
Fixed Income Instruments
AAA	6.1%
AA	2.6%
A	5.0%
BBB	5.1%
BB	0.5%
B	2.3%
CCC	0.4%
Other Instruments
Mutual Funds	53.1%
Common Stocks	20.6%
Short Term Investments	4.3%
Total Investments	100.0%
The chart above reflects percentages of the value of total investments.

Inception Date: October 1, 1992

Ten Largest Holdings (% of Total Net Assets)
Guggenheim Variable Insurance Strategy Fund III	23.1%
Guggenheim Strategy Fund I	16.5%
Guggenheim Strategy Fund II	8.0%
Guggenheim Strategy Fund III	5.7%
HSI Asset Securitization Corporation Trust — Class 2A3	1.0%
Duane Street CLO IV Ltd. — Class A1T	0.9%
Resource Capital Corporation CRE Notes 2013 Ltd. — Class B	0.8%
Boca Hotel Portfolio Trust — Class D	0.8%
Goldman Sachs Asset Management CLO plc — Class D	0.7%
Argent Securities Incorporated Asset-Backed Pass-Through Certificates Series — Class A2D	0.7%
Top Ten Total	58.2%
“Ten Largest Holdings” exclude any temporary cash or derivative investments.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 65

PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) December 31, 2014

Cumulative Fund Performance*^,†

Average Annual Returns*

Periods Ended December 31, 2014^†

	1 Year	5 Year	10 Year
Series J (StylePlus—Mid Growth Series)	13.05%	15.21%	5.92%
Russell Midcap Growth Index	11.90%	16.94%	9.43%

*	The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Russell Midcap Growth Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return.
**	Source: Factset. Credit quality ratings are measured on a scale that generally ranges from AAA (highest) to D (lowest). All rated securities have been rated by Moody’s, Standard & Poor’s (“S&P”), or Fitch, which are all a Nationally Recognized Statistical Rating Organization (“NRSRO”). For purposes of this presentation, when ratings are available from more than one agency, the highest rating is used. Guggenheim Investments has converted Moody’s and Fitch ratings to the equivalent S&P rating. Unrated securities do not necessarily indicate low credit quality. Security ratings are determined at the time of purchase and may change thereafter.
†	Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Guggenheim Variable Funds Trust are available only through the purchase of such products.

66 | THE GUGGENHEIM FUNDS ANNUAL REPORT

SCHEDULE OF INVESTMENTS	December 31, 2014
SERIES J (STYLEPLUS—MID GROWTH SERIES)

	Shares		Value
COMMON STOCKS† - 20.7%
CONSUMER, NON-CYCLICAL - 6.5%
Mylan, Inc.*		7,967	$	449,100
Mead Johnson Nutrition Co. — Class A		4,041		406,282
Constellation Brands, Inc. — Class A*		4,013		393,956
Keurig Green Mountain, Inc.		2,930		387,917
Kroger Co.		5,865		376,592
Western Union Co.		21,005		376,200
Dr Pepper Snapple Group, Inc.		5,073		363,632
Brown-Forman Corp. — Class B		3,990		350,482
Cigna Corp.		3,382		348,042
Campbell Soup Co.		7,735		340,340
Coca-Cola Enterprises, Inc.		7,002		309,628
Vertex Pharmaceuticals, Inc.*		2,525		299,970
Monster Beverage Corp.*		2,738		296,662
Cardinal Health, Inc.		3,653		294,907
Kellogg Co.		4,346		284,402
Hormel Foods Corp.		5,337		278,058
United Rentals, Inc.*		2,612		266,450
Clorox Co.		2,546		265,319
St. Jude Medical, Inc.		3,892		253,096
DaVita HealthCare Partners, Inc.*		3,288		249,033
Booz Allen Hamilton Holding Corp.		8,566		227,256
Illumina, Inc.*		1,170		215,959
Boston Scientific Corp.*		16,238		215,154
Ingredion, Inc.		2,460		208,706
Estee Lauder Companies, Inc. — Class A		2,624		199,949
Whole Foods Market, Inc.		3,726		187,865
Hologic, Inc.*		6,788		181,511
RR Donnelley & Sons Co.		10,521		176,805
AmerisourceBergen Corp. — Class A		1,787		161,116
Total System Services, Inc.		4,601		156,250
Varian Medical Systems, Inc.*		1,656		143,261
Avis Budget Group, Inc.*		2,091		138,696
CR Bard, Inc.		806		134,296
H&R Block, Inc.		3,537		119,126
Henry Schein, Inc.*		829		112,868
Hertz Global Holdings, Inc.*		4,515		112,604
Zoetis, Inc.		2,564		110,329
KAR Auction Services, Inc.		3,152		109,217
Avon Products, Inc.		11,565		108,595
DENTSPLY International, Inc.		2,014		107,286
Quanta Services, Inc.*		3,677		104,390
McCormick & Company, Inc.		1,401		104,094
Mallinckrodt plc*		1,031		102,100
Jazz Pharmaceuticals plc*		618		101,185
Hershey Co.		958		99,565
Intuitive Surgical, Inc.*		186		98,383
PAREXEL International Corp.*		1,766		98,119
HealthSouth Corp.		2,540		97,688
HCA Holdings, Inc.*		1,295		95,040
Total Consumer, Non-cyclical				10,617,481
INDUSTRIAL - 4.3%
Parker-Hannifin Corp.		3,401		438,559
Dover Corp.		5,830		418,128
Rockwell Automation, Inc.		3,746		416,555
Corning, Inc.		16,099		369,150
Fluor Corp.		6,073		368,206
Pentair plc		5,338		354,550
Cummins, Inc.		2,292		330,438
Agilent Technologies, Inc.		8,020		328,339
AMETEK, Inc.		5,472		287,991
Flowserve Corp.		4,774		285,628
Stanley Black & Decker, Inc.		2,919		280,458
Roper Industries, Inc.		1,740		272,049
Ingersoll-Rand plc		3,860		244,685
Huntington Ingalls Industries, Inc.		2,132		239,765
Tyco International plc		4,959		217,502
Lincoln Electric Holdings, Inc.		2,838		196,077
Masco Corp.		6,341		159,793
Waste Management, Inc.		2,194		112,596
Timken Co.		2,622		111,907
Moog, Inc. — Class A*		1,438		106,455
Waters Corp.*		934		105,280
Covanta Holding Corp.		4,755		104,658
Waste Connections, Inc.		2,378		104,608
Xylem, Inc.		2,681		102,066
Colfax Corp.*		1,967		101,438
Clean Harbors, Inc.*		2,106		101,193
IDEX Corp.		1,275		99,246
Donaldson Company, Inc.		2,558		98,816
Nordson Corp.		1,258		98,074
Allegion plc		1,757		97,443
Martin Marietta Materials, Inc.		880		97,082
Keysight Technologies, Inc.*		2,854		96,380
FLIR Systems, Inc.		2,979		96,251
Trimble Navigation Ltd.*		3,541		93,978
Kirby Corp.*		1,101		88,895
Total Industrial				7,024,239
TECHNOLOGY - 3.2%
Cerner Corp.*		5,313		343,539
Teradata Corp.*		7,203		314,627
SanDisk Corp.		2,930		287,082
NetApp, Inc.		6,718		278,461
Citrix Systems, Inc.*		3,864		246,523
DST Systems, Inc.		2,492		234,621
Computer Sciences Corp.		3,665		231,078
Activision Blizzard, Inc.		11,196		225,599
Applied Materials, Inc.		8,836		220,193
Fiserv, Inc.*		2,942		208,794
IHS, Inc. — Class A*		1,616		184,030
Intuit, Inc.		1,983		182,813
Dun & Bradstreet Corp.		1,378		166,683
Solera Holdings, Inc.		2,911		148,985
Aspen Technology, Inc.*		3,862		135,247

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 67

SCHEDULE OF INVESTMENTS (continued)	December 31, 2014
SERIES J (STYLEPLUS—MID GROWTH SERIES)

	Shares		Value
Pitney Bowes, Inc.		5,428	$	132,280
VeriFone Systems, Inc.*		3,453		128,452
Xilinx, Inc.		2,681		116,060
Red Hat, Inc.*		1,612		111,454
NCR Corp.*		3,790		110,441
Paychex, Inc.		2,390		110,346
Cadence Design Systems, Inc.*		5,579		105,834
Riverbed Technology, Inc.*		5,167		105,458
Teradyne, Inc.		5,064		100,217
Broadridge Financial Solutions, Inc.		2,149		99,241
KLA-Tencor Corp.		1,407		98,940
Genpact Ltd.*		5,212		98,663
Akamai Technologies, Inc.*		1,566		98,595
Workday, Inc. — Class A*		1,190		97,116
Electronic Arts, Inc.*		2,065		97,086
Avago Technologies Ltd.		964		96,969
Diebold, Inc.		2,793		96,750
PTC, Inc.*		2,563		93,934
Total Technology				5,306,111
CONSUMER, CYCLICAL - 3.0%
Southwest Airlines Co.		6,422		271,780
Macy’s, Inc.		4,120		270,890
Chipotle Mexican Grill, Inc. — Class A*		353		241,632
Harley-Davidson, Inc.		3,654		240,835
United Continental Holdings, Inc.*		3,533		236,323
PACCAR, Inc.		3,427		233,070
The Gap, Inc.		5,103		214,887
Best Buy Company, Inc.		4,654		181,413
VF Corp.		2,388		178,861
Allison Transmission Holdings, Inc.		4,988		169,094
WW Grainger, Inc.		645		164,404
Dollar General Corp.*		2,321		164,094
Wynn Resorts Ltd.		1,034		153,818
Lear Corp.		1,567		153,691
Nordstrom, Inc.		1,919		152,349
Dollar Tree, Inc.*		2,157		151,810
Hilton Worldwide Holdings, Inc.*		5,770		150,539
Starwood Hotels & Resorts Worldwide, Inc.		1,773		143,737
Kohl’s Corp.		2,287		139,598
Wyndham Worldwide Corp.		1,585		135,930
O’Reilly Automotive, Inc.*		671		129,248
Genuine Parts Co.		1,173		125,007
BorgWarner, Inc.		2,066		113,527
Johnson Controls, Inc.		2,204		106,541
MGM Resorts International*		4,980		106,472
HD Supply Holdings, Inc.*		3,463		102,124
Coach, Inc.		2,684		100,811
Alaska Air Group, Inc.		1,686		100,755
Polaris Industries, Inc.		662		100,121
Ralph Lauren Corp. — Class A		531		98,320
Total Consumer, Cyclical				4,831,681
COMMUNICATIONS - 2.6%
VeriSign, Inc.*		6,813		388,341
Juniper Networks, Inc.		14,902		332,614
Liberty Interactive Corp. — Class A*		11,180		328,916
Netflix, Inc.*		848		289,685
ARRIS Group, Inc.*		8,596		259,513
Omnicom Group, Inc.		3,331		258,053
Discovery Communications, Inc. — Class A*		6,473		222,994
LinkedIn Corp. — Class A*		917		210,644
Harris Corp.		2,481		178,185
Motorola Solutions, Inc.		2,338		156,833
Twitter, Inc.*		4,319		154,922
Anixter International, Inc.*		1,672		147,905
Viacom, Inc. — Class B		1,845		138,836
Level 3 Communications, Inc.*		2,511		123,993
EchoStar Corp. — Class A*		2,189		114,923
Scripps Networks Interactive, Inc. — Class A		1,369		103,045
CBS Corp. — Class B		1,801		99,667
Pandora Media, Inc.*		5,555		99,046
Alliance Data Systems Corp.*		346		98,973
CommScope Holding Company, Inc.*		4,306		98,306
Sirius XM Holdings, Inc.*		27,513		96,296
F5 Networks, Inc.*		731		95,370
Discovery Communications, Inc. — Class C*		2,763		93,168
IAC/InterActiveCorp		1,512		91,914
Total Communications				4,182,142
ENERGY - 1.1%
National Oilwell Varco, Inc.		3,584		234,860
Valero Energy Corp.		4,086		202,256
Marathon Petroleum Corp.		1,950		176,007
Cameron International Corp.*		2,530		126,374
Chesapeake Energy Corp.		5,518		107,987
Kosmos Energy Ltd.*		12,860		107,895
ONEOK, Inc.		2,119		105,505
Helmerich & Payne, Inc.		1,552		104,636
Superior Energy Services, Inc.		5,152		103,813
Pioneer Natural Resources Co.		696		103,600
Noble Energy, Inc.		2,155		102,212
FMC Technologies, Inc.*		2,172		101,736
HollyFrontier Corp.		2,570		96,324
Southwestern Energy Co.*		3,245		88,556
Total Energy				1,761,761
Total Common Stocks
(Cost $31,674,432)				33,723,415
MUTUAL FUNDS†,1 - 53.3%
Guggenheim Variable Insurance Strategy Fund III		1,517,495		37,694,577
Guggenheim Strategy Fund I		1,083,259		26,908,165
Guggenheim Strategy Fund II		524,574		13,035,663

68 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (continued)	December 31, 2014
SERIES J (STYLEPLUS—MID GROWTH SERIES)

	Shares		Value
Guggenheim Strategy Fund III		372,778	$	9,259,798
Total Mutual Funds
(Cost $87,253,851)				86,898,203
SHORT TERM INVESTMENTS† - 4.3%
Dreyfus Treasury Prime Cash Management Fund		7,022,709		7,022,709
Total Short Term Investments
(Cost $7,022,709)				7,022,709
	Face Amount
ASSET-BACKED SECURITIES†† - 17.2%
Duane Street CLO IV Ltd.
2007-4A, 0.46% due 11/14/212,3	$	1,443,576		1,431,305
Goldman Sachs Asset Management CLO plc
2007-1A, 2.98% due 08/01/222,3		1,200,000		1,191,840
Brentwood CLO Corp.
2006-1A, 0.50% due 02/01/222,3		833,640		821,052
2006-1A, 1.05% due 02/01/222,3		400,000		361,080
Argent Securities Incorporated Asset-Backed Pass-Through Certificates Series
2005-W3, 0.51% due 11/25/352		1,217,043		1,169,162
Garrison Funding 2013-2 Ltd.
2013-2A, 2.03% due 09/25/232,3		1,170,000		1,165,905
Salus CLO 2012-1 Ltd.
2013-1AN, 2.48% due 03/05/212,3		1,100,000		1,096,920
Cerberus Onshore II CLO LLC
2014-1A, 2.93% due 10/15/232,3		850,000		837,335
2014-1A, 2.23% due 10/15/232,3		250,000		249,450
ALM VII R-2 Ltd.
2013-7R2A, 2.83% due 04/24/242,3		1,100,000		1,059,190
JP Morgan Mortgage Acquisition Trust
2007-CH3, 0.32% due 03/25/372		1,068,055		1,053,121
Central Park CLO Ltd.
2011-1A, 3.43% due 07/23/222,3		1,040,000		1,026,896
Cornerstone CLO Ltd.
2007-1A, 0.45% due 07/15/212,3		1,010,538		1,001,646
Symphony CLO IX, LP
2012-9A, 2.73% due 04/16/222,3		500,000		499,400
2012-9A, 3.48% due 04/16/222,3		500,000		495,400
KKR Financial CLO 2007-1 Ltd.
2007-1A, 2.48% due 05/15/212,3		950,000		941,640
N-Star REL CDO VIII Ltd.
2006-8A, 0.46% due 02/01/412,3		923,177		889,019
Black Diamond CLO 2005-1 Delaware Corp.
2005-1A, 2.15% due 06/20/172,3		900,000		873,810
GSC Group CDO Fund VIII Ltd.
2007-8A, 0.61% due 04/17/212,3		850,000		834,190
Aegis Asset Backed Securities Trust
2005-3, 0.64% due 08/25/352		828,590		816,931

GreenPoint Mortgage Funding Trust
2005-HE4, 0.87% due 07/25/302	864,417	815,440
Wells Fargo Home Equity Asset-Backed Securities 2006-2 Trust
2006-3, 0.32% due 01/25/372	809,962	775,510
Symphony CLO VII Ltd.
2011-7A, 3.43% due 07/28/212,3	750,000	748,950
Race Point V CLO Ltd.
2014-5AR, 3.09% due 12/15/222,3	700,000	697,130
Black Diamond CLO 2006-1 Luxembourg S.A.
2007-1A, 0.62% due 04/29/192,3	700,000	658,490
Foothill CLO Ltd.
2007-1A, 0.48% due 02/22/212,3	661,513	656,287
Northwoods Capital VII Ltd.
2006-7A, 1.78% due 10/22/212,3	650,000	642,980
Popular ABS Mortgage Pass-Through Trust
2005-A, 0.60% due 06/25/352	665,684	641,152
H2 Asset Funding Ltd.
2.06% due 03/19/37	600,000	601,260
Golub Capital Partners CLO 18 Ltd.
2014-18A, 2.73% due 04/25/262,3	590,000	588,525
OFSI Fund V Ltd.
2013-5A, 3.43% due 04/17/252,3	600,000	579,120
Halcyon Loan Advisors Funding 2012-1 Ltd.
2012-1A, 3.23% due 08/15/232,3	500,000	485,550
NewStar Commercial Loan Trust
2007-1A, 1.53% due 09/30/222,3	500,000	474,500
DIVCORE CLO Ltd.
2013-1A B, 4.06% due 11/15/32	400,000	400,120
Soundview Home Loan Trust
2003-1, 2.42% due 08/25/312	358,747	355,698
Tricadia CDO 2006-6 Ltd.
2006-6A, 0.78% due 11/05/412,3	326,450	324,361
Race Point IV CLO Ltd.
2007-4A, 0.98% due 08/01/212,3	300,000	291,420
West Coast Funding Ltd.
2006-1A, 0.39% due 11/02/412,3	203,718	200,886
Global Leveraged Capital Credit Opportunity Fund
2006-1A, 0.53% due 12/20/182,3	186,091	185,849
Golub Capital Partners Fundings Ltd.
2007-1A, 0.49% due 03/15/222,3	104,493	103,887
Total Asset-Backed Securities
(Cost $27,714,233)		28,042,407
MORTGAGE-BACKED SECURITIES†† - 4.8%
HSI Asset Securitization Corporation Trust
2007-WF1, 0.34% due 05/25/372	1,670,909	1,616,026
Resource Capital Corporation CRE Notes 2013 Ltd.
2013-CRE1, 3.01% due 12/15/282,3	1,250,000	1,255,637
Boca Hotel Portfolio Trust
2013-BOCA, 3.21% due 08/15/262,3	1,250,000	1,249,242
Hilton USA Trust
2013-HLF, 2.92% due 11/05/302,3	1,084,012	1,084,068

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 69

SCHEDULE OF INVESTMENTS (concluded)	December 31, 2014
SERIES J (STYLEPLUS—MID GROWTH SERIES)

	Face Amount		Value
SRERS Funding Ltd.
2011-RS, 0.41% due 05/09/462,3	$	964,393	$	918,585
Bank of America Merrill Lynch Commercial Mortgage, Inc.
2005-6, 6.13% due 09/10/472,3		702,400		712,935
HarborView Mortgage Loan Trust
2006-12, 0.35% due 01/19/382		781,627		662,227
Wachovia Bank Commercial Mortgage Trust Series
2007-WHL8, 0.24% due 06/15/202,3		352,768		351,949
Total Mortgage-Backed Securities
(Cost $7,714,116)				7,850,669
Total Investments - 100.3%
(Cost $161,379,341)			$	163,537,403
Other Assets & Liabilities, net - (0.3)%				(470,976	)
Total Net Assets - 100.0%			$	163,066,427

	Units		Unrealized Gain
OTC EQUITY INDEX SWAP AGREEMENTS††
Morgan Stanley Capital Services, Inc. January 2015 Russell MidCap Growth Index Swap, Terminating 01/02/154 (Notional Value $127,205,619)		170,086	$	1,307,479

*	Non-income producing security.
†	Value determined based on Level 1 inputs — See Note 4.
††	Value determined based on Level 2 inputs — See Note 4.
1	Affiliated issuer — See Note 10.
2	Variable rate security. Rate indicated is rate effective at December 31, 2014.
3	Security is a 144A or Section 4(a)(2) security. The total market value of 144A or Section 4(a)(2) securities is $26,986,429 (cost $26,775,589), or 16.5% of total net assets. These securities have been determined to be liquid under guidelines established by Board of Trustees.
4	Total Return based on Russell MidCap Growth Index +/- financing at a variable rate.
	plc — Public Limited Company

70 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SERIES J (STYLEPLUS—MID GROWTH SERIES)

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2014
Assets:
Investments in unaffiliated issuers, at value (cost $74,125,490)	$	76,639,200
Investments in affiliated issuers, at value (cost $87,253,851)		86,898,203
Total investments (cost $161,379,341)		163,537,403
Unrealized appreciation on swap agreements		1,307,479
Cash		34,895
Prepaid expenses		7,166
Receivables:
Securities sold		515,278
Dividends		157,772
Interest		88,439
Fund shares sold		5,593
Total assets		165,654,025
Liabilities:
Segregated cash from broker		2,197,000
Payable for:
Securities purchased		138,908
Fund shares redeemed		112,929
Management fees		103,350
Fund accounting/administration fees		13,091
Transfer agent/maintenance fees		3,299
Trustees’ fees*		2,108
Miscellaneous		16,913
Total liabilities		2,587,598
Net assets	$	163,066,427
Net assets consist of:
Paid in capital	$	166,602,724
Undistributed net investment income		1,766,590
Accumulated net realized loss on investments		(8,768,428	)
Net unrealized appreciation on investments		3,465,541
Net assets	$	163,066,427
Capital shares outstanding		3,319,893
Net asset value per share	$	49.12

STATEMENT OF OPERATIONS

Year Ended December 31, 2014
Investment Income:
Interest	$	1,647,396
Dividends from securities of affiliated issuers		1,036,101
Dividends from securities of unaffiliated issuers (net of foreign withholding tax of $641)		509,334
Total investment income		3,192,831
Expenses:
Management fees		1,180,564
Transfer agent/maintenance fees		25,005
Fund accounting/administration fees		149,536
Trustees’ fees*		16,925
Line of credit fees		14,534
Custodian fees		12,056
Tax expense		4
Miscellaneous		150,743
Total expenses		1,549,367
Less:
Expenses waived by Adviser		(31,393	)
Net expenses		1,517,974
Net investment income		1,674,857
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		5,511,744
Investments in affiliated issuers		(131,677	)
Swap agreements		11,783,213
Futures contracts		117,377
Net realized gain		17,280,657
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(657,205	)
Investments in affiliated issuers		(222,646	)
Swap agreements		1,307,479
Futures contracts		(29,603	)
Net change in unrealized appreciation (depreciation)		398,025
Net realized and unrealized gain		17,678,682
Net increase in net assets resulting from operations	$	19,353,539

* Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 71

SERIES J (STYLEPLUS—MID GROWTH SERIES)

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended December 31, 2014			Year Ended December 31, 2013
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	1,674,857		$	249,176
Net realized gain on investments		17,280,657			42,585,332
Net change in unrealized appreciation (depreciation) on investments		398,025			(3,723,086	)
Net increase in net assets resulting from operations		19,353,539			39,111,422
Capital share transactions:
Proceeds from sale of shares		8,383,416			5,825,753
Cost of shares redeemed		(21,801,449	)		(26,061,600	)
Net decrease from capital share transactions		(13,418,033	)		(20,235,847	)
Net increase in net assets		5,935,506			18,875,575
Net assets:
Beginning of year		157,130,921			138,255,346
End of year	$	163,066,427		$	157,130,921
Undistributed net investment income at end of year	$	1,766,590		$	249,176
Capital share activity:
Shares sold		180,942			151,861
Shares redeemed		(477,751	)		(688,120	)
Net decrease in shares		(296,809	)		(536,259	)

72 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SERIES J (STYLEPLUS—MID GROWTH SERIES)

FINANCIAL HIGHLIGHTS

This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.

	Year Ended December 31, 2014			Year Ended December 31, 2013			Year Ended December 31, 2012			Year Ended December 31, 2011			Year Ended December 31, 2010
Per Share Data
Net asset value, beginning of period	$	43.45		$	33.29		$	28.75		$	30.05		$	24.20
Income (loss) from investment operations:
Net investment income (loss)a		.49			.06			.05			(.03	)		(.02	)
Net gain (loss) on investments (realized and unrealized)		5.18			10.10			4.49			(1.27	)		5.87
Total from investment operations		5.67			10.16			4.54			(1.30	)		5.85
Net asset value, end of period	$	49.12		$	43.45		$	33.29		$	28.75		$	30.05
Total Returnb		13.05	%		30.52	%		15.79	%		(4.33	%)		24.17	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	163,066		$	157,131		$	138,255		$	136,469		$	169,388
Ratios to average net assets:
Net investment income (loss)		1.06	%		0.17	%		0.14	%		(0.10	%)		(0.10	%)
Total expensesd		0.98	%		0.98	%		0.95	%		0.91	%		0.91	%
Net expensesc,d		0.96	%		0.98	%		0.95	%		0.91	%		0.91	%
Portfolio turnover rate		100	%		245	%		150	%		155	%		130	%

a	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
b	Total return does not take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Guggenheim Variable Funds Trust are available only through the purchase of such products.
c	Net expense information reflects the expense ratios after expense waivers.
d	Does not include expenses of the underlying funds in which the Fund invests.

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 73

MANAGER'S COMMENTARY (Unaudited) December 31, 2014

To Our Shareholders

The Series M (Macro Opportunities Series) is managed by a team of seasoned professionals, including B. Scott Minerd, Chairman of Investments and Global Chief Investment Officer; Anne B. Walsh, Senior Managing Director and Assistant Chief Investment Officer; Kevin H. Gundersen, Senior Managing Director and Portfolio Manager; and James W. Michal, Managing Director and Portfolio Manager. In the following paragraphs, the investment team discusses the market environment and Series performance for the fiscal year ended December 31, 2014.

For the one-year period ended December 31, 2014 (the “period”), the Series M (Macro Opportunities Series) returned 5.35%, compared with the 0.04% return of its benchmark, the Bank of America Merrill Lynch 3-Month U.S. Treasury Bill Index.

The Fund seeks to provide total return, comprised of current income and capital appreciation. The Fund pursues its investment objective by investing in a wide range of fixed income and other debt and equity securities selected from a variety of sectors and credit qualities. The Fund may engage in derivative transactions for speculative purposes to enhance total return, seek to hedge against fluctuations in securities prices, interest rates or currency rates, change the effective duration of its portfolio, manage certain investment risks and/or as a substitute for the purchase or sale of securities or currencies.

Credit-spread and risk assets continued to find investor favor through 2014, even though severe winter weather in the first quarter produced volatility and mixed economic data. Additional liquidity from central banks outside the U.S. supported foreign capital flows into U.S. assets, which, along with the search for yield among U.S. investors, was positive for fixed income. The yield on the U.S. government 10-year bond declined from 3.03% to 2.17%, and we expect longer-term rates to remain range-bound in the near-term, with the potential for downward pressure.

But just as the market appeared to be growing complacent in the third quarter of 2014, leveraged credit had its first correction in a year, as mutual fund investors withdrew from the sector amid concerns about frothy valuations and talk of credit bubble. U.S. equity and credit markets were not safe from the risk aversion that drove volatility during the second half of the year. While the sell-off was initially sparked by market unease over the Fed winding down its purchases of U.S. Treasuries and mortgage-backed securities, it continued through the fourth quarter as markets grew anxious over the weakening global outlook.

High yield corporate bonds and bank loans continued their strong performance through the first half of 2014, but then faltered in the second half. High-yield bond funds and bank loan funds recorded net outflows of $6.3 billion and $17.3 billion for the year, respectively. Leveraged credit new issue activity remained robust despite weaker demand, reaching $833 billion–the second highest volume on record. Mergers, acquisitions and leveraged buyout activity represented 40% of new issue volume, the highest share since 2008. The decline in oil prices during the second half had a material impact on high-yield bond spreads generally, as energy-related companies represented 16% of the high-yield corporate bond market.

ABS performance was positive for the fourth quarter, as rates markets sold off primarily in the front end of the curve, and for the year. New ABS issuance for the year was $222.4 billion, 21% above 2013. New ABS issuance was diversified across all classes, with auto and credit card new issues remaining strong. Credit performance across the commercial ABS and CLO sectors remain favorable given the benign credit conditions and collateral valuations across the U.S. economy.

The non-Agency RMBS market showed positive performance, even though mortgage credit fundamentals dimmed a bit at the end of the year. The inventory of homes listed for sale remained historically low (at 5.1 months) despite increasing over early 2014. Existing home sales remained in the 4.9 to 5.2 million range (seasonally-adjusted annualized) but remain below the post-crisis peak seen in mid 2013. New home sales and housing starts remain near post-crisis highs, but at year end were mixed relative to consensus expectations.

74 | THE GUGGENHEIM FUNDS ANNUAL REPORT

MANAGER'S COMMENTARY (Unaudited)(concluded) December 31, 2014

During the period, the Fund continued to see further price appreciation attributable to tightening of credit spreads outside of high yield. Positive returns have largely been driven by the Fund’s investments in asset-backed securities (ABS) as spreads continued to normalize across various subsectors including collateralized loan obligations (CLOs), commercial real estate collateralized debt obligations (CDOs), and aircraft lease securitizations. For the year, macroeconomic themed investments including long dollar and short euro positions also added to the Fund’s performance, while investments in gold were a minor detractor.

The Fund continues to maintain very little interest rate duration, particularly at the front end of the yield curve, and thus has largely avoided losses due to a flattening curve. The concentration of the Fund’s credit investments in relatively short maturity high yield bonds and leveraged loans has muted the impact of the recent turmoil in risk assets and the Fund continues to use these periods of weakness to add to attractive assets.

Performance displayed represents past performance, which is no guarantee of future results.

The opinions and forecast expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 75

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) December 31, 2014

SERIES M (MACRO OPPORTUNITIES SERIES)

OBJECTIVE: Seeks to provide total return, comprised of current income and capital appreciation.

Holdings Diversification

(Market Exposure as % of Net Assets)

“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments or investments in Guggenheim Strategy Funds Trust mutual funds.

Portfolio Composition by Quality Rating**
Rating
Fixed Income Instruments
AA	1.5%
A	8.8%
BBB	20.5%
BB	11.0%
B	19.9%
CCC	7.1%
CC	1.3%
D	0.3%
NR	0.3%
Other Instruments
Mutual Funds	21.4%
Short Term Investments	2.9%
Common Stocks	2.9%
Preferred Stocks	2.1%
Total Investments	100.0%
The chart above reflects percentages of the value of total investments.

Inception Date: April 24, 2013

Ten Largest Holdings (% of Total Net Assets)
Guggenheim Limited Duration Fund - Institutional Class	16.6%
Guggenheim Macro Opportunities Fund - Institutional Class	4.5%
Gramercy Real Estate CDO 2007-1 Ltd. — Class A1	1.7%
LCM X, LP — Class DR	1.5%
Rise Ltd.	1.4%
SunTrust Banks, Inc.	1.4%
AABS Ltd.	1.3%
Castlelake Aircraft Securitization Trust 2014-1 — Class A1	1.3%
Ollies Bargain Outlet	1.3%
Seaspan Corp.	1.0%
Top Ten Total	32.0%
“Ten Largest Holdings” exclude any temporary cash or derivative investments.

76 | THE GUGGENHEIM FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) December 31, 2014

Cumulative Fund Performance*^,†

Average Annual Returns*

Periods Ended December 31, 2014^†

	1 Year	Since Inception (04/24/13)
Series M (Macro Opportunities Series)	5.35%	3.72%
BofA Merrill Lynch 3-Month U.S. Treasury Bill Index	0.04%	0.05%

*	The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The BofA Merrill Lynch 3-Month U.S. Treasury Bill Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return.
**	Source: Factset. Credit quality ratings are measured on a scale that generally ranges from AAA (highest) to D (lowest). All rated securities have been rated by Moody’s, Standard & Poor’s (“S&P”), or Fitch, which are all a Nationally Recognized Statistical Rating Organization (“NRSRO”). For purposes of this presentation, when ratings are available from more than one agency, the highest rating is used. Guggenheim Investments has converted Moody’s and Fitch ratings to the equivalent S&P rating. Unrated securities do not necessarily indicate low credit quality. Security ratings are determined at the time of purchase and may change thereafter.
†	Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Guggenheim Variable Funds Trust are available only through the purchase of such products.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 77

SCHEDULE OF INVESTMENTS	December 31, 2014
SERIES M (MACRO OPPORTUNITIES SERIES)

	Shares		Value
PREFERRED STOCKS† - 2.1%
Seaspan Corp.
6.38% due 04/30/19		14,000	$	347,200
Aspen Insurance Holdings Ltd.
5.95%1,2		10,000		252,600
CoBank ACB
6.20%1,2		1,000		100,000
Total Preferred Stocks
(Cost $700,000)				699,800
EXCHANGE-TRADED FUNDS† - 2.8%
SPDR EURO STOXX 50 ETF		7,300		269,078
iShares MSCI Italy Capped ETF		19,200		261,120
iShares MSCI Spain Capped ETF		7,500		259,725
iShares iBoxx $ High Yield Corporate Bond ETF		1,700		152,320
Total Exchange-Traded Funds
(Cost $1,043,075)				942,243
MUTUAL FUNDS†,3 - 21.1%
Guggenheim Limited Duration Fund - Institutional Class		222,170		5,512,035
Guggenheim Macro Opportunities Fund - Institutional Class		56,269		1,511,390
Total Mutual Funds
(Cost $7,049,235)				7,023,425
SHORT TERM INVESTMENTS† - 2.8%
Federated U.S. Treasury Cash Reserve Fund		945,111		945,111
Total Short Term Investments
(Cost $945,111)				945,111
	Face Amount
ASSET-BACKED SECURITIES†† - 31.3%
Gramercy Real Estate CDO 2007-1 Ltd.
2007-1A, 0.51% due 08/15/561,4	$	622,944		556,228
LCM X, LP
2014-10AR, 3.98% due 04/15/221,4		500,000		495,300
Rise Ltd.
4.74% due 02/12/39		473,958		476,328
AABS Ltd.
4.87% due 01/15/38		440,104		445,033
Castlelake Aircraft Securitization Trust
2014-1, 5.25% due 02/15/29		432,802		431,158
Great Lakes CLO 2014-1 Ltd.
2014-1A, 4.43% due 04/15/251,4		350,000		338,555
N-Star Real Estate CDO IX Ltd.
0.47% due 02/01/415		355,068		336,853
Cedar Woods CRE CDO Ltd.
2006-1A, 0.43% due 07/25/51		360,509		323,413

CIT Mortgage Loan Trust
2007-1, 1.62% due 10/25/371,4	325,000	305,350
GreenPoint Mortgage Funding Trust
2005-HE4, 0.87% due 07/25/301	288,139	271,813
Structured Asset Securities Corporation Mortgage Loan Trust 2006-OPT1
2006-OPT1, 0.43% due 04/25/361	300,000	270,675
DIVCORE CLO Ltd.
2013-1A B, 4.06% due 11/15/32	250,000	250,075
Newstar Commercial Loan Funding 2014-1 LLC
2014-1A, 4.98% due 04/20/251,4	250,000	250,000
Newstar Commercial Loan Funding 2013-1 LLC
2013-1A, 5.55% due 09/20/231,4	250,000	249,375
Northwoods Capital VII Ltd.
2006-7A, 3.73% due 10/22/211,4	250,000	249,275
Garrison Funding 2013-2 Ltd.
2013-2A, 4.88% due 09/25/231,4	250,000	247,575
Salus CLO 2012-1 Ltd.
2012-1AN, 6.98% due 03/05/211,4	250,000	247,425
RAIT CRE CDO I Ltd.
2006-1X, 0.49% due 11/20/46	270,874	246,414
COA Summit CLO Limited
2014-1A, 4.08% due 04/20/231,4	250,000	246,300
Battalion Clo 2007-I Ltd.
2007-1A, 2.38% due 07/14/221,4	250,000	243,925
Telos CLO Ltd.
2013-3A, 4.48% due 01/17/241,4	250,000	243,225
Acis CLO 2013-2 Ltd.
2013-2A, 4.08% due 10/14/221,4	250,000	241,825
ColumbusNova CLO Limited
2007-1A, 1.58% due 05/16/191,4	250,000	240,950
Black Diamond CLO 2005-2 Delaware Corp.
2005-2A, 2.05% due 01/07/181,4	250,000	240,750
Kingsland III Ltd.
2006-3A, 1.83% due 08/24/211,4	250,000	238,500
KVK CLO 2014-1 Ltd.
2014-1A, 3.13% due 05/15/261,4	250,000	237,925
Cerberus Onshore II CLO LLC
2014-1A, 4.23% due 10/15/231,4	250,000	236,400
Emerald Aviation Finance Ltd.
2013-1, 6.35% due 10/15/384	231,771	235,247
ALM XIV Ltd.
2014-14A, 3.68% due 07/28/261,4	250,000	232,625
Kingsland IV Ltd.
2007-4A, 1.68% due 04/16/211,4	250,000	230,300
Turbine Engines Securitization Ltd.
2013-1A, 6.38% due 12/13/484	221,792	225,119
First Franklin Mortgage Loan Trust
2006-FF1, 0.51% due 01/25/361	250,000	220,187
AMMC CLO XI Ltd.
2012-11A, 0.00% due 10/30/234,7	250,000	164,900
Fortress Credit Opportunities III CLO, LP
2014-3A, 3.48% due 04/28/261,4	150,000	147,660

78 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (continued)	December 31, 2014
SERIES M (MACRO OPPORTUNITIES SERIES)

	Face Amount		Value
GSAA Home Equity Trust
2007-7, 0.44% due 07/25/371	$	168,452	$	142,216
Park Place Securities Incorporated Series 2005-WHQ2
2005-WHQ2, 0.63% due 05/25/351		140,000		130,474
West Coast Funding Ltd.
2006-1A, 0.39% due 11/02/411,4		100,870		99,468
Tricadia CDO 2006-6 Ltd.
2006-6A, 0.98% due 11/05/411,4		100,000		92,880
Saxon Asset Securities Trust
2005-4, 0.61% due 11/25/371		100,000		86,816
Wachovia Asset Securitization Issuance II LLC 2007-HE1 Trust
2007-HE1, 0.31% due 07/25/371,4		79,562		71,429
New Century Home Equity Loan Trust
2005-1, 0.89% due 03/25/351		68,916		60,141
New Century Home Equity Loan Trust
2004-4, 0.96% due 02/25/351		58,210		52,856
Total Asset-Backed Securities
(Cost $10,224,405)				10,352,963
SENIOR FLOATING RATE INTERESTS†† - 16.3%
INDUSTRIAL - 2.4%
Power Borrower, LLC
8.25% due 11/06/20		125,000		120,625
4.25% due 05/06/20		115,288		112,022
Thermasys Corp.
5.25% due 05/03/19		120,313		117,906
Mitchell International, Inc.
8.50% due 10/11/21		100,000		99,350
Nord Anglia Education Finance LLC
4.50% due 03/31/21		99,500		98,256
syncreon
5.25% due 10/28/20		99,000		96,030
MRC Global, Inc.
5.00% due 11/08/19		98,750		90,603
NaNa Development Corp.
8.00% due 03/15/185		65,000		61,425
Total Industrial				796,217
TECHNOLOGY - 3.9%
EIG Investors Corp.
5.00% due 11/09/19		245,638		243,794
Deltek, Inc.
4.50% due 10/10/18		216,339		213,527
Wall Street Systems
4.50% due 04/30/21		186,957		183,685
Active Network, Inc., The
5.50% due 11/13/20		117,857		115,108
Greenway Medical Technologies
6.00% due 11/04/205		99,000		98,010
Evergreen Skill
5.75% due 04/28/21		99,750		97,475
Go Daddy Operating Company, LLC
4.75% due 05/13/21		97,990		97,112
LANDesk Group, Inc.
5.00% due 02/25/20		98,754		96,861
Aspect Software, Inc.
7.25% due 05/07/16		92,500		89,725
P2 Energy Solutions
5.00% due 10/30/20		79,050		76,284
Total Technology				1,311,581
FINANCIAL - 3.4%
First Data Corp.
3.67% due 03/23/18		250,000		244,845
Intertrust Group
8.00% due 04/11/22		100,000		98,500
4.51% due 04/16/21		100,000		98,425
American Stock Transfer & Trust
5.75% due 06/26/20		192,802		191,356
STG-Fairway Acquisitions, Inc.
6.25% due 02/28/19		147,376		144,981
Magic Newco, LLC
12.00% due 06/12/19		125,000		135,079
National Financial Partners Corp.
4.50% due 07/01/20		98,753		97,518
HDV Holdings
5.75% due 12/18/185		84,690		84,232
Expert Global Solutions
8.52% due 04/03/18		34,656		34,396
RCS Capital
6.50% due 04/29/19		3,323		3,079
Total Financial				1,132,411
CONSUMER, CYCLICAL - 3.3%
Ollies Bargain Outlet
4.75% due 09/28/19		438,964		430,186
Men’s Wearhouse
4.50% due 06/18/21		199,500		198,253
Lions Gate Entertainment Corp.
5.00% due 07/19/20		200,000		197,750
Advantage Sales & Marketing, Inc.
4.25% due 07/21/21		96,532		95,346
4.25% due 07/23/21		3,226		3,186
Sears Holdings Corp.
5.50% due 06/30/18		99,000		95,040
Fleetpride Corp.
5.25% due 11/19/19		87,996		86,089
Total Consumer, Cyclical				1,105,850

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 79

SCHEDULE OF INVESTMENTS (continued)	December 31, 2014
SERIES M (MACRO OPPORTUNITIES SERIES)

	Face Amount		Value
COMMUNICATIONS - 1.6%
Avaya, Inc.
6.50% due 03/31/18	$	244,938	$	240,856
4.67% due 10/26/17		99,122		94,909
Interactive Data Corp.
4.75% due 05/02/21		99,500		98,629
Cengage Learning Acquisitions, Inc.
7.00% due 03/31/20		99,250		98,133
Total Communications				532,527
CONSUMER, NON-CYCLICAL - 1.4%
Arctic Glacier Holdings, Inc.
5.00% due 05/10/19		160,308		155,498
Performance Food Group
6.25% due 11/14/19		123,125		120,509
NES Global Talent
6.50% due 10/03/19		97,500		92,625
Reddy Ice Holdings, Inc.
6.75% due 04/01/195		98,496		86,677
Total Consumer, Non-cyclical				455,309
BASIC MATERIALS - 0.3%
Royal Adhesives and Sealants
5.50% due 07/31/18		96,767		97,009
Total Senior Floating Rate Interests
(Cost $5,522,732)				5,430,904
CORPORATE BONDS†† - 12.7%
FINANCIAL - 5.0%
SunTrust Banks, Inc.
5.63%1,2		450,000		452,249
Bank of America Corp.
5.13%1,2		250,000		241,093
Fifth Third Bancorp
5.10%1,2		250,000		231,563
Customers Bank
6.13% due 06/26/291,4		150,000		152,625
Barclays plc
8.25%1,2		100,000		102,492
CIC Receivables Master Trust
4.89% due 10/07/21†††		100,000		101,460
Cadence Financial Corp.
4.88% due 06/28/1912		100,000		100,500
Citigroup, Inc.
5.80% due 11/29/491,2		100,000		100,000
JPMorgan Chase & Co.
5.00%1,2		100,000		97,844
Jefferies LoanCore LLC / JLC Finance Corp.
6.88% due 06/01/204		100,000		91,250
Total Financial				1,671,076
CONSUMER, NON-CYCLICAL - 2.2%
Vector Group Ltd.
7.75% due 02/15/21		300,000		315,750
Central Garden and Pet Co.
8.25% due 03/01/186		200,000		201,500
KeHE Distributors LLC / KeHE Finance Corp.
7.63% due 08/15/214		100,000		106,250
FTI Consulting, Inc.
6.75% due 10/01/20		100,000		104,750
Total Consumer, Non-cyclical				728,250
CONSUMER, CYCLICAL - 1.5%
Seminole Hard Rock Entertainment Incorporated / Seminole Hard Rock International LLC
5.88% due 05/15/214		250,000		247,500
Petco Animal Supplies, Inc.
9.25% due 12/01/184		125,000		130,938
GRD Holdings III Corp.
10.75% due 06/01/194		100,000		109,250
Total Consumer, Cyclical				487,688
BASIC MATERIALS - 1.3%
KGHM International Ltd.
7.75% due 06/15/194		250,000		257,500
TPC Group, Inc.
8.75% due 12/15/204		185,000		179,913
Total Basic Materials				437,413
INDUSTRIAL - 0.8%
Prosight Global Inc.
7.50% due 11/26/20†††,5		100,000		102,330
Marquette Transportation Company LLC / Marquette Transportation Finance Corp.
10.88% due 01/15/17		95,000		97,850
Quality Distribution LLC / QD Capital Corp.
9.88% due 11/01/18		78,000		81,315
Total Industrial				281,495
DIVERSIFIED - 0.6%
Opal Acquisition, Inc.
8.88% due 12/15/214		150,000		152,250
Harbinger Group, Inc.
7.88% due 07/15/19		43,000		45,795
Total Diversified				198,045
COMMUNICATIONS - 0.5%
SITEL LLC / Sitel Finance Corp.
11.00% due 08/01/174		125,000		124,375
MDC Partners, Inc.
6.75% due 04/01/204		40,000		41,200
Expo Event Transco, Inc.
9.00% due 06/15/214		10,000		10,200
Total Communications				175,775

80 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (continued)	December 31, 2014
SERIES M (MACRO OPPORTUNITIES SERIES)

	Face Amount		Value
ENERGY - 0.5%
Atlas Energy Holdings Operating Company LLC / Atlas Resource Finance Corp.
9.25% due 08/15/21	$	100,000	$	77,500
BreitBurn Energy Partners Limited Partnership / BreitBurn Finance Corp.
7.88% due 04/15/22		100,000		77,250
Total Energy				154,750
TECHNOLOGY - 0.3%
Eagle Midco, Inc.
9.00% due 06/15/184		100,000		102,250
Total Corporate Bonds
(Cost $4,334,675)				4,236,742
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 6.2%
Nomura Resecuritization Trust
2012-1R, 0.61% due 08/27/471,4		362,501		335,314
Washington Mutual Mortgage Pass-Through Certificates WMALT Series Trust
2006-AR9, 0.95% due 11/25/461		337,794		235,331
IndyMac INDX Mortgage Loan Trust
2006-AR4, 0.37% due 05/25/461		262,574		222,789
Lehman XS Trust Series
2006-16N, 0.36% due 11/25/461		275,896		222,140
American Home Mortgage Assets Trust
2006-4, 0.36% due 10/25/461		304,799		204,242
GreenPoint Mortgage Funding Trust
2006-AR1, 0.46% due 02/25/361		240,011		201,031
Bear Stearns Mortgage Funding Trust
2007-AR5, 0.34% due 06/25/471		227,605		183,392
Structured Asset Mortgage Investments II Trust
2006-AR1, 0.40% due 02/25/361		119,263		101,459
Washington Mutual Mortgage Pass-Through Certificates WMALT Series Trust
2007-OA4, 0.87% due 04/25/471		127,580		95,138
Morgan Stanley Re-REMIC Trust
2010-R5, 0.45% due 06/26/361,4		129,835		92,906
Residential Asset Securitization Trust
2006-A12, 6.25% due 11/25/36		129,800		91,875
First Horizon Alternative Mortgage Securities Trust
2006-FA1, 5.75% due 04/25/36		93,579		78,280
Total Collateralized Mortgage Obligations
(Cost $2,083,660)				2,063,897
MORTGAGE-BACKED SECURITIES†† - 3.4%
SRERS Funding Ltd.
2011-RS, 0.41% due 05/09/461,4		344,426		328,066
CSMC Trust
2014-SURF, 3.26% due 02/15/291,4		250,000		250,584
Washington Mutual Mortgage Pass-Through Certificates WMALT Series Trust
2006-7, 6.42% due 09/25/36		363,461		206,881
Banc of America Merrill Lynch Commercial Mortgage, Inc.
2005-6, 6.13% due 09/10/471,4		158,040		160,410
Hilton USA Trust
2013-HLT, 5.22% due 11/05/181,4		100,000		102,456
Wachovia Bank Commercial Mortgage Trust Series
2007-WHL8, 0.86% due 06/15/201,4		97,374		94,470
Total Mortgage-Backed Securities
(Cost $1,132,661)				1,142,867
Total Investments - 98.7%
(Cost $33,035,554)			$	32,837,952
Other Assets & Liabilities, net - 1.3%				416,814
Total Net Assets - 100.0%			$	33,254,766
	Units		Unrealized Gain (Loss)
OTC CURRENCY SWAP AGREEMENTS††
Bank of America March 2015 U.S. Dollar Index Future Swap, Terminating 03/16/158 (Notional Value $634,375)		7	$	14,238
OTC INTEREST RATE SWAP AGREEMENTS SOLD SHORT††
Bank of America March 2015 Japan Government 10 Year Bond Future Index Swap, Terminating 03/09/159 (Notional Value $2,468,334)		2	$	(13,404	)

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 81

SCHEDULE OF INVESTMENTS (continued)	December 31, 2014
SERIES M (MACRO OPPORTUNITIES SERIES)

	Units		Unrealized Gain (Loss)
OTC EQUITY SWAP AGREEMENTS SOLD SHORT††
Bank of America Merrill Lynch Tesla Motors, Inc. March 2015 Swap, Terminating 03/02/15 (Notional Value ($630,088)		2,833	$	(30,447	)
OTC EQUITY INDEX SWAP AGREEMENTS††
Bank of America May 2014 S&P 1500 Education Services Sub-Industry Index January 2015 Swap, Terminating 01/08/1510 (Notional Value $1,012,244)		15,966	$	182,332
Bank of America S&P 500 Homebuilding Index January 2015 Swap, Terminating 01/08/1511 (Notional Value $683,313)		1,053		93,054
Bank of America S&P 500 HomeBuilding Index March 2015 Swap, Terminating 03/19/1511 (Notional Value $169,368)		261		3,877
(Total Notional Value $1,864,925)			$	279,263

82 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (concluded)	December 31, 2014
SERIES M (MACRO OPPORTUNITIES SERIES)

CENTRALLY CLEARED INTEREST RATE SWAP AGREEMENTS††,1
Counterparty	Floating Rate	Floating Rate Index	Fixed Rate			Maturity Date	Notional Amount			Market Value			Unrealized Appreciation/ (Depreciation)
Merrill Lynch	Pay	3-Month USD-LIBOR		3.13	%	06/08/25	$	1,000,000		$	65,600		$	65,600
Merrill Lynch	Pay	3-Month USD-LIBOR		2.93	%	08/24/25		950,000			39,615			39,615
Merrill Lynch	Receive	3-Month USD-LIBOR		2.70	%	07/05/23		(50,000	)		(2,685	)		(2,685	)
Merrill Lynch	Receive	3-Month USD-LIBOR		1.56	%	07/05/18		(850,000	)		(9,520	)		(9,520	)
Merrill Lynch	Receive	6-Month EUR-EURIBOR		1.42	%	08/24/25		(667,000	)		(40,197	)		(40,197	)
Merrill Lynch	Receive	6-Month EUR-EURIBOR		1.89	%	06/08/25		(700,000	)		(84,117	)		(84,117	)
													$	(31,304	)

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS††
Counterparty	Contracts to Sell	Currency	Settlement Date	Settlement Value		Value at December 31, 2014		Net Unrealized Appreciation/ (Depreciation)
Bank of America	30,033,000	RUB	05/18/15	$	600,000	$	471,807	$	128,193
Bank of America	600,000	EUR	03/02/15		750,462		726,750		23,712
Bank of America	3,870,000,000	IDR	07/02/15		300,000		301,990		(1,990	)
								$	149,915

†	Value determined based on Level 1 inputs — See Note 4.
††	Value determined based on Level 2 inputs, unless otherwise noted — See Note 4.
†††	Value determined based on Level 3 inputs — See Note 4.
1	Variable rate security. Rate indicated is rate effective at December 31, 2014.
2	Perpetual maturity.
3	Affiliated issuer — See Note 10.
4	Security is a 144A or Section 4(a)(2) security. The total market value of 144A or Section 4(a)(2) securities is $9,678,218 (cost $9,668,437), or 29.1% of total net assets. These securities have been determined to be liquid under guidelines established by the Board of Trustees.
5	Illiquid security.
6	Security or a portion thereof is held as collateral for reverse repurchase agreements — See Note 14.
7	Residual interest.
8	Total return based on U.S. Dollar Index +/- financing at a variable rate.
9	Total return based on Japan Government Bond 10 Year Future Index +/- financing at a variable rate.
10	Total return based on S&P 1500 Education Services Sub-Industry Index +/- financing at a variable rate.
11	Total return based on S&P 500 Home Building Index +/- financing at a variable rate.
12	Security is a 144A or Section 4(a)(2) security. These securities are considered illiquid and restricted under guidelines established by the Board of Trustees. The total market value of 144A or Section 4(a)(2)securities is $100,500 (cost $100,000) or 0.3% of total net assets — See Note 15.
	plc — Public Limited Company
	REIT — Real Estate Investment Trust

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 83

SERIES M (MACRO OPPORTUNITIES SERIES)

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2014
Assets:
Investments in unaffiliated issuers, at value (cost $25,986,319)	$	25,814,527
Investments in affiliated issuers, at value (cost $7,049,235)		7,023,425
Total investments (cost $33,035,554)		32,837,952
Unrealized appreciation on swap agreements		398,738
Unrealized appreciation on forward foreign currency exchange contracts		151,905
Segregated cash with broker		79,446
Cash		24,981
Prepaid expenses		1,708
Receivables:
Interest		132,061
Securities sold		38,400
Fund shares sold		23,510
Dividends		21,402
Total assets		33,710,103
Liabilities:
Reverse Repurchase Agreements		199,668
Unrealized depreciation on swap agreements		180,370
Unrealized depreciation on forward foreign currency exchange contracts		1,990
Payable for:
Management fees		17,235
Securities purchased		16,032
Distribution and service fees		6,773
Trustees’ fees*		4,098
Fund accounting/administration fees		2,574
Transfer agent/maintenance fees		2,126
Fund shares redeemed		860
Miscellaneous		23,611
Total liabilities		455,337
Net assets	$	33,254,766
Net assets consist of:
Paid in capital	$	32,091,085
Undistributed net investment income		954,559
Accumulated net realized gain on investments		38,356
Net unrealized appreciation on investments		170,766
Net assets	$	33,254,766
Capital shares outstanding		1,250,223
Net asset value per share	$	26.60

STATEMENT OF OPERATIONS

Year Ended December 31, 2014
Investment Income:
Interest	$	1,371,443
Dividends from securities of unaffiliated issuers		66,199
Dividends from securities of affiliated issuers		55,011
Total investment income		1,492,653
Expenses:
Management fees		261,594
Transfer agent/maintenance fees		25,092
Distribution and service fees		73,481
Fund accounting/administration fees		27,923
Professional fees		25,013
Interest expense		12,634
Custodian fees		10,852
Trustees’ fees*		6,761
Line of credit fees		2,475
Tax expense		1
Miscellaneous		45,127
Total expenses		490,953
Less:
Expenses waived by Adviser		(55,633	)
Net expenses		435,320
Net investment income		1,057,333
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		150,556
Investments in affiliated issuers		(1,437	)
Swap agreements		87,827
Foreign currency		(3,604	)
Forward foreign currency exchange contracts		86,278
Options purchased		(110,558	)
Options written		12,142
Realized gain distributions received from investment company shares		854
Net realized gain		222,058
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(59,874	)
Investments in affiliated issuers		(25,810	)
Swap agreements		127,261
Options purchased		24,860
Options written		(2,825	)
Forward foreign currency exchange contracts		149,915
Foreign currency		110
Net change in unrealized appreciation (depreciation)		213,637
Net realized and unrealized gain		435,695
Net increase in net assets resulting from operations	$	1,493,028

* Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.

84 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SERIES M (MACRO OPPORTUNITIES SERIES)

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended December 31, 2014			Period Ended December 31, 2013a
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	1,057,333		$	436,687
Net realized gain (loss) on investments		222,058			(143,336	)
Net change in unrealized appreciation (depreciation) on investments		213,637			(42,871	)
Net increase in net assets resulting from operations		1,493,028			250,480
Capital share transactions:
Proceeds from sale of shares		14,655,534			27,126,005
Cost of shares redeemed		(9,143,386	)		(1,126,895	)
Net increase from capital share transactions		5,512,148			25,999,110
Net increase in net assets		7,005,176			26,249,590
Net assets:
Beginning of period		26,249,590			—
End of period	$	33,254,766		$	26,249,590
Undistributed net investment income at end of period	$	954,559		$	453,620
Capital share activity:
Shares sold		562,557			1,085,488
Shares redeemed		(352,240	)		(45,582	)
Net increase in shares		210,317			1,039,906

^a Since commencement of operations: April 24, 2013.

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 85

SERIES M (MACRO OPPORTUNITIES SERIES)

FINANCIAL HIGHLIGHTS

This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.

	Year Ended December 31, 2014			Period Ended December 31, 2013a
Per Share Data
Net asset value, beginning of period	$	25.24		$	25.00
Income (loss) from investment operations:
Net investment income (loss)b		.94			.42
Net gain (loss) on investments (realized and unrealized)		.42			(.18	)
Total from investment operations		1.36			.24
Net asset value, end of period	$	26.60		$	25.24
Total Returnc		5.35	%		0.96	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	33,255		$	26,250
Ratios to average net assets:
Net investment income (loss)		3.59	%		2.48	%
Total expensesd		1.67	%		1.80	%e
Net expensesf		1.48	%		1.49	%
Portfolio turnover rate		68	%		49	%

a	Since commencement of operations: April 24, 2013. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
b	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
c	Total return does not take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Guggenheim Variable Funds Trust are available only through the purchase of such products.
d	Does not include expenses of the underlying funds in which the Fund invests.
e	Due to limited length of Fund operations, ratios for this period may not be indicative of future performance.
f	Net expenses may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the operating expense ratios for the periods would be:

12/31/14	12/31/13
1.42%	1.44%

86 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

MANAGER’S COMMENTARY (Unaudited) December 31, 2014

To Our Shareholders:

The Series N (Managed Asset Allocation Series) is managed by a team of seasoned professionals, including Michael P. Byrum, CFA, Portfolio Manager; Ryan Harder, CFA, Portfolio Manager; and Matthew Wu, Ph.D., CFA, Portfolio Manager. In the following paragraphs, the team discusses performance of the Series for the fiscal year ended December 31, 2014.

For the fiscal year ended December 31, 2014, the Series N (Managed Asset Allocation Series) returned 6.71%, underperforming its weighted benchmark that is 60% S&P 500^® Index and 40% Barclays U.S. Aggregate Bond Index, which returned 10.62%. The S&P 500 Index rose 13.69% over the year and the Barclays U.S. Aggregate Bond Index returned 5.97%.

The investment objective of the Fund is to seek to provide growth of capital and, secondarily, preservation of capital. The Fund seeks to achieve its investment objective by investing in a diversified portfolio of futures contracts and exchange-traded funds (ETFs) and other pooled investment vehicles that track major equity indexes and fixed income indexes (underlying funds) to obtain exposure to equity, fixed income and money market assets. The precise allocation to equity and fixed income assets will depend on the outlook of Guggenheim Investments for each asset class. The Fund may obtain exposure to these asset classes through investments in the underlying funds, which may track indices such as the S&P 500 Index and Barclays U.S. Aggregate Bond Index, or through investments in futures contracts and other derivatives.

Under normal market conditions, the Fund’s investments are expected to achieve a moderate allocation of equity, fixed income and money market assets in approximately the following amounts: (1) 60% of total assets in equity securities from all capitalizations and both U.S. companies and non-U.S. companies; and (2) 40% of total assets in fixed income securities, which may include short-and long-term corporate and government bonds and which may be of any quality, rated or unrated. However, the Investment Manager intends to utilize dynamic asset allocation techniques that will allow rapid shifts between asset classes to attempt to exploit current market trends, and the Fund may invest fully in any asset class at any time. Moreover, the Investment Manager may change the Fund’s asset class allocation, the underlying funds or weightings without shareholder notice. The Fund’s investments will, under normal market conditions, be rebalanced monthly toward the moderate allocation discussed above.

MARKET REVIEW

The equity market started the year of 2014 with concerns on emerging markets and U.S. equity valuation. As in years before, central bankers at the Fed used their forward guidance and policy speeches to comfort the market.

The U.S. economy continued to grow in 2014, while Europe and Japan showed more weakness. The Fed ended its quantitative easing program without bringing too much turbulence to the markets. On the other hand, the Bank of Japan expanded its massive stimulus and the European Central Bank felt more pressure to adopt a similar easing program. The divergence between U.S. economic performance and other major countries led to a stronger U.S. dollar, and continuing outperformance of U.S. equity over international markets.

Our dynamically managed tactical strategies captured a few opportunities in the year and enhanced the returns. Unfortunately, the gains from the models were not enough to cover expenses. As the result, the Fund trailed its composite benchmark for the year.

In the period, the best performing holdings were S&P 500 Index futures and ETFs, the S&P 400 Index ETF and 10-year U.S. Treasury futures. Russell 2000 Index futures and short-term Treasury futures did not perform as well, and the international equity EAFE ETF and futures detracted from return.

Performance displayed represents past performance, which is no guarantee of future results.

The opinions and forecast expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 87

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) December 31, 2014

SERIES N (MANAGED ASSET ALLOCATION SERIES)

OBJECTIVE: Seeks to provide growth of capital and, secondarily, preservation of capital.

Holdings Diversification

(Market Exposure as % of Net Assets)

“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments or investments in Guggenheim Strategy Funds Trust mutual funds.

Cumulative Fund Performance*^,†

Inception Date: June 1, 1995

Ten Largest Holdings (% of Total Net Assets)
Guggenheim Variable Insurance Strategy Fund III	20.7%
SPDR S&P 500 ETF Trust	16.4%
iShares Core U.S. Aggregate Bond ETF	16.2%
Vanguard S&P 500 ETF	15.8%
iShares iBoxx $ Investment Grade Corporate Bond ETF	7.6%
iShares Core S&P Mid-Capital ETF	6.0%
Guggenheim Strategy Fund II	5.2%
iShares MSCI EAFE ETF	4.4%
Guggenheim Strategy Fund I	2.3%
Guggenheim Strategy Fund III	1.9%
Top Ten Total	96.5%
“Ten Largest Holdings” exclude any temporary cash or derivative investments.

Average Annual Returns*

Periods Ended December 31, 2014^†

	1 Year	5 Year	10 Year
Series N (Managed Asset Allocation Series)	6.71%	8.99%	5.72%
Blended Index**	10.62%	11.18%	6.76%
S&P 500 Index	13.69%	15.45%	7.67%

*	The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index and the Barclays U.S. Aggregate Bond Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns.
**	The Blended Index is 60% S&P 500 Index and 40% Barclays U.S. Aggregate Bond Index.
†	Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Guggenheim Variable Funds Trust are available only through the purchase of such products.

88 | THE GUGGENHEIM FUNDS ANNUAL REPORT

SCHEDULE OF INVESTMENTS	December 31, 2014
SERIES N (MANAGED ASSET ALLOCATION SERIES)

	Shares		Value
EXCHANGE-TRADED FUNDS† - 66.4%
SPDR S&P 500 ETF Trust		48,140	$	9,892,770
iShares Core U.S. Aggregate Bond ETF		88,884		9,787,906
Vanguard S&P 500 ETF		50,414		9,500,518
iShares iBoxx $ Investment Grade Corporate Bond ETF		38,217		4,563,492
iShares Core S&P Mid-Capital ETF		24,958		3,613,918
iShares MSCI EAFE ETF		43,440		2,642,890
iShares Core S&P 500 ETF		2		414
Total Exchange-Traded Funds
(Cost $32,124,804)				40,001,908
MUTUAL FUNDS†,1 - 30.0%
Guggenheim Variable Insurance Strategy Fund III		502,454		12,480,958
Guggenheim Strategy Fund II		125,298		3,113,649
Guggenheim Strategy Fund I		56,643		1,407,023
Guggenheim Strategy Fund III		45,259		1,124,222
Total Mutual Funds
(Cost $18,224,059)				18,125,852
SHORT TERM INVESTMENTS† - 2.7%
Dreyfus Treasury Prime Cash Management Fund		1,625,119		1,625,119
Total Short Term Investments
(Cost $1,625,119)				1,625,119
Total Investments - 99.1%
(Cost $51,973,982)			$	59,752,879
Other Assets & Liabilities, net - 0.9%				565,821
Total Net Assets - 100.0%			$	60,318,700
	Contracts		Unrealized Gain (Loss)
EQUITY FUTURES CONTRACTS PURCHASED†
March 2015 S&P 500 Index Mini Futures Contracts (Aggregate Value of Contracts $5,437,801)		53	$	73,994
March 2015 Russell 2000 Index Mini Futures Contracts (Aggregate Value of Contracts $1,681,820)		14		53,863
March 2015 DAX Index Futures Contracts†† (Aggregate Value of Contracts $293,274)		1		3,387
March 2015 SPI 200 Index Futures Contracts†† (Aggregate Value of Contracts $108,666)		1		3,381

January 2015 CAC40 10 Euro Index Futures Contracts†† (Aggregate Value of Contracts $102,291)	2		2,336
March 2015 Dow Jones Industrial Average Index Mini Futures Contracts (Aggregate Value of Contracts $88,765)	1		2,314
March 2015 NASDAQ-100 Index Mini Futures Contracts (Aggregate Value of Contracts $84,665)	1		1,472
March 2015 MSCI EAFE Index Mini Futures Contracts (Aggregate Value of Contracts $6,413,781)	73		(83,709	)
(Total Aggregate Value of Contracts $14,211,063)		$	57,038
INTEREST RATE FUTURES CONTRACTS PURCHASED†
March 2015 U.S. Treasury 10 Year Note Futures Contracts (Aggregate Value of Contracts $6,587,750)	52	$	29,735
March 2015 U.S. Treasury 5 Year Note Futures Contracts (Aggregate Value of Contracts $1,783,008)	15		(1,115	)
March 2015 U.S. Treasury 2 Year Note Futures Contracts (Aggregate Value of Contracts $3,934,406)	18		(5,355	)
(Total Aggregate Value of Contracts $12,305,164)		$	23,265
CURRENCY FUTURES CONTRACTS SOLD SHORT†
March 2015 Euro FX Futures Contracts (Aggregate Value of Contracts $302,700)	2	$	8,533
March 2015 Japanese Yen Futures Contracts (Aggregate Value of Contracts $208,850)	2		3,083
March 2015 Australian Dollar Futures Contracts (Aggregate Value of Contracts $81,220)	1		1,137
March 2015 Canadian Dollar Futures Contracts (Aggregate Value of Contracts $85,930)	1		907

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 89

SCHEDULE OF INVESTMENTS (concluded)	December 31, 2014
SERIES N (MANAGED ASSET ALLOCATION SERIES)

	Contracts		Unrealized Gain (Loss)
March 2015 British Pound Futures Contracts (Aggregate Value of Contracts $97,344)		1	$	729
(Total Aggregate Value of Contracts $776,044)			$	14,389
EQUITY FUTURES CONTRACTS SOLD SHORT†
March 2015 Nikkei 225 (CME) Index Futures Contracts (Aggregate Value of Contracts $86,850)		1	$	(428	)
January 2015 Hang Seng Index Futures Contracts†† (Aggregate Value of Contracts $151,892)		1		(2,570	)
March 2015 FTSE 100 Index Futures Contracts†† (Aggregate Value of Contracts $100,504)		1		(3,541	)
March 2015 S&P/TSX 60 IX Index Futures Contracts†† (Aggregate Value of Contracts $146,635)		1		(7,237	)
(Total Aggregate Value of Contracts $485,881)			$	(13,776	)

†	Value determined based on Level 1 inputs, unless otherwise noted — See Note 4.
††	Value determined based on Level 2 inputs — See Note 4.
1	Affiliated issuer — See Note 10.

90 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SERIES N (MANAGED ASSET ALLOCATION SERIES)

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2014
Assets:
Investments in unaffiliated issuers, at value (cost $33,749,923)	$	41,627,027
Investments in affiliated issuers, at value (cost $18,224,059)		18,125,852
Total investments (cost $51,973,982)		59,752,879
Segregated cash with broker		773,646
Cash		3,771
Prepaid expenses		2,466
Receivables:
Dividends		82,699
Foreign taxes reclaim		3,465
Fund shares sold		94
Total assets		60,619,020
Liabilities:
Foreign currency, at value (cost $3,742)		3,714
Payable for:
Variation margin		117,736
Fund shares redeemed		58,123
Management fees		32,538
Securities purchased		31,100
Fund accounting/administration fees		7,509
Trustees’ fees*		2,817
Transfer agent/maintenance fees		2,349
Miscellaneous		44,434
Total liabilities		300,320
Net assets	$	60,318,700
Net assets consist of:
Paid in capital	$	52,403,583
Undistributed net investment income		223,425
Accumulated net realized loss on investments		(167,807	)
Net unrealized appreciation on investments		7,859,499
Net assets	$	60,318,700
Capital shares outstanding		2,179,629
Net asset value per share	$	27.67

STATEMENT OF OPERATIONS

Year Ended December 31, 2014
Investment Income:
Dividends from securities of unaffiliated issuers (net of foreign withholding tax of $2,780)	$	894,517
Dividends from securities of affiliated issuers		202,692
Total investment income		1,097,209
Expenses:
Management fees		396,870
Transfer agent/maintenance fees		21,772
Fund accounting/administration fees		91,586
Trustees’ fees*		8,103
Custodian fees		3,345
Line of credit fees		934
Tax expense		81
Miscellaneous		46,279
Total expenses		568,970
Net investment income		528,239
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		671,257
Investments in affiliated issuers		(9,477	)
Futures contracts		1,380,234
Foreign currency		26
Net realized gain		2,042,040
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		1,932,095
Investments in affiliated issuers		(98,207	)
Futures contracts		(463,341	)
Foreign currency		(532	)
Net change in unrealized appreciation (depreciation)		1,370,015
Net realized and unrealized gain		3,412,055
Net increase in net assets resulting from operations	$	3,940,294

* Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 91

SERIES N (MANAGED ASSET ALLOCATION SERIES)

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended December 31, 2014			Year Ended December 31, 2013
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	528,239		$	201,169
Net realized gain on investments		2,042,040			3,411,199
Net change in unrealized appreciation (depreciation) on investments		1,370,015			4,908,598
Net increase in net assets resulting from operations		3,940,294			8,520,966
Capital share transactions:
Proceeds from sale of shares		6,103,222			5,341,219
Cost of shares redeemed		(15,099,648	)		(10,668,816	)
Net decrease from capital share transactions		(8,996,426	)		(5,327,597	)
Net increase (decrease) in net assets		(5,056,132	)		3,193,369
Net assets:
Beginning of year		65,374,832			62,181,463
End of year	$	60,318,700		$	65,374,832
Undistributed net investment income/Accumulated net investment loss at end of year	$	223,425		$	(194,717	)
Capital share activity:
Shares sold		224,121			221,536
Shares redeemed		(565,958	)		(441,361	)
Net decrease in shares		(341,837	)		(219,825	)

92 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SERIES N (MANAGED ASSET ALLOCATION SERIES)

FINANCIAL HIGHLIGHTS

This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.

	Year Ended December 31, 2014			Year Ended December 31, 2013			Year Ended December 31, 2012			Year Ended December 31, 2011			Year Ended December 31, 2010
Per Share Data
Net asset value, beginning of period	$	25.93		$	22.68		$	20.02		$	19.89		$	17.99
Income (loss) from investment operations:
Net investment income (loss)a		.23			.08			.15			.28			.26
Net gain (loss) on investments (realized and unrealized)		1.51			3.17			2.51			(.15	)		1.64
Total from investment operations		1.74			3.25			2.66			.13			1.90
Net asset value, end of period	$	27.67		$	25.93		$	22.68		$	20.02		$	19.89
Total Returnb		6.71	%		14.33	%		13.29	%		0.65	%		10.56	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	60,319		$	65,375		$	62,181		$	63,775		$	78,734
Ratios to average net assets:
Net investment income (loss)		0.87	%		0.32	%		0.71	%		1.40	%		1.40	%
Total expensesc		0.93	%		1.07	%		1.31	%		1.56	%		1.50	%
Portfolio turnover rate		14	%		3	%		162	%		44	%		52	%

a	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
b	Total return does not take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Guggenheim Variable Funds Trust are available only through the purchase of such products.
c	Does not include expenses of the underlying funds in which the Fund invests.

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 93

MANAGER’S COMMENTARY (Unaudited) December 31, 2014

To Our Shareholders:

The Series O (All Cap Value Series) is managed by a team of seasoned professionals led by James Schier, CFA, Portfolio Manager, and Mark A. Mitchell, CFA, Portfolio Manager. In the following paragraphs, they discuss performance of the Fund for the fiscal year ended December 31, 2014.

For the fiscal year ended December 31, 2014, the Series O (All Cap Value Series) returned 7.61%, compared with the Russell 3000^® Value Index, which returned 12.70%.

Strategy and Market Overview

Our investment approach focuses on understanding how companies make money and how easily companies can either improve returns, or maintain existing high levels of profitability or benefit from change that occurs in the industries in which they operate.

In today’s rapid-fire environment marked by very sharp, quick but constrained volatility, our long term orientation and discipline are a competitive advantage. This should become especially critical when the environment of indiscriminant valuation expansion subsides and when fundamentals once again become a more dominant factor in the market.

Performance Review

The largest contributors to the Fund’s performance for the period were stock selection within the Industrials and Utilities sectors.

While the Fund’s stock selection Industrials helped performance, it was offset by an overweight in the sector. The sector had good gains from several holdings, including URS, Covanta and DeVry Education Group. URS benefited from its merger with AECOM during the year, and Covanta was able to land a significant waste-to-energy project in Ireland.

Utilities benefited from stock selection from the Fund’s main holding in the sector, Edison International, which was the largest individual contributor to performance for the year. The sector is one the largest underweights relative to the index, as we do not view Utilities as attractive from either a fundamental or valuation standpoint. Edison was up partly due to a settlement in which it will recoup some expenses related to a nuclear plant shutdown, but we like the holding due to its diversity of business.

CVS Health, which is part of the Consumer Staples sector, was one of the top individual contributors for the year and a large position in the portfolio—the company has been reporting solid earnings and continues to benefit from its acquisition of pharmacy benefit manager PBM. In addition, store chains like CVS saw less drop-off in traffic compared with more traditional retailers in the discretionary space.

Stock selection in Energy was the largest detractor from performance for the year. The Energy sector had the worst return in the benchmark and the Fund amid a general commodities selloff and falling crude oil prices. CAMECO, a large uranium miner, was the second-largest individual detractor for the year. It faced continued delays in restarting nuclear plants in Japan and a persistently low commodity price.

Our belief is that longer-term energy prices will be higher than current levels as the cost to pull oil out of the ground isn’t declining and the demand trends ultimately are positive.

Poor stock selection in Information Technology was another detractor from return for the Fund. Our overall sector position weight is in-line with the benchmark, but we own more stable, services-related companies and non-personal computer related hardware providers. The Fund also does not own large benchmark companies that were up significantly for the year, Apple and Intel. Both are good companies, but we view their future prospects as already fully valued in the current share price.

Fund performance was also impacted slightly by poor stock selection in Materials. Underperformance in this sector was driven mostly by Coeur Mining, Inc., which is not in the index and fell as part of a wider commodities selloff over the past year. Coeur was the largest single stock detractor for the year.

94 | THE GUGGENHEIM FUNDS ANNUAL REPORT

MANAGER'S COMMENTARY (Unaudited)(concluded) December 31, 2014

Portfolio Positioning

The largest relative sector exposures for the year were an underweight in Health Care and overweight in Industrials. Neither stance benefited Fund performance for the year.

The Health Care sector underweight was predominantly driven by our view that the large pharmaceutical companies look fairly valued, thus are less attractive than companies in other sectors.

Industrials is a large and eclectic sector in which we have diverse holdings. We believe the portfolio is well positioned to benefit from the growing cap-ex and construction environment tied to infrastructure renewal and reindustrialization in the U.S.

Portfolio and Market Outlook

Despite a firming economy, investors were very cautious over the period, as safe-haven areas such as utilities, REITs, health care and consumer staples continued to lead. As the world continues to look towards the U.S. economy to be the engine for growth, and as foreign investors continue to fear the safety of their own currencies and economies, interest in U.S. assets should continue to be robust. The continued decline in U.S. government bond yields should continue to make equities an attractive alternative for incremental investment dollars.

Our portfolios tend to reflect a bias toward companies with balance sheet quality. We continue to find niche companies with what we believe to be attractive growth opportunities and, as such, are constructive on the outlook.

Performance displayed represents past performance, which is no guarantee of future results.

The opinions and forecast expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 95

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) December 31, 2014

SERIES O (ALL CAP VALUE SERIES)

OBJECTIVE: Seeks long-term growth of capital.

Holdings Diversification

(Market Exposure as % of Net Assets)

“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments or investments in Guggenheim Strategy Funds Trust mutual funds.

Cumulative Fund Performance*^,†

Inception Date: June 1, 1995

Ten Largest Holdings (% of Total Net Assets)
Wells Fargo & Co.	2.6%
JPMorgan Chase & Co.	2.5%
American International Group, Inc.	2.5%
Citigroup, Inc.	2.3%
Wal-Mart Stores, Inc.	2.0%
Cisco Systems, Inc.	2.0%
Computer Sciences Corp.	2.0%
Chevron Corp.	1.9%
Republic Services, Inc. — Class A	1.9%
Cameco Corp.	1.9%
Top Ten Total	21.6%
“Ten Largest Holdings” exclude any temporary cash or derivative investments.

Average Annual Returns*

Periods Ended December 31, 2014^†

	1 Year	5 Year	10 Year
Series O (All Cap Value Series)	7.61%	13.05%	6.72%
Russell 3000 Value Index	12.70%	15.34%	7.26%

*

The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Russell 3000 Value Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return.

†

Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Guggenheim Variable Funds Trust are available only through the purchase of such products.

96 | THE GUGGENHEIM FUNDS ANNUAL REPORT

SCHEDULE OF INVESTMENTS	December 31, 2014
SERIES O (ALL CAP VALUE SERIES)

	Shares		Value
COMMON STOCKS† - 96.1%
FINANCIAL - 28.8%
Wells Fargo & Co.		70,023	$	3,838,661
JPMorgan Chase & Co.		59,300		3,710,993
American International Group, Inc.		65,812		3,686,129
Citigroup, Inc.		61,700		3,338,587
Bank of New York Mellon Corp.		62,630		2,540,899
Reinsurance Group of America, Inc. — Class A		19,465		1,705,524
Hanover Insurance Group, Inc.		20,702		1,476,466
Allstate Corp.		20,950		1,471,738
Zions Bancorporation		50,434		1,437,873
CME Group, Inc. — Class A		13,600		1,205,640
Bank of America Corp.		54,200		969,638
BB&T Corp.		24,850		966,416
NASDAQ OMX Group, Inc.		20,005		959,440
Unum Group		27,303		952,329
Legg Mason, Inc.		17,840		952,121
Alleghany Corp.*		1,880		871,380
FirstMerit Corp.		44,387		838,470
American Financial Group, Inc.		13,220		802,718
Navient Corp.		34,090		736,685
Popular, Inc.*		18,870		642,524
Endurance Specialty Holdings Ltd.		9,330		558,307
Apartment Investment & Management Co. — Class A		13,120		487,407
Sun Communities, Inc.		7,930		479,448
CubeSmart		21,660		478,036
Kilroy Realty Corp.		6,870		474,511
Capital One Financial Corp.		5,710		471,361
Synchrony Financial*		15,820		470,645
Camden Property Trust		6,340		468,146
Simon Property Group, Inc.		2,530		460,738
Equity Residential		6,370		457,621
SVB Financial Group*		3,780		438,745
Home Loan Servicing Solutions Ltd.		20,577		401,663
Wintrust Financial Corp.		8,580		401,201
Jones Lang LaSalle, Inc.		2,480		371,826
Symetra Financial Corp.		15,697		361,816
NorthStar Realty Finance Corp.		20,510		360,566
City National Corp.		4,460		360,413
Trustmark Corp.		14,470		355,094
StanCorp Financial Group, Inc.		3,870		270,358
Eaton Vance Corp.		6,490		265,636
Alexandria Real Estate Equities, Inc.		2,950		261,783
BioMed Realty Trust, Inc.		11,230		241,894
OFG Bancorp		12,465		207,542
Employers Holdings, Inc.		5,366		126,155
Chatham Lodging Trust		3,910		113,273
Total Financial				42,448,416
CONSUMER, NON-CYCLICAL - 19.4%
Teva Pharmaceutical Industries Ltd. ADR		40,690		2,340,082
MEDNAX, Inc.*		34,220		2,262,284
Johnson & Johnson		20,740		2,168,781
Mondelez International, Inc. — Class A		52,510		1,907,427
Quanta Services, Inc.*		55,870		1,586,149
DeVry Education Group, Inc.		30,650		1,454,955
UnitedHealth Group, Inc.		13,980		1,413,238
Pfizer, Inc.		40,650		1,266,248
Kellogg Co.		17,720		1,159,597
Kraft Foods Group, Inc.		17,500		1,096,550
MasterCard, Inc. — Class A		11,100		956,376
Archer-Daniels-Midland Co.		18,190		945,880
Zimmer Holdings, Inc.		8,320		943,655
Philip Morris International, Inc.		11,580		943,191
Hormel Foods Corp.		18,060		940,926
Medtronic, Inc.		12,720		918,384
Tenet Healthcare Corp.*		14,220		720,527
Navigant Consulting, Inc.*		44,230		679,815
HealthSouth Corp.		16,260		625,360
Apollo Education Group, Inc. — Class A*		17,760		605,794
Kindred Healthcare, Inc.		28,934		526,020
ADT Corp.		13,355		483,852
ICF International, Inc.*		10,850		444,633
Hologic, Inc.*		14,693		392,891
Ingredion, Inc.		3,810		323,240
Globus Medical, Inc. — Class A*		12,590		299,264
Emergent Biosolutions, Inc.*		10,730		292,178
Bunge Ltd.		2,440		221,820
OraSure Technologies, Inc.*		19,251		195,205
Patterson Companies, Inc.		3,332		160,269
Darling Ingredients, Inc.*		8,040		146,006
Grand Canyon Education, Inc.*		2,860		133,448
Total Consumer, Non-cyclical				28,554,045
INDUSTRIAL - 11.9%
Republic Services, Inc. — Class A		69,780		2,808,645
United Technologies Corp.		23,230		2,671,450
Parker-Hannifin Corp.		14,820		1,911,039
Covanta Holding Corp.		79,510		1,750,015
FLIR Systems, Inc.		44,270		1,430,364
Sonoco Products Co.		29,240		1,277,788
TE Connectivity Ltd.		15,892		1,005,169
Owens-Illinois, Inc.*		34,260		924,677
Orbital Sciences Corp.*		31,661		851,364
Rock-Tenn Co. — Class A		11,936		727,857
Gentex Corp.		14,630		528,582
General Electric Co.		20,160		509,443
Aegion Corp. — Class A*		20,250		376,853
Huntington Ingalls Industries, Inc.		2,370		266,530
Berry Plastics Group, Inc.*		8,010		252,716
UTI Worldwide, Inc.*		11,530		139,167
Advanced Energy Industries, Inc.*		2,340		55,458
Total Industrial				17,487,117

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 97

SCHEDULE OF INVESTMENTS (concluded)	December 31, 2014
SERIES O (ALL CAP VALUE SERIES)

	Shares		Value
CONSUMER, CYCLICAL - 8.9%
Wal-Mart Stores, Inc.		34,000	$	2,919,920
CVS Health Corp.		19,780		1,905,012
WESCO International, Inc.*		16,130		1,229,267
PulteGroup, Inc.		56,170		1,205,408
Kohl’s Corp.		17,120		1,045,005
Lear Corp.		9,920		972,953
Oshkosh Corp.		18,690		909,269
Chico’s FAS, Inc.		31,860		516,451
Brown Shoe Company, Inc.		13,702		440,519
Dolby Laboratories, Inc. — Class A		8,310		358,327
Ryland Group, Inc.		9,290		358,222
Wendy’s Co.		31,680		286,070
Foot Locker, Inc.		4,860		273,035
Ascena Retail Group, Inc.*		15,100		189,656
United Stationers, Inc.		4,230		178,337
Visteon Corp.*		1,660		177,388
Abercrombie & Fitch Co. — Class A		5,020		143,773
Total Consumer, Cyclical				13,108,612
TECHNOLOGY - 7.5%
Computer Sciences Corp.		45,920		2,895,256
IXYS Corp.		172,330		2,171,358
QUALCOMM, Inc.		19,990		1,485,857
Microsoft Corp.		20,030		930,394
NetApp, Inc.		22,420		929,309
Diebold, Inc.		20,450		708,388
Maxwell Technologies, Inc.*		67,170		612,590
KEYW Holding Corp.*		37,000		384,060
Allscripts Healthcare Solutions, Inc.*		25,180		321,549
Teradyne, Inc.		13,690		270,925
IPG Photonics Corp.*		1,860		139,351
iGATE Corp.*		3,280		129,494
ManTech International Corp. — Class A		4,110		124,245
Total Technology				11,102,776
COMMUNICATIONS - 5.3%
Cisco Systems, Inc.		104,540		2,907,781
Time Warner, Inc.		17,236		1,472,299
AT&T, Inc.		41,170		1,382,900
DigitalGlobe, Inc.*		26,927		833,929
Scholastic Corp.		14,170		516,071
Finisar Corp.*		25,600		496,896
Liquidity Services, Inc.*		17,433		142,428
Total Communications				7,752,304
UTILITIES - 5.2%
Edison International		29,570		1,936,243
AGL Resources, Inc.		24,410		1,330,590
UGI Corp.		33,930		1,288,661
Pinnacle West Capital Corp.		13,190		901,008
Great Plains Energy, Inc.		23,392		664,567
Westar Energy, Inc.		14,420		594,681
Black Hills Corp.		7,220		382,949
Avista Corp.		7,960		281,386
Ameren Corp.		4,590		211,737
EnerNOC, Inc.*		7,660		118,347
Total Utilities				7,710,169
ENERGY - 5.0%
Chevron Corp.		25,300		2,838,154
Exxon Mobil Corp.		11,440		1,057,628
Whiting Petroleum Corp.*		27,450		905,850
Patterson-UTI Energy, Inc.		51,170		848,910
Apache Corp.		8,218		515,022
Marathon Oil Corp.		16,740		473,575
Superior Energy Services, Inc.		20,160		406,224
Oasis Petroleum, Inc.*		13,220		218,659
Resolute Energy Corp.*		56,540		74,633
Total Energy				7,338,655
BASIC MATERIALS - 4.1%
Cameco Corp.		170,140		2,791,998
Dow Chemical Co.		47,270		2,155,984
Olin Corp.		20,236		460,774
Landec Corp.*		31,830		439,572
Intrepid Potash, Inc.*		15,220		211,254
Total Basic Materials				6,059,582
Total Common Stocks
(Cost $114,355,321)				141,561,676
WARRANTS† - 0.2%
American International Group, Inc.
$45.00, 01/19/21		12,040		296,425
Total Warrants
(Cost $226,617)				296,425
SHORT TERM INVESTMENTS† - 3.1%
Dreyfus Treasury Prime Cash Management Fund		4,588,987		4,588,987
Total Short Term Investments
(Cost $4,588,987)				4,588,987
Total Investments - 99.4%
(Cost $119,170,925)			$	146,447,088
Other Assets & Liabilities, net - 0.6%				869,480
Total Net Assets - 100.0%			$	147,316,568

*	Non-income producing security.
†	Value determined based on Level 1 inputs — See Note 4.
	ADR — American Depositary Receipt

98 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SERIES O (ALL CAP VALUE SERIES)

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2014
Assets:
Investments, at value (cost $119,170,925)	$	146,447,088
Prepaid expenses		5,220
Cash		1,643
Receivables:
Securities sold		1,641,534
Dividends		234,893
Fund shares sold		8,988
Foreign taxes reclaim		3,899
Total assets		148,343,265
Liabilities:
Payable for:
Securities purchased		845,404
Management fees		87,418
Fund shares redeemed		64,450
Fund accounting/administration fees		11,864
Transfer agent/maintenance fees		4,266
Trustees’ fees*		1,266
Miscellaneous		12,029
Total liabilities		1,026,697
Net assets	$	147,316,568
Net assets consist of:
Paid in capital	$	105,587,378
Undistributed net investment income		1,287,652
Accumulated net realized gain on investments		13,165,375
Net unrealized appreciation on investments		27,276,163
Net assets	$	147,316,568
Capital shares outstanding		4,167,759
Net asset value per share	$	35.35

STATEMENT OF OPERATIONS

Year Ended December 31, 2014
Investment Income:
Dividends (net of foreign withholding tax of $10,624)	$	2,739,539
Interest		18
Total investment income		2,739,557
Expenses:
Management fees		1,061,418
Transfer agent/maintenance fees		25,005
Fund accounting/administration fees		144,047
Trustees’ fees*		16,060
Line of credit fees		2,317
Custodian fees		2,149
Tax expense		364
Miscellaneous		103,416
Total expenses		1,354,776
Less:
Expenses waived by Adviser		(3,380	)
Net expenses		1,351,396
Net investment income		1,388,161
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		23,205,382
Options written		29,068
Net realized gain		23,234,450
Net change in unrealized appreciation (depreciation) on:
Investments		(13,273,295	)
Options written		(26,058	)
Net change in unrealized appreciation (depreciation)		(13,299,353	)
Net realized and unrealized gain		9,935,097
Net increase in net assets resulting from operations	$	11,323,258

* Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 99

SERIES O (ALL CAP VALUE SERIES)

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended December 31, 2014			Year Ended December 31, 2013
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	1,388,161		$	1,169,227
Net realized gain on investments		23,234,450			13,591,079
Net change in unrealized appreciation (depreciation) on investments		(13,299,353	)		25,926,243
Net increase in net assets resulting from operations		11,323,258			40,686,549
Distributions to shareholders from:
Net investment income		(1,285	)		—
Total distributions to shareholders		(1,285	)		—
Capital share transactions:
Proceeds from sale of shares		15,918,519			11,634,385
Distributions reinvested		1,285			—
Cost of shares redeemed		(33,626,804	)		(28,853,446	)
Net decrease from capital share transactions		(17,707,000	)		(17,219,061	)
Net increase (decrease) in net assets		(6,385,027	)		23,467,488
Net assets:
Beginning of year		153,701,595			130,234,107
End of year	$	147,316,568		$	153,701,595
Undistributed net investment income at end of year	$	1,287,652		$	1,168,649
Capital share activity:
Shares sold		466,579			399,098
Shares issued from reinvestment of distributions		36			—
Shares redeemed		(977,527	)		(1,001,349	)
Net decrease in shares		(510,912	)		(602,251	)

100 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SERIES O (ALL CAP VALUE SERIES)

FINANCIAL HIGHLIGHTS

This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.

	Year Ended December 31, 2014			Year Ended December 31, 2013			Year Ended December 31, 2012			Year Ended December 31, 2011			Year Ended December 31, 2010
Per Share Data
Net asset value, beginning of period	$	32.85		$	24.66		$	21.35		$	22.32		$	19.14
Income (loss) from investment operations:
Net investment income (loss)a		.31			.24			.21			.15			.14
Net gain (loss) on investments (realized and unrealized)		2.19			7.95			3.10			(1.12	)		3.04
Total from investment operations		2.50			8.19			3.31			(.97	)		3.18
Less distributions from:
Net investment income		(—	)b		—			—			—			—
Net asset value, end of period	$	35.35		$	32.85		$	24.66		$	21.35		$	22.32
Total Returnc		7.61	%		33.21	%		15.50	%		(4.35	%)		16.61	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	147,317		$	153,702		$	130,234		$	137,794		$	165,722
Ratios to average net assets:
Net investment income (loss)		0.92	%		0.81	%		0.91	%		0.69	%		0.68	%
Total expenses		0.89	%		0.90	%		0.89	%		0.86	%		0.86	%
Net expensesd		0.89	%		0.90	%		0.89	%		0.86	%		0.86	%
Portfolio turnover rate		49	%		22	%		14	%		19	%		11	%

a	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
b	Distributions from net investment income are less than $0.01 per share.
c	Total return does not take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Guggenheim Variable Funds Trust are available only through the purchase of such products.
d	Net expense information reflects the expense ratios after expense waivers.

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 101

MANAGER’S COMMENTARY (Unaudited) December 31, 2014

To Our Shareholders

The Series P (High Yield Series) is managed by a team of seasoned professionals, including B. Scott Minerd, Chairman of Investments and Global Chief Investment Officer; Jeffrey B. Abrams, Senior Managing Director and Portfolio Manager; and Kevin H. Gundersen CFA, Senior Managing Director and Portfolio Manager. In the following paragraphs, the investment team discusses the market environment and Series performance for the fiscal year ended December 31, 2014.

For the one-year period ended December 31, 2014, the Series P (High Yield Series) returned 2.51%, compared with the 2.45% return of its benchmark, the Barclays U.S. Corporate High Yield Index.

After a strong start for High Yield/ Leveraged Credit in the first half of 2014, significant volatility in the second half ultimately culminated in the weakest performance since 2008 for high yield bonds and since 2011 for leveraged loans.

While the sell-off was initially sparked by market unease over the Fed winding down its purchases of U.S. Treasuries and mortgage-backed securities, it continued through the fourth quarter as markets grew anxious over the weakening global outlook and the potentially adverse effects of a continued plunge in oil prices on the high yield market. With energy credit issuers making up more than 20% of the high yield bond market, the sudden decline in oil prices affected the prices of issuers in that sector. The Fund moved quickly to reduce exposure to energy credits and rebalance among sub-sectors favoring exposure to issuers more involved with movement/transportation of oil rather than its production.

The Fund’s outperformance for the year stemmed from good credit selection, some incremental exposure to investment grade assets that performed well, and timely moves between high yield and bank loan allocations. Despite weaker performance in the broader bank loan market relative to high yield during the year, the Fund’s allocation to bank loans had a positive impact on portfolio performance as its loan positions handily outperformed the Credit Suisse Leveraged Loan Index by over the period, and pared declines in value of high yield bonds.

The Fund remains conservatively positioned in terms of its exposure to interest rates. It maintains a higher exposure to shorter-dated bonds than does the index as a whole, and is overweight floating rate securities (bank loans) which made up roughly 25% of the portfolio on average over the year. Market volatility has begun to rise in part as a result of geo-political and macroeconomic uncertainty, and the Fed’s indicated intention to begin raising interest rates in 2015 looming. Our view is that it is prudent to protect against volatility and rising interest rates in advance of these factors becoming more pronounced.

The average credit quality of the portfolio remains B rated (S&P). Given the potential for more volatility ahead, the Fund has increased ratings quality and diversification by adding more issuers of higher ratings quality. This move up in quality began in July 2014 which helped performance as risk aversion drove the market as a whole toward the end of the year. CCC bond spreads widened more than B and these more than BB rated securities. From a total return standpoint, CCC rated bonds underperformed by a sizable margin while higher rated bonds found support from increasing entry to the market of non-traditional high yield investors seeking yield. In December a general market sell-off detracted 1.45% from the Barclays High Yield Index. In context BB rated bonds declined 0.63%, B rated Bonds declined 1.63% and CCC rated issues declined in value by 3.0%.

While retail demand for bank loans weakened during the latter half of the year, institutional investor demand remained strong. Bank loans offer good investor protection at the high end of the capital structure, as evidenced by the record $124 billion of collateralized loan obligation (CLO) issuances in 2014. Combined with yields having increased in the High Yield market and Treasury rates’ continuing declines, this should provide a tailwind to the asset category in the near term.

We remain positive on credit and do not expect to see widespread defaults over the next year, but with the potential for more volatility ahead, we continue to focus on upgrading credit quality. We believe current spreads present attractive entry points to certain sectors and credits. The sell-off over the past six months presents an opportunity to carefully analyze loans and bonds that may have been oversold and are currently trading below fair value.

Performance displayed represents past performance, which is no guarantee of future results.

The opinions and forecast expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.

102 | THE GUGGENHEIM FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) December 31, 2014

SERIES P (HIGH YIELD SERIES)

OBJECTIVE: Seeks high current income. Capital appreciation is a secondary objective.

Holdings Diversification

(Market Exposure as % of Net Assets)

“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments or investments in Guggenheim Strategy Funds Trust mutual funds.

Portfolio Composition by Quality Rating**
Rating
Fixed Income Instruments
BBB	7.1%
BB	26.7%
B	40.7%
CCC	13.9%
NR	0.7%
Other Instruments
Short Term Investments	4.7%
Preferred Stocks	4.6%
Common Stocks	1.6%
Total Investments	100.0%
The chart above reflects percentages of the value of total investments.

Inception Date: August 5, 1996

Ten Largest Holdings (% of Total Net Assets)
Flakt Woods	2.3%
GRD Holdings III Corp.	2.2%
Opal Acquisition, Inc.	1.9%
Credit Acceptance Corp.	1.8%
Eagle Midco, Inc.	1.7%
Goldman Sachs Group, Inc.	1.7%
KGHM International Ltd.	1.7%
Pacific Premier Bancorp, Inc.	1.6%
Central Garden and Pet Co.	1.6%
Aspect Software, Inc.	1.5%
Top Ten Total	18.0%
“Ten Largest Holdings” exclude any temporary cash or derivative investments.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 103

PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) December 31, 2014

Cumulative Fund Performance*^,†

Average Annual Returns*

Periods Ended December 31, 2014^†

	1 Year	5 Year	10 Year
Series P (High Yield Series)	2.51%	7.85%	7.59%
Barclays U.S. Corporate High Yield Index	2.45%	9.03%	7.74%

*	The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Barclays U.S. Corporate High Yield Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return.
**	Source: Factset. Credit quality ratings are measured on a scale that generally ranges from AAA (highest) to D (lowest). All rated securities have been rated by Moody’s, Standard & Poor’s (“S&P”), or Fitch, which are all a Nationally Recognized Statistical Rating Organization (“NRSRO”). For purposes of this presentation, when ratings are available from more than one agency, the highest rating is used. Guggenheim Investments has converted Moody’s and Fitch ratings to the equivalent S&P rating. Unrated securities do not necessarily indicate low credit quality. Security ratings are determined at the time of purchase and may change thereafter.
†	Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Guggenheim Variable Funds Trust are available only through the purchase of such products.

104 | THE GUGGENHEIM FUNDS ANNUAL REPORT

SCHEDULE OF INVESTMENTS	December 31, 2014
SERIES P (HIGH YIELD SERIES)

	Shares		Value
COMMON STOCKS† - 1.8%
CONSUMER DISCRETIONARY - 1.5%
Travelport, LLC*,††,9		48,069	$	849,859
Travelport, LLC*		17,328		311,904
Total Consumer Discretionary				1,161,763
ENERGY - 0.2%
Stallion Oilfield Holdings Ltd.*,††		19,265		185,522
COMMUNICATIONS - 0.1%
Cengage Learning Acquisitions, Inc.*,††		2,107		50,737
Aimia, Inc.		5		63
Total Communications				50,800
BASIC MATERIALS - 0.0%
Mirabela Nickel Ltd.*		1,470,315		34,815
DIVERSIFIED - 0.0%
Leucadia National Corp.		247		5,538
CONSUMER, NON-CYCLICAL - 0.0%
Crimson Wine Group Ltd.*		24		228
MEDIQ, Inc.*,†††		92		1
Total Consumer, Non-cyclical				229
CONSUMER, CYCLICAL - 0.0%
Delta Air Lines, Inc.		1		49
Chorus Aviation, Inc.		3		11
Total Consumer, Cyclical				60
FINANCIAL - 0.0%
Adelphia Recovery Trust*,†††,1		5,270		53
Total Common Stocks
(Cost $2,246,286)				1,438,780
PREFERRED STOCKS† - 5.2%
Goldman Sachs Group, Inc.
5.50%2,3		55,000		1,342,000
Kemper Corp.
7.38% due 02/27/54		39,000		1,003,860
Aspen Insurance Holdings Ltd.
5.95%2,3		35,000		884,100
Seaspan Corp.
6.38% due 04/30/19		34,000		843,200
U.S. Shipping Corp.*,††,1		24,529		27,472
Total Preferred Stocks
(Cost $4,654,811)				4,100,632
SHORT TERM INVESTMENTS† - 5.3%
Dreyfus Treasury Prime Cash Management Fund		4,206,829		4,206,829
Total Short Term Investments
(Cost $4,206,829)				4,206,829

	Face Amount
CORPORATE BONDS††,7 - 71.9%
FINANCIAL - 13.0%
Credit Acceptance Corp.
6.13% due 02/15/214	$	1,400,000	1,400,000
Pacific Premier Bancorp, Inc.
5.75% due 09/03/246		1,250,000	1,275,000
Jefferies Finance LLC / JFIN Company-Issuer Corp.
7.50% due 04/15/215		700,000	651,000
7.38% due 04/01/205		455,000	423,150
Bank of America Corp.
4.20% due 08/26/244		550,000	560,299
6.25%2,3		500,000	494,219
Citigroup, Inc.
6.30%2,3		650,000	640,250
American Equity Investment Life Holding Co.
6.63% due 07/15/21		600,000	636,000
Kennedy-Wilson, Inc.
5.88% due 04/01/24		620,000	621,550
iStar Financial, Inc.
5.00% due 07/01/194		600,000	582,000
Oxford Finance LLC / Oxford Finance Company-Issuer, Inc.
7.25% due 01/15/185		500,000	515,000
Wilton Re Finance LLC
5.88% due 03/30/332,5		400,000	420,764
Icahn Enterprises Limited Partnership / Icahn Enterprises Finance Corp.
5.88% due 02/01/22		350,000	351,531
Majid AL Futtaim Holding
7.12% due 12/31/49		300,000	324,000
Lock AS
7.00% due 08/15/21	EUR	250,000	313,880
Cabot Financial Luxembourg S.A.
6.50% due 04/01/215	GBP	200,000	292,105
Lancashire Holdings Ltd.
5.70% due 10/01/225		260,000	279,755
Jefferies LoanCore LLC / JLC Finance Corp.
6.88% due 06/01/205		300,000	273,750
Fidelity & Guaranty Life Holdings, Inc.
6.38% due 04/01/215		225,000	236,250
Total Financial			10,290,503
ENERGY - 12.0%
Atlas Energy Holdings Operating Company LLC / Atlas Resource Finance Corp.
9.25% due 08/15/21		775,000	600,625
7.75% due 01/15/21		825,000	598,125
ContourGlobal Power Holdings S.A.
7.13% due 06/01/195		1,150,000	1,150,000
Legacy Reserves Limited Partnership / Legacy Reserves Finance Corp.
6.63% due 12/01/21		825,000	672,375
8.00% due 12/01/204		505,000	419,150

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 105

SCHEDULE OF INVESTMENTS (continued)	December 31, 2014
SERIES P (HIGH YIELD SERIES)

	Face Amount		Value
BreitBurn Energy Partners Limited Partnership / BreitBurn Finance Corp.
7.88% due 04/15/22	$	1,000,000	$	772,500
8.63% due 10/15/20		250,000		215,000
Endeavor Energy Resources. LP / EER Finance, Inc.
7.00% due 08/15/215		1,100,000		973,500
Sabine Pass Liquefaction LLC
6.25% due 03/15/224		900,000		913,500
Keane Group Holdings LLC
8.50% due 08/08/19†††,1		650,000		637,845
FTS International, Inc.
6.25% due 05/01/22		600,000		438,000
CONSOL Energy, Inc.
5.88% due 04/15/22		450,000		418,500
Unit Corp.
6.63% due 05/15/21		450,000		402,750
Atlas Pipeline Partners Limited Partnership / Atlas Pipeline Finance Corp.
5.88% due 08/01/23		300,000		297,000
Crestwood Midstream Partners Limited Partnership / Crestwood Midstream Finance Corp.
6.00% due 12/15/20		300,000		287,250
Northern Oil and Gas, Inc.
8.00% due 06/01/20		350,000		265,125
Denbury Resources, Inc.
5.50% due 05/01/22		250,000		228,750
IronGate Energy Services LLC
11.00% due 07/01/186		155,000		103,850
Ultra Petroleum Corp.
5.75% due 12/15/18		100,000		92,250
SemGroup, LP
8.75% due 11/15/15†††,1,8		1,700,000		—
Total Energy				9,486,095
CONSUMER, NON-CYCLICAL - 8.3%
Central Garden and Pet Co.
8.25% due 03/01/18		1,250,000		1,259,375
Vector Group Ltd.
7.75% due 02/15/21		1,150,000		1,210,375
Bumble Bee Holdco SCA
9.63% due 03/15/184,5		800,000		836,000
KeHE Distributors LLC / KeHE Finance Corp.
7.63% due 08/15/214,5		700,000		743,750
ADT Corp.
6.25% due 10/15/214		700,000		719,250
US Foods, Inc.
8.50% due 06/30/19		350,000		371,000
JBS USA LLC / JBS USA Finance, Inc.
5.88% due 07/15/245		300,000		294,750
WEX, Inc.
4.75% due 02/01/235		300,000		289,500
American Seafoods Group LLC / American Seafoods Finance, Inc.
10.75% due 05/15/164,5		300,000		268,500
Midas Intermediate Holdco II LLC / Midas Intermediate Holdco II Finance, Inc.
7.88% due 10/01/225		250,000		242,500
Spectrum Brands, Inc.
6.13% due 12/15/24		200,000		203,000
Bumble Bee Holdings, Inc.
9.00% due 12/15/175		136,000		142,664
Total Consumer, Non-cyclical				6,580,664
CONSUMER, CYCLICAL - 8.0%
GRD Holdings III Corp.
10.75% due 06/01/195		1,600,000		1,748,000
WMG Acquisition Corp.
6.00% due 01/15/215		800,000		800,000
6.75% due 04/15/225		750,000		682,500
Checkers Drive-In Restaurants, Inc.
11.00% due 12/01/175		900,000		972,000
DreamWorks Animation SKG, Inc.
6.88% due 08/15/205		700,000		717,500
Suburban Propane Partners Limited Partnership/Suburban Energy Finance Corp.
5.50% due 06/01/244		600,000		579,000
Guitar Center, Inc.
6.50% due 04/15/195		380,000		326,800
Petco Animal Supplies, Inc.
9.25% due 12/01/185		200,000		209,500
Men’s Wearhouse, Inc.
7.00% due 07/01/224		100,000		102,750
Seminole Hard Rock Entertainment Incorporated / Seminole Hard Rock International LLC
5.88% due 05/15/215		100,000		99,000
Global Partners Limited Partnership / GLP Finance Corp.
6.25% due 07/15/22		80,000		77,600
Total Consumer, Cyclical				6,314,650
COMMUNICATIONS - 6.7%
MDC Partners, Inc.
6.75% due 04/01/205		1,100,000		1,133,000
SITEL LLC / Sitel Finance Corp.
11.00% due 08/01/175		1,000,000		995,000
CSC Holdings LLC
5.25% due 06/01/244		650,000		653,249
Unitymedia Hessen GmbH & Company KG / Unitymedia NRW GmbH
5.00% due 01/15/255		650,000		651,625
DISH DBS Corp.
5.88% due 11/15/24		400,000		402,000
5.88% due 07/15/22		200,000		205,000

106 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (continued)	December 31, 2014
SERIES P (HIGH YIELD SERIES)

	Face Amount		Value
Virgin Media Finance plc
6.38% due 10/15/245	GBP	300,000	$	502,689
McGraw-Hill Global Education Holdings LLC / McGraw-Hill Global Education Finance
9.75% due 04/01/21	$	400,000		442,000
Avaya, Inc.
7.00% due 04/01/195		150,000		146,250
Sirius XM Canada Holdings, Inc.
5.63% due 04/23/215	CAD	150,000		126,851
Expo Event Transco, Inc.
9.00% due 06/15/215		85,000		86,700
Total Communications				5,344,364
INDUSTRIAL - 6.6%
Marquette Transportation Company LLC / Marquette Transportation Finance Corp.
10.88% due 01/15/174		860,000		885,800
CEVA Group plc
7.00% due 03/01/215		900,000		868,500
Amsted Industries, Inc.
5.38% due 09/15/245		850,000		826,625
BMBG Bond Finance SCA
5.08% due 10/15/202,5	EUR	500,000		605,660
Odebrecht Offshore Drilling Finance Ltd.
6.63% due 10/01/224,6		625,560		559,876
Ultra Resources, Inc.
4.51% due 10/12/20†††,1		600,000		533,280
Sealed Air Corp.
4.88% due 12/01/225		500,000		496,250
LMI Aerospace, Inc.
7.38% due 07/15/19		300,000		292,500
Moog, Inc.
5.25% due 12/01/225		150,000		151,875
Total Industrial				5,220,366
TECHNOLOGY - 4.9%
Eagle Midco, Inc.
9.00% due 06/15/184,5		1,350,000		1,380,375
Aspect Software, Inc.
10.63% due 05/15/171,4		1,290,000		1,219,050
Audatex North America, Inc.
6.13% due 11/01/235		1,000,000		1,032,500
NCR Corp.
5.88% due 12/15/21		250,000		256,875
Total Technology				3,888,800
BASIC MATERIALS - 4.4%
KGHM International Ltd.
7.75% due 06/15/195		1,275,000		1,313,250
TPC Group, Inc.
8.75% due 12/15/205		1,030,000		1,001,675
Eldorado Gold Corp.
6.13% due 12/15/205		515,000		499,550
Mirabela Nickel Ltd.
9.50% due 06/24/19†††,1		339,390		339,390
1.00% due 07/31/44†††,1		7,722		—
Cascades, Inc.
5.50% due 07/15/225		300,000		298,500
Total Basic Materials				3,452,365
DIVERSIFIED - 4.2%
Harbinger Group, Inc.
7.75% due 01/15/22		1,203,000		1,215,030
7.88% due 07/15/19		298,000		317,370
7.75% due 01/15/225		250,000		252,500
Opal Acquisition, Inc.
8.88% due 12/15/214,5		1,500,000		1,522,500
Total Diversified				3,307,400
UTILITIES - 3.8%
Elwood Energy LLC
8.16% due 07/05/261,4		1,041,175		1,132,278
LBC Tank Terminals Holding Netherlands BV
6.88% due 05/15/235		1,000,000		1,005,000
AES Corp.
5.50% due 03/15/244		600,000		608,880
4.88% due 05/15/23		250,000		248,125
Total Utilities				2,994,283
Total Corporate Bonds
(Cost $58,697,271)				56,879,490
SENIOR FLOATING RATE INTERESTS††,2,7 - 26.8%
INDUSTRIAL - 7.8%
Flakt Woods
2.64% due 03/20/17†††,1	EUR	1,558,622		1,820,137
CareCore National LLC
5.50% due 03/05/21		996,250		983,797
Mitchell International, Inc.
8.50% due 10/11/21		600,000		596,100
SIRVA Worldwide, Inc.
7.50% due 03/27/19		589,500		583,605
Mast Global
8.75% due 09/12/19†††,1		518,196		514,065
Knowledge Learning Corp.
5.25% due 03/18/21		397,000		396,008
Nord Anglia Education Finance LLC
4.50% due 03/31/21		400,000		395,000
Hardware Holdings LLC
6.75% due 03/30/20†††,1		349,125		338,651
Panolam Industries International, Inc.
7.51% due 08/23/17		191,514		187,205
NaNa Development Corp.
8.00% due 03/15/181		97,500		92,138
Ceva Logistics US Holdings
6.50% due 03/19/21		97,783		90,938

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 107

SCHEDULE OF INVESTMENTS (continued)	December 31, 2014
SERIES P (HIGH YIELD SERIES)

	Face Amount		Value
Ceva Logistics Holdings BV (Dutch)
6.50% due 03/19/21	$	70,893	$	65,930
Ceva Group plc (United Kingdom)
6.50% due 03/19/21		67,734		62,993
Ceva Logistics Canada, ULC
6.50% due 03/19/21		12,223		11,367
Total Industrial				6,137,934
CONSUMER, CYCLICAL - 4.5%
GCA Services Group, Inc.
9.25% due 11/01/20		1,200,000		1,179,001
Lions Gate Entertainment Corp.
5.00% due 07/19/20		700,000		692,125
IntraWest Holdings S.a r.l.
5.50% due 12/09/20		693,000		690,110
DLK Acquisitions BV
4.41% due 02/28/19†††,1	EUR	400,000		447,703
Eyemart Express
5.00% due 12/16/21		400,000		398,000
BJ’s Wholesale Club, Inc.
4.50% due 09/26/19		199,496		195,434
Total Consumer, Cyclical				3,602,373
FINANCIAL - 3.7%
Cunningham Lindsey U.S., Inc.
9.25% due 06/10/20		935,455		907,390
Magic Newco, LLC
12.00% due 06/12/19		700,000		756,441
Intertrust Group
8.00% due 04/11/22		400,000		394,000
Safe-Guard
6.25% due 08/19/21		344,125		343,265
STG-Fairway Acquisitions, Inc.
6.25% due 02/28/19		294,753		289,963
Trademonster
7.25% due 08/29/19†††		199,500		198,565
Expert Global Solutions
8.52% due 04/03/18		51,984		51,594
Total Financial				2,941,218
CONSUMER, NON-CYCLICAL - 3.7%
AdvancePierre Foods, Inc.
9.50% due 10/10/17		709,000		694,821
NES Global Talent
6.50% due 10/03/19		682,500		648,375
Birds Eye Iglo Group Ltd.
4.27% due 06/30/20	EUR	450,000		530,497
Reddy Ice Holdings, Inc.
10.75% due 10/01/191		530,000		445,200
CTI Foods Holding Co. LLC
8.25% due 06/28/21		350,000		342,125
Performance Food Group
6.25% due 11/14/19		246,250		241,017
Total Consumer, Non-cyclical				2,902,035
TECHNOLOGY - 3.2%
Greenway Medical Technologies
9.25% due 11/04/211		500,000		482,500
6.00% due 11/04/201		396,000		392,040
Sparta Holding Corp.
6.25% due 07/28/20†††		698,250		691,723
TIBCO Software, Inc.
6.50% due 11/25/20		500,000		483,335
GlobalLogic Holdings, Inc.
6.25% due 05/31/19		247,500		243,788
Flexera Software LLC
8.00% due 04/02/21		250,000		237,500
Total Technology				2,530,886
COMMUNICATIONS - 3.0%
Cartrawler
4.27% due 04/29/21	EUR	550,000		663,081
Avaya, Inc.
6.50% due 03/31/18		635,001		624,416
Anaren, Inc.
9.25% due 08/18/21		500,000		493,125
MergerMarket Ltd.
4.50% due 02/04/21		347,375		328,269
Cengage Learning Acquisitions, Inc.
7.00% due 03/31/20		248,125		245,334
Total Communications				2,354,225
BASIC MATERIALS - 0.7%
Atkore International, Inc.
7.75% due 10/09/21		400,000		390,000
Styrolution US Holding, LLC
6.50% due 11/07/19		210,000		203,175
Total Basic Materials				593,175
ENERGY - 0.2%
FTS International
5.75% due 04/16/21		218,182		171,273
Total Senior Floating Rate Interests
(Cost $22,009,406)				21,233,119
ASSET-BACKED SECURITIES††,7 - 1.9%
Iron Mountain, Inc.
6.13% due 09/15/22	GBP	600,000		954,407
ALM XIV Ltd. 2014-14A
3.68% due 07/28/262,5		600,000		558,300
Total Asset-Backed Securities
(Cost $1,544,039)				1,512,707

108 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (concluded)	December 31, 2014
SERIES P (HIGH YIELD SERIES)

	Face Amount		Value
MORTGAGE-BACKED SECURITIES†† - 0.6%
SRERS Funding Ltd. 2011-RS
0.41% due 05/09/462,5	$	516,639	$	492,099
Total Mortgage-Backed Securities
(Cost $478,452)				492,099
Total Investments - 113.5%
(Cost $93,837,094)			$	89,863,656
Other Assets & Liabilities, net - (13.5)%				(10,671,760	)
Total Net Assets - 100.0%			$	79,191,896

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS††
Counterparty	Contracts to Sell		Currency	Settlement Date	Settlement Value		Value at December 31, 2014		Net Unrealized Appreciation
BNY Mellon		4,700,000	EUR	01/09/15	$	5,812,255	$	5,688,799	$	123,456
BNY Mellon		1,200,000	GBP	01/09/15		1,878,276		1,870,601		7,675
BNY Mellon		150,000	CAD	01/09/15		131,602		129,102		2,500
BNY Mellon		52,000	AUD	01/09/15		43,426		42,431		995
									$	134,626

*	Non-income producing security.
†	Value determined based on Level 1 inputs, unless otherwise noted — See Note 4.
††	Value determined based on Level 2 inputs, unless otherwise noted — See Note 4.
†††	Value determined based on Level 3 inputs — See Note 4.
1	Illiquid security.
2	Variable rate security. Rate indicated is rate effective at December 31, 2014.
3	Perpetual maturity.
4	Security or a portion thereof is held as collateral for reverse repurchase agreements — See Note 14.
5	Security is a 144A or Section 4(a)(2) security. The total market value of 144A or Section 4(a)(2) securities is $33,778,360 (cost $34,512,996), or 42.7% of total net assets. These securities have been determined to be liquid under guidelines established by the Board of Trustees.
6	Security is a 144A or Section 4(a)(2) security. These securities are considered illiquid and restricted under guidelines established by the Board of Trustees. The total market value of 144A or Section 4(a)(2) securities is $1,938,726 (cost $2,026,984), or 2.4% of total net assets — See Note 15.
7	The face amount is denominated in U.S. Dollars unless otherwise indicated.
8	Security is in default of interest and/or principal obligations.
9	Security or a portion thereof is restricted due to a corporate action.
	plc — Public Limited Company
	REIT — Real Estate Investment Trust

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 109

SERIES P (HIGH YIELD SERIES)

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2014
Assets:
Investments, at value (cost $93,837,094)	$	89,863,656
Segregated cash with broker		150,000
Unrealized appreciation on forward foreign currency exchange contracts		134,626
Cash		116,264
Prepaid expenses		5,973
Receivables:
Securities sold		2,405,566
Interest		1,176,305
Dividends		13,017
Foreign taxes reclaim		6,451
Fund shares sold		2,894
Total assets		93,874,752
Liabilities:
Reverse Repurchase Agreements		12,540,862
Unfunded loan commitments, at value (commitment fees received $440,265)		398,561
Payable for:
Securities purchased		1,422,329
Fund shares redeemed		206,312
Management fees		33,978
Distribution and service fees		17,843
Fund accounting/administration fees		6,781
Transfer agent/maintenance fees		3,184
Trustees’ fees*		1,698
Miscellaneous		51,308
Total liabilities		14,682,856
Net assets	$	79,191,896
Net assets consist of:
Paid in capital	$	73,013,831
Undistributed net investment income		8,424,116
Accumulated net realized gain on investments		1,570,093
Net unrealized depreciation on investments		(3,816,144	)
Net assets	$	79,191,896
Capital shares outstanding		2,338,365
Net asset value per share	$	33.87

STATEMENT OF OPERATIONS

Year Ended December 31, 2014
Investment Income:
Interest (net of foreign withholding tax of $1,312)	$	8,305,764
Dividends (net of foreign withholding tax of $1)		246,669
Total investment income		8,552,433
Expenses:
Management fees		820,198
Transfer agent/maintenance fees		25,005
Distribution and service fees		44,332
Fund accounting/administration fees		107,259
Interest expense		104,309
Trustees’ fees*		13,385
Line of credit fees		11,413
Custodian fees		5,145
Tax expense		4
Miscellaneous		101,516
Total expenses		1,232,566
Less:
Expenses waived by Adviser		(14,814	)
Net expenses		1,217,752
Net investment income		7,334,681
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		1,856,720
Foreign currency		2,130
Forward foreign currency exchange contracts		861,526
Net realized gain		2,720,376
Net change in unrealized appreciation (depreciation) on:
Investments		(6,150,352	)
Forward foreign currency exchange contracts		142,588
Foreign currency		(9,418	)
Net change in unrealized appreciation (depreciation)		(6,017,182	)
Net realized and unrealized loss		(3,296,806	)
Net increase in net assets resulting from operations	$	4,037,875

* Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.

110 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SERIES P (HIGH YIELD SERIES)

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended December 31, 2014			Year Ended December 31, 2013
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	7,334,681		$	8,361,124
Net realized gain on investments		2,720,376			533,682
Net change in unrealized appreciation (depreciation) on investments		(6,017,182	)		284,749
Net increase in net assets resulting from operations		4,037,875			9,179,555
Capital share transactions:
Proceeds from sale of shares		55,071,243			60,438,050
Cost of shares redeemed		(103,900,378	)		(83,887,297	)
Net decrease from capital share transactions		(48,829,135	)		(23,449,247	)
Net decrease in net assets		(44,791,260	)		(14,269,692	)
Net assets:
Beginning of year		123,983,156			138,252,848
End of year	$	79,191,896		$	123,983,156
Undistributed net investment income at end of year	$	8,424,116		$	9,702,576
Capital share activity:
Shares sold		1,602,820			1,885,864
Shares redeemed		(3,019,750	)		(2,627,041	)
Net decrease in shares		(1,416,930	)		(741,177	)

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 111

SERIES P (HIGH YIELD SERIES)

STATEMENT OF CASH FLOWS

Year ended December 31, 2014
Cash Flows from Operating Activities:
Net increase in net assets resulting from operations	$	4,037,875
Adjustments to Reconcile Net Increase in Net Assets Resulting from Operations to Net Cash Provided by Operating and Investing Activities:
Net change in unrealized appreciation (depreciation) on investments		6,150,352
Net change in unrealized appreciation (depreciation) on forward foreign currency exchange contracts		(1,349,808	)
Net change in unrealized appreciation (depreciation) on foreign currency		9,418
Net realized gain on investments		(1,856,720	)
Purchase of long-term investments		(110,698,959	)
Proceeds from sale of long-term investments		145,436,886
Net proceeds from sale of short-term investments		2,167,240
Accretion of discounts and amortization of premiums		658
Decrease in prepaid expenses		3,300
Increase in for securities sold receivable		(1,146,408	)
Decrease in interest receivable		874,789
Increase in dividends receivable		(1,482	)
Increase in investment advisor receivable		(8,846	)
Increase in foreign tax reclaims receivable		(6,451	)
Increase in securities purchased payable		676,874
Decrease in management fees payable		(37,296	)
Increase in distribution and service fees payable		17,843
Decrease in fund accounting/administration fees payable		(3,367	)
Decrease in transfer agent/maintenance fees payable		(266	)
Increase in trustees' fees payable		819
Decrease in miscellaneous payable		(14,174	)
Net Cash Provided by Operating and Investing Activities		44,252,277
Cash Flows from Financing Activities:
Proceeds from reverse repurchase agreements		156,210,574
Payments made on reverse repurchase agreements		(151,356,769	)
Proceeds from sale of shares		55,076,671
Cost of shares redeemed		(104,045,828	)
Net Cash Used in Financing Activities		(44,115,352	)
Net change in cash		136,925
Cash at Beginning of Year	$	129,339
Cash at End of Year	$	266,264
Supplemental Disclosure of Cash Flow Information: Cash paid during the year for interest	$	102,891

112 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SERIES P (HIGH YIELD SERIES)

FINANCIAL HIGHLIGHTS

This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.

	Year Ended December 31, 2014			Year Ended December 31, 2013			Year Ended December 31, 2012			Year Ended December 31, 2011			Year Ended December 31, 2010
Per Share Data
Net asset value, beginning of period	$	33.02		$	30.75		$	26.77		$	26.78		$	23.20
Income (loss) from investment operations:
Net investment income (loss)a		2.23			2.20			2.01			2.00			2.02
Net gain (loss) on investments (realized and unrealized)		(1.38	)		.07			1.97			(2.01	)		1.56
Total from investment operations		.85			2.27			3.98			(.01	)		3.58
Net asset value, end of period	$	33.87		$	33.02		$	30.75		$	26.77		$	26.78
Total Returnb		2.51	%		7.38	%		14.87	%		(0.04	%)		15.43	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	79,192		$	123,983		$	138,253		$	118,156		$	138,449
Ratios to average net assets:
Net investment income (loss)		6.50	%		6.86	%		6.95	%		7.34	%		8.16	%
Total expenses		1.09	%		1.07	%		0.95	%		0.93	%		0.94	%
Net expensesc		1.08	%d		1.07	%		0.95	%		0.93	%		0.94	%
Portfolio turnover rate		90	%		100	%		95	%		64	%		56	%

a	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
b	Total return does not take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Guggenheim Variable Funds Trust are available only through the purchase of such products.
c	Net expense information reflects the expense ratios after expense waivers.
d	Net expenses may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the operating expense ratio for the year would be 0.97%.

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 113

MANAGER’S COMMENTARY (Unaudited) December 31, 2014

To Our Shareholders:

The Series Q (Small Cap Value Series) is managed by a team of seasoned professionals led by James Schier, CFA, Portfolio Manager. In the following paragraphs, he discusses performance of the Fund for the fiscal year ended December 31, 2014.

For the fiscal year ended December 31, 2014, the Series Q (Small Cap Value Series) returned -1.38%, compared with the Russell 2000^® Value Index, which returned 4.22%.

Strategy and Market Overview

Our investment approach focuses on understanding how companies make money and how easily companies can improve returns, maintain existing high levels of profitability or benefit from change that occurs within the industry they operate. In today’s rapid fire environment marked by very sharp, quick but constrained volatility, our long-term orientation and discipline is a competitive advantage. This should become especially critical when the environment of indiscriminant valuation expansion subsides, and when fundamentals once again become a more dominant factor in the market.

Performance Review

On the positive side, stock selection within Information Technology was the strongest contributor to return, as the sector gained 13%, almost twice that of the benchmark. Tech holding Spansion was the largest individual contributor to the Fund, after an announced merger with Cypress Semiconductor. Another contributor for the year, RF Micro Devices, Inc., remains responsive to the substantial operating leverage and synergy from its merger with TriQuint Semiconductor, Inc. in the period.

The Fund also benefited from sector allocations that favored the health care industry and stock selection in the Utilities and Materials sectors.

Hurting Fund performance for the year was stock selection and allocation in Financials and Industrials and stock selection in Energy.

We have a significant overweight to the Industrials sector, as it should benefit from any infrastructure upgrading in the U.S. The market seems to favor businesses that experience an immediate pick-up in business when the economy improves, rather than companies reliant on long project rollouts. The portfolio’s holdings, by contrast, include a number of companies that have an engineering and construction orientation, or are tied into fairly large, visible infrastructure projects. Portfolio holdings in the Industrials sector lost almost 7% compared with a 2% loss for the benchmark. A few names lagged due to unique concerns such as European exposure or energy end-market exposure. PMFG, Inc., an energy delivery-services company that experienced poor earnings was a leading individual detractor for the year.

Both stock selection and an underweight in the Financials sector detracted from Fund performance for the year. The underweight stems from the Fund’s orientation away from real estate investment trusts (REITs), a big part of the sector and which performed well earlier in the period, even though we believe they look fairly expensive, with high valuation relative to reinvestment opportunities. Notably, one of the Fund’s best-performing holdings was in Financials: Hanover Insurance Group, Inc., a property/casualty insurer. We have favored this group due to its positive pricing trends.

Energy stock selection also provided a meaningful setback. The Energy sector declined 37% in the benchmark. The Fund’s holdings focused on oil-centric production and service companies that tended to experience the brunt of the market’s selling in this sector. The strategy’s energy names as a whole declined 54% in value. Resolute Energy was the largest individual detractor from return for the year.

Portfolio Positioning

The largest relative sector exposures for the year were an underweight in Financials and an overweight in Industrials.

114 | THE GUGGENHEIM FUNDS ANNUAL REPORT

MANAGER'S COMMENTARY (Unaudited)(concluded) December 31, 2014

The major additions to the portfolio in the period were in a variety of REITs (part of Financials), in order to initially bring the weighting up to 9% (about half of the benchmark weighting) from a negligible level of exposure. REITs continue to perform well, and the strategy’s underweighting in this industry has been a difficult bias to overcome. Over the period, the Fund also reduced its exposure to the reinsurance market, which has been under pressure as participants outside the industry have entered to provide capital in the search for yield.

The REIT purchases were primarily funded by reducing the weightings in a number of sectors, mostly Industrials and Consumer Discretionary. The Fund still has an overweight Industrials, which detracted from performance over the year. This is a large and eclectic sector in which we have diverse holdings. We believe the portfolio is well positioned to benefit from the growing cap-ex and construction environment tied to infrastructure renewal and reindustrialization in the U.S.

Portfolio and Market Outlook

Despite a firming economy, investors were very cautious over the period, as safe-haven areas such as utilities, REITs, health care and consumer staples continued to lead. As the world continues to look towards the U.S. economy to be the engine for growth, and as foreign investors continue to fear the safety of their own currencies and economies, interest in U.S. assets should continue to be robust. The continued decline in U.S. government bond yields should continue to make equities an attractive alternative for incremental investment dollars.

Our portfolios tend to reflect a bias toward companies with balance sheet quality. We continue to find niche companies with what we believe to be attractive growth opportunities and, as such, are constructive on the outlook.

Performance displayed represents past performance, which is no guarantee of future results.

The opinions and forecast expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 115

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) December 31, 2014

SERIES Q (SMALL CAP VALUE SERIES)

OBJECTIVE: Seeks long-term capital appreciation.

Holdings Diversification

(Market Exposure as % of Net Assets)

“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments or investments in Guggenheim Strategy Funds Trust mutual funds.

Cumulative Fund Performance*^,†

Inception Date: May 1, 2000

Ten Largest Holdings (% of Total Net Assets)
Hanover Insurance Group, Inc.	3.3%
Endurance Specialty Holdings Ltd.	2.5%
Covanta Holding Corp.	2.3%
Emergent Biosolutions, Inc.	2.1%
Laclede Group, Inc.	2.1%
Diebold, Inc.	2.0%
Apartment Investment & Management Co. — Class A	2.0%
PMFG, Inc.	2.0%
Silicon Graphics International Corp.	1.9%
Reinsurance Group of America, Inc. — Class A	1.9%
Top Ten Total	22.1%
“Ten Largest Holdings” exclude any temporary cash or derivative investments.

Average Annual Returns*

Periods Ended December 31, 2014^†

	1 Year	5 Year	10 Year
Series Q (Small Cap Value Series)	-1.38%	13.39%	9.90%
Russell 2000 Value Index	4.22%	14.26%	6.89%

*

The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Russell 2000 Value Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return.

†

Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Guggenheim Variable Funds Trust are available only through the purchase of such products.

116 | THE GUGGENHEIM FUNDS ANNUAL REPORT

SCHEDULE OF INVESTMENTS	December 31, 2014
SERIES Q (SMALL CAP VALUE SERIES)

	Shares		Value
COMMON STOCKS† - 100.9%
FINANCIAL - 31.1%
Hanover Insurance Group, Inc.		52,944	$	3,775,965
Endurance Specialty Holdings Ltd.		47,636		2,850,538
Apartment Investment & Management Co. — Class A		61,420		2,281,753
Reinsurance Group of America, Inc. — Class A		24,785		2,171,662
Simmons First National Corp. — Class A		52,735		2,143,678
Berkshire Hills Bancorp, Inc.		72,185		1,924,452
CubeSmart		86,073		1,899,631
Navigators Group, Inc.*		25,790		1,891,439
NorthStar Realty Finance Corp.		100,520		1,767,142
Horace Mann Educators Corp.		52,730		1,749,581
Camden Property Trust		19,028		1,405,028
Sun Communities, Inc.		22,866		1,382,478
OFG Bancorp		82,220		1,368,963
BancFirst Corp.		17,857		1,131,955
Chatham Lodging Trust		37,607		1,089,475
Symetra Financial Corp.		46,790		1,078,509
1st Source Corp.		28,523		978,624
Home Loan Servicing Solutions Ltd.		43,650		852,048
AMERISAFE, Inc.		19,414		822,377
PrivateBancorp, Inc. — Class A		23,452		783,297
Blackstone Mortgage Trust, Inc. — Class A		23,000		670,220
StanCorp Financial Group, Inc.		9,110		636,425
Eaton Vance Corp.		15,280		625,410
Radian Group, Inc.		20,535		343,345
Trustmark Corp.		12,040		295,462
Argo Group International Holdings Ltd.		2,823		156,592
Total Financial				36,076,049
INDUSTRIAL - 16.9%
Covanta Holding Corp.		122,140		2,688,301
PMFG, Inc.*		433,033		2,264,763
Celadon Group, Inc.		85,979		1,950,863
Curtiss-Wright Corp.		24,413		1,723,313
Orbital Sciences Corp.*		59,941		1,611,813
FLIR Systems, Inc.		37,190		1,201,609
Berry Plastics Group, Inc.*		34,680		1,094,154
Aegion Corp. — Class A*		52,928		984,990
Newport Corp.*		50,880		972,317
Energy Recovery, Inc.*		175,651		925,681
Gentex Corp.		24,210		874,707
Sterling Construction Company, Inc.*		131,448		839,953
LMI Aerospace, Inc.*		44,700		630,270
Marten Transport Ltd.		28,758		628,650
Rand Logistics, Inc.*		119,809		473,246
Dynamic Materials Corp.		23,487		376,262
UTI Worldwide, Inc.*		27,140		327,580
Sanmina Corp.*		1,532		36,048
Total Industrial				19,604,520
CONSUMER, NON-CYCLICAL - 15.3%
Emergent Biosolutions, Inc.*		90,440		2,462,681
ABM Industries, Inc.		67,990		1,947,914
Greatbatch, Inc.*		32,471		1,600,819
Global Cash Access Holdings, Inc.*		216,100		1,545,115
Invacare Corp.		89,160		1,494,322
Great Lakes Dredge & Dock Corp.*		151,466		1,296,549
DeVry Education Group, Inc.		27,220		1,292,133
Navigant Consulting, Inc.*		75,090		1,154,134
Kindred Healthcare, Inc.		63,038		1,146,031
ICU Medical, Inc.*		10,093		826,617
Globus Medical, Inc. — Class A*		27,960		664,609
ICF International, Inc.*		15,832		648,795
HealthSouth Corp.		14,970		575,746
Tornier N.V.*		14,718		375,309
Grand Canyon Education, Inc.*		6,610		308,423
Darling Ingredients, Inc.*		16,380		297,461
OraSure Technologies, Inc.*		13,979		141,747
Total Consumer, Non-cyclical				17,778,405
TECHNOLOGY - 13.4%
Diebold, Inc.		66,972		2,319,910
Silicon Graphics International Corp.*		191,510		2,179,384
Maxwell Technologies, Inc.*		223,843		2,041,448
KEYW Holding Corp.*		153,362		1,591,898
IXYS Corp.		98,750		1,244,249
Spansion, Inc. — Class A*		28,214		965,483
ManTech International Corp. — Class A		29,979		906,265
Allscripts Healthcare Solutions, Inc.*		62,720		800,934
Brooks Automation, Inc.		62,710		799,553
Diodes, Inc.*		25,850		712,685
Mercury Systems, Inc.*		48,980		681,802
Teradyne, Inc.		33,290		658,809
iGATE Corp.*		8,440		333,211
IPG Photonics Corp.*		4,430		331,896
Total Technology				15,567,527
CONSUMER, CYCLICAL - 7.3%
International Speedway Corp. — Class A		50,070		1,584,716
Papa Murphy’s Holdings, Inc.*		133,280		1,548,714
Chico’s FAS, Inc.		64,720		1,049,111
Oshkosh Corp.		17,820		866,943
Wendy’s Co.		73,140		660,454
ScanSource, Inc.*		16,260		653,001
Ryland Group, Inc.		16,140		622,358
Iconix Brand Group, Inc.*		14,850		501,781
Crocs, Inc.*		34,048		425,260
WESCO International, Inc.*		4,393		334,791
Abercrombie & Fitch Co. — Class A		7,990		228,834
Total Consumer, Cyclical				8,475,963

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 117

SCHEDULE OF INVESTMENTS (concluded)	December 31, 2014
SERIES Q (SMALL CAP VALUE SERIES)

	Shares		Value
UTILITIES - 6.6%
Laclede Group, Inc.		45,090	$	2,398,788
UGI Corp.		54,626		2,074,695
PICO Holdings, Inc.*		80,760		1,522,326
South Jersey Industries, Inc.		16,040		945,237
Avista Corp.		18,530		655,036
Total Utilities				7,596,082
COMMUNICATIONS - 4.4%
DigitalGlobe, Inc.*		63,024		1,951,853
Finisar Corp.*		60,510		1,174,499
Safeguard Scientifics, Inc.*		52,711		1,044,732
Scholastic Corp.		15,954		581,045
Liquidity Services, Inc.*		39,103		319,472
Total Communications				5,071,601
BASIC MATERIALS - 3.0%
Olin Corp.		47,201		1,074,767
Luxfer Holdings plc ADR		64,647		965,180
Landec Corp.*		62,505		863,194
Royal Gold, Inc.		9,332		585,116
Total Basic Materials				3,488,257
ENERGY - 2.9%
Patterson-UTI Energy, Inc.		64,180		1,064,746
Matrix Service Co.*		31,278		698,125
Oasis Petroleum, Inc.*		32,850		543,339
Clayton Williams Energy, Inc.*		7,457		475,757
Sanchez Energy Corp.*		32,070		297,930
Resolute Energy Corp.*		222,610		293,845
Total Energy				3,373,742
Total Common Stocks
(Cost $100,933,407)				117,032,146
CONVERTIBLE PREFERRED STOCKS††† - 0.0%
Thermoenergy Corp.*,1,2		116,667		1,022
Total Convertible Preferred Stocks
(Cost $111,410)				1,022
SHORT TERM INVESTMENTS† - 0.9%
Dreyfus Treasury Prime Cash Management Fund		986,072		986,072
Total Short Term Investments
(Cost $986,072)				986,072
Total Investments - 101.8%
(Cost $102,030,889)			$	118,019,240
Other Assets & Liabilities, net - (1.8)%				(2,086,157	)
Total Net Assets - 100.0%			$	115,933,083

*	Non-income producing security.
†	Value determined based on Level 1 inputs — See Note 4.
†††	Value determined based on Level 3 inputs — See Note 4.
1	PIPE (Private Investment in Public Equity) — Stock issued by a company in the secondary market as a means of raising capital more quickly and less expensively than through registration of a secondary public offering.
2	Illiquid security.
	ADR — American Depositary Receipt
	plc — Public Limited Company

118 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SERIES Q (SMALL CAP VALUE SERIES)

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2014
Assets:
Investments, at value (cost $102,030,889)	$	118,019,240
Prepaid expenses		4,375
Receivables:
Securities sold		13,896,554
Dividends		130,190
Fund shares sold		35,874
Total assets		132,086,233
Liabilities:
Payable for:
Securities purchased		15,926,192
Fund shares redeemed		109,852
Management fees		92,325
Fund accounting/administration fees		9,232
Transfer agent/maintenance fees		4,075
Trustees’ fees*		545
Miscellaneous		10,929
Total liabilities		16,153,150
Net assets	$	115,933,083
Net assets consist of:
Paid in capital	$	81,684,934
Accumulated net investment loss		(138,581	)
Accumulated net realized gain on investments		18,398,379
Net unrealized appreciation on investments		15,988,351
Net assets	$	115,933,083
Capital shares outstanding		2,241,021
Net asset value per share	$	51.73

STATEMENT OF OPERATIONS

Year Ended December 31, 2014
Investment Income:
Dividends (net of foreign withholding tax of $1,760)	$	1,608,527
Interest		60,073
Total investment income		1,668,600
Expenses:
Management fees		1,210,160
Transfer agent/maintenance fees		25,005
Fund accounting/administration fees		121,014
Trustees’ fees*		13,886
Custodian fees		2,654
Line of credit fees		1,885
Tax expense		4
Miscellaneous		97,955
Total expenses		1,472,563
Net investment income		196,037
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		18,770,496
Options written		160,273
Net realized gain		18,930,769
Net change in unrealized appreciation (depreciation) on:
Investments		(21,095,639	)
Options written		(62,843	)
Net change in unrealized appreciation (depreciation)		(21,158,482	)
Net realized and unrealized loss		(2,227,713	)
Net decrease in net assets resulting from operations	$	(2,031,676	)

* Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 119

SERIES Q (SMALL CAP VALUE SERIES)

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended December 31, 2014			Year Ended December 31, 2013
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	196,037		$	29,715
Net realized gain on investments		18,930,769			14,101,979
Net change in unrealized appreciation (depreciation) on investments		(21,158,482	)		24,971,725
Net increase (decrease) in net assets resulting from operations		(2,031,676	)		39,103,419
Distributions to shareholders from:
Net investment income		(12,486	)		—
Total distributions to shareholders		(12,486	)		—
Capital share transactions:
Proceeds from sale of shares		11,066,669			18,249,589
Distributions reinvested		12,486			—
Cost of shares redeemed		(33,044,926	)		(28,811,632	)
Net decrease from capital share transactions		(21,965,771	)		(10,562,043	)
Net increase (decrease) in net assets		(24,009,933	)		28,541,376
Net assets:
Beginning of year		139,943,016			111,401,640
End of year	$	115,933,083		$	139,943,016
Accumulated net investment loss at end of year	$	(138,581	)	$	(309,867	)
Capital share activity:
Shares sold		213,055			402,298
Shares issued from reinvestment of distributions		241			—
Shares redeemed		(639,695	)		(639,709	)
Net decrease in shares		(426,399	)		(237,411	)

120 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SERIES Q (SMALL CAP VALUE SERIES)

FINANCIAL HIGHLIGHTS

This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.

	Year Ended December 31, 2014			Year Ended December 31, 2013			Year Ended December 31, 2012			Year Ended December 31, 2011			Year Ended December 31, 2010
Per Share Data
Net asset value, beginning of period	$	52.46		$	38.35		$	32.09		$	33.64		$	27.60
Income (loss) from investment operations:
Net investment income (loss)a		.08			.01			(—	)b		(.10	)		(.06	)
Net gain (loss) on investments (realized and unrealized)		(.80	)		14.10			6.26			(1.45	)		6.10
Total from investment operations		(.72	)		14.11			6.26			(1.55	)		6.04
Less distributions from:
Net investment income		(.01	)		—			—			—			—
Total distributions		(.01	)		—			—			—			—
Net asset value, end of period	$	51.73		$	52.46		$	38.35		$	32.09		$	33.64
Total Returnc		(1.38	%)		36.79	%		19.51	%		(4.61	%)		21.88	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	115,933		$	139,943		$	111,402		$	107,587		$	126,827
Ratios to average net assets:
Net investment income (loss)		0.15	%		0.02	%		(0.00	%)d		(0.29	%)		(0.22	%)
Total expenses		1.16	%		1.16	%		1.15	%		1.12	%		1.12	%
Portfolio turnover rate		50	%		30	%		44	%		51	%		38	%

a	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
b	Net investment income (loss) is less than $0.01 per share.
c	Total return does not take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Guggenheim Variable Funds Trust are available only through the purchase of such products.
d	Net investment income (loss) ratio is less than 0.01%.

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 121

MANAGER’S COMMENTARY (Unaudited) December 31, 2014

To Our Shareholders:

The Series V (Mid Cap Value Series) is managed by a team of seasoned professionals led by James Schier, CFA, Portfolio Manager. In the following paragraphs, he discusses performance of the Fund for the fiscal year ended December 31, 2014.

For the fiscal year ended December 31, 2014, the Series V (Mid Cap Value Series) returned 0.91%, compared with the Russell 2500^® Value Index, which returned 7.11%.

Strategy and Market Overview

Our investment approach focuses on understanding how companies make money and how easily they can improve returns, maintain existing high levels of profitability or benefit from change that occurs within the industries in which they operate. In today’s rapid-fire environment marked by very sharp and quick, but constrained volatility, our long-term orientation and discipline is a competitive advantage. This should become especially critical when the environment of indiscriminant valuation expansion subsides, and fundamentals once again become a more dominant factor in the market.

Performance Review

On the positive side, stock selection within Industrials and Information Technology was the strongest contributor to return. Tech holding RF Micro Devices, Inc. was one of the top individual contributors for the year. It remains responsive to the substantial operating leverage and synergy from its merger with TriQuint Semiconductor, Inc. in the period. The Utility sector also provided solid results in stock selection.

Hurting Fund performance for the year was stock selection in Financials and an overweight and stock selection in Energy.

Both stock selection and an underweight in the Financials sector detracted from Fund performance for the year. The underweight stems from the Fund’s orientation away from real estate investment trusts (REITs), a big part of the sector and which performed well earlier in the period, even though we believe they look fairly expensive, with high valuation relative to reinvestment opportunities. Notably, one of the Fund’s best-performing holdings was in Financials: Hanover Insurance Group, Inc., a property/casualty insurer. We have favored this group due to its positive pricing trends.

Energy stock selection also provided a meaningful setback. The Energy sector declined 32% in the benchmark. The Fund’s holdings focused on oil-centric production and service companies that tended to experience the brunt of the market’s selling in this sector. The strategy’s energy names as a whole declined 43% in value. Resolute Energy and Oasis Petroleum were the largest individual detractors from return for the year.

Portfolio Positioning

The largest relative sector exposures for the year were an underweight in Financials and an overweight in Industrials.

The major additions to the portfolio in the period were in a variety of REITs (part of Financials), in order to initially bring the weighting up to 9% (about half of the benchmark weighting) from a negligible level of exposure. REITs continue to perform well, and the strategy’s underweighting in this industry has been a difficult bias to overcome. Over the period, the Fund also reduced its exposure to the reinsurance market, which has been under pressure as participants outside the industry have entered to provide capital in the search for yield.

The REIT purchases were primarily funded by reducing the weightings in a number of sectors, mostly Industrials and Consumer Discretionary. The Fund still has an overweight Industrials (18% versus 14% for the benchmark), which detracted from performance over the year. This is a large and eclectic sector in which we have diverse holdings. We believe the portfolio is well positioned to benefit from the growing cap-ex and construction environment tied to infrastructure renewal and reindustrialization in the U.S.

122 | THE GUGGENHEIM FUNDS ANNUAL REPORT

MANAGER'S COMMENTARY (Unaudited)(concluded) December 31, 2014

Portfolio and Market Outlook

Despite a firming economy, investors were very cautious over the period, as safe-haven areas such as utilities, REITs, health care and consumer staples continued to lead. As the world continues to look towards the U.S. economy to be the engine for growth, and as foreign investors continue to fear the safety of their own currencies and economies, interest in U.S. assets should continue to be robust. The continued decline in U.S. government bond yields should continue to make equities an attractive alternative for incremental investment dollars.

Our portfolios tend to reflect a bias toward companies with balance sheet quality. We continue to find niche companies with what we believe to be attractive growth opportunities and, as such, are constructive on the outlook.

Performance displayed represents past performance, which is no guarantee of future results.

The opinions and forecast expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 123

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) December 31, 2014

SERIES V (MID CAP VALUE SERIES)

OBJECTIVE: Seeks long-term growth of capital.

Holdings Diversification

(Market Exposure as % of Net Assets)

“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments or investments in Guggenheim Strategy Funds Trust mutual funds.

Cumulative Fund Performance*^,†

Inception Date: May 1, 1997

Ten Largest Holdings (% of Total Net Assets)
Hanover Insurance Group, Inc.	3.0%
Computer Sciences Corp.	2.8%
Covanta Holding Corp.	2.4%
Reinsurance Group of America, Inc. — Class A	2.2%
Zions Bancorporation	2.1%
IXYS Corp.	2.1%
Sonoco Products Co.	2.0%
Pinnacle West Capital Corp.	2.0%
Owens-Illinois, Inc.	1.9%
DigitalGlobe, Inc.	1.9%
Top Ten Total	22.4%
“Ten Largest Holdings” exclude any temporary cash or derivative investments.

Average Annual Returns*

Periods Ended December 31, 2014^†

	1 Year	5 Year	10 Year
Series V (Mid Cap Value Series)	0.91%	11.42%	9.15%
Russell 2500 Value Index	7.11%	15.48%	7.91%

*

The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Russell 2500 Value Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return.

†

Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Guggenheim Variable Funds Trust are available only through the purchase of such products.

124 | THE GUGGENHEIM FUNDS ANNUAL REPORT

SCHEDULE OF INVESTMENTS	December 31, 2014
SERIES V (MID CAP VALUE SERIES)

	Shares		Value
COMMON STOCKS† - 98.0%
FINANCIAL - 28.9%
Hanover Insurance Group, Inc.		111,897	$	7,980,494
Reinsurance Group of America, Inc. — Class A		67,417		5,907,077
Zions Bancorporation		197,920		5,642,698
Alleghany Corp.*		10,220		4,736,970
FirstMerit Corp.		238,389		4,503,169
American Financial Group, Inc.		65,050		3,949,836
Popular, Inc.*		101,150		3,444,157
Endurance Specialty Holdings Ltd.		51,196		3,063,568
Apartment Investment & Management Co. — Class A		71,620		2,660,683
CubeSmart		118,240		2,609,557
Kilroy Realty Corp.		37,540		2,592,887
Camden Property Trust		34,640		2,557,818
Sun Communities, Inc.		42,010		2,539,925
Home Loan Servicing Solutions Ltd.		112,527		2,196,527
SVB Financial Group*		17,770		2,062,564
Wintrust Financial Corp.		43,390		2,028,916
Jones Lang LaSalle, Inc.		13,400		2,009,062
Symetra Financial Corp.		86,638		1,997,006
NorthStar Realty Finance Corp.		110,810		1,948,040
Trustmark Corp.		76,020		1,865,531
City National Corp.		21,280		1,719,637
StanCorp Financial Group, Inc.		21,630		1,511,072
Eaton Vance Corp.		36,290		1,485,350
Alexandria Real Estate Equities, Inc.		15,870		1,408,304
BioMed Realty Trust, Inc.		60,470		1,302,524
OFG Bancorp		64,155		1,068,181
Employers Holdings, Inc.		30,219		710,449
Chatham Lodging Trust		22,000		637,340
Total Financial				76,139,342
CONSUMER, NON-CYCLICAL - 15.9%
MEDNAX, Inc.*		67,220		4,443,914
Hormel Foods Corp.		79,990		4,167,479
Navigant Consulting, Inc.*		259,077		3,982,014
DeVry Education Group, Inc.		82,947		3,937,493
HealthSouth Corp.		88,550		3,405,633
Apollo Education Group, Inc. — Class A*		95,960		3,273,196
Kindred Healthcare, Inc.		159,787		2,904,928
Quanta Services, Inc.*		98,060		2,783,923
ICF International, Inc.*		62,545		2,563,094
Hologic, Inc.*		78,664		2,103,475
Ingredion, Inc.		20,320		1,723,949
Globus Medical, Inc. — Class A*		66,150		1,572,386
Emergent Biosolutions, Inc.*		56,471		1,537,705
Bunge Ltd.		14,300		1,300,013
OraSure Technologies, Inc.*		93,350		946,569
Darling Ingredients, Inc.*		43,450		789,052
Grand Canyon Education, Inc.*		13,880		647,641
Total Consumer, Non-cyclical				42,082,464
INDUSTRIAL - 14.5%
Covanta Holding Corp.		289,410		6,369,914
Sonoco Products Co.		119,690		5,230,454
Owens-Illinois, Inc.*		184,600		4,982,354
Orbital Sciences Corp.*		181,714		4,886,289
FLIR Systems, Inc.		135,870		4,389,960
Rock-Tenn Co. — Class A		55,780		3,401,464
Gentex Corp.		82,470		2,979,641
Aegion Corp. — Class A*		118,405		2,203,517
Huntington Ingalls Industries, Inc.		13,320		1,497,967
Berry Plastics Group, Inc.*		42,460		1,339,613
UTI Worldwide, Inc.*		64,450		777,912
Advanced Energy Industries, Inc.*		15,140		358,818
Total Industrial				38,417,903
TECHNOLOGY - 10.4%
Computer Sciences Corp.		116,500		7,345,326
IXYS Corp.		437,430		5,511,618
Diebold, Inc.		113,830		3,943,071
Maxwell Technologies, Inc.*		387,650		3,535,368
Allscripts Healthcare Solutions, Inc.*		148,020		1,890,215
Teradyne, Inc.		77,600		1,535,704
KEYW Holding Corp.*		133,680		1,387,598
iGATE Corp.*		20,030		790,784
IPG Photonics Corp.*		10,550		790,406
ManTech International Corp. — Class A		25,050		757,262
Total Technology				27,487,352
UTILITIES - 9.6%
Pinnacle West Capital Corp.		76,010		5,192,242
UGI Corp.		110,643		4,202,221
AGL Resources, Inc.		77,060		4,200,541
Westar Energy, Inc.		81,590		3,364,772
Great Plains Energy, Inc.		93,095		2,644,829
Black Hills Corp.		39,460		2,092,958
Avista Corp.		44,280		1,565,298
Ameren Corp.		20,171		930,488
EnerNOC, Inc.*		43,110		666,050
MDU Resources Group, Inc.		22,301		524,074
Total Utilities				25,383,473
CONSUMER, CYCLICAL - 8.3%
Oshkosh Corp.		56,450		2,746,293
Chico’s FAS, Inc.		168,380		2,729,439
Brown Shoe Company, Inc.		74,051		2,380,739
WESCO International, Inc.*		26,266		2,001,732
Dolby Laboratories, Inc. — Class A		44,930		1,937,382
Ryland Group, Inc.		48,810		1,882,114
Foot Locker, Inc.		28,000		1,573,040
Wendy’s Co.		173,990		1,571,130
DR Horton, Inc.		57,570		1,455,945
Ascena Retail Group, Inc.*		86,270		1,083,551
United Stationers, Inc.		25,170		1,061,167
Visteon Corp.*		9,700		1,036,542

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 125

SCHEDULE OF INVESTMENTS (concluded)	December 31, 2014
SERIES V (MID CAP VALUE SERIES)

	Shares		Value
Abercrombie & Fitch Co. — Class A		18,990	$	543,874
Total Consumer, Cyclical				22,002,948
COMMUNICATIONS - 4.2%
DigitalGlobe, Inc.*		160,708		4,977,127
Finisar Corp.*		143,280		2,781,065
Scholastic Corp.		74,674		2,719,627
Liquidity Services, Inc.*		82,296		672,358
Total Communications				11,150,177
BASIC MATERIALS - 3.8%
Cameco Corp.		252,210		4,138,766
Olin Corp.		111,296		2,534,210
Landec Corp.*		170,200		2,350,462
Intrepid Potash, Inc.*		78,330		1,087,220
Total Basic Materials				10,110,658
ENERGY - 2.4%
Whiting Petroleum Corp.*		55,390		1,827,869
Sanchez Energy Corp.*		158,391		1,471,452
Superior Energy Services, Inc.		69,192		1,394,219
Patterson-UTI Energy, Inc.		82,430		1,367,514
Resolute Energy Corp.*		251,840		332,429
HydroGen Corp.*,†††,1		672,346		1
Total Energy				6,393,484
Total Common Stocks
(Cost $220,157,112)				259,167,801
CONVERTIBLE PREFERRED STOCKS††† - 0.0%
Thermoenergy Corp.*,2,3		308,333		2,701
Total Convertible Preferred Stocks
(Cost $294,438)				2,701
SHORT TERM INVESTMENTS† - 2.0%
Dreyfus Treasury Prime Cash Management Fund		5,401,990		5,401,990
Total Short Term Investments
(Cost $5,401,990)				5,401,990
Total Investments - 100.0%
(Cost $225,853,540)			$	264,572,492
Other Assets & Liabilities, net - 0.0%				(77,591	)
Total Net Assets - 100.0%			$	264,494,901

*	Non-income producing security.
†	Value determined based on Level 1 inputs, unless otherwise noted — See Note 4.
†††	Value determined based on Level 3 inputs — See Note 4.
1	Affiliated issuer — See Note 10.
2	PIPE (Private Investment in Public Equity) — Stock issued by a company in the secondary market as a means of raising capital more quickly and less expensively than through registration of a secondary public offering.
3	Illiquid security.

126 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SERIES V (MID CAP VALUE SERIES)

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2014
Assets:
Investments in unaffiliated issuers, at value (cost $223,281,965)	$	264,572,491
Investments in affiliated issuers, at value (cost $2,571,575)		1
Total investments (cost $225,853,540)		264,572,492
Prepaid expenses		9,498
Cash		2,736
Receivables:
Dividends		395,891
Fund shares sold		83,162
Foreign taxes reclaim		5,224
Total assets		265,069,003
Liabilities:
Payable for:
Management fees		168,135
Fund shares redeemed		153,873
Fund accounting/administration fees		21,297
Transfer agent/maintenance fees		3,647
Trustees’ fees*		1,069
Miscellaneous		226,081
Total liabilities		574,102
Net assets	$	264,494,901
Net assets consist of:
Paid in capital	$	186,239,080
Undistributed net investment income		1,444,820
Accumulated net realized gain on investments		38,092,049
Net unrealized appreciation on investments		38,718,952
Net assets	$	264,494,901
Capital shares outstanding		3,140,536
Net asset value per share	$	84.22

STATEMENT OF OPERATIONS

Year Ended December 31, 2014
Investment Income:
Dividends (net of foreign withholding tax of $14,267)	$	4,306,476
Interest		150,849
Total investment income		4,457,325
Expenses:
Management fees		2,157,797
Transfer agent/maintenance fees		25,005
Fund accounting/administration fees		273,317
Trustees’ fees*		30,747
Line of credit fees		4,478
Custodian fees		2,895
Tax expense		562
Miscellaneous		176,765
Total expenses		2,671,566
Net investment income		1,785,759
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		37,925,604
Options written		227,815
Net realized gain		38,153,419
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(37,117,240	)
Investments in affiliated issuers		1
Options written		(140,750	)
Net change in unrealized appreciation (depreciation)		(37,257,989	)
Net realized and unrealized gain		895,430
Net increase in net assets resulting from operations	$	2,681,189

* Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 127

SERIES V (MID CAP VALUE SERIES)

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended December 31, 2014			Year Ended December 31, 2013
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	1,785,759		$	1,359,800
Net realized gain on investments		38,153,419			29,706,919
Net change in unrealized appreciation (depreciation) on investments		(37,257,989	)		49,090,035
Net increase in net assets resulting from operations		2,681,189			80,156,754
Distributions to shareholders from:
Net investment income		(7,631	)		—
Total distributions to shareholders		(7,631	)		—
Capital share transactions:
Proceeds from sale of shares		11,079,336			15,835,127
Distributions reinvested		7,631			—
Cost of shares redeemed		(51,431,613	)		(43,631,962	)
Net decrease from capital share transactions		(40,344,646	)		(27,796,835	)
Net increase (decrease) in net assets		(37,671,088	)		52,359,919
Net assets:
Beginning of year		302,165,989			249,806,070
End of year	$	264,494,901		$	302,165,989
Undistributed net investment income at end of year	$	1,444,820		$	1,496,196
Capital share activity:
Shares sold		130,280			217,418
Shares issued from reinvestment of distributions		91			—
Shares redeemed		(610,353	)		(587,402	)
Net decrease in shares		(479,982	)		(369,984	)

128 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SERIES V (MID CAP VALUE SERIES)

FINANCIAL HIGHLIGHTS

This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.

	Year Ended December 31, 2014			Year Ended December 31, 2013			Year Ended December 31, 2012			Year Ended December 31, 2011			Year Ended December 31, 2010
Per Share Data
Net asset value, beginning of period	$	83.46		$	62.60		$	53.45		$	57.78		$	49.05
Income (loss) from investment operations:
Net investment income (loss)a		.53			.36			.25			.15			.39
Net gain (loss) on investments (realized and unrealized)		.23			20.50			8.90			(4.48	)		8.34
Total from investment operations		.76			20.86			9.15			(4.33	)		8.73
Less distributions from:
Net investment income		(—	)b		—			—			—			—
Net asset value, end of period	$	84.22		$	83.46		$	62.60		$	53.45		$	57.78
Total Returnc		0.91	%		33.32	%		17.12	%		(7.49	%)		17.80	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	264,495		$	302,166		$	249,806		$	250,620		$	316,418
Ratios to average net assets:
Net investment income (loss)		0.62	%		0.48	%		0.43	%		0.26	%		0.75	%
Total expenses		0.93	%		0.93	%		0.93	%		0.90	%		0.90	%
Portfolio turnover rate		53	%		22	%		24	%		28	%		25	%

a	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
b	Distributions from net investment income are less than $0.01 per share.
c	Total return does not take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Guggenheim Variable Funds Trust are available only through the purchase of such products.

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 129

MANAGER’S COMMENTARY (Unaudited) December 31, 2014

To Our Shareholders:

The Series X (StylePlus—Small Growth Series) is managed by a team of seasoned professionals, including B. Scott Minerd, Global Chairman of Investments and Chief Investment Officer; Farhan Sharaff, Senior Managing Director and Assistant Chief Investment Officer, Equities; Jayson Flowers, Senior Managing Director and Head of Equity and Derivative Strategies; and Scott Hammond, Managing Director and Portfolio Manager. In the following paragraphs, the investment team discusses performance for the fiscal year ended December 31, 2014.

For the year ended December 31, 2014, the Series X (StylePlus—Small Growth Series) returned 8.80%, compared with the 5.60% return of its benchmark, the Russell 2000^® Growth Index.

The Fund seeks to outperform the Russell 2000 Growth Index by combining actively managed and passive equity exposure, along with an actively managed fixed income portfolio. The passive equity position is maintained with swap agreements and futures contracts. The Fund’s fixed income component invests in a variety of fixed income sectors, including asset-backed securities (ABS), mortgage-backed securities (MBS), high yield corporate bonds and bank loans.

The allocation between active and passive equity is tactically managed based on the environment for stock-picking opportunities. When stock selection opportunities are less attractive, the Fund invests in derivatives based on the target index, backed by a diversified portfolio of fixed income instruments. In this way, the Fund believes it will deliver the target index return plus an alpha component commensurate with the yield achieved on the active fixed income portfolio.

For the period, the Fund maintained an average allocation of a little more than 20% to the actively managed equity allocation and slightly less than 80% to the passive equity position. The actively managed equity sleeve was scaled down from 25% to 20% mid-year, as U.S. equity and credit markets became more volatile beginning in the third quarter. While the sell-off was initially sparked by market unease over the Fed winding down its purchases of U.S. Treasuries and mortgage-backed securities, it continued through the fourth quarter as markets grew anxious over the weakening global outlook. The actively managed sleeve was maintained at about 20% for the rest of the period.

The Fund’s active equity and active fixed income exposures both contributed to performance for the period. The passive equity position was neutral to performance, and the swap agreements contributed to performance.

The actively managed equity portfolio was underweight the more expensive smaller and momentum names (based on various measures, such as price-to-earnings), and overweight the less expensive and larger holdings. Sectors that contributed most to performance for the year were Consumer Staples and Information Technology. Sectors that detracted most from performance for the year were Energy and Financials.

Uncorrelated with the Fund’s active equity component, the fixed-income component was largely invested in ABS and MBS. These positions constituted the majority of the fixed income sleeve’s total return.

Performance displayed represents past performance, which is no guarantee of future results.

The opinions and forecast expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.

130 | THE GUGGENHEIM FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) December 31, 2014

SERIES X (STYLEPLUS—SMALL GROWTH SERIES)

OBJECTIVE: Seeks long-term growth of capital.

Holdings Diversification

(Market Exposure as % of Net Assets)

“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments or investments in Guggenheim Strategy Funds Trust mutual funds.

Portfolio Composition by Quality Rating**
Rating
Fixed Income Instruments
AAA	6.1%
AA	4.1%
A	5.5%
BBB	6.9%
BB	0.5%
B	2.3%
CCC	0.5%
Other Instruments
Mutual Funds	48.2%
Common Stocks	21.7%
Short Term Investments	4.2%
Total Investments	100.0%
The chart above reflects percentages of the value of total investments.

Inception Date: October 15, 1997

Ten Largest Holdings (% of Total Net Assets)
Guggenheim Variable Insurance Strategy Fund III	23.1%
Guggenheim Strategy Fund I	15.8%
Guggenheim Strategy Fund II	7.3%
Guggenheim Strategy Fund III	1.9%
Goldman Sachs Asset Management CLO plc 2007-1A	1.3%
KKR Financial CLO 2007-1 Ltd. 2007-1A	1.3%
HSI Asset Securitization Corporation Trust 2007-WF1	1.1%
N-Star REL CDO VIII Ltd. 2006-8A	0.9%
Duane Street CLO IV Ltd. 2007-4A	0.9%
SRERS Funding Ltd. 2011-RS	0.9%
Top Ten Total	54.5%
“Ten Largest Holdings” exclude any temporary cash or derivative investments.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 131

PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) December 31, 2014

Cumulative Fund Performance*^,†

Average Annual Returns*

Periods Ended December 31, 2014^†

	1 Year	5 Year	10 Year
Series X (StylePlus— Small Growth Series)	8.80%	16.95%	6.42%
Russell 2000 Growth Index	5.60%	16.80%	8.54%

*	The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Russell 2000 Growth Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return.
**	Source: Factset. Credit quality ratings are measured on a scale that generally ranges from AAA (highest) to D (lowest). All rated securities have been rated by Moody’s, Standard & Poor’s (“S&P”), or Fitch, which are all a Nationally Recognized Statistical Rating Organization (“NRSRO”). For purposes of this presentation, when ratings are available from more than one agency, the highest rating is used. Guggenheim Investments has converted Moody’s and Fitch ratings to the equivalent S&P rating. Unrated securities do not necessarily indicate low credit quality. Security ratings are determined at the time of purchase and may change thereafter.
†	Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Guggenheim Variable Funds Trust are available only through the purchase of such products.

132 | THE GUGGENHEIM FUNDS ANNUAL REPORT

SCHEDULE OF INVESTMENTS	December 31, 2014
SERIES X (STYLEPLUS—SMALL GROWTH SERIES)

	Shares		Value
COMMON STOCKS† - 21.7%
CONSUMER, NON-CYCLICAL - 8.0%
PAREXEL International Corp.*		1,969	$	109,398
HealthSouth Corp.		2,695		103,650
Isis Pharmaceuticals, Inc.*		1,542		95,204
Sanderson Farms, Inc.		1,040		87,386
USANA Health Sciences, Inc.*		816		83,713
Cal-Maine Foods, Inc.		1,922		75,015
Darling Ingredients, Inc.*		3,500		63,560
HMS Holdings Corp.*		2,945		62,257
Vector Group Ltd.		2,882		61,415
Select Medical Holdings Corp.		4,189		60,321
TreeHouse Foods, Inc.*		702		60,042
United Natural Foods, Inc.*		758		58,612
PDL BioPharma, Inc.		7,565		58,326
EVERTEC, Inc.		2,493		55,171
Cepheid*		1,004		54,357
Haemonetics Corp.*		1,419		53,099
Chemed Corp.		485		51,250
Thoratec Corp.*		1,553		50,410
NuVasive, Inc.*		1,061		50,037
West Pharmaceutical Services, Inc.		891		47,437
Euronet Worldwide, Inc.*		860		47,214
Lancaster Colony Corp.		488		45,696
Fresh Market, Inc.*		1,088		44,826
Corporate Executive Board Co.		585		42,430
WEX, Inc.*		421		41,645
Andersons, Inc.		767		40,758
B&G Foods, Inc.		1,274		38,093
Insulet Corp.*		817		37,631
Deluxe Corp.		590		36,728
STERIS Corp.		552		35,797
Central Garden and Pet Co. — Class A*		3,604		34,418
RPX Corp.*		2,447		33,720
Molina Healthcare, Inc.*		627		33,563
Surgical Care Affiliates, Inc.*		951		32,001
Landauer, Inc.		926		31,614
Cardtronics, Inc.*		806		31,095
Coca-Cola Bottling Company Consolidated		353		31,075
Huron Consulting Group, Inc.*		438		29,955
Skilled Healthcare Group, Inc. — Class A*		3,446		29,532
Synageva BioPharma Corp.*		310		28,765
Great Lakes Dredge & Dock Corp.*		3,351		28,685
Acadia Healthcare Company, Inc.*		460		28,157
Array BioPharma, Inc.*		5,938		28,088
Affymetrix, Inc.*		2,843		28,060
Medifast, Inc.*		832		27,914
Diamond Foods, Inc.*		979		27,637
J&J Snack Foods Corp.		254		27,628
Puma Biotechnology, Inc.*		141		26,687
SP Plus Corp.*		1,052		26,542
NPS Pharmaceuticals, Inc.*		740		26,470
Ophthotech Corp.*		589		26,428
OPKO Health, Inc.*		2,596		25,934
Insperity, Inc.		765		25,925
Sarepta Therapeutics, Inc.*		1,790		25,902
Seaboard Corp.*		6		25,188
Anika Therapeutics, Inc.*		615		25,055
Theravance, Inc.		1,748		24,734
Masimo Corp.*		929		24,470
Sotheby’s		562		24,267
Revlon, Inc. — Class A*		707		24,151
Acorda Therapeutics, Inc.*		589		24,072
Inter Parfums, Inc.		876		24,046
Premier, Inc. — Class A*		711		23,840
Genomic Health, Inc.*		743		23,754
Prestige Brands Holdings, Inc.*		674		23,401
DexCom, Inc.*		423		23,286
Halozyme Therapeutics, Inc.*		2,388		23,044
Arena Pharmaceuticals, Inc.*		6,581		22,836
Globus Medical, Inc. — Class A*		960		22,819
Akorn, Inc.*		617		22,335
Korn/Ferry International*		764		21,973
Alliance HealthCare Services, Inc.*		1,037		21,767
Inovio Pharmaceuticals, Inc.*		2,347		21,545
Air Methods Corp.*		473		20,826
MannKind Corp.*		3,816		19,900
TrueBlue, Inc.*		859		19,113
HeartWare International, Inc.*		253		18,578
Total Consumer, Non-cyclical				2,972,273
INDUSTRIAL - 4.3%
Generac Holdings, Inc.*		1,634		76,406
Rexnord Corp.*		2,657		74,953
Polypore International, Inc.*		1,494		70,293
Hillenbrand, Inc.		1,768		60,996
Teledyne Technologies, Inc.*		552		56,713
ArcBest Corp.		1,147		53,187
HEICO Corp.		869		52,487
Blount International, Inc.*		2,910		51,128
CLARCOR, Inc.		720		47,981
Belden, Inc.		597		47,050
Curtiss-Wright Corp.		655		46,236
Moog, Inc. — Class A*		573		42,419
Aegion Corp. — Class A*		2,213		41,184
FEI Co.		427		38,579
Swift Transportation Co. — Class A*		1,343		38,450
Woodward, Inc.		777		38,252
Cognex Corp.*		913		37,734
Watts Water Technologies, Inc. — Class A		564		35,780
Mueller Water Products, Inc. — Class A		3,458		35,410
TriMas Corp.*		1,107		34,638
Greenbrier Companies, Inc.		639		34,334
Hyster-Yale Materials Handling, Inc.		454		33,233
Tetra Tech, Inc.		1,188		31,720
Kaman Corp.		776		31,110
Harsco Corp.		1,630		30,791

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 133

SCHEDULE OF INVESTMENTS (continued)	December 31, 2014
SERIES X (STYLEPLUS—SMALL GROWTH SERIES)

	Shares		Value
Albany International Corp. — Class A		801	$	30,431
Advanced Energy Industries, Inc.*		1,249		29,601
Chart Industries, Inc.*		837		28,625
MasTec, Inc.*		1,223		27,652
Cubic Corp.		488		25,688
DXP Enterprises, Inc.*		504		25,467
Raven Industries, Inc.		1,005		25,125
TAL International Group, Inc.		564		24,573
Universal Display Corp.*		881		24,448
RBC Bearings, Inc.		367		23,683
Plexus Corp.*		574		23,655
YRC Worldwide, Inc.*		1,031		23,187
Coherent, Inc.*		381		23,134
NCI Building Systems, Inc.*		1,201		22,243
EnPro Industries, Inc.*		350		21,966
Aerovironment, Inc.*		757		20,628
EnerSys		334		20,614
Global Brass & Copper Holdings, Inc.		1,505		19,806
Altra Industrial Motion Corp.		696		19,759
Total Industrial				1,601,349
TECHNOLOGY - 4.3%
Aspen Technology, Inc.*		3,206		112,274
MAXIMUS, Inc.		1,300		71,293
Unisys Corp.*		2,282		67,273
SS&C Technologies Holdings, Inc.		1,000		58,490
Guidewire Software, Inc.*		1,129		57,162
Take-Two Interactive Software, Inc.*		2,027		56,817
Advent Software, Inc.		1,729		52,977
MedAssets, Inc.*		2,624		51,850
Quality Systems, Inc.		3,155		49,186
Verint Systems, Inc.*		823		47,965
Microsemi Corp.*		1,554		44,103
Rambus, Inc.*		3,808		42,231
Fair Isaac Corp.		569		41,139
Ultimate Software Group, Inc.*		269		39,493
Blackbaud, Inc.		838		36,252
Cypress Semiconductor Corp.		2,413		34,458
PMC-Sierra, Inc.*		3,753		34,377
Acxiom Corp.*		1,676		33,973
CSG Systems International, Inc.		1,333		33,418
AVG Technologies N.V.*		1,607		31,722
Syntel, Inc.*		698		31,396
ACI Worldwide, Inc.*		1,554		31,344
CommVault Systems, Inc.*		606		31,324
Tessera Technologies, Inc.		820		29,323
Science Applications International Corp.		591		29,272
Diodes, Inc.*		1,040		28,673
Silicon Image, Inc.*		5,191		28,654
iGATE Corp.*		709		27,991
LivePerson, Inc.*		1,963		27,678
Sykes Enterprises, Inc.*		1,119		26,263
Silicon Laboratories, Inc.*		541		25,762
TeleTech Holdings, Inc.*		1,069		25,314
Applied Micro Circuits Corp.*		3,876		25,272
Ambarella, Inc.*		492		24,954
Integrated Device Technology, Inc.*		1,219		23,892
Cabot Microelectronics Corp.*		503		23,802
NetScout Systems, Inc.*		650		23,751
EPAM Systems, Inc.*		487		23,254
ExlService Holdings, Inc.*		809		23,226
Lattice Semiconductor Corp.*		3,219		22,179
Tyler Technologies, Inc.*		201		21,997
Dealertrack Technologies, Inc.*		468		20,737
Total Technology				1,572,511
CONSUMER, CYCLICAL - 2.4%
PriceSmart, Inc.		1,039		94,778
Casey’s General Stores, Inc.		970		87,610
DineEquity, Inc.		702		72,756
Meritor, Inc.*		4,520		68,478
Dana Holding Corp.		2,658		57,786
Tenneco, Inc.*		963		54,515
Steven Madden Ltd.*		1,167		37,146
Wolverine World Wide, Inc.		1,222		36,012
Steelcase, Inc. — Class A		1,923		34,518
HNI Corp.		674		34,414
Wabash National Corp.*		2,448		30,257
Vail Resorts, Inc.		300		27,339
Tower International, Inc.*		995		25,422
Herman Miller, Inc.		853		25,104
Watsco, Inc.		234		25,038
Cooper Tire & Rubber Co.		722		25,017
JetBlue Airways Corp.*		1,562		24,773
H&E Equipment Services, Inc.		848		23,820
Krispy Kreme Doughnuts, Inc.*		1,166		23,017
TiVo, Inc.*		1,925		22,792
Mobile Mini, Inc.		554		22,443
Men’s Wearhouse, Inc.		435		19,205
Iconix Brand Group, Inc.*		547		18,483
Total Consumer, Cyclical				890,723
COMMUNICATIONS - 1.9%
Anixter International, Inc.*		1,028		90,936
Polycom, Inc.*		4,831		65,218
j2 Global, Inc.		778		48,236
WebMD Health Corp. — Class A*		1,150		45,483
RF Micro Devices, Inc.*		2,723		45,174
West Corp.		1,202		39,666
ViaSat, Inc.*		597		37,629
Aruba Networks, Inc.*		2,009		36,524
Sonus Networks, Inc.*		8,714		34,595
Bankrate, Inc.*		2,514		31,249
Plantronics, Inc.		559		29,638
Comverse, Inc.*		1,407		26,423
Harmonic, Inc.*		3,764		26,386
GrubHub, Inc.*		681		24,734
LogMeIn, Inc.*		490		24,177

134 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (continued)	December 31, 2014
SERIES X (STYLEPLUS—SMALL GROWTH SERIES)

	Shares		Value
Extreme Networks, Inc.*		6,807	$	24,029
Travelzoo, Inc.*		1,866		23,549
NeuStar, Inc. — Class A*		814		22,629
Ixia*		1,953		21,971
Total Communications				698,246
ENERGY - 0.6%
ION Geophysical Corp.*		15,735		43,272
Thermon Group Holdings, Inc.*		1,306		31,592
Clayton Williams Energy, Inc.*		419		26,733
Forum Energy Technologies, Inc.*		1,254		25,995
Pioneer Energy Services Corp.*		3,597		19,927
Geospace Technologies Corp.*		748		19,822
REX American Resources Corp.*		319		19,768
Western Refining, Inc.		495		18,701
EXCO Resources, Inc.		7,835		17,002
Total Energy				222,812
FINANCIAL - 0.1%
PRA Group, Inc.*		453		26,242
Capital Senior Living Corp.*		1,022		25,458
Total Financial				51,700
UTILITIES - 0.1%
EnerNOC, Inc.*		1,515		23,407
Total Common Stocks
(Cost $7,629,731)				8,033,021
MUTUAL FUNDS†,2 - 48.2%
Guggenheim Variable Insurance Strategy Fund III		343,705		8,537,623
Guggenheim Strategy Fund I		236,015		5,862,616
Guggenheim Strategy Fund II		108,851		2,704,956
Guggenheim Strategy Fund III		28,196		700,390
Total Mutual Funds
(Cost $17,872,304)				17,805,585
SHORT TERM INVESTMENTS† - 4.2%
Dreyfus Treasury Prime Cash Management Fund		1,560,547		1,560,547
Total Short Term Investments
(Cost $1,560,547)				1,560,547
	Face Amount
ASSET-BACKED SECURITIES†† - 20.3%
Goldman Sachs Asset Management CLO plc
2007-1A, 2.98% due 08/01/223,4	$	500,000		496,600
KKR Financial CLO 2007-1 Ltd.
2007-1A, 2.48% due 05/15/213,4		500,000		495,600

Brentwood CLO Corp.
2006-1A, 1.05% due 02/01/223,4	250,000	225,675
2006-1A, 0.50% due 02/01/223,4	222,304	218,947
N-Star REL CDO VIII Ltd.
2006-8A, 0.46% due 02/01/413,4	355,068	341,931
Duane Street CLO IV Ltd.
2007-4A, 0.46% due 11/14/213,4	343,709	340,787
Argent Securities Incorporated Asset-Backed Pass-Through Certificates Series
2005-W3, 0.51% due 11/25/353	304,261	292,291
Salus CLO 2012-1 Ltd.
2013-1AN, 2.48% due 03/05/213,4	270,000	269,244
Central Park CLO Ltd.
2011-1A, 3.43% due 07/23/223,4	260,000	256,724
H2 Asset Funding Ltd.
2.06% due 03/19/37	250,000	250,525
DIVCORE CLO Ltd.
2013-1A B, 4.06% due 11/15/32	250,000	250,075
Symphony CLO VII Ltd.
2011-7A, 3.43% due 07/28/213,4	250,000	249,650
Golub Capital Partners CLO 18 Ltd.
2014-18A, 2.73% due 04/25/263,4	250,000	249,375
Race Point V CLO Ltd.
2014-5AR, 3.09% due 12/15/223,4	250,000	248,975
Cerberus Onshore II CLO LLC
2014-1A, 2.93% due 10/15/233,4	250,000	246,275
GSC Group CDO Fund VIII Ltd.
2007-8A, 0.61% due 04/17/213,4	250,000	245,350
Race Point IV CLO Ltd.
2007-4A, 0.98% due 08/01/213,4	250,000	242,850
Black Diamond CLO 2005-1 Delaware Corp.
2005-1A, 2.15% due 06/20/173,4	250,000	242,725
ALM VII R-2 Ltd.
2013-7R2A, 2.83% due 04/24/243,4	250,000	240,725
Black Diamond CLO 2006-1 Luxembourg S.A.
2007-1A, 0.62% due 04/29/193,4	250,000	235,175
JP Morgan Mortgage Acquisition Trust
2007-CH3, 0.32% due 03/25/373	237,346	234,027
Cornerstone CLO Ltd.
2007-1A, 0.45% due 07/15/213,4	210,529	208,676
Aegis Asset Backed Securities Trust
2005-3, 0.64% due 08/25/353	188,316	185,666
Wells Fargo Home Equity Asset-Backed Securities 2006-2 Trust
2006-3, 0.32% due 01/25/373	192,848	184,645
GreenPoint Mortgage Funding Trust
2005-HE4, 0.87% due 07/25/303	192,093	181,209
Northwoods Capital VII Ltd.
2006-7A, 1.78% due 10/22/213,4	180,000	178,056
Foothill CLO Ltd.
2007-1A, 0.48% due 02/22/213,4	158,763	157,509
Popular ABS Mortgage Pass-Through Trust
2005-A, 0.60% due 06/25/353	162,723	156,726

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 135

SCHEDULE OF INVESTMENTS (concluded)	December 31, 2014
SERIES X (STYLEPLUS—SMALL GROWTH SERIES)

	Face Amount		Value
OFSI Fund V Ltd.
2013-5A, 3.43% due 04/17/253,4	$	150,000	$	144,780
Soundview Home Loan Trust
2003-1, 2.42% due 08/25/313		98,297		97,461
Tricadia CDO 2006-6 Ltd.
2006-6A, 0.78% due 11/05/413,4		65,290		64,872
West Coast Funding Ltd.
2006-1A, 0.39% due 11/02/413,4		49,446		48,759
Global Leveraged Capital Credit Opportunity Fund
2006-1A, 0.53% due 12/20/183,4		46,523		46,462
Total Asset-Backed Securities
(Cost $7,425,351)				7,528,347
MORTGAGE-BACKED SECURITIES†† - 5.5%
HSI Asset Securitization Corporation Trust
2007-WF1, 0.34% due 05/25/373		401,018		387,846
SRERS Funding Ltd.
2011-RS, 0.41% due 05/09/463,4		344,426		328,065
Resource Capital Corporation CRE Notes 2013 Ltd.
2013-CRE1, 3.01% due 12/15/283,4		300,000		301,353
Boca Hotel Portfolio Trust
2013-BOCA, 3.21% due 08/15/263,4		300,000		299,818
Hilton USA Trust
2013-HLF, 2.92% due 11/05/303,4		295,640		295,655
Banc of America Merrill Lynch Commercial Mortgage, Inc.
2005-6, 6.13% due 09/10/473,4		175,600		178,234
HarborView Mortgage Loan Trust
2006-12, 0.35% due 01/19/383		195,407		165,557
Wachovia Bank Commercial Mortgage Trust Series
2007-WHL8, 0.24% due 06/15/203,4		85,623		85,425
Total Mortgage-Backed Securities
(Cost $1,999,568)				2,041,953
Total Investments - 99.9%
(Cost $36,487,501)			$	36,969,453
Other Assets & Liabilities, net - 0.1%				35,865
Total Net Assets - 100.0%			$	37,005,318

	Contracts		Unrealized Gain
EQUITY FUTURES CONTRACTS PURCHASED†
March 2015 Russell 2000 Index Mini Futures Contracts (Aggregate Value of Contracts $120,130)		1	$	777
	Units
OTC EQUITY INDEX SWAP AGREEMENTS††
Morgan Stanley Capital Services, Inc. January 2015 Russell 2000 Growth Index Swap, Terminating 01/02/151 (Notional Value $28,847,609)		39,948	$	1,372,565

*	Non-income producing security.
†	Value determined based on Level 1 inputs — See Note 4.
††	Value determined based on Level 2 inputs — See Note 4.
1	Total Return based on Russell 2000 Growth Index +/- financing at a variable rate.
2	Affiliated issuer — See Note 10.
3	Variable rate security. Rate indicated is rate effective at December 31, 2014.
4	Security is a 144A or Section 4(a)(2) security. The total market value of 144A or Section 4(a)(2) securities is $7,184,272 (cost $7,098,990), or 19.4% of total net assets. These securities have been determined to be liquid under guidelines established by the Board of Trustees.
	plc — Public Limited Company

136 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SERIES X (STYLEPLUS—SMALL GROWTH SERIES)

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2014
Assets:
Investments in unaffiliated issuers, at value (cost $18,615,197)	$	19,163,868
Investments in affiliated issuers, at value (cost $17,872,304)		17,805,585
Total investments (cost $36,487,501)		36,969,453
Unrealized appreciation on swap agreements		1,372,565
Cash		108,164
Segregated cash with broker		5,100
Prepaid expenses		2,156
Receivables:
Securities sold		133,590
Dividends		31,187
Interest		23,848
Total assets		38,646,063
Liabilities:
Segregated cash from broker		1,521,000
Payable for:
Fund shares redeemed		39,197
Securities purchased		27,319
Management fees		26,313
Transfer agent/maintenance fees		4,167
Fund accounting/administration fees		2,941
Variation margin		910
Trustees’ fees*		563
Miscellaneous		18,335
Total liabilities		1,640,745
Net assets	$	37,005,318
Net assets consist of:
Paid in capital	$	39,112,722
Undistributed net investment income		308,390
Accumulated net realized loss on investments		(4,271,088	)
Net unrealized appreciation on investments		1,855,294
Net assets	$	37,005,318
Capital shares outstanding		1,164,930
Net asset value per share	$	31.77

STATEMENT OF OPERATIONS

Year Ended December 31, 2014
Investment Income:
Interest	$	428,385
Dividends from securities of affiliated issuers		218,844
Dividends from securities of unaffiliated issuers		82,091
Total investment income		729,320
Expenses:
Management fees		313,528
Transfer agent/maintenance fees		25,005
Fund accounting/administration fees		35,041
Custodian fees		17,104
Trustees’ fees*		3,802
Line of credit fees		3,483
Tax expense		1
Miscellaneous		66,718
Total expenses		464,682
Less:
Expenses waived by Adviser		(8,095	)
Net expenses		456,587
Net investment income		272,733
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		1,501,223
Investments in affiliated issuers		(34,702	)
Swap agreements		140,645
Futures contracts		42,979
Net realized gain		1,650,145
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(270,602	)
Investments in affiliated issuers		(30,672	)
Swap agreements		1,372,565
Futures contracts		(14,984	)
Net change in unrealized appreciation (depreciation)		1,056,307
Net realized and unrealized gain		2,706,452
Net increase in net assets resulting from operations	$	2,979,185

* Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 137

SERIES X (STYLEPLUS—SMALL GROWTH SERIES)

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended December 31, 2014			Year Ended December 31, 2013
Increase (Decrease) in Net Assets from Operations:
Net investment income (loss)	$	272,733		$	(76,478	)
Net realized gain on investments		1,650,145			13,791,467
Net change in unrealized appreciation (depreciation) on investments		1,056,307			(1,297,208	)
Net increase in net assets resulting from operations		2,979,185			12,417,781
Capital share transactions:
Proceeds from sale of shares		2,980,902			9,379,728
Cost of shares redeemed		(7,540,327	)		(15,249,191	)
Net decrease from capital share transactions		(4,559,425	)		(5,869,463	)
Net increase (decrease) in net assets		(1,580,240	)		6,548,318
Net assets:
Beginning of year		38,585,558			32,037,240
End of year	$	37,005,318		$	38,585,558
Undistributed net investment income/Accumulated net investment loss at end of year	$	308,390		$	(3,781	)
Capital share activity:
Shares sold		99,829			398,406
Shares redeemed		(256,156	)		(627,534	)
Net decrease in shares		(156,327	)		(229,128	)

138 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SERIES X (STYLEPLUS—SMALL GROWTH SERIES)

FINANCIAL HIGHLIGHTS

This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.

	Year Ended December 31, 2014			Year Ended December 31, 2013			Year Ended December 31, 2012			Year Ended December 31, 2011			Year Ended December 31, 2010
Per Share Data
Net asset value, beginning of period	$	29.20		$	20.66		$	18.52		$	18.89		$	14.52
Income (loss) from investment operations:
Net investment income (loss)a		.22			(.05	)		(.11	)		(.12	)		(.10	)
Net gain (loss) on investments (realized and unrealized)		2.35			8.59			2.25			(.25	)		4.47
Total from investment operations		2.57			8.54			2.14			(.37	)		4.37
Net asset value, end of period	$	31.77		$	29.20		$	20.66		$	18.52		$	18.89
Total Returnb		8.80	%		41.34	%		11.56	%		(1.96	%)		30.10	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	37,005		$	38,586		$	32,037		$	35,711		$	46,149
Ratios to average net assets:
Net investment income (loss)		0.74	%		(0.21	%)		(0.56	%)		(0.63	%)		(0.65	%)
Total expensesc		1.26	%		1.23	%		1.14	%		1.08	%		1.09	%
Net expensesd		1.24	%		1.23	%		1.14	%		1.08	%		1.09	%
Portfolio turnover rate		102	%		255	%		72	%		91	%		88	%

a	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
b	Total return does not take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Guggenheim Variable Funds Trust are available only through the purchase of such products.
c	Does not include expenses of the underlying funds in which the Fund invests.
d	Net expense information reflects the expense ratios after expense waivers.

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 139

MANAGER’S COMMENTARY (Unaudited) December 31, 2014

To Our Shareholders:

The Series Y (StylePlus—Large Growth Series) is managed by a team of seasoned professionals, including B. Scott Minerd, Global Chairman of Investments and Chief Investment Officer; Farhan Sharaff, Senior Managing Director and Assistant Chief Investment Officer, Equities; Jayson Flowers, Senior Managing Director and Head of Equity and Derivative Strategies; and Scott Hammond, Managing Director and Portfolio Manager. In the following paragraphs, the investment team discusses performance for the fiscal year ended December 31, 2014.

For the year ended December 31, 2014, the Series Y (StylePlus—Large Growth Series) returned 15.24%, compared with the 13.05% return of its benchmark, the Russell 1000^® Growth Index.

The Fund seeks to outperform the Russell 1000 Growth Index by combining actively managed and passive equity exposure, along with an actively managed fixed income portfolio. The passive equity position is maintained with swap agreements and futures contracts. The Fund’s fixed income component invests in a variety of fixed income sectors, including asset-backed securities (ABS), mortgage-backed securities (MBS), high yield corporate bonds and bank loans.

The allocation between active and passive equity is tactically managed based on the environment for stock-picking opportunities. When stock selection opportunities are less attractive, the Fund invests in derivatives based on the target index, backed by a diversified portfolio of fixed income instruments. In this way, the Fund believes it will deliver the target index return plus an alpha component commensurate with the yield achieved on the active fixed income portfolio.

For the period, the Fund maintained an average allocation of a little more than 20% to the actively managed equity allocation and slightly less than 80% to the passive equity position. The actively managed equity sleeve was scaled down from 25% to 20% mid-year, as U.S. equity and credit markets became more volatile beginning in the third quarter. While the sell-off was initially sparked by market unease over the Fed winding down its purchases of U.S. Treasuries and mortgage-backed securities, it continued through the fourth quarter as markets grew anxious over the weakening global outlook. The actively managed sleeve was maintained at about 20% for the rest of the period.

The Fund’s active equity and active fixed income exposures both contributed to performance for the period. The passive equity position was neutral to performance, and the swap agreements contributed to performance.

The actively managed equity portfolio was underweight the more expensive smaller and momentum names (based on various measures, such as price-to-earnings), and overweight the less expensive and larger holdings. Sectors that contributed most to performance for the year were Consumer Staples and Consumer Discretionary. Sectors that detracted most from performance for the year were Health Care and Telecommunication Services.

Uncorrelated with the Fund’s active equity component, the fixed-income component was largely invested in ABS and MBS. These positions constituted the majority of the fixed income sleeve’s total return.

Performance displayed represents past performance, which is no guarantee of future results.

The opinions and forecast expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.

140 | THE GUGGENHEIM FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) December 31, 2014

SERIES Y (STYLEPLUS—LARGE GROWTH SERIES)

OBJECTIVE: Seeks long-term growth of capital.

Holdings Diversification

(Market Exposure as % of Net Assets)

“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments or investments in Guggenheim Strategy Funds Trust mutual funds.

Portfolio Composition by Quality Rating**
Rating
Fixed Income Instruments
AAA	5.7%
AA	4.0%
A	4.6%
BBB	6.4%
BB	0.5%
B	2.2%
CCC	0.4%
Other Instruments
Mutual Funds	51.0%
Common Stocks	20.6%
Short Term Investments	4.6%
Total Investments	100.0%
The chart above reflects percentages of the value of total investments.

Inception Date: May 3, 1999

Ten Largest Holdings (% of Total Net Assets)
Guggenheim Variable Insurance Strategy Fund III	21.8%
Guggenheim Strategy Fund I	16.3%
Guggenheim Strategy Fund II	8.1%
Guggenheim Strategy Fund III	4.5%
Apple, Inc.	1.4%
Goldman Sachs Asset Management CLO plc 2007-1A	1.3%
KKR Financial CLO 2007-1 Ltd. 2007-1A	1.3%
HSI Asset Securitization Corporation Trust 2007-WF1	1.0%
N-Star REL CDO VIII Ltd. 2006-8A	0.9%
SRERS Funding Ltd. 2011-RS	0.9%
Top Ten Total	57.5%
“Ten Largest Holdings” exclude any temporary cash or derivative investments.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 141

PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) December 31, 2014

Cumulative Fund Performance*^,†

Average Annual Returns*

Periods Ended December 31, 2014^†

	1 Year	5 Year	10 Year
Series Y (StylePlus— Large Growth Series)	15.24%	12.80%	5.62%
Russell 1000 Growth Index	13.05%	15.81%	8.49%

*	The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Russell 1000 Growth Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return.
**	Source: Factset. Credit quality ratings are measured on a scale that generally ranges from AAA (highest) to D (lowest). All rated securities have been rated by Moody’s, Standard & Poor’s (“S&P”), or Fitch, which are all a Nationally Recognized Statistical Rating Organization (“NRSRO”). For purposes of this presentation, when ratings are available from more than one agency, the highest rating is used. Guggenheim Investments has converted Moody’s and Fitch ratings to the equivalent S&P rating. Unrated securities do not necessarily indicate low credit quality. Security ratings are determined at the time of purchase and may change thereafter.
†	Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Guggenheim Variable Funds Trust are available only through the purchase of such products.

142 | THE GUGGENHEIM FUNDS ANNUAL REPORT

SCHEDULE OF INVESTMENTS	December 31, 2014
SERIES Y (STYLEPLUS—LARGE GROWTH SERIES)

	Shares		Value
COMMON STOCKS† - 20.4%
CONSUMER, NON-CYCLICAL - 6.3%
Gilead Sciences, Inc.*		1,908	$	179,849
Coca-Cola Co.		3,843		162,252
PepsiCo, Inc.		1,515		143,258
Philip Morris International, Inc.		1,629		132,682
Express Scripts Holding Co.*		1,508		127,682
Johnson & Johnson		1,075		112,413
Merck & Company, Inc.		1,583		89,899
Aetna, Inc.		972		86,343
Cardinal Health, Inc.		1,059		85,493
Kroger Co.		1,292		82,959
Altria Group, Inc.		1,675		82,527
Kimberly-Clark Corp.		710		82,033
Archer-Daniels-Midland Co.		1,566		81,432
Kellogg Co.		1,242		81,276
Cigna Corp.		780		80,270
General Mills, Inc.		1,424		75,942
Automatic Data Processing, Inc.		891		74,283
Baxter International, Inc.		998		73,144
Amgen, Inc.		443		70,565
AbbVie, Inc.		828		54,184
Kraft Foods Group, Inc.		844		52,885
Procter & Gamble Co.		506		46,091
Actavis plc*		179		46,076
MasterCard, Inc. — Class A		532		45,837
Mylan, Inc.*		746		42,052
HCA Holdings, Inc.*		572		41,979
Colgate-Palmolive Co.		503		34,803
Estee Lauder Companies, Inc. — Class A		416		31,699
Becton Dickinson and Co.		170		23,657
Total Consumer, Non-cyclical				2,323,565
TECHNOLOGY - 4.8%
Apple, Inc.		4,511		497,925
Microsoft Corp.		4,341		201,639
International Business Machines Corp.		1,211		194,293
Oracle Corp.		3,773		169,672
QUALCOMM, Inc.		2,223		165,236
Micron Technology, Inc.*		3,024		105,870
Texas Instruments, Inc.		1,916		102,439
EMC Corp.		2,674		79,525
Accenture plc — Class A		885		79,039
SanDisk Corp.		776		76,032
Intel Corp.		2,059		74,721
Akamai Technologies, Inc.*		380		23,925
Analog Devices, Inc.		416		23,096
Total Technology				1,793,412
INDUSTRIAL - 4.2%
Boeing Co.		1,108		144,019
Honeywell International, Inc.		1,313		131,195
Union Pacific Corp.		1,073		127,826
Lockheed Martin Corp.		639		123,052
Emerson Electric Co.		1,682		103,830
3M Co.		615		101,056
Cummins, Inc.		689		99,333
FedEx Corp.		533		92,561
Corning, Inc.		3,936		90,252
Caterpillar, Inc.		954		87,320
Norfolk Southern Corp.		796		87,250
United Technologies Corp.		751		86,365
Waste Management, Inc.		1,632		83,754
United Parcel Service, Inc. — Class B		678		75,373
Illinois Tool Works, Inc.		658		62,313
Deere & Co.		370		32,734
SBA Communications Corp. — Class A*		208		23,038
Total Industrial				1,551,271
CONSUMER, CYCLICAL - 2.3%
Home Depot, Inc.		1,056		110,849
McDonald’s Corp.		995		93,231
Wal-Mart Stores, Inc.		1,060		91,033
Las Vegas Sands Corp.		1,564		90,962
Walgreens Boots Alliance, Inc.		1,176		89,612
American Airlines Group, Inc.		838		44,941
Southwest Airlines Co.		1,056		44,690
Macy’s, Inc.		668		43,921
United Continental Holdings, Inc.*		649		43,412
CVS Health Corp.		424		40,835
Delta Air Lines, Inc.		640		31,482
Johnson Controls, Inc.		507		24,508
Lowe’s Companies, Inc.		354		24,355
Yum! Brands, Inc.		330		24,041
Hilton Worldwide Holdings, Inc.*		921		24,029
PACCAR, Inc.		336		22,851
Total Consumer, Cyclical				844,752
COMMUNICATIONS - 1.7%
Google, Inc. — Class C*		293		154,236
Comcast Corp. — Class A		2,484		144,097
Viacom, Inc. — Class B		1,322		99,480
Verizon Communications, Inc.		1,414		66,147
eBay, Inc.*		756		42,426
Facebook, Inc. — Class A*		493		38,464
Amazon.com, Inc.*		102		31,656
Walt Disney Co.		246		23,171
Alliance Data Systems Corp.*		81		23,170
Total Communications				622,847
ENERGY - 0.9%
Valero Energy Corp.		1,657		82,021
Marathon Petroleum Corp.		688		62,099
National Oilwell Varco, Inc.		936		61,336
Phillips 66		715		51,266
Schlumberger Ltd.		401		34,249
Anadarko Petroleum Corp.		327		26,978

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 143

SCHEDULE OF INVESTMENTS (continued)	December 31, 2014
SERIES Y (STYLEPLUS—LARGE GROWTH SERIES)

	Shares		Value
Halliburton Co.		624	$	24,542
Total Energy				342,491
FINANCIAL - 0.2%
Visa, Inc. — Class A		221		57,946
Total Common Stocks
(Cost $6,834,062)				7,536,284
MUTUAL FUNDS†,1 - 50.7%
Guggenheim Variable Insurance Strategy Fund III		323,449		8,034,473
Guggenheim Strategy Fund I		242,037		6,012,202
Guggenheim Strategy Fund II		120,965		3,005,980
Guggenheim Strategy Fund III		66,564		1,653,440
Total Mutual Funds
(Cost $18,782,496)				18,706,095
SHORT TERM INVESTMENTS† - 4.5%
Dreyfus Treasury Prime Cash Management Fund		1,671,313		1,671,313
Total Short Term Investments
(Cost $1,671,313)				1,671,313
	Face Amount
ASSET-BACKED SECURITIES†† - 18.8%
Goldman Sachs Asset Management CLO plc
2007-1A, 2.98% due 08/01/222,3	$	500,000		496,599
KKR Financial CLO 2007-1 Ltd.
2007-1A, 2.48% due 05/15/212,3		500,000		495,600
Brentwood CLO Corp.
2006-1A, 1.05% due 02/01/222,3		250,000		225,675
2006-1A, 0.50% due 02/01/222,3		203,779		200,702
N-Star REL CDO VIII Ltd.
2006-8A, 0.46% due 02/01/412,3		355,068		341,931
Duane Street CLO IV Ltd.
2007-4A, 0.46% due 11/14/212,3		309,338		306,708
Argent Securities Incorporated Asset-Backed Pass-Through Certificates Series
2005-W3, 0.51% due 11/25/352		270,454		259,814
H2 Asset Funding Ltd.
2.06% due 03/19/37		250,000		250,525
DIVCORE CLO Ltd.
2013-1A B, 4.06% due 11/15/32		250,000		250,075
Symphony CLO VII Ltd.
2011-7A, 3.43% due 07/28/212,3		250,000		249,650
Golub Capital Partners CLO 18 Ltd.
2014-18A, 2.73% due 04/25/262,3		250,000		249,375
Race Point V CLO Ltd.
2014-5AR, 3.09% due 12/15/222,3		250,000		248,975

Central Park CLO Ltd.
2011-1A, 3.43% due 07/23/222,3	250,000	246,850
Cerberus Onshore II CLO LLC
2014-1A, 2.93% due 10/15/232,3	250,000	246,275
GSC Group CDO Fund VIII Ltd.
2007-8A, 0.61% due 04/17/212,3	250,000	245,350
Race Point IV CLO Ltd.
2007-4A, 0.98% due 08/01/212,3	250,000	242,850
Black Diamond CLO 2005-1 Delaware Corp.
2005-1A, 2.15% due 06/20/172,3	250,000	242,725
ALM VII R-2 Ltd.
2013-7R2A, 2.83% due 04/24/242,3	250,000	240,725
Black Diamond CLO 2006-1 Luxembourg S.A.
2007-1A, 0.62% due 04/29/192,3	250,000	235,175
JP Morgan Mortgage Acquisition Trust
2007-CH3, 0.32% due 03/25/372	237,346	234,027
Salus CLO 2012-1 Ltd.
2013-1AN, 2.48% due 03/05/212,3	230,000	229,356
Cornerstone CLO Ltd.
2007-1A, 0.45% due 07/15/212,3	210,529	208,676
GreenPoint Mortgage Funding Trust
2005-HE4, 0.87% due 07/25/302	192,093	181,209
Wells Fargo Home Equity Asset-Backed Securities 2006-2 Trust
2006-3, 0.32% due 01/25/372	173,563	166,181
Northwoods Capital VII Ltd.
2006-7A, 1.78% due 10/22/212,3	160,000	158,272
Aegis Asset Backed Securities Trust
2005-3, 0.64% due 08/25/352	150,653	148,533
Popular ABS Mortgage Pass-Through Trust
2005-A, 0.60% due 06/25/352	147,930	142,478
Foothill CLO Ltd.
2007-1A, 0.48% due 02/22/212,3	142,887	141,758
West Coast Funding Ltd.
2006-1A, 0.39% due 11/02/412,3	44,501	43,883
Global Leveraged Capital Credit Opportunity Fund
2006-1A, 0.53% due 12/20/182,3	34,892	34,847
Total Asset-Backed Securities
(Cost $6,863,248)		6,964,799
MORTGAGE-BACKED SECURITIES†† - 4.8%
HSI Asset Securitization Corporation Trust
2007-WF1, 0.34% due 05/25/372	367,600	355,526
SRERS Funding Ltd.
2011-RS, 0.41% due 05/09/462,3	344,426	328,065
Resource Capital Corporation CRE Notes 2013 Ltd.
2013-CRE1, 3.01% due 12/15/282,3	250,000	251,128
Boca Hotel Portfolio Trust
2013-BOCA, 3.21% due 08/15/262,3	250,000	249,849
Hilton USA Trust
2013-HLF, 2.92% due 11/05/302,3	197,093	197,103
HarborView Mortgage Loan Trust
2006-12, 0.35% due 01/19/382	195,407	165,557

144 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (concluded)	December 31, 2014
SERIES Y (STYLEPLUS—LARGE GROWTH SERIES)

	Face Amount		Value
Banc of America Merrill Lynch Commercial Mortgage, Inc.
2005-6, 6.13% due 09/10/472,3	$	158,040	$	160,410
Wachovia Bank Commercial Mortgage Trust Series
2007-WHL8, 0.24% due 06/15/202,3		75,348		75,174
Total Mortgage-Backed Securities
(Cost $1,741,513)				1,782,812
Total Investments - 99.2%
(Cost $35,892,632)			$	36,661,303
Other Assets & Liabilities, net - 0.8%				280,870
Total Net Assets - 100.0%			$	36,942,173

	Contracts		Unrealized Loss
EQUITY FUTURES CONTRACTS PURCHASED†
March 2015 NASDAQ-100 Index Mini Futures Contracts (Aggregate Value of Contracts $338,660)		4	$	(4,393	)
March 2015 S&P 500 Index Mini Futures Contracts (Aggregate Value of Contracts $718,200)		7		(5,972	)
(Total Aggregate Value of Contracts $1,056,860)			$	(10,365	)
	Units
OTC EQUITY INDEX SWAP AGREEMENTS††
Bank of America January 2015 Russell 1000 Growth Index Swap, Terminating 01/05/154 (Notional Value $27,472,322)		28,577	$	(13,543	)

*	Non-income producing security.
†	Value determined based on Level 1 inputs — See Note 4.
††	Value determined based on Level 2 inputs — See Note 4.
1	Affiliated issuer — See Note 10.
2	Variable rate security. Rate indicated is rate effective at December 31, 2014.
3	Security is a 144A or Section 4(a)(2) security. The total market value of 144A or Section 4(a)(2) securities is $6,593,686 (cost $6,509,760), or 17.8% of total net assets. These securities have been determined to be liquid under guidelines established by the Board of Trustees.
4	Total Return based on Russell 1000 Growth Index +/- financing at a variable rate.
	plc — Public Limited Company

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 145

SERIES Y (STYLEPLUS—LARGE GROWTH SERIES)

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2014
Assets:
Investments in unaffiliated issuers, at value (cost $17,110,136)	$	17,955,208
Investments in affiliated issuers, at value (cost $18,782,496)		18,706,095
Total investments (cost $35,892,632)		36,661,303
Segregated cash with broker		46,600
Prepaid expenses		2,122
Receivables:
Fund shares sold		183,248
Securities sold		124,048
Dividends		39,499
Interest		21,723
Total assets		37,078,543
Liabilities:
Unrealized depreciation on swap agreements		13,543
Overdraft due to custodian bank		2,881
Payable for:
Securities purchased		29,190
Fund shares redeemed		25,672
Management fees		23,169
Variation margin		12,605
Transfer agent/maintenance fees		4,198
Fund accounting/administration fees		2,935
Trustees’ fees*		1,425
Miscellaneous		20,752
Total liabilities		136,370
Net assets	$	36,942,173
Net assets consist of:
Paid in capital	$	37,941,858
Undistributed net investment income		392,674
Accumulated net realized loss on investments		(2,137,122	)
Net unrealized appreciation on investments		744,763
Net assets	$	36,942,173
Capital shares outstanding		2,371,580
Net asset value per share	$	15.58

STATEMENT OF OPERATIONS

Year Ended December 31, 2014
Investment Income:
Interest	$	390,039
Dividends from securities of affiliated issuers		211,342
Dividends from securities of unaffiliated issuers		159,200
Total investment income		760,581
Expenses:
Management fees		257,770
Transfer agent/maintenance fees		25,005
Fund accounting/administration fees		32,650
Professional fees		24,455
Custodian fees		8,826
Trustees’ fees*		4,037
Line of credit fees		3,349
Tax expense		1
Miscellaneous		49,326
Total expenses		405,419
Less:
Expenses waived by Adviser		(7,343	)
Net expenses		398,076
Net investment income		362,505
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		1,252,665
Investments in affiliated issuers		(26,229	)
Swap agreements		3,016,593
Futures contracts		113,519
Net realized gain		4,356,548
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		190,250
Investments in affiliated issuers		(42,840	)
Swap agreements		(13,543	)
Futures contracts		(30,260	)
Net change in unrealized appreciation (depreciation)		103,607
Net realized and unrealized gain		4,460,155
Net increase in net assets resulting from operations	$	4,822,660

* Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.

146 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SERIES Y (STYLEPLUS—LARGE GROWTH SERIES)

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended December 31, 2014			Year Ended December 31, 2013
Increase (Decrease) in Net Assets from Operations:
Net investment income	$	362,505		$	119,708
Net realized gain on investments		4,356,548			10,105,603
Net change in unrealized appreciation (depreciation) on investments		103,607			(1,211,062	)
Net increase in net assets resulting from operations		4,822,660			9,014,249
Capital share transactions:
Proceeds from sale of shares		6,688,892			10,465,661
Cost of shares redeemed		(14,986,659	)		(15,306,317	)
Net decrease from capital share transactions		(8,297,767	)		(4,840,656	)
Net increase (decrease) in net assets		(3,475,107	)		4,173,593
Net assets:
Beginning of year		40,417,280			36,243,687
End of year	$	36,942,173		$	40,417,280
Undistributed net investment income at end of year	$	392,674		$	137,646
Capital share activity:
Shares sold		458,903			864,085
Shares redeemed		(1,077,863	)		(1,310,714	)
Net decrease in shares		(618,960	)		(446,629	)

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 147

SERIES Y (STYLEPLUS—LARGE GROWTH SERIES)

FINANCIAL HIGHLIGHTS

This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.

	Year Ended December 31, 2014			Year Ended December 31, 2013			Year Ended December 31, 2012			Year Ended December 31, 2011			Year Ended December 31, 2010
Per Share Data
Net asset value, beginning of period	$	13.52		$	10.54		$	9.52		$	9.95		$	8.53
Income (loss) from investment operations:
Net investment income (loss)a		.15			.04			.07			.02			.08
Net gain (loss) on investments (realized and unrealized)		1.91			2.94			.95			(.45	)		1.34
Total from investment operations		2.06			2.98			1.02			(.43	)		1.42
Net asset value, end of period	$	15.58		$	13.52		$	10.54		$	9.52		$	9.95
Total Returnb		15.24	%		28.27	%		10.71	%		(4.32	%)		16.65	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	36,942		$	40,417		$	36,244		$	38,130		$	43,571
Ratios to average net assets:
Net investment income (loss)		1.05	%		0.33	%		0.63	%		0.20	%		0.96	%
Total expensesc		1.18	%		1.10	%		1.01	%		0.98	%		0.96	%
Net expensesd		1.16	%		1.10	%		1.01	%		0.98	%		0.96	%
Portfolio turnover rate		96	%		247	%		187	%		153	%		182	%

a	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
b	Total return does not take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Guggenheim Variable Funds Trust are available only through the purchase of such products.
c	Does not include expenses of the underlying funds in which the Fund invests.
d	Net expense information reflects the expense ratios after expense waivers.

148 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

MANAGER’S COMMENTARY (Unaudited) December 31, 2014

To Our Shareholders:

The Series Z (Alpha Opportunity Series) is managed by a team of seasoned professionals, including Michael P. Byrum, CFA, Portfolio Manager and Ryan Harder, CFA, Portfolio Manager. In the following paragraphs, the team discusses performance of the Series for the fiscal year ended December 31, 2014.

For the fiscal year ended December 31, 2014, the Series Z (Alpha Opportunity Series) returned 9.36%, compared with its benchmark, the S&P 500^® Index, which gained 13.69%.

The Series principal investment strategy, by which 75% of the Fund is managed according to a Domestic Long/Short strategy and 25% to an Indexed strategy, was in effect for the full year. A Global Long/Short strategy, which had been part of the Fund prior to October 1, 2013, was discontinued and not implemented subsequent to that date.

During the year, the Fund also saw a resolution of the issues related with the bankruptcy of Lehman Brothers, Inc. As noted in the prior shareholder reports, the Fund had been subject to proceedings associated with the bankruptcy filing of Lehman Brothers, Inc., in 2008, which prevented the Fund from pursuing its intended investment program. Specifically, the Fund was trying to resolve certain outstanding short sale transactions with Lehman Brothers International Europe (LBIE) and its administrator. The matter was resolved in June 2014 and collateral was released.

From the start of 2014 until June 2014, the Fund was managed to an equity beta consistent with the 75/25 allocation. Beginning in June, the Fund began implementing the intended investment strategy in its entirety. A 75/25 allocation between a domestic long/short equity strategy with a 60% equity beta and a long-only equity strategy with a 100% equity beta resulted in a net beta for the fund of 70%. Between December 31, 2013, and June 11, 2014, the Series returned 4.96% while the S&P 500 returned 6.15%, which produced 0.66% of risk-adjusted out-performance resulting from the value-oriented stock basket in the frozen Lehman account.

From June 12, 2014, through year-end 2014, the domestic long/short model was implemented with 75% of Series assets, while the remaining 25% of assets were managed with S&P futures to a beta of 1.0 (with the S&P 500 Index). The domestic long/short equity model realized a net return of 4.32% and a beta to the S&P 500 of 50% over this period; the S&P 500 returned 7.09% resulting in beta-adjusted out-performance of 0.78% for the domestic long/short equity model. Over this same period the Series Z Fund produced a net return of 4.19% and a realized beta of 63% which resulted in beta-adjusted under-performance of -0.25%.

REDOMICILATION

At a meeting of shareholders held on January 8, 2014, shareholders of the Series approved the reorganization from a series of a Kansas corporation to a series of a Delaware statutory trust (the “Reorganization”). The Reorganization was delayed pending the resolution of the LBIE matter discussed above. In light of the resolution of that matter, the Fund reorganized with and into a corresponding “shell” series (“New Fund”) of Guggenheim Variable Funds Trust in September 2014.

Upon completion of the Reorganization, shareholders of the Series owned shares of the corresponding class of the New Series that are equal in number and in value to the shares of the Series that were held by those shareholders immediately prior to the closing of the Reorganization. In addition, the respective share classes of the New Series will assume the performance, financial and other historical information of those of the Series. The procedure for redeeming shares will remain unchanged.

Performance displayed represents past performance, which is no guarantee of future results.

The opinions and forecast expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 149

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) December 31, 2014

SERIES Z (ALPHA OPPORTUNITY SERIES)

OBJECTIVE: Seeks long-term growth of capital.

Holdings Diversification

(Market Exposure as % of Net Assets)

“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments or investments in Guggenheim Strategy Funds Trust mutual funds.

Inception Date: July 7, 2003

The Fund invests principally in derivative investments such as swap agreements and futures contracts.

Cumulative Fund Performance*^,†

Average Annual Returns*

Periods Ended December 31, 2014^†

	1 Year	5 Year	10 Year
Series Z (Alpha Opportunity Series)	9.36%	14.27%	8.98%
S&P 500 Index	13.69%	15.45%	7.67%

*

The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return.

†

Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Guggenheim Variable Funds Trust are available only through the purchase of such products.

150 | THE GUGGENHEIM FUNDS ANNUAL REPORT

SCHEDULE OF INVESTMENTS	December 31, 2014
SERIES Z (ALPHA OPPORTUNITY SERIES)

	Shares		Value
COMMON STOCKS††† – 0.0%
FINANCIAL - 0.0%
Irish Bank Resolution Corporation Ltd.		16,638	$	—
Total Common Stocks
(Cost $101,261)				—
SHORT TERM INVESTMENTS† - 30.7%
Goldman Sachs Financial Square Treasury Instruments Fund		4,789,281		4,789,281
Total Short Term Investments
(Cost $4,789,281)				4,789,281
	Face Amount
FEDERAL AGENCY DISCOUNT NOTES†† - 66.0%
Federal Home Loan Bank1
0.03% due 01/08/15	$	2,500,000		2,499,993
Federal Farm Credit Bank1
0.05% due 01/14/15		2,500,000		2,499,955
Farmer Mac1
0.05% due 01/09/15		2,300,000		2,299,974
Fannie Mae2
0.05% due 01/14/15		1,500,000		1,499,973
Freddie Mac2
0.04% due 01/13/15		1,500,000		1,499,972
Total Federal Agency Discount Notes
(Cost $10,299,862)				10,299,867
Total Investments - 96.7%
(Cost $15,190,404)			$	15,089,148
Other Assets & Liabilities, net - 3.3%				521,961
Total Net Assets - 100.0%			$	15,611,109

	Contracts		Unrealized Gain
EQUITY FUTURES CONTRACTS PURCHASED†
March 2015 S&P 500 Index Mini Futures Contracts (Aggregate Value of Contracts $3,898,800)		38	$	117,204
	Units
OTC EQUITY INDEX SWAP AGREEMENTS ††
Goldman Sachs International March 2015 Goldman Sachs Multi-Hedge Strategies Long Index Swap, Terminating 03/09/153 (Notional Value $10,023,247)		76,511	$	101,562
Goldman Sachs International March 2015 Goldman Sachs Multi-Hedge Strategies Short Index Swap, Terminating 03/09/154 (Notional Value $3,123,310)		26,415	$	48,445

Sector Diversification
Goldman Sachs Multi-Hedge Strategies Long Index Swap3
Sector
Health Care	24.4%
Consumer Discretionary	16.9%
Consumer Staples	13.6%
Technology	11.7%
Financials	11.2%
Utilities	8.4%
Industrials	6.9%
Communications	3.4%
Materials	2.9%
Energy	0.6%
Total	100.0%

Goldman Sachs Multi-Hedge Strategies Short Index Swap4
Sector
Energy	37.4%
Financials	17.9%
Industrials	16.5%
Consumer Discretionary	6.8%
Communications	5.7%
Materials	5.4%
Consumer Staples	3.7%
Health Care	3.0%
Technology	1.8%
Utilities	1.8%
Total	100.0%

†	Value determined based on Level 1 inputs — See Note 4.
††	Value determined based on Level 2 inputs — See Note 4.
†††	Value determined based on Level 3 inputs — See Note 4.
1	The issuer operates under a Congressional charter; its securities are neither issued nor guaranteed by the U.S. Government.
2	On September 7, 2008, the issuer was placed in conservatorship by the Federal Housing Finance Agency (FHFA). As conservator, the FHFA has full powers to control the assets and operations of the firm.
3	Customized basket of 198 exchange-traded equity securities. Total Return based on Goldman Sachs Multi-Hedge Strategies Long Index +/- financing at a variable rate.
4	Customized basket of 124 exchange-traded equity securities. Total Return based on Goldman Sachs Multi-Hedge Strategies Short Index +/- financing at a variable rate.

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 151

SERIES Z (ALPHA OPPORTUNITY SERIES)

STATEMENT OF ASSETS AND LIABILITIES

December 31, 2014
Assets:
Investments, at value (cost $15,190,404)	$	15,089,148
Segregated cash with broker		454,800
Unrealized appreciation on swap agreements		150,007
Prepaid expenses		900
Total assets		15,694,855
Liabilities:
Payable for:
Variation margin		46,930
Management fees		4,945
Fund shares redeemed		11,204
Transfer agent/maintenance fees		4,262
Fund accounting/administration fees		2,600
Trustees’ fees*		829
Swap settlement		467
Miscellaneous		12,509
Total liabilities		83,746
Net assets	$	15,611,109
Net assets consist of:
Paid in capital	$	12,993,936
Undistributed net investment income		—
Accumulated net realized gain on investments		2,451,218
Net unrealized appreciation on investments		165,955
Net assets	$	15,611,109
Capital shares outstanding		571,254
Net asset value per share	$	27.33

STATEMENT OF OPERATIONS

Year Ended December 31, 2014
Investment Income:
Dividends (net of foreign withholding tax of $1,020)	$	104,611
Interest		2,198
Other income		1,262
Total investment income		108,071
Expenses:
Management fees		198,647
Transfer agent/maintenance fees		25,005
Fund accounting/administration fees		25,015
Legal fees		104,985
Professional fees		24,593
Custodian fees		20,293
Trustees’ fees*		1,435
Miscellaneous		30,142
Total expenses		430,115
Less:
Expenses waived by Adviser		(59,680	)
Net expenses		370,435
Net investment loss		(262,364	)
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		5,245,787
Swap agreements		399,583
Futures contracts		441,011
Foreign currency		130,535
Securities sold short		(487,907	)
Net realized gain		5,729,009
Net change in unrealized appreciation (depreciation) on:
Investments		(4,706,491	)
Securities sold short		466,264
Swap agreements		150,007
Futures contracts		61,486
Foreign currency		(35,434	)
Net change in unrealized appreciation (depreciation)		(4,064,168	)
Net realized and unrealized gain		1,664,841
Net increase in net assets resulting from operations	$	1,402,477

* Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.

152 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SERIES Z (ALPHA OPPORTUNITY SERIES)

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended December 31, 2014			Year Ended December 31, 2013
Increase (Decrease) in Net Assets from Operations:
Net investment loss	$	(262,364	)	$	(112,589	)
Net realized gain on investments		5,729,009			1,027,589
Net change in unrealized appreciation (depreciation) on investments		(4,064,168	)		3,079,185
Net increase in net assets resulting from operations		1,402,477			3,994,185
Capital share transactions:
Proceeds from sale of shares		—			—
Cost of shares redeemed		(2,498,489	)		(2,858,472	)
Net decrease from capital share transactions		(2,498,489	)		(2,858,472	)
Net increase (decrease) in net assets		(1,096,012	)		1,135,713
Net assets:
Beginning of year		16,707,121			15,571,408
End of year	$	15,611,109		$	16,707,121
Undistributed net investment income at end of year	$	—		$	62
Capital share activity:
Shares sold		—			—
Shares redeemed		(97,148	)		(127,960	)
Net decrease in shares		(97,148	)		(127,960	)

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT | 153

SERIES Z (ALPHA OPPORTUNITY SERIES)

FINANCIAL HIGHLIGHTS

This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.

	Year Ended December 31, 2014			Year Ended December 31, 2013			Year Ended December 31, 2012			Year Ended December 31, 2011			Year Ended December 31, 2010
Per Share Data
Net asset value, beginning of period	$	25.00		$	19.55		$	17.24		$	16.98		$	14.03
Income (loss) from investment operations:
Net investment income (loss)a		(.43	)		(.15	)		(.08	)		(.12	)		(.10	)
Net gain (loss) on investments (realized and unrealized)		2.76			5.60			2.36			.38			3.05
Net increase from payments by affiliates		—			—			.03	b		—			—
Total from investment operations		2.33			5.45			2.31			.26			2.95
Net asset value, end of period	$	27.33		$	25.00		$	19.55		$	17.24		$	16.98
Total Returnc		9.36	%		27.83	%		13.40	%b		1.77	%		20.74	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	15,611		$	16,707		$	15,571		$	17,161		$	21,149
Ratios to average net assets:
Net investment income (loss)		(1.65	%)		(0.69	%)		(0.41	%)		(0.66	%)		(0.89	%)
Total expenses		2.71	%		3.03	%		2.22	%		2.29	%		2.27	%
Net expensesd, e		2.33	%		2.44	%		2.22	%		2.29	%		2.07	%
Portfolio turnover rate		—			548	%		720	%		730	%		768	%

a	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
b	For the year ended December 31, 2012, 0.17% of the Series total return consisted of a voluntary reimbursement by the Adviser for losses incurred during fund trading. Excluding this item, total return would have been 13.23% for the Series.
c	Total return does not take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Guggenheim Variable Funds Trust are available only through the purchase of such products.
d	Net expense information reflects the expense ratios after expense waivers.
e	Net expenses may include expenses that are excluded from the expense limitation agreement. Excluding those amounts, the operating expense ratios for the years presented would be:

12/31/14	12/31/13	12/31/12	12/31/11	12/31/10
2.32%	2.35%	2.06%	2.21%	1.90%

154 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

NOTES TO FINANCIAL STATEMENTS

1. Organization and Significant Accounting Policies

Organization

Guggenheim Variable Funds Trust (the “Trust”), a Delaware statutory trust, is registered with the SEC under the Investment Company Act of 1940 (“1940 Act”), as a non-diversified, open-ended investment company of the series type. Each series, in effect, is representing a separate Fund. The Trust is authorized to issue an unlimited number of shares. The Trust accounts for the assets of each Fund separately. At December 31, 2014, the Trust consisted of sixteen funds.

This report covers the Series Series A (StylePlus—Large Core Series), Series B (Large Cap Value Series), Series C (Money Market Series), Series D (World Equity Income Series), Series E (Total Return Bond Series), Series F (Floating Rate Strategies Series), Series J (StylePlus—Mid Growth Series), Series M (Macro Opportunities Series), Series N (Managed Asset Allocation Series), Series O (All Cap Value Series), Series P (High Yield Series), Series Q (Small Cap Value Series), Series V (Mid Cap Value Series), Series X (StylePlus—Small Growth Series), Series Y (StylePlus—Large Growth Series) and Series Z (Alpha Opportunity Series) (the “Funds”).

The Funds were previously series (the “Predecessor Funds”) of SBL Fund, a different registered open-end investment company, which was organized as a Kansas corporation. In April 2014, at a special meeting of shareholders, the shareholders of the Predecessor Funds approved the reorganization of the Predecessor Funds with and into the Funds’ corresponding “shell” series of the Trust. The Funds succeeded to the accounting and performance history of the Predecessor Funds. Any such historical information provided for the Funds that relate to periods prior to April 30, 2014 (September 24, 2014 for the Series Z (Alpha Opportunity Series)), therefore, is that of the Predecessor Funds.

Guggenheim Investments (“GI”) provides advisory services, and Rydex Fund Services, LLC (“RFS”) provides transfer agent, administrative and accounting services to the Trust. Guggenheim Funds Distributors, LLC (“GFD”) acts as principal underwriter for the Trust. GI, RFS and GFD are affiliated entities.

Significant Accounting Policies

The Funds operate as investment companies and accordingly follow 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 (“U.S. GAAP”) and are consistently followed by the Trust. 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 net asset value per share (“NAV”) of a fund is calculated by dividing the market value of the fund’s securities and other assets, less all liabilities, by the number of outstanding shares of the fund.

A. 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 business on the NYSE, usually 4:00 p.m. on the valuation date.

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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 a given day, the security is valued at the closing bid price on that day.

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 business. 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 Shares. In addition, the Board of Trustees has authorized the Valuation Committee and GI to use prices and other information supplied by a third party pricing vendor in valuing foreign securities.

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 (“CEFs”) are valued at the last quoted sales price.

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 debt securities with a maturity of 60 days or less at acquisition are valued at amortized cost, provided such amount approximates market value.

Typically loans are valued using information provided by an independent third party pricing service which uses broker quotes in a non-active market.

The value of futures contracts is accounted for using the unrealized gain or loss on the contracts that is determined by marking the contracts to their current realized settlement prices. Financial futures contracts are valued at the 4:00 p.m. price on the valuation date. In the event that the exchange for a specific futures contract closes earlier than 4:00 p.m., the futures contract is valued at the Official Settlement Price of the exchange. However, the underlying securities from which the futures contract value is derived are monitored until 4:00 p.m. to determine if fair valuation would provide a more accurate valuation.

The value of OTC swap agreements entered into by a Fund is accounted for using the unrealized gain or loss on the agreements that is determined by marking the agreements to the last quoted value of the index that the swap pertains to at the close of the NYSE. The swap’s value is then adjusted to include dividends accrued, and financing charges and/or interest associated with the swap agreements.

The value of interest rate swap agreements entered into by a Fund are accounted for using the unrealized gain or loss on the agreements that is determined using the spread priced off the previous day’s Chicago Mercantile Exchange (“CME”) price.

Forward foreign currency exchange contracts are valued daily based on the applicable exchange rate of the underlying currency. The change in value of the contract is recorded as unrealized appreciation or depreciation until the forward foreign currency contract is closed. When the forward foreign currency contract is closed, the Fund records a realized gain or loss equal to the difference between the value at the time the contract was opened and the value at the time it was closed.

Investments for which market quotations are not readily available are fair valued as determined in good faith by GI under the direction of the Board of Trustees using methods established or ratified by the Board of Trustees. 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,

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NOTES TO FINANCIAL STATEMENTS (continued)

(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). In connection with futures contracts and other derivative investments, such factors may include obtaining information as to how (a) these contracts and other derivative investments trade in the futures or other derivative markets, respectively, and (b) the securities underlying these contracts and other derivative investments trade in the cash market.

Certain U.S. Government and Agency Obligations are traded on a discount basis; the interest rates shown on the Schedules of Investments reflect the effective rates paid at the time of purchase by the Funds. Other securities bear interest at the rates shown, payable at fixed dates through maturity.

B. Senior loans in which the Funds invest generally pay interest rates which are periodically adjusted by reference to a base short-term, floating rate plus a premium. These base lending rates are generally (i) the lending rate offered by one or more major European banks, such as the London Inter-Bank Offered Rate (LIBOR), (ii) the prime rate offered by one or more major United States banks, or (iii) the bank’s certificate of deposit rate. Senior floating rate interests often require prepayments from excess cash flows or permit the borrower to repay at its election. The rate at which the borrower repays cannot be predicted with accuracy. As a result, the actual remaining maturity may be substantially less than the stated maturities shown. The interest rate indicated is the rate in effect at December 31, 2014.

C. The Funds may purchase and sell interests in securities on a when-issued and delayed delivery basis, with payment and delivery scheduled for a future date. No income accrues to the Fund on such interests or securities in connection with such transactions prior to the date the Funds actually take delivery of such interests or securities. These transactions are subject to market fluctuations and are subject to the risk that the value at delivery may be more or less than the trade date purchase price. Although the Funds will generally purchase these securities with the intention of acquiring such securities, they may sell such securities before the settlement date.

D. Upon the purchase of an option, the premium paid is recorded as an investment, the value of which is marked-to-market daily. If a purchased option expires, the Fund realizes a loss in the amount of the cost of the option. When the Fund enters into a closing sale transaction, it realizes a gain or loss depending on whether the proceeds from the closing sale transaction are greater or less than the cost of the option. If the Fund exercises a put option, it realizes a gain or loss from the sale of the underlying security and the proceeds from such sale will be decreased by the premium originally paid. When the Fund exercises a call option, the cost of the security purchased by the Fund upon exercise increases by the premium originally paid.

When the Fund writes (sells) an option, an amount equal to the premium received is entered in that Fund’s accounting records as an asset and equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the current value of the option written. When a written option expires, or if the Fund enters into a closing purchase transaction, it realizes a gain (or loss if the cost of a closing purchase transaction exceeds the premium received when the option was sold).

E. Upon entering into a futures contract, a Fund deposits and maintains as collateral such initial margin as required by the exchange on which the transaction is affected. Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in value of the contract. Such receipts or payments are known as variation margin and are recorded by the Fund as unrealized gains or losses. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.

F. Swap agreements are marked-to-market daily and the change, if any, is recorded as unrealized gain or loss. Payments received or made as a result of an agreement or termination of the agreement are recognized as realized gains or losses.

G. Security transactions are recorded on the trade date for financial reporting purposes. Realized gains and losses from securities transactions are recorded using the identified cost basis. Proceeds from lawsuits related to investment holdings are recorded as realized gains in the respective Fund. Dividend income is recorded on the ex-dividend date, net of applicable taxes withheld by foreign countries. Taxable non-cash dividends are recorded as dividend income. Interest income, including amortization of premiums and accretion of discounts, is

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NOTES TO FINANCIAL STATEMENTS (continued)

accrued on a daily basis. Interest income also includes paydown gains and losses on mortgage-backed and asset-backed securities and senior and subordinated loans. Amendment fees are earned as compensation for evaluating and accepting changes to the original loan agreement and are recognized when received. Dividend income from REITs is recorded based on the income included in the distributions received from the REIT investments using published REIT classifications, including some management estimates when actual amounts are not available. Distributions received in excess of this estimated amount are recorded as a reduction of the cost of investments or reclassified to capital gains. The actual amounts of income, return of capital, and capital gains are only determined by each REIT after its fiscal year-end, and may differ from the estimated amounts.

H. The Funds are required by the Internal Revenue Code to distribute substantially all income and capital gains to shareholders. Each year, the Funds determine whether to declare and pay actual dividends or whether to secure consent of its shareholders to report and deduct a consent dividend. A consent dividend is treated for tax purposes as a distribution to shareholders occurring on the last day of the Fund’s taxable year and a shareholder contribution to capital occurring on the same day. It is the Trust’s current practice to utilize the consent dividend procedures. The character of any distributions made from net investment income and net realized gains may differ from their ultimate characterization for income tax purposes.

I.  Expenses directly attributable to a Fund are charged directly to the Fund. Other expenses common to various funds within the fund complex are generally allocated amongst such funds on the basis of average net assets.

Expenses directly attributable to a Fund are charged directly to the Fund. Other expenses common to various funds within the fund complex are generally allocated amongst such funds on the basis of average net assets.

J. Under the fee arrangement with the custodian, the Funds may earn credits based on overnight custody cash balances. These credits are utilized to reduce related custodial expenses. The custodian fees disclosed in the Statement of Operations are before the reduction in expense from the related earnings credits, if any. For the year ended December 31, 2014, there were no earnings credits received.

K. The Funds may leave cash overnight in their cash account with the custodian. Periodically, a Fund may have cash due to the custodian bank as an overdraft balance. A fee is incurred on this overdraft, calculated by multiplying the overdraft by a rate based on the federal funds rate.

L. The accounting records of the Fund are maintained in U.S. dollars. All assets and liabilities initially expressed in foreign currencies are converted into U.S. dollars at prevailing exchange rates. Purchases and sales of investment securities, dividend and interest income, and certain expenses are translated at the rates of exchange prevailing on the respective dates of such transactions. Changes in the relationship of these foreign currencies to the U.S. dollar can significantly affect the value of the investments and earnings of the Funds. Foreign investments may also subject the Funds to foreign government exchange restrictions, expropriation, taxation or other political, social or economic developments, all of which could affect the market and/or credit risk of the investments.

The Funds do not isolate that portion of the results of operations resulting from changes in the foreign exchange rates on investments from the fluctuations arising from changes in the market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss on investments.

Reported net realized foreign exchange gains and losses arise from sales of foreign currencies and currency gains or losses realized between the trade and settlement dates on investment transactions. Net unrealized exchange gains and losses arise from changes in the fair values of assets and liabilities other than investments in securities at the fiscal period end, resulting from changes in exchange rates.

M. Under the Funds’ organizational documents, its Trustees and Officers are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In addition, throughout the normal course of business, the Funds enter into contracts that contain a variety of representations and warranties which provide general indemnifications. The Funds’ maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds and/or their affiliates that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.

2. Financial Instruments

As part of their investment strategy, the Funds utilize a variety of derivative instruments. These investments involve, to varying degrees, elements of market risk and risks in excess of the amounts recognized in the Statements of Assets and Liabilities.

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NOTES TO FINANCIAL STATEMENTS (continued)

An option on a security gives the purchaser of the option the right to sell, and the writer of the option the obligation to buy, the underlying security (put option) or the purchaser of the option the right to buy, and the writer of the option the obligation to sell, the underlying security (call option) at any time during the option period. The risk associated with purchasing options is limited to the premium originally paid. The risk in writing a call option is that a Fund may incur a loss if the market price of the underlying security increases and the option is exercised. The risk in writing a put option is that a Fund may incur a loss if the market price of the underlying security decreases and the option is exercised. In addition, there may be an imperfect correlation between the movement in prices of options and the underlying securities and a Fund may not be able to enter into a closing transaction because of an illiquid secondary market or, for over-the-counter options, because of the counterparty’s inability to perform.

A futures contract is an agreement to purchase (long) or sell (short) an agreed amount of securities or other instruments at a set price for delivery at a future date. There are significant risks associated with a Fund’s use of futures contracts, including (i) there may be an imperfect or no correlation between the changes in market value of the underlying asset and the prices of futures contracts; (ii) there may not be a liquid secondary market for a futures contract; (iii) trading restrictions or limitations may be imposed by an exchange; and (iv) government regulations may restrict trading in futures contracts. When investing in futures, there is minimal counterparty credit risk to the Fund because futures are exchange-traded and the exchange’s clearinghouse, as counterparty to all exchange-traded futures, guarantees against default. Cash deposits are shown as restricted cash on the Statement of Assets and Liabilities; securities held as collateral are noted on the Schedule of Investments.

A swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to changes in specified prices or rates for a specified amount of an underlying asset. A Fund utilizing OTC swaps bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty. Additionally, there is no guarantee that a Fund or an underlying fund could eliminate its exposure under an outstanding swap agreement by entering into an offsetting swap agreement with the same or another party.

A forward foreign currency exchange contract is an agreement between two parties to exchange two designated currencies at a specific time in the future. The contracts can be used to hedge or manage exposure to foreign currency risks with portfolio investments or to gain exposure to foreign currencies.

Certain Funds utilized derivative instruments to achieve leveraged exposure to their respective underlying indices. Since these Funds’ investment strategy involves consistently applied leverage, the value of the Fund’s shares will tend to increase or decrease more than the value of any increase or decrease in the underlying index. In addition, as investment in derivative instruments generally requires a small investment relative to the amount of investment exposure assumed, this creates an opportunity for increased net income but, at the same time, additional leverage risk. The Funds’ use of leverage, through borrowings or instruments such as derivatives, may cause the Funds to be more volatile and riskier than if they had not been leveraged.

In conjunction with the use of derivative instruments, the Funds are required to maintain collateral in various forms. The Funds use, where appropriate, depending on the financial instrument utilized and the broker involved, margin deposits at the broker, cash and/or securities segregated at the custodian bank, discount notes or the repurchase agreements allocated to each Fund.

The Trust has established counterparty credit guidelines and enters into transactions only with financial institutions of investment grade or better. The Trust monitors the counterparty credit risk.

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NOTES TO FINANCIAL STATEMENTS (continued)

3. Fees and Other Transactions with Affiliates

Under the terms of an investment advisory contract, the Funds pay GI investment advisory fees calculated at the annualized rates below, based on the average daily net assets of the Funds:

Fund	Management Fees (as a % of Net Assets)
Series A (StylePlus—Large Core Series)	0.75%
Series B (Large Cap Value Series)	0.65%
Series C (Money Market Series)	0.50%
Series D (World Equity Income Series)	0.70%
Series E (Total Return Bond Series)*	0.50%
Series F (Floating Rate Strategies Series)	0.65%
Series J (StylePlus—Mid Growth Series)	0.75%
Series M (Macro Opportunities Series)	0.89%
Series N (Managed Asset Allocation Series)	0.65%
Series O (All Cap Value Series)	0.70%
Series P (High Yield Series)*	0.60%
Series Q (Small Cap Value Series)	0.95%
Series V (Mid Cap Value Series)	0.75%
Series X (StylePlus—Small Growth Series)	0.85%
Series Y (StylePlus—Large Growth Series)	0.75%
Series Z (Alpha Opportunity Series)	1.25%

* Prior to October 20, 2014, the management fees for Series E (Total Return Bond Series) and Series P (High Yield Series) were 0.75%.

RFS is paid the following for providing transfer agent services to the Funds:

Annual charge per account	$5.00 – $8.00
Transaction fee	$0.60 – $1.10
Minimum annual charge per Fund†	$25,000
Certain out-of-pocket charges	Varies

^† Not subject to Funds during first twelve months of operations.

RFS also acts as the administrative agent for the Funds, and as such performs administrative functions and the bookkeeping, accounting and pricing functions for each Fund. For these services, RFS receives the following:

Fund	Fund Accounting/ Administrative Fees (as a % of Net Assets)
Series A (StylePlus—Large Core Series)	0.095%
Series B (Large Cap Value Series)	0.095%
Series C (Money Market Series)	0.095%
Series D (World Equity Income Series)	greater of 0.15% or $60,000
Series E (Total Return Bond Series)	0.095%
Series F (Floating Rate Strategies Series)	0.095%
Series J (StylePlus—Mid Growth Series)	0.095%
Series M (Macro Opportunities Series)	0.095%
Series N (Managed Asset Allocation Series)	greater of 0.15% or $60,000
Series O (All Cap Value Series)	0.095%
Series P (High Yield Series)	0.095%
Series Q (Small Cap Value Series)	0.095%
Series V (Mid Cap Value Series)	0.095%
Series X (StylePlus—Small Growth Series)	0.095%
Series Y (StylePlus—Large Growth Series)	0.095%
Series Z (Alpha Opportunity Series)	0.150%
Minimum annual charge per Fund	$25,000
Certain out-of-pocket charges	Varies

RFS engages external service providers to perform other necessary services for the Trust, such as audit and accounting related services, legal services, custody, printing and mailing, etc., on a pass-through basis. Such expenses are allocated to various Funds within the complex based on relative net assets.

Series E (Total Return Bond Series), Series F (Floating Rate Strategies Series), Series M (Macro Opportunities Series) and Series P (High Yield Series) have adopted a Distribution and Shareholder Services Plan pursuant to Rule 12b-1 under the 1940 Act that allows those Funds to pay distribution and shareholder services fees to GFD. The Funds will pay distribution and shareholder services fees to GFD at an annual rate not to exceed 0.25% of average daily net assets. GFD may, in turn, pay all or a portion of the proceeds from the distribution and shareholder services fees to insurance companies or their affiliates and qualified plan administrators (“intermediaries”) for services they provide on behalf of the Funds to current and prospective variable contract owners and qualified plan participants that invest in the Funds through the intermediaries.

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The investment advisory contracts for the following Funds provide that the total expenses be limited to a percentage of average net assets for the Funds, exclusive of brokerage costs, dividends on securities sold short, expenses of other investment companies in which a Fund invests, interest, taxes, litigation, indemnification and extraordinary expenses. The limits are listed below:

	Limit	Effective Date	Contract End Date
Series C (Money Market Series)	0.50%	08/22/12	05/01/16
Series E (Total Return Bond Series)	0.81%	11/30/12	05/01/16
Series F (Floating Rate Strategies Series)	1.15%	04/22/13	05/01/16
Series M (Macro Opportunities Series)	1.45%	04/22/13	05/01/16
Series O (All Cap Value Series)	1.00%	11/30/12	05/01/16
Series P (High Yield Series)	1.07%	10/20/14	05/01/17
Series Z (Alpha Opportunity Series)	2.35%	11/30/12	05/01/16

GI is entitled to reimbursement by the Funds for fees waived or expenses reimbursed during any of the previous 36 months, beginning on the date of the expense limitation agreement, if on any day the estimated operating expenses are less than the indicated percentages. At December 31, 2014, the amount of fees waived or expenses reimbursed that are subject to recoupment are presented in the following table:

Fund	Expires 2015		Expires 2016		Expires 2017		Total
Series C (Money Market Series)	$	—	$	54,066	$	179,834	$	233,900
Series E (Total Return Bond Series)		154,822		208,040		189,173		552,035
Series F (Floating Rate Strategies Series)		—		48,535		36,089		84,624
Series M (Macro Opportunities Series)		—		55,226		46,763		101,989
Series O (All Cap Value Series)		—		—		3,380		3,380
Series P (High Yield Series)		—		—		14,814		14,814
Series Z (Alpha Opportunity Series)		—		98,175		59,680		157,855

For the year ended December 31, 2014, no amounts were recouped by GI.

If a Fund invests in an affiliated fund, the investing Fund’s Adviser has agreed to waive fees at the investing fund level. Fee waivers will be calculated at the investing Fund level without regard to any expense cap in effect, if any, for the investing Fund. Fees waived under this arrangement are not subject to reimbursement to GI.

During the year ended December 31, 2014, the following funds waived advisory fees related to investments in affiliated Funds.

Fund	Amount
Series A (StylePlus—Large Core Series)	$	46,924
Series E (Total Return Bond Series)		22,236
Series J (StylePlus—Mid Growth Series)		31,393
Series M (Macro Opportunities Series)		8,869
Series X (StylePlus—Small Growth Series)		8,096
Series Y (StylePlus—Large Growth Series)		7,343
	$	124,861

Certain trustees and officers of the Trust are also officers of GI, RFS and GFD.

At December 31, 2014, GI and its subsidiaries owned over twenty percent of the outstanding shares of the Funds, as follows:

Fund	Percent of outstanding shares owned
Series A (StylePlus—Large Core Series)	100%
Series B (Large Cap Value Series)	100%
Series C (Money Market Series)	98%
Series D (World Equity Income Series)	99%
Series E (Total Return Bond Series)	87%
Series F (Floating Rate Strategies Series)	61%
Series J (StylePlus—Mid Growth Series)	99%
Series M (Macro Opportunities Series)	91%
Series N (Managed Asset Allocation Series)	99%
Series O (All Cap Value Series)	98%
Series P (High Yield Series)	98%
Series Q (Small Cap Value Series)	95%
Series V (Mid Cap Value Series)	98%
Series X (StylePlus—Small Growth Series)	98%
Series Y (StylePlus—Large Growth Series)	96%
Series Z (Alpha Opportunity Series)	100%

4. Fair Value Measurement

In accordance with U.S. 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. U.S. 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:

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NOTES TO FINANCIAL STATEMENTS (continued)

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.

The following table summarizes the inputs used to value the Funds’ investments at December 31, 2014:

	Level 1 Investments In Securities		Level 1 Other Financial Instruments*		Level 2 Investments In Securities		Level 2 Other Financial Instruments*		Level 3 Investments In Securities		Total
Assets
Series A (StylePlus—Large Core Series)	$	184,093,415	$	—	$	53,537,476	$	654,255	$	—	$	238,285,146
Series B (Large Cap Value Series)		273,853,086		—		—		—		—		273,853,086
Series C (Money Market Series)		27,956,605		—		43,055,110		—		—		71,011,715
Series D (World Equity Income Series)		93,957,472		—		84,064,305		—		—		178,021,777
Series E (Total Return Bond Series)		17,286,837		—		112,659,328		—		3,896,814		133,842,979
Series F (Floating Rate Strategies Series)		928,575		—		43,369,453		—		798,535		45,096,563
Series J (StylePlus—Mid Growth Series)		127,644,327		—		35,893,076		1,307,479		—		164,844,882
Series M (Macro Opportunities Series)		9,610,579		—		23,023,583		550,621		203,790		33,388,573
Series N (Managed Asset Allocation Series)		59,752,879		175,767		—		9,104		—		59,937,750
Series O (All Cap Value Series)		146,447,088		—		—		—		—		146,447,088
Series P (High Yield Series)		8,632,597		—		75,709,646		134,626		5,521,413		89,998,282
Series Q (Small Cap Value Series)		118,018,218		—		—		—		1,022		118,019,240
Series V (Mid Cap Value Series)		264,569,790		—		—		—		2,702		264,572,492
Series X (StylePlus—Small Growth Series)		27,399,153		777		9,570,300		1,372,565		—		38,342,795
Series Y (StylePlus—Large Growth Series)		27,913,692		—		8,747,611		—		—		36,661,303
Series Z (Alpha Opportunity Series)		4,789,281		117,204		10,299,867		150,007		—		15,356,359
Liabilities
Series A (StylePlus—Large Core Series)	$	—	$	8,532	$	—	$	—	$	—	$	8,532
Series M (Macro Opportunities Series)		—		—		—		182,360		—		182,360
Series N (Managed Asset Allocation Series)		—		90,607		—		13,348		—		103,955
Series Y (StylePlus—Large Growth Series)		—		10,365		—		13,543		—		23,908

* Other financial instruments may include futures contracts, forward foreign currency exchange contracts and/or swaps, which are reported as unrealized gain/loss at period end.

Independent pricing services are used to value a majority of the Funds’ investments. When values are not available from a pricing service, they may be computed by the Funds’ investment adviser or an affiliate. In any event, values may be 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. A significant portion of certain Funds’ assets and liabilities are categorized as Level 2 or Level 3, as indicated in this report.

Indicative quotes from broker-dealers, adjusted for fluctuations in criteria such as credit spreads and interest rates, may be also used to value the Funds’ assets and liabilities, i.e. prices provided by a broker-dealer or other market participant who has not committed to trade at that price. Although indicative quotes are typically received from established market participants, the Funds may not have the transparency to view the underlying inputs which support the market quotations. Significant changes in an indicative quote would generally result in significant changes in the fair value of the security.

162 | THE GUGGENHEIM FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (continued)

Certain fixed income securities are valued by obtaining a monthly indicative quote from a broker-dealer, adjusted for fluctuations in criteria such as credit spreads and interest rates. The Funds’ fair valuation guidelines were recently revised to transition such monthly indicative quoted securities from Level 2 to Level 3.

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.

The following is a summary of significant unobservable inputs used in the fair valuation of assets and liabilities categorized within Level 3 of the fair value hierarchy:

Fund	Category and Subcategory	Ending Balance at 12/31/14	Valuation Technique	Unobservable Inputs
	Investments, at value
Series E (Total Return Bond Series)	Corporate Bonds	$1,995,917	Option Adjusted Spread off the month end broker mark over the 3 month LIBOR	Indicative Quote
	Asset-Backed Securities	978,900	Option Adjusted Spread off the month end broker mark over the 3 month LIBOR	Indicative Quote
	Preferred Stocks	666,000	Option Adjusted Spread off the month end broker mark over the 3 month LIBOR	Indicative Quote
	Mortgage-Backed Securities	255,997	Option Adjusted Spread off the month end broker mark over the 3 month LIBOR	Indicative Quote
	Total	3,896,814
Series F (Floating Rate Strategies Series)	Senior Floating Rate Interests	798,535	Monthly Model Priced	Purchase Price
Series P (High Yield Series)	Senior Floating Rate Interests	4,010,844	Monthly Model Priced	Purchase Price
	Corporate Bonds	977,289	Monthly Model Priced	Purchase Price
	Corporate Bonds	533,280	Option Adjusted Spread off the month end broker mark over the 3 month LIBOR	Indicative Quote
	Total	5,521,413

Any remaining Level 3 securities held by the Funds, and excluded from the tables above, were not considered material to the Funds.

Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in the investment’s valuation changes. The Funds recognize transfers between the levels as of the beginning of the period. As of December 31, 2014, Series D (World Equity Income Series) had transfers between Level 1 and Level 2 due to utilizing international fair value pricing during the period. Series E (Total Return Bond Series) had securities with a total value of $724,700 transfer from Level 2 to Level 3 due to changes in the securities valuation method. Series P (High Yield Series) had securities with a total value of $1,403,505 transfer out of Level 3. There were no other securities that transferred between levels.

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NOTES TO FINANCIAL STATEMENTS (continued)

Summary of Fair Value Level 3 Activity

Following is a reconciliation of Level 3 assets and liabilities for which significant unobservable inputs were used to determine fair value for the year ended December 31, 2014:

LEVEL 3 – Fair value measurement using significant unobservable inputs

	Preferred Stocks		Asset-Backed Securities			Corporate Bonds			Mortgage-Backed Securities			Total
Series E (Total Return Bond Series)
Assets:
Beginning Balance	$	—	$	—		$	—		$	—		$	—
Purchases		—		980,825			1,909,700			231,699			3,122,224
Sales, maturities and paydowns		—		—			(6,100	)		(2,335	)		(8,435	)
Total change in unrealized gains or losses included in earnings		39,810		(1,925	)		(6,193	)		26,633			58,325
Transfers into Level 3		626,190		—			98,510			—			724,700
Ending Balance	$	666,000	$	978,900		$	1,995,917		$	255,997		$	3,896,814

	Senior Floating Rate Interests				Total
Series F (Floating Rate Strategies Series)
Assets:
Beginning Balance		$	148,500			$	148,500
Purchases			655,766				655,766
Sales, maturities and paydowns			(8,292	)			(8,292	)
Total change in unrealized gains or losses included in earnings			2,561				2,561
Ending Balance		$	798,535			$	798,535

	Senior Floating Rate Interests			Common Stocks		Corporate Bonds		Warrants			Total
Series P (High Yield Series)
Assets:
Beginning Balance	$	1,700,499		$	54	$	—	$	5		$	1,700,558
Purchases		4,026,103			—		1,502,609		—			5,528,712
Sales, maturities and paydowns		(20,896	)		—		—		—			(20,896	)
Total change in unrealized gains or losses included in earnings		(291,362	)		—		7,906		—			(283,456	)
Transfers out of Level 3		(1,403,500	)		—		—		(5	)		(1,403,505	)
Ending Balance	$	4,010,844		$	54	$	1,510,515	$	—		$	5,521,413

	Common  Stocks			Total
Series Z ( Alpha Opportunity Series)
Liabilities:
Beginning Balance	$	(7,786,654	)	$	(7,786,654	)
Settlements		7,786,654			7,786,654
Ending Balance	$	—		$	—

164 | THE GUGGENHEIM FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (continued)

5. Derivative Investment Holdings Categorized by Risk Exposure

U.S. GAAP requires disclosures to enable investors to better understand how and why the Funds use derivative instruments, how these derivative instruments are accounted for and their effects on the Funds’ financial positions and results of operations.

The following Funds utilized derivatives for the following purposes:

Fund	Index Exposure	Income	Hedge	Duration	Speculation	Leverage	Liquidity
Series A (StylePlus—Large Core Series)	x	—	—	—	—	—	—
Series E (Total Return Bond Series)	—	—	x	x	—	—	—
Series J (StylePlus—Mid Growth Series)	x	—	—	—	—	x	—
Series M (Macro Opportunities Series)	x	—	x	x	—	—	—
Series N (Managed Asset Allocation Series)	x	—	—	—	x	—	—
Series O (All Cap Value Series)	—	x	—	—	—	—	x
Series P (High Yield Series)	—	—	x	—	—	—	—
Series Q (Small Cap Value Series)	—	x	—	—	—	—	x
Series V (Mid Cap Value Series)	—	x	—	—	—	—	x
Series X (StylePlus—Small Growth Series)	x	—	—	—	—	x	—
Series Y (StylePlus—Large Growth Series)	x	—	—	—	—	x	—
Series Z (Alpha Opportunity Series)	x	—	x	—	x	x	—

The following table represents the notional amount of derivative instruments outstanding as an approximate percentage of the Funds’ net assets on a quarterly basis.

	Approximate percentage of Fund’s Net Assets on a quarterly basis
Fund	Long	Short
Series A (StylePlus—Large Core Series)	80%	—
Series E (Total Return Bond Series)	10%	—
Series J (StylePlus—Mid Growth Series)	80%	—
Series M (Macro Opportunities Series)	15%	10%
Series N (Managed Asset Allocation Series)	50%	—*
Series P (High Yield Series)	10%	—
Series X (StylePlus—Small Growth Series)	75%	—
Series Y (StylePlus—Large Growth Series)	80%	—
Series Z (Alpha Opportunity Series)	65%	15%

* Less than 5%.

The following is a summary of the location of derivative investments on the Funds’ Statements of Assets and Liabilities as of December 31, 2014:

Derivative Investment Type	Asset Derivatives	Liability Derivatives
Equity/Currency/Interest Rate contracts	Variation margin	Variation margin
	Unrealized appreciation on swap agreements	Unrealized depreciation on swap agreements
Currency contracts	Unrealized appreciation on forward foreign currency exchange contracts	Unrealized depreciation on forward foreign currency exchange contracts

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NOTES TO FINANCIAL STATEMENTS (continued)

The following table sets forth the fair value of the Funds’ derivative investments categorized by primary risk exposure at December 31, 2014:

Asset Derivative Investments Value
Fund	Futures Equity Contracts*		Swaps Equity Contracts		Futures Currency Contracts*		Swaps Currency Contracts		Futures Interest Rate Contracts*		Swaps Interest Rate Contracts		Forward Foreign Currency Exchange Contracts		Total Value at December 31, 2014
Series A (StylePlus— Large Core Series)	$	—	$	654,255	$	—	$	—	$	—	$	—	$	—	$	654,255
Series J (StylePlus— Mid Growth Series)		—		1,307,479		—		—		—		—		—		1,307,479
Series M (Macro Opportunities Series)		—		279,263		—		14,238		—		105,215		151,905		550,621
Series N (Managed Asset Allocation Series)		140,747		—		14,389		—		29,735		—		—		184,871
Series P (High Yield Series)		—		—		—		—		—		—		134,626		134,626
Series X (StylePlus— Small Growth Series)		777		1,372,565		—		—		—		—		—		1,373,342
Series Z (Alpha Opportunity Series)		117,204		150,007		—		—		—		—		—		267,211

Liability Derivative Investments Value
Fund	Futures Equity Contracts*		Swaps Equity Contracts		Futures Currency Contracts*		Swaps Currency Contracts		Futures Interest Rate Contracts*		Swaps Interest Rate Contracts		Forward Foreign Currency Exchange Contracts		Total Value at December 31, 2014
Series A (StylePlus— Large Core Series)	$	8,532	$	—	$	—	$	—	$	—	$	—	$	—	$	8,532
Series M (Macro Opportunities Series)		—		30,447		—		—		—		149,923		1,990		182,360
Series N (Managed Asset Allocation Series)		97,485		—		—		—		6,470		—		—		103,955
Series Y (StylePlus— Large Growth Series)		10,365		13,543		—		—		—		—		—		23,908

* Includes cumulative appreciation (depreciation) of futures contracts as reported on the Schedules of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities.

The following is a summary of the location of derivative investments on the Funds’ Statements of Operations for the year ended December 31, 2014:

Derivative Investment Type	Location of Gain (Loss) on Derivatives
Currency contracts	Net realized gain (loss) on forward foreign currency exchange contracts
	Net change in unrealized appreciation (depreciation) on forward foreign currency exchange contracts
Equity/Currency/Interest Rate contracts	Net realized gain (loss) on futures contracts
	Net change in unrealized appreciation (depreciation) on futures contracts
Equity contracts	Net realized gain (loss) on options purchased
	Net change in unrealized appreciation (depreciation) on options purchased
	Net realized gain (loss) on options written
	Net change in unrealized appreciation (depreciation) on options written
Equity/Currency/Interest Rate contracts	Net realized gain (loss) on swap agreements
	Net change in unrealized appreciation (depreciation) on swap agreements

166 | THE GUGGENHEIM FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (continued)

The following is a summary of the Funds’ realized gain (loss) and change in unrealized appreciation (depreciation) on derivative investments recognized on the Statements of Operations categorized by primary risk exposure for the year ended December 31, 2014:

Realized Gain (Loss) on Derivative Investments Recognized on the Statements of Operations
Fund	Futures Equity Contracts		Swaps Equity Contracts		Futures Currency Contracts		Futures Interest Rate Contracts		Swaps Interest Rate Contracts			Swaps Currency Contracts		Forward Foreign Currency Exchange Contracts		Options Written Equity Contracts		Options Purchased Equity Contracts			Total
Series A (StylePlus— Large Core Series)	$	236,171	$	21,219,870	$	—	$	—	$	—		$	—	$	—	$	—	$	—		$	21,456,041
Series E (Total Return Bond Series)		—		—		—		—		468,194			—		25,757		26,026		(115,258	)		404,719
Series J (StylePlus— Mid Growth Series)		117,377		11,783,213		—		—		—			—		—		—		—			11,900,590
Series M (Macro Opportunities Series)		—		89,542		—		—		(68,905	)		67,190		86,278		12,142		(110,558	)		75,689
Series N (Managed Asset Allocation Series)		971,841		—		36,047		372,346		—			—		—		—		—			1,380,234
Series O (All Cap Value Series)		—		—		—		—		—			—		—		29,068		—			29,068
Series P (High Yield Series)		—		—		—		—		—			—		861,526		—		—			861,526
Series Q (Small Cap Value Series)		—		—		—		—		—			—		—		160,273		—			160,273
Series V (Mid Cap Value Series)		—		—		—		—		—			—		—		227,815		—			227,815
Series X (StylePlus— Small Growth Series)		42,979		140,645		—		—		—			—		—		—		—			183,624
Series Y (StylePlus— Large Growth Series)		113,519		3,016,593		—		—		—			—		—		—		—			3,130,112
Series Z (Alpha Opportunity Series)		441,011		399,583		—		—		—			—		—		—		—			840,594

Change in Unrealized Appreciation (Depreciation) on Derivative Investments Recognized on the Statements of Operations
Fund	Futures Equity Contracts			Swaps Equity Contracts			Futures Currency Contracts		Futures Interest Rate Contracts		Swaps Interest Rate Contracts			Swaps Currency Contracts		Forward Foreign Currency Exchange Contracts		Options Written Equity Contracts			Options Purchased Equity Contracts		Total
Series A (StylePlus— Large Core Series)	$	(8,532	)	$	654,255		$	—	$	—	$	—		$	—	$	—	$	—		$	—	$	645,723
Series E (Total Return Bond Series)		—			—			—		—		(83,700	)		—		—		—			—		(83,700	)
Series J (StylePlus— Mid Growth Series)		(29,603	)		1,307,479			—		—		—			—		—		—			—		1,277,876
Series M (Macro Opportunities Series)		—			(124,749	)		—		—		(39,913	)		291,923		149,915		(2,825	)		24,860		299,211
Series N (Managed Asset Allocation Series)		(667,896	)		—			14,773		189,782		—			—		—		—			—		(463,341	)
Series O (All Cap Value Series)		—			—			—		—		—			—		—		(26,058	)		—		(26,058	)
Series P (High Yield Series)		—			—			—		—		—			—		142,588		—			—		142,588
Series Q (Small Cap Value Series)		—			—			—		—		—			—		—		(62,843	)		—		(62,843	)
Series V (Mid Cap Value Series)		—			—			—		—		—			—		—		(140,750	)		—		(140,750	)
Series X (StylePlus— Small Growth Series)		(14,984	)		1,372,565			—		—		—			—		—		—			—		1,357,581
Series Y (StylePlus— Large Growth Series)		(30,260	)		(13,543	)		—		—		—			—		—		—			—		(43,803	)
Series Z (Alpha Opportunity Series)		61,486			150,007			—		—		—			—		—		—			—		211,493

6. Offsetting

In the normal course of business, the Funds enter into transactions subject to enforceable master netting arrangements or other similar arrangements. Generally, the right to offset in those agreements allows the Funds to counteract the exposure to a specific counterparty with collateral received or delivered to that counterparty based on the terms of the arrangements. These arrangements provide for the right to liquidate upon the occurrence of an event of default, credit event upon merger or additional termination event.

In order to better define their contractual rights and to secure rights that will help the Funds mitigate their counterparty risk, the Funds may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with their derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between a Fund and a counterparty that governs OTC derivatives, including foreign exchange contracts, and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of a default (close-out netting) or similar event, including the bankruptcy or insolvency of the counterparty.

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NOTES TO FINANCIAL STATEMENTS (continued)

For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark to market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Funds and the counterparty. For financial reporting purposes, cash collateral that has been pledged to cover obligations of the Funds and cash collateral received from the counterparty, if any, is reported separately on the Statement of Assets and Liabilities as segregated cash with broker/receivable for variation margin, or payable for swap settlement/variation margin. Generally, the amount of collateral due from or to a counterparty must exceed a minimum transfer amount threshold (e.g., $300,000) before a transfer is required to be made. To the extent amounts due to the Funds from their counterparties are not fully collateralized, contractually or otherwise, the Funds bear the risk of loss from counterparty nonperformance. The Funds attempt to mitigate counterparty risk by only entering into agreements with counterparties that they believe to be of good standing and by monitoring the financial stability of those counterparties.

For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statements of Assets and Liabilities.

The following tables present derivative financial instruments and secured financing transactions that are subject to enforceable netting arrangements and offset in the Statements of Assets and Liabilities in conformity with U.S. GAAP.

								Gross Amounts Not Offset in the Statements of Assets and Liabilities
Fund	Instrument	Gross Amounts of Recognized Assets1		Gross Amounts Offset In the Statements of Assets and Liabilities		Net Amount of Assets Presented on the Statements of Assets and Liabilities		Financial Instruments		Cash Collateral Received		Net Amount
Series A (StylePlus—Large Core Series)	Swap equity contracts	$	654,255	$	—	$	654,255	$	—	$	—	$	654,255
Series J (StylePlus—Mid Growth Series)	Swap equity contracts		1,307,479		—		1,307,479		—		1,307,479		—
Series M (Macro Opportunities Series)	Swap equity contracts		293,501		—		293,501		43,851		—		249,650
	Forward foreign currency exchange contracts		151,905		—		151,905		1,990		—		149,915
Series P (High Yield Series)	Forward foreign currency exchange contracts		134,626		—		134,626		—		—		134,626
Series X (StylePlus—Small Growth Series)	Swap equity contracts		1,372,565		—		1,372,565		—		1,372,565		—
Series Z (Alpha Opportunity Series)	Swap equity contracts		150,007		—		150,007		—		—		150,007

								Gross Amounts Not Offset in the Statements of Assets and Liabilities
Fund	Instrument	Gross Amounts of Recognized Liabilities1		Gross Amounts Offset In the Statements of Assets and Liabilities		Net Amount of Liabilities Presented on the Statements of Assets and Liabilities		Financial Instruments		Cash Collateral Pledged		Net Amount
Series M (Macro Opportunities Series)	Swap equity contracts	$	43,851	$	—	$	43,851	$	43,851	$	—	$	—
	Forward foreign currency exchange contracts		1,990		—		1,990		1,990		—		—
Series Y (StylePlus—Large Growth Series)	Swap equity contracts		13,543		—		13,543		—		—		13,543

¹ Exchange-traded futures and centrally cleared swap agreements are excluded from these reported amounts.

168 | THE GUGGENHEIM FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (continued)

7. Federal Income Tax Information

The Funds intend to comply with the provisions of Subchapter M of the Internal Revenue Code applicable to regulated investment companies and will distribute substantially all taxable net investment income and capital gains sufficient to relieve the Funds from all, or substantially all, federal income, excise and state income taxes. Therefore, no provision for federal or state income tax is required.

Tax positions taken or expected to be taken in the course of preparing the Funds’ tax returns are evaluated to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. Management has analyzed the Funds’ tax positions taken, or to be taken, on Federal income tax returns for all open tax years, and has concluded that no provision for income tax is required in the Funds’ financial statements. The Funds’ federal tax returns are subject to examination by the Internal Revenue Service for a period of three years after they are filed.

Tax basis capital losses in excess of capital gains are carried forward to offset future net capital gains. For the year ended December 31, 2014, the following capital loss carryforward amounts expired, were used, or were permanently lost due to loss limitation rules in Section 382 of the Internal Revenue Code:

Fund	Amount
Series A (StylePlus—Large Core Series)	$	8,855,698
Series B (Large Cap Value Series)		10,999,919
Series D (World Equity Income Series)		9,642,392
Series E (Total Return Bond Series)		943,176
Series J (StylePlus—Mid Growth Series)		5,795,514
Series M (Macro Opportunities Series)		166,272
Series N (Managed Asset Allocation Series)		1,559,581
Series O (All Cap Value Series)		6,099,793
Series X (StylePlus—Small Growth Series)		1,455,499
Series Y (StylePlus—Large Growth Series)		1,598,274
Series Z (Alpha Opportunity Series)		780,736

During the year ended December 31, 2014, the Funds declared ordinary and long-term capital gain consent dividends, attributable for the year ended December 31, 2013, as shown below:

Fund	Ordinary Income Consent Dividends		Long-Term Capital Gain Consent Dividends		Total Consent Dividends
Series A (StylePlus—Large Core Series)	$	32,049,304	$	29,186,762	$	61,236,066
Series B (Large Cap Value Series)		2,824,543		18,148,077		20,972,620
Series C (Money Market Series)		—		—		—
Series D (World Equity Income Series)		5,046,941		—		5,046,941
Series E (Total Return Bond Series)		5,070,905		—		5,070,905
Series F (Floating Rate Strategies Series)		1,011,946		—		1,011,946
Series J (StylePlus—Mid Growth Series)		30,315,420		5,649,301		35,964,721
Series M (Macro Opportunities Series)		594,281		—		594,281
Series N (Managed Asset Allocation Series)		120,031		961,653		1,081,684
Series O (All Cap Value Series)		1,318,999		3,850,174		5,169,173
Series P (High Yield Series)		10,064,590		142,710		10,207,300
Series Q (Small Cap Value Series)		1,670,306		12,786,034		14,456,340
Series V (Mid Cap Value Series)		2,030,694		29,302,295		31,332,989
Series X (StylePlus—Small Growth Series)		8,922,281		3,253,287		12,175,568
Series Y (StylePlus—Large Growth Series)		6,938,503		1,705,356		8,643,859
Series Z (Alpha Opportunity Series)		—		228,520		228,520

Note: For federal income tax purposes, short-term capital gain distributions are treated as ordinary income distributions.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 169

NOTES TO FINANCIAL STATEMENTS (continued)

During 2014, the following funds paid out ordinary income dividends:

Fund	Ordinary Income Dividends
Series D (World Equity Income Series)	$	7,072
Series O (All Cap Value Series)		1,285
Series Q (Small Cap Value Series)		12,486
Series V (Mid Cap Value Series)		7,631

The tax character of distributable earnings/(accumulated losses) at December 31, 2014, was as follows:

Fund	Undistributed Ordinary Income		Undistributed Long-Term Capital Gain		Net Unrealized Appreciation/ Depreciation			Capital Loss Carryforward
Series A (StylePlus—Large Core Series)	$	20,903,046	$	2,317,549	$	6,033,751		$	(26,360,320	)
Series B (Large Cap Value Series)		2,928,951		37,933,711		55,245,127			(24,375,653	)
Series C (Money Market Series)		—		—		1,185			(151	)
Series D (World Equity Income Series)		5,491,407		—		1,796,596			(52,943,811	)
Series E (Total Return Bond Series)		2,550,797		—		293,315			(7,580,096	)
Series F (Floating Rate Strategies Series)		1,637,353		30,834		(421,651	)		—
Series J (StylePlus—Mid Growth Series)		12,182,648		950,337		3,434,504			(20,103,786	)
Series M (Macro Opportunities Series)		1,074,342		—		89,339			—
Series N (Managed Asset Allocation Series)		538,173		—		7,464,582			(87,638	)
Series O (All Cap Value Series)		1,281,376		16,826,249		27,265,224			(3,643,659	)
Series P (High Yield Series)		8,426,705		1,226,164		(3,474,804	)		—
Series Q (Small Cap Value Series)		206,481		18,313,694		15,727,974			—
Series V (Mid Cap Value Series)		2,217,910		37,390,224		38,647,687			—
Series X (StylePlus—Small Growth Series)		304,934		109,624		1,844,534			(4,366,496	)
Series Y (StylePlus—Large Growth Series)		2,811,784		257,395		725,959			(4,794,823	)
Series Z (Alpha Opportunity Series)		—		4,910,631		48,751			(2,342,209	)

170 | THE GUGGENHEIM FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (continued)

For Federal income tax purposes, capital loss carryforwards represent realized losses of the Funds that may be carried forward and applied against future capital gains. For taxable years beginning on or before December 22, 2010, such capital losses may be carried forward for a maximum of eight years. Under the RIC Modernization Act of 2010, the Funds are permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010, for an unlimited period. However, any losses incurred during those taxable years must be utilized prior to the losses incurred in pre-enactment taxable years. As a result of this ordering rule, pre-enactment capital loss carryforwards may be more likely to expire unused. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under previous law. As of December 31, 2014, capital loss carryforwards for the Funds were as follows:

	Expires in			Expires in			Expires in			Unlimited						Total Capital Loss
Fund	2016			2017			2018			Short-Term			Long-Term			Carryforward
Series A (StylePlus—Large Core Series)	$	—		$	(26,360,320	)	$	—		$	—		$	—		$	(26,360,320	)*
Series B (Large Cap Value Series)		—			(24,375,653	)		—			—			—			(24,375,653	)*
Series C (Money Market Series)		—			—			—			(14	)		(137	)		(151	)
Series D (World Equity Income Series)		(37,093,060	)		(15,850,751	)		—			—			—			(52,943,811	)*
Series E (Total Return Bond Series)		—			(7,219,940	)		(360,156	)		—			—			(7,580,096	)*
Series F (Floating Rate Strategies Series)		—			—			—			—			—			—
Series J (StylePlus—Mid Growth Series)		(8,088,868	)		(12,014,918	)		—			—			—			(20,103,786	)*
Series M (Macro Opportunities Series)		—			—			—			—			—			—
Series N (Managed Asset Allocation Series)		—			(87,638	)		—			—			—			(87,638	)*
Series O (All Cap Value Series)		—			(3,643,659	)		—			—			—			(3,643,659	)*
Series P (High Yield Series)		—			—			—			—			—			—
Series Q (Small Cap Value Series)		—			—			—			—			—			—
Series V (Mid Cap Value Series)		—			—			—			—			—			—
Series X (StylePlus—Small Growth Series)		(2,910,997	)		(1,455,499	)		—			—			—			(4,366,496	)*
Series Y (StylePlus—Large Growth Series)		(3,196,549	)		(1,598,274	)		—			—			—			(4,794,823	)*
Series Z (Alpha Opportunity Series)		(2,342,209	)		—			—			—			—			(2,342,209	)*

* In accordance with section 382 of the Internal Revenue Code, a portion of certain fund losses are subject to an annual limitation. Note, this annual limitation is generally applicable to all of the capital loss carryforwards shown with respect to each Fund.

Net investment income and net realized gains (losses) may differ for financial statement and tax purposes because of temporary or permanent book/tax differences. These differences are primarily due to consent dividends, wash sales, paydown reclasses, utilization of earnings and profits on shareholder redemptions, foreign currency gains and losses, and the “mark-to-market” of certain passive foreign investment companies (PFICs) or Section 1256 contracts for tax purposes. To the extent these differences are permanent, reclassifications are made to the appropriate equity accounts that the differences arise. These reclassifications have no effect on net assets or NAV.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 171

NOTES TO FINANCIAL STATEMENTS (continued)

On the Statements of Assets and Liabilities, the following adjustments were made for permanent book/tax differences:

Fund	Paid In Capital			Undistributed Net Investment Income			Accumulated Net Realized Gain (Loss)
Series A (StylePlus—Large Core Series)	$	61,236,066		$	(1,041,307	)	$	(60,194,759	)
Series B (Large Cap Value Series)		20,972,620			(2,824,543	)		(18,148,077	)
Series C (Money Market Series)		(297,933	)		298,070			(137	)
Series D (World Equity Income Series)		5,046,940			(5,187,790	)		140,850
Series E (Total Return Bond Series)		5,070,906			(4,626,007	)		(444,899	)
Series F (Floating Rate Strategies Series)		1,011,945			(895,983	)		(115,962	)
Series J (StylePlus—Mid Growth Series)		35,980,692			(157,443	)		(35,823,249	)
Series M (Macro Opportunities Series)		594,281			(556,394	)		(37,887	)
Series N (Managed Asset Allocation Series)		1,081,684			(110,097	)		(971,587	)
Series O (All Cap Value Series)		5,169,173			(1,267,873	)		(3,901,300	)
Series P (High Yield Series)		10,207,301			(8,613,141	)		(1,594,160	)
Series Q (Small Cap Value Series)		14,443,855			(12,265	)		(14,431,590	)
Series V (Mid Cap Value Series)		31,565,080			(1,829,504	)		(29,735,576	)
Series X (StylePlus—Small Growth Series)		12,175,765			39,438			(12,215,203	)
Series Y (StylePlus—Large Growth Series)		8,643,858			(107,476	)		(8,536,382	)
Series Z (Alpha Opportunity Series)		96,691			262,302			(358,993	)

At December 31, 2014, the cost of securities for Federal income tax purposes, the aggregate gross unrealized gain for all securities for which there was an excess of value over tax cost and the aggregate gross unrealized loss for all securities for which there was an excess of tax cost over value, were as follows:

Fund	Tax Cost		Tax Unrealized Gain		Tax Unrealized Loss			Net Unrealized Gain (Loss)
Series A (StylePlus—Large Core Series)	$	232,251,395	$	6,534,724	$	(1,155,228	)	$	5,379,496
Series B (Large Cap Value Series)		218,607,958		61,809,910		(6,564,783	)		55,245,127
Series C (Money Market Series)		71,010,530		1,889		(704	)		1,185
Series D (World Equity Income Series)		176,199,125		10,344,537		(8,521,885	)		1,822,652
Series E (Total Return Bond Series)		133,549,664		2,512,409		(2,219,094	)		293,315
Series F (Floating Rate Strategies Series)		45,518,221		257,504		(679,162	)		(421,658	)
Series J (StylePlus—Mid Growth Series)		161,410,376		3,380,849		(1,253,822	)		2,127,027
Series M (Macro Opportunities Series)		32,965,076		324,048		(451,172	)		(127,124	)
Series N (Managed Asset Allocation Series)		52,291,677		7,767,214		(306,012	)		7,461,202
Series O (All Cap Value Series)		119,181,864		31,740,115		(4,474,891	)		27,265,224
Series P (High Yield Series)		93,361,128		1,001,090		(4,498,562	)		(3,497,472	)
Series Q (Small Cap Value Series)		102,291,266		23,382,818		(7,654,844	)		15,727,974
Series V (Mid Cap Value Series)		225,924,805		51,789,353		(13,141,666	)		38,647,687
Series X (StylePlus—Small Growth Series)		36,497,484		979,010		(507,041	)		471,969
Series Y (StylePlus—Large Growth Series)		35,921,801		911,664		(172,162	)		739,502
Series Z (Alpha Opportunity Series)		15,190,404		5		(101,261	)		(101,256	)

172 | THE GUGGENHEIM FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (continued)

8. Securities Transactions

For the year ended December 31, 2014, the cost of purchases and proceeds from sales of investment securities, excluding government securities, short-term investments and derivatives, were as follows:

Fund	Purchases		Sales
Series A (StylePlus—Large Core Series)	$	229,118,794	$	184,662,281
Series B (Large Cap Value Series)		127,535,618		155,188,300
Series C (Money Market Series)		—		68,166
Series D (World Equity Income Series)		248,734,802		265,425,742
Series E (Total Return Bond Series)		99,967,360		64,157,996
Series F (Floating Rate Strategies Series)		44,453,508		42,911,508
Series J (StylePlus—Mid Growth Series)		174,828,033		142,012,927
Series M (Macro Opportunities Series)		25,692,646		20,065,868
Series N (Managed Asset Allocation Series)		23,475,419		7,197,895
Series O (All Cap Value Series)		71,983,441		87,305,569
Series P (High Yield Series)		110,698,959		145,436,886
Series Q (Small Cap Value Series)		62,988,040		80,988,808
Series V (Mid Cap Value Series)		150,747,847		190,089,426
Series X (StylePlus—Small Growth Series)		38,100,333		33,961,381
Series Y (StylePlus—Large Growth Series)		33,657,953		29,960,439
Series Z (Alpha Opportunity Series)		—		5,353,778

9. Options Written

Information as to options written by the Funds during the year ended December 31, 2014, and options outstanding at year end is provided below:

Call Options Written
	Series E (Total Return Bond Series)						Series M (Macro Opportunities Series)						Series O (All Cap Value Series)						Series Q (Small Cap Value Series)						Series V (Mid Cap Value Series)
Fund	Number of contracts			Premium amount			Number of contracts			Premium amount			Number of contracts			Premium amount			Number of contracts			Premium amount			Number of contracts			Premium amount
Balance at December 31, 2013		—		$	—			565		$	4,520			86		$	29,068			278		$	78,923			621		$	176,294
Options Written		1,859			26,026			675			19,102			—			—			427			58,810			—			—
Options terminated in closing purchase transactions		—			—			—			—			—			—			—			—			—			—
Options expired		(1,859	)		(26,026	)		(1,111	)		(12,142	)		(86	)		(29,068	)		(705	)		(137,733	)		(621	)		(176,294	)
Options exercised		—			—			(129	)		(11,480	)		—			—			—			—			—			—
Balance at December 31, 2014		—		$	—			—		$	—			—		$	—			—		$	—			—		$	—

Put Options Written
	Series E (Total Return Bond Series)				Series M (Macro Opportunities Series)				Series O (All Cap Value Series)				Series Q (Small Cap Value Series)						Series V (Mid Cap Value Series)
Fund	Number of contracts		Premium amount		Number of contracts		Premium amount		Number of contracts		Premium amount		Number of contracts			Premium amount			Number of contracts			Premium amount
Balance at December 31, 2013		—	$	—		—	$	—		—	$	—		168		$	22,540			384		$	51,521
Options Written		—		—		—		—		—		—		—			—			—			—
Options terminated in closing purchase transactions		—		—		—		—		—		—		—			—			—			—
Options expired		—		—		—		—		—		—		(168	)		(22,540	)		(384	)		(51,521	)
Options exercised		—		—		—		—		—		—		—			—			—			—
Balance at December 31, 2014		—	$	—		—	$	—		—	$	—		—		$	—			—		$	—

THE GUGGENHEIM FUNDS ANNUAL REPORT | 173

NOTES TO FINANCIAL STATEMENTS (continued)

10. Affiliated and/or Related Transactions

Investments representing 5% or more of the outstanding voting shares of a portfolio company of a fund, or control of or by, or common control under GI, result in that portfolio company being considered an affiliated company of such fund, as defined in the 1940 Act.

The Funds may invest in the Guggenheim Strategy Funds Trust consisting of Guggenheim Strategy Fund I, Guggenheim Strategy Fund II, Guggenheim Strategy Fund III and Guggenheim Variable Insurance Strategy Fund III (collectively, the “Cash Management Funds”), open-end management investment companies managed by GI. The Cash Management Funds, which launched on March 11, 2014, are offered as cash management options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Cash Management Funds pay no investment management fees. The Cash Management Funds’ annual report on Form N-CSR dated September 30, 2014 is available publicly or upon request. This information is also available from the EDGAR database on the SEC’s website at http://www.sec.gov.

Transactions during the year ended December 31, 2014 in which the portfolio company is an “affiliated person” are as follows:

Affiliated issuers by Fund	Value 12/31/13		Additions		Reductions			Value 12/31/14		Shares 12/31/14		Investment Income		Realized Gain (Loss)			Capital Gain Distributions
Series A (StylePlus—Large Core Series)
Macro Opportunities Fund - Institutional Class	$	3,910,920	$	150,984	$	(4,111,297	)	$	—		—	$	133,605	$	(109,126	)	$	—
Floating Rate Strategies Fund - Institutional Class		4,029,967		134,346		(4,166,148	)		—		—		120,843		(36,041	)		—
Guggenheim Strategy Fund I		—		50,062,135		(8,300,000	)		41,551,695		1,672,774		310,636		(29,633	)		—
Guggenheim Strategy Fund II		—		18,099,619		—			18,045,743		726,187		98,919		—			—
Guggenheim Strategy Fund III		—		12,023,072		—			12,011,805		483,567		23,268		—			—
Guggenheim Variable Insurance Strategy Fund III		—		55,818,493		—			55,514,847		2,234,897		565,753		—			—
Guggenheim BulletShares 2017 High Yield Corporate Bond ETF		—		4,407,910		(4,420,546	)		—		—		84,677		12,635			—
Guggenheim BulletShares 2016 High Yield Corporate Bond ETF		4,566,380		—		(4,584,869	)		—		—		85,903		58,956			—
Guggenheim BulletShares 2015 High Yield Corporate Bond ETF		4,520,464		—		(4,508,548	)		—		—		79,623		(14,541	)		—
Guggenheim BulletShares 2014 High Yield Corporate Bond ETF		4,509,897		—		(4,488,360	)		—		—		—		(32,072	)		—
	$	21,537,628	$	140,696,559	$	(34,579,768	)	$	127,124,090			$	1,503,227	$	(149,822	)	$	—
Series E (Total Return Bond Series)
Total Return Bond Fund - Institutional Class	$	—	$	12,180,481	$	—		$	12,126,325		449,456	$	163,614	$	—		$	15,906
Limited Duration Fund - Institutional Class		—		5,032,476		(5,015,246	)		—		—		32,817		(17,230	)		—
Guggenheim Strategy Fund III		—		3,002,374		(2,997,962	)		—		—		2,374		(4,412	)		—
Guggenheim Variable Insurance Strategy Fund III		—		3,003,786		(2,999,470	)		—		—		3,786		(4,315	)		—
	$	—	$	23,219,117	$	(11,012,678	)	$	12,126,325			$	202,591	$	(25,957	)	$	15,906

174 | THE GUGGENHEIM FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (continued)

Affiliated issuers by Fund	Value 12/31/13		Additions		Reductions			Value 12/31/14		Shares 12/31/14		Investment Income		Realized Gain (Loss)			Capital Gain Distributions
Series J (StylePlus—Mid Growth Series)
Macro Opportunities Fund - Institutional Class	$	2,648,534	$	102,249	$	(2,784,233	)	$	—		—	$	90,479	$	(73,902	)	$	—
Floating Rate Strategies Fund - Institutional Class		2,729,155		90,981		(2,821,379	)		—		—		81,836		(24,408	)		—
Guggenheim Strategy Fund I		—		38,532,330		(11,500,000	)		26,908,165		1,083,259		181,359		(33,109	)		—
Guggenheim Strategy Fund II		—		13,080,681		—			13,035,663		524,574		80,176		—			—
Guggenheim Strategy Fund III		—		9,269,354		—			9,259,798		372,778		19,290		—			—
Guggenheim Variable Insurance Strategy Fund III		—		40,920,278		(3,000,000	)		37,694,577		1,517,495		418,418		(15,681	)		—
Guggenheim BulletShares 2017 High Yield Corporate Bond ETF		—		2,808,506		(2,816,556	)		—		—		53,952		8,050			—
Guggenheim BulletShares 2016 High Yield Corporate Bond ETF		3,047,856		—		(3,060,196	)		—		—		57,336		38,915			—
Guggenheim BulletShares 2015 High Yield Corporate Bond ETF		3,023,462		—		(3,015,492	)		—		—		53,255		(10,012	)		—
Guggenheim BulletShares 2014 High Yield Corporate Bond ETF		3,016,377		—		(3,001,972	)		—		—		—		(21,530	)		—
	$	14,465,384	$	104,804,379	$	(31,999,828	)	$	86,898,203			$	1,036,101	$	(131,677	)	$	—
Series M (Macro Opportunities Series)
Macro Opportunities Fund - Institutional Class	$	—	$	2,525,489	$	(1,001,312	)	$	1,511,390		56,269	$	25,392	$	(1,837	)	$	—
Limited Duration Fund - Institutional Class		—		6,530,866		(1,004,372	)		5,512,035		222,170		29,619		400			854
	$	—	$	9,056,355	$	(2,005,684	)	$	7,023,425			$	55,011	$	(1,437	)	$	854
Series N (Managed Asset Allocation Series)
Guggenheim Strategy Fund I	$	—	$	2,499,037	$	(1,080,000	)	$	1,407,023		56,643	$	18,986	$	(4,700	)	$	—
Guggenheim Strategy Fund II		—		3,129,853		—			3,113,649		125,298		29,732		—			—
Guggenheim Strategy Fund III		—		1,128,970		—			1,124,222		45,259		8,914		—			—
Guggenheim Variable Insurance Strategy Fund III		—		14,405,676		(1,850,000	)		12,480,958		502,454		145,060		(4,777	)		—
	$	—	$	21,163,536	$	(2,930,000	)	$	18,125,852			$	202,692	$	(9,477	)	$	—
Series X (StylePlus —Small Growth Series)
Macro Opportunities Fund - Institutional Class	$	717,827	$	27,712	$	(754,605	)	$	—		—	$	24,522	$	(20,030	)	$	—
Floating Rate Strategies Fund - Institutional Class		739,678		24,659		(764,673	)		—		—		22,179		(6,615	)		—
Guggenheim Strategy Fund I		—		9,888,108		(4,000,000	)		5,862,616		236,015		37,897		(11,058	)		—
Guggenheim Strategy Fund II		—		2,710,424		—			2,704,956		108,851		10,319		—			—
Guggenheim Strategy Fund III		—		700,953		—			700,390		28,196		988		—			—
Guggenheim Variable Insurance Strategy Fund III		—		8,583,877		—			8,537,623		343,705		83,456		—			—
Guggenheim BulletShares 2017 High Yield Corporate Bond ETF		—		710,980		(713,018	)		—		—		13,658		2,038			—
Guggenheim BulletShares 2016 High Yield Corporate Bond ETF		713,328		—		(716,216	)		—		—		13,419		8,661			—
Guggenheim BulletShares 2015 High Yield Corporate Bond ETF		704,314		—		(702,457	)		—		—		12,406		(2,639	)		—
Guggenheim BulletShares 2014 High Yield Corporate Bond ETF		701,421		—		(698,071	)		—		—		—		(5,059	)		—
	$	3,576,568	$	22,646,713	$	(8,349,040	)	$	17,805,585			$	218,844	$	(34,702	)	$	—

THE GUGGENHEIM FUNDS ANNUAL REPORT | 175

NOTES TO FINANCIAL STATEMENTS (continued)

Affiliated issuers by Fund	Value 12/31/13		Additions		Reductions			Value 12/31/14		Shares 12/31/14		Investment Income		Realized Gain (Loss)			Capital Gain Distributions
Series Y (StylePlus—Large Growth Series)
Macro Opportunities Fund - Institutional Class	$	668,322	$	25,801	$	(702,563	)	$	—		—	$	22,831	$	(18,648	)	$	—
Floating Rate Strategies Fund - Institutional Class		688,665		22,958		(711,937	)		—		—		20,651		(6,159	)		—
Guggenheim Strategy Fund I		—		6,939,284		(900,000	)		6,012,202		242,037		39,067		(2,046	)		—
Guggenheim Strategy Fund II		—		3,011,610		—			3,005,980		120,965		11,493		—			—
Guggenheim Strategy Fund III		—		1,657,243		—			1,653,440		66,564		7,260		—			—
Guggenheim Variable Insurance Strategy Fund III		—		8,076,406		—			8,034,473		323,449		76,009		—			—
Guggenheim BulletShares 2017 High Yield Corporate Bond ETF		—		299,647		(300,506	)		—		—		5,756		859			—
Guggenheim BulletShares 2016 High Yield Corporate Bond ETF		780,878		—		(784,040	)		—		—		14,690		8,828			—
Guggenheim BulletShares 2015 High Yield Corporate Bond ETF		771,264		—		(769,231	)		—		—		13,585		(3,329	)		—
Guggenheim BulletShares 2014 High Yield Corporate Bond ETF		776,097		—		(772,391	)		—		—		—		(5,734	)		—
	$	3,685,226	$	20,032,949	$	(4,940,668	)	$	18,706,095			$	211,342	$	(26,229	)	$	—

11. Loan Commitments

Pursuant to the terms of certain loan agreements, certain Funds held unfunded loan commitments as of December 31, 2014. The Funds are obligated to fund these loan commitments at the borrower’s discretion.

The unfunded loan commitments as of December 31, 2014, were as follows:

Borrowers by Fund	Maturity Date	Amount
Series F (Floating Rate Strategies Series)
Eyemart Express	02/15/15	$	500,000
Internet Brands	07/08/21		32,549
WR Grace & Co.	02/03/21		20,776
		$	553,325
Series P (High Yield Series)
Eyemart Express	02/15/15	$	1,200,000
Signode Industrial Group	05/01/19		1,200,000
McGraw-Hill Global Education Holdings LLC	03/22/18		1,000,000
Acosta, Inc.	09/26/19		1,000,000
Advantage Sales & Marketing, Inc.	07/21/19		900,000
BBB Industries, LLC	10/17/19		775,000
Signode Industrial Group US, Inc.	05/01/19		400,000
Intertrust Group	02/15/19		350,000
		$	6,825,000

12. Line of Credit

The Trust secured a committed $275,000,000 line of credit from Citibank, N.A. with no set termination date for all the Funds excluding Series C (Money Market Series) and Series Z (Alpha Opportunity Series). This line of credit is reserved for emergency or temporary purposes. Fees related to borrowings, if any, vary under this arrangement between the greater of LIBOR and the Fed Funds rate, plus 1.25%. The Funds did not have any borrowings under this agreement as of or for the year ended December 31, 2014.

176 | THE GUGGENHEIM FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (continued)

13. Other Liabilities

Series A (StylePlus—Large Core Series) and Series V (Mid Cap Value Series) each wrote put option contracts through Lehman Brothers, Inc. (“Lehman”) that were exercised prior to the option contracts expiration and prior to the bankruptcy filing by Lehman, during September 2008. However, these transactions have not settled and the securities have not been delivered to the Funds as of December 31, 2014.

Although the ultimate resolution of these transactions is uncertain, the Funds have recorded a liability on their respective books equal to the difference between the strike price on the put options and the market prices of the underlying security on the exercise date. The amount of liability recorded by the Funds as of December 31, 2014 was $18,615 for Series A (StylePlus—Large Core Series) and $205,716 for Series V (Mid Cap Value Series).

14. Reverse Repurchase Agreements

Each of the Funds may enter into reverse repurchase agreements. Under a reverse repurchase agreement, a Fund sells securities and agrees to repurchase them at a particular price at a future date. In the event the buyer of securities under a reverse repurchase agreement files for bankruptcy or becomes insolvent, such buyer or its trustee or receiver may receive an extension of time to determine whether to enforce the Fund’s obligation to repurchase the securities, and the Fund’s use of the proceeds of the reverse repurchase agreement may effectively be restricted pending such decision.

For the year ended December 31, 2014, the following Funds entered into reverse repurchase agreements:

	Number of Days Outstanding		Balance at December 31, 2014		Average Balance Outstanding		Average Interest Rate
Series E (Total Return Bond Series)		365	$	6,896,743	$	6,450,636		0.64	%
Series M (Macro Opportunities Series)		365		199,668		1,697,020		0.74	%
Series P (High Yield Series)		365		12,540,862		14,501,875		0.72	%

15. Restricted Securities

The securities below are considered illiquid and restricted under guidelines established by the Board of Trustees:

Fund	Restricted Securities	Acquisition Date	Cost	Value
Series E (Total Return Bond Series)	LSTAR Securities Investment Trust 2014-1
	3.26% due 09/01/21	09/25/14	$1,948,781	$1,950,039
	Cadence Bank North America
	6.25% due 06/28/29	06/06/14	150,000	152,250
	Cadence Financial Corp.
	4.88% due 06/28/19	06/06/14	100,000	100,500
			2,198,781	2,202,789
Series M (Macro Opportunities Series)	Cadence Financial Corp.
	4.88% due 06/28/19	06/06/14	100,000	100,500
Series P (High Yield Series)	Pacific Premier Bancorp, Inc.
	5.75% due 09/03/24	08/25/14	1,250,000	1,275,000
	Travelport, LLC	04/15/13	960,663	849,859
	Odebrecht Off shore Drilling Finance Ltd.
	6.63% due 10/01/22	02/20/14	630,685	559,876
	IronGate Energy Services LLC
	11.00% due 07/01/18	07/10/13	146,299	103,850
			2,987,647	2,788,585

THE GUGGENHEIM FUNDS ANNUAL REPORT | 177

NOTES TO FINANCIAL STATEMENTS (continued)

16. Series Z

As noted in the Fund’s prior shareholder report, the Fund resolved certain outstanding short sale transactions with Lehman Brothers International Europe (“LBIE”) and its administrator in June 2014.

Effective January 28, 2015, the Fund, which had not accepted subscriptions since October 3, 2008, is once again accepting subscriptions for shares from new and existing shareholders.

17. Subsequent Event

Effective January 28, 2015, significant changes to Series Z’s (Alpha Opportunity Series) (the “Fund”) principal investment strategies and portfolio managers were made. In connection with these changes, the Fund also added a second benchmark, the Morningstar Long/Short Equity Category Average. Please note that the performance track record prior to January 28, 2015 related only to the Fund’s former investments, which were materially different from those currently pursued and thus is not indicative of future performance. In addition, the Fund’s Fund Accounting/Administrative Fees were reduced from 0.15% to 0.095% (as a % of Net Assets). For more information, please refer to the Fund’s prospectus, which can be obtained at guggenheiminvestments.com or by calling 800.820.0888.

18. Legal Proceedings

Tribune Company

SBL Fund has been named as a defendant in the case entitled Marc S. Kirscher, as Litigation Trustee for the Tribune Litigation Trust v. FitzSimons, No. 12-2652 (S.D.N.Y.) (formerly Official Committee of Unsecured Creditors of Tribune Co. v. FitzSimons, Adv. Pro. No. 10-54010 (Bankr. D. Del.)) (the “FitzSimons” action), as a result of the ownership of shares in the Tribune Company (“Tribune”) in 2007 by certain series of the SBL Fund when Tribune effected a leveraged buyout transaction (“LBO”) by which Tribune converted to a privately-held company. The plaintiff has alleged that, in connection with the LBO, insiders and shareholders were paid for their Tribune stock using financing that the insiders knew would, and ultimately did, leave the Tribune insolvent. The plaintiff has asserted claims against certain insiders, shareholders, professional advisers, and others involved in the LBO, and is attempting to obtain from these individuals and entities the proceeds paid out in connection with the LBO.

SBL Fund also has been named as a defendant in one or more of a group of lawsuits filed by a group of Tribune creditors that allege state law constructive fraudulent conveyance claims against former Tribune shareholders (the “SLCFC actions”).

The FitzSimons action and the SLCFC actions have been consolidated with the majority of the other Tribune LBO-related lawsuits in a multidistrict litigation proceeding captioned In re Tribune Company Fraudulent Conveyance Litig., No. 11-md-2696 (S.D.N.Y.) (the “MDL Proceeding”).

On September 23, 2013, the District Court granted the defendants’ omnibus motion to dismiss the SLCFC actions, on the basis that the creditors lacked standing. On September 30, 2013, the creditors filed a notice of appeal of the September 23 order. On October 28, 2013, the defendants filed a joint notice of cross-appeal of that same order. The SLCFC appeals have been fully briefed, and oral argument took place on November 5, 2014. The Court has not yet issued a decision on the appeals.

On May 23, 2014, the defendants filed motions to dismiss the FitzSimons action, including a global motion to dismiss Count I, which is the claim brought against former Tribune shareholders for intentional fraudulent conveyance under U.S. federal law. The Court has not yet issued a decision on any of these motions.

None of these lawsuits allege any wrongdoing on the part of Guggenheim Variable Funds Trust f/k/a SBL Fund. The following series of Guggenheim Variable Funds Trust held shares of Tribune and tendered these shares as part of Tribune’s LBO: Series A (StylePlus—Large Core Series) f/k/a Series H (Enhanced Index Series), Series N (Managed Asset Allocation Series) and Series O (All Cap Value Series) (the “Funds”). The value of the proceeds received by the foregoing Funds was $158,950, $51,000 and $3,774,000, respectively. At this stage of the proceedings, Guggenheim Variable Funds Trust is not able to make a reliable predication as to the outcome of these lawsuits or the effect, if any, on a Fund’s net asset value.

178 | THE GUGGENHEIM FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (concluded)

Lyondell Chemical Company

SBL Fund may be a putative member of the proposed defendant class in Weisfelner, as Trustee of the LB Creditor Trust, v. Reichman (In re Lyondell Chemical Co.), Adversary Proceeding No. 12-1570 (Bankr. S.D.N.Y.) (the “Reichman action”).

Similar to the claims made in the Tribune matter, the Weisfelner complaint seeks to have set aside and recovered as fraudulent transfers from former Lyondell Chemical Company (“Lyondell”) shareholders the consideration paid to them pursuant to the cash out merger of Lyondell shareholders in connection with the combination of Lyondell and Basell AF in 2007. Lyondell filed for bankruptcy in 2008.

This lawsuit initially was filed in New York Supreme Court, Case No. 653522/2011, on December 19, 2011. On April 25, 2012, it was removed to the United States District Court for the Southern District of New York, Case No. 12-3273, and on April 26, 2012, it was referred to the United States Bankruptcy Court for the Southern District of New York.

On April 7, 2014, the plaintiff filed an Amended Complaint. In the related action entitled Weisfelner, as Trustee of the LB Litigation Trust v. A. Holmes & H. Holmes TTEE (In re Lyondell Co.), Adversary Proceeding No. 10-5525 (Bankr. S.D.N.Y.) (the “Litigation Trust action”), the plaintiff also filed a Second Amended Complaint that alleges a claim against the former Lyondell shareholders under federal law for intentional fraudulent transfer.

On May 8, 2014, the plaintiff in the Litigation Trust action filed a motion to certify a defendant class generally comprised of all former Lyondell shareholders that received proceeds in exchange for their shares in the 2007 merger transaction.

On July 30, 2014, the defendants filed a motion to dismiss all of the Lyondell lawsuits. The Court held an oral argument on the motions to dismiss and on the motion for class certification on January 14, and January 15, 2015. Discovery shall commence in the near future.

This lawsuit does not allege any wrongdoing on the part of Guggenheim Variable Funds Trust f/k/a SBL Fund. The following series of Guggenheim Variable Funds Trust received cash proceeds from the cash out merger in the following amounts: Series N (Managed Asset Allocation Series) - $28,800. At this stage of the proceedings, Guggenheim Variable Funds Trust is not able to make a reliable predication as to the outcome of this lawsuit or the effect, if any, on a Fund’s net asset value.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 179

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

The Board of Trustees and Shareholders of Guggenheim Variable Funds Trust:

We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of Series A (StylePlus—Large Core Series), Series B (Large Cap Value Series), Series C (Money Market Series), Series D (World Equity Income Series), Series E (Total Return Bond Series), Series F (Floating Rate Strategies Series), Series J (StylePlus—Mid Growth Series), Series M (Macro Opportunities Series), Series N (Managed Asset Allocation Series), Series O (All Cap Value Series), Series P (High Yield Series), Series Q (Small Cap Value Series), Series V (Mid Cap Value Series), Series X (StylePlus—Small Growth Series), Series Y (StylePlus—Large Growth Series), and Series Z (Alpha Opportunity Series) (sixteen of the series constituting the Guggenheim Variable Funds Trust) (the “Funds”) as of December 31, 2014, and the related statements of operations and cash flows (as applicable) for the year then ended, and the statements of changes in net assets and the financial highlights for each of the years or periods indicated therein. These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Funds’ internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2014, by correspondence with the custodian, transfer agents, agent banks and brokers or by other appropriate auditing procedures where replies from agent banks or brokers were not received. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the above listed Funds (sixteen of the series constituting the Guggenheim Variable Funds Trust) at December 31, 2014, the results of their operations and their cash flows (as applicable) for the year then ended, and the changes in their net assets and their financial highlights for each of the years or periods indicated therein, in conformity with U.S. generally accepted accounting principles.

McLean, Virginia

February 26, 2015

180 | THE GUGGENHEIM FUNDS ANNUAL REPORT

OTHER INFORMATION (Unaudited)

Tax Information

This information is being provided as required by the Internal Revenue Code. Amounts shown may differ from those elsewhere in the report because of differences in tax and financial reporting practice.

Of the ordinary income distributions paid during the year, the following funds had the corresponding percentages qualify for the dividends received deduction for corporations:

Fund	% Qualifying
Series D (World Equity Income Series)	19.79%
Series O (All Cap Value Series)	100.00%
Series Q (Small Cap Value Series)	56.23%
Series V (Mid Cap Value Series)	100.00%

Proxy Voting Information

A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to securities held in the Funds’ portfolios is available, without charge and upon request, by calling 800.820.0888. This information is also available from the EDGAR database on the SEC’s website at http://www.sec.gov.

Information regarding how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available without charge, upon request, by calling 800.820.0888. This information is also available from the EDGAR database on the SEC’s website at http://www.sec.gov.

Quarterly Portfolio Schedules Information

The Trust files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q; which are available on the SEC’s website at http://www.sec.gov. The Funds’ Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC, and that information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330. Copies of the portfolio holdings are also available to shareholders, without charge and upon request, by calling 800.820.0888.

Distributor Change

Effective March 3, 2014, Guggenheim Distributors, LLC (“GD”), the distributor for shares of the Funds was consolidated into and with Guggenheim Funds Distributors, LLC (“GFD”). Following the consolidation, GFD serves as the Funds’ distributor.

GD and GFD are both indirect, wholly-owned subsidiaries of Guggenheim Capital, LLC and, therefore, the consolidation will not result in a change of actual control of the Funds’ distributor. The primary goal of the consolidation is to achieve greater operational efficiencies and allow all of the Guggenheim funds, including funds that are not series of the Trusts, to be distributed by a single distributor.

The consolidation is not expected to affect the day-to-day management of the Funds or result in any material changes to the distribution of the Funds, including any changes to the distribution fees paid by the Funds.

Guggenheim Variable Funds Trust

Effective April 30, 2014, the Series, which were series of SBL Fund, reorganized with and into corresponding series of Guggenheim Variable Funds Trust (each, a “Reorganization”). Upon completion of each Reorganization, the respective share classes of each Series assumed the performance, financial and other historical information of those of the corresponding predecessor series.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 181

INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)

A Board of Trustees oversees the Trust, as well as other trusts of GI, in which its members have no stated term of service, and continue to serve after election until resignation. The Statement of Additional Information includes further information about Fund Trustees and Officers, and can be obtained without charge by calling 800.820.0888.

Name, Address* and Year of Birth	Position(s) Held with the Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen	Other Directorships Held by Trustee
INDEPENDENT TRUSTEES
Randall C. Barnes (1951)	Trustee	Since 2014	Current: Private Investor (2001-present). Former: Senior Vice President and Treasurer, PepsiCo, Inc. (1993-1997); President, Pizza Hut International (1991-1993); Senior Vice President, Strategic Planning and New Business Development, PepsiCo, Inc. (1987-1990).	92	Current: Trustee, Purpose, Inc. (2014-present).
Donald A. Chubb, Jr. (1946 )	Trustee and Vice Chairman of the Board	Since 1994	Current: Business broker and manager of commercial real estate, Griffith & Blair, Inc. (1997-present).	88	None.
Jerry B. Farley (1946)	Trustee and Vice Chairman of the Audit Committee	Since 2005	Current: President, Washburn University (1997-present).	88	Current: Westar Energy, Inc. (2004-present); CoreFirst Bank & Trust (2000-present).
Roman Friedrich III (1946)	Trustee and Chairman of the Contracts Review Committee	Since 2014	Current: Founder and President, Roman Friedrich & Company (1998-present). Former: Senior Managing Director, MLV & Co. LLC (2010-2011).	88	Current: Zincore Metals, Inc. (2009-present). Former: Mercator Minerals Ltd. (2013-2014); First Americas Gold Corp. (2012-2014); Blue Sky Uranium Corp. (2011-2012); Axiom Gold and Silver Corp. (2011-2012); Stratagold Corp. (2003-2009); GFM Resources Ltd. (2005-2010).
Robert B. Karn III (1942)	Trustee and Chairman of the Audit Committee	Since 2014	Current: Consultant (1998-present). Former: Arthur Andersen (1965-1997) and Managing Partner, Financial and Economic Consulting, St. Louis office (1987-1997).	88	Current: Peabody Energy Company (2003-present); GP Natural Resource Partners, LLC (2002- present).

 

182 | THE GUGGENHEIM FUNDS ANNUAL REPORT

INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued)

Name, Address* and Year of Birth	Position(s) Held with the Trust	Term of Office and Length of Time Served**	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen	Other Directorships Held by Trustee
INDEPENDENT TRUSTEES - concluded
Ronald A. Nyberg (1953)	Trustee and Chairman of the Nominating and Governance Committee	Since 2014	Current: Partner, Nyberg & Cassioppi, LLC (2000-present). Former: Executive Vice President, General Counsel, and Corporate Secretary, Van Kampen Investments (1982-1999).	94	Current: Edward-Elmhurst Healthcare System (2012-present).
Maynard F. Oliverius (1943)	Trustee and Vice Chairman of the Contracts Review Committee	Since 1998	Retired. Former: President and CEO, Stormont-Vail HealthCare (1996-2012).	88	None.
Ronald E. Toupin, Jr. (1958)	Trustee and Chairman of the Board	Since 2014	Current: Portfolio Consultant (2010-present). Former: Vice President, Manager and Portfolio Manager, Nuveen Asset Management (1998-1999); Vice President, Nuveen Investment Advisory Corp. (1992-1999); Vice President and Manager, Nuveen Unit Investment Trusts (1991-1999); and Assistant Vice President and Portfolio Manager, Nuveen Unit Investment Trusts (1988-1999), each of John Nuveen & Co., Inc. (1982-1999).	91	Former: Bennett Group of Funds (2011-2013).
INTERESTED TRUSTEE
Donald C. Cacciapaglia*** (1951)	President, Chief Executive Officer and Trustee	Since 2012	Current: President and CEO, certain other funds in the Fund Complex (2012-present); Vice Chairman, Guggenheim Investments (2010-present). Former: Chairman and CEO, Channel Capital Group, Inc. (2002-2010).	222	Current: Delaware Life (2013-present); Guggenheim Life and Annuity Company (2011-present); Paragon Life Insurance Company of Indiana (2011-present).

*	The business address of each Trustee is c/o Guggenheim Investments, 805 King Farm Boulevard, Suite 600, Rockville, Maryland 20850.
**	Each Trustee serves an indefinite term, until his successor is elected and qualified. Time served includes time served in the respective position for the Predecessor Corporation.
***	This Trustee is deemed to be an "interested person" of the Funds under the 1940 Act by reason of his position with the Funds' Investment Manager and/or the parent of the Investment Manager.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 183

INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued)

Name, Address* and Year of Birth	Position(s) Held with the Trust	Term of Office and Length of Time Served**	Principal Occupations During Past Five Years
OFFICERS
Joseph M. Arruda (1966)	Assistant Treasurer	Since 2010	Current: Assistant Treasurer, certain other funds in the Fund Complex (2006-present); Vice President, Security Investors, LLC (2010-present); CFO and Manager, Guggenheim Specialized Products, LLC (2009-present). Former: Vice President, Security Global Investors, LLC (2010-2011); Vice President, Rydex Advisors, LLC (2010); Vice President, Rydex Advisors II, LLC (2010).
William H. Belden, III (1965)	Vice President	Since 2014	Current: Vice President, certain other funds in the Fund Complex (2006-present); Managing Director, Guggenheim Funds Investment Advisors, LLC (2005-present). Former: Vice President of Management, Northern Trust Global Investments (1999-2005).
Mark J. Furjanic (1959)	Assistant Treasurer	Since 2014	Current: Vice President, Guggenheim Investments (2005-present); Assistant Treasurer, certain other funds in the Fund Complex (2008-present). Former: Senior Manager, Ernst & Young LLP (1999-2005).
James Howley (1972)	Assistant Treasurer	Since 2014	Current: Director, Guggenheim Investments (2004-present) ; Assistant Treasurer, certain other funds in the Fund Complex (2006-present). Former: Manager, Mutual Fund Administration of Van Kampen Investments, Inc. (1996-2004).
Amy J. Lee (1961)	Vice President and Chief Legal Officer	Since 1987 (Secretary) Since 2007 (Vice President)	Current: Chief Legal Officer, certain other funds in the Fund Complex (2012-present); Senior Managing Director, Guggenheim Investments (2012-present). Former: Vice President, Associate General Counsel and Assistant Secretary, Security Benefit Life Insurance Company and Security Benefit Corporation (2004-2012).
Mark E. Mathiasen (1978)	Secretary	Since 2014	Current: Secretary, certain other funds in the Fund Complex (2007-present); Managing Director, Guggenheim Investments (2007-present).
Michael P. Megaris (1984)	Assistant Secretary	Since 2014	Current: Assistant Secretary, certain other funds in the Fund Complex (2014-present); Associate, Guggenheim Investments (2012-present). Former: J.D., University of Kansas School of Law (2009-2012).

 

184 | THE GUGGENHEIM FUNDS ANNUAL REPORT

INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(concluded)

Name, Address* and Year of Birth	Position(s) Held with the Trust	Term of Office and Length of Time Served**	Principal Occupations During Past Five Years
OFFICERS - concluded
Elisabeth Miller (1968)	Chief Compliance Officer	Since 2012	Current: CCO, certain other funds in the Fund Complex (2012-present); CCO, Security Investors, LLC (2012-present); CCO, Guggenheim Funds Investment Advisors, LLC (2012-present); Managing Director, Guggenheim Investments (2012-present); Vice President, Guggenheim Funds Distributors, LLC (March 2014-present). Former: CCO, Guggenheim Distributors, LLC (2009-March 2014); Senior Manager, Security Investors, LLC (2004-2009); Senior Manager, Guggenheim Distributors, LLC (2004-2009).
Alison Santay (1974)	AML Officer	Since 2013	Current: AML Officer, certain other funds in the Fund Complex (2010-present); Director and AML Officer, Rydex Fund Services, LLC (2010-present); AML Officer, Security Investors, LLC (2010-present); Director, Shareholder Risk and Compliance, Rydex Fund Services, LLC (2004-present). Former: AML Officer, Guggenheim Distributors, LLC (2013-2014).
Kimberly Scott (1974)	Assistant Treasurer	Since 2014	Current: Vice President, Guggenheim Investments (2012-present); Assistant Treasurer, certain other funds in the Fund Complex (2012-present). Former: Financial Reporting Manager, Invesco, Ltd. (2010-2011); Vice President/Assistant Treasurer, Mutual Fund Administration for Van Kampen Investments, Inc./Morgan Stanley Investment Management (2009-2010); Manager of Mutual Fund Administration, Van Kampen Investments, Inc./Morgan Stanley Investment Management (2005-2009).
Bryan Stone (1979)	Vice President	Since 2014	Current: Vice President, certain other funds in the Fund Complex (2014-present); Director, Guggenheim Investments (2013-present). Former: Senior Vice President, Neuberger Berman Group LLC (2009-2013); Vice President, Morgan Stanley (2002-2009).
John L. Sullivan (1955)	Chief Financial Officer and Treasurer	Since 2014	Current: CFO, Chief Accounting Officer and Treasurer, certain other funds in the Fund Complex (2010-present); Senior Managing Director, Guggenheim Investments (2010-present). Former: Managing Director and CCO, each of the funds in the Van Kampen Investments fund complex (2004-2010); Managing Director and Head of Fund Accounting and Administration, Morgan Stanley Investment Management (2002-2004); CFO and Treasurer, Van Kampen Funds (1996-2004).

*	The business address of each officer is c/o Guggenheim Investments, 805 King Farm Boulevard, Suite 600, Rockville, Maryland 20850.
**	Each officer serves an indefinite term, until his or her successor is duly elected and qualified. Time served includes time served in the respective position for the Predecessor Corporation.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 185

GUGGENHEIM INVESTMENTS PRIVACY POLICIES (Unaudited)

Rydex Funds, Guggenheim Funds, Rydex Investments, Guggenheim Funds Distributors, LLC, Security Investors, LLC, Security Distributors, Inc., Guggenheim Partners Investment Managers, LLC, and Rydex Advisory Services (Collectively “Guggenheim Investments”).

Our Commitment to You

When you become a Guggenheim Investments investor, you entrust us with not only your hard-earned money but also with personal and financial information about you. We recognize that your relationship with us is based on trust and that you expect us to act responsibly and in your best interests. Because we have access to this private information about you, we hold ourselves to the highest standards in its safekeeping and use. This means, most importantly, that we do not sell client information to anyone—whether it is your personal information or if you are a current or former Guggenheim Investments client.

The Information We Collect About You

In the course of doing business with shareholders and investors, we collect nonpublic personal information about you. You typically provide personal information when you complete a Guggenheim Investments account application or when you request a transaction that involves Rydex and Guggenheim Investments funds or one of the Guggenheim Investments affiliated companies. “Nonpublic personal information” is personally identifiable private information about you. For example, it includes information regarding your name and address, Social Security or taxpayer identification number, assets, income, account balance, bank account information and investment activity (e.g., purchase and redemption history).

How We Handle Your Personal Information

As emphasized above, we do not sell information about current or former clients or their accounts to third parties. Nor do we share such information, except when necessary to complete transactions at your request or to make you aware of related investment products and services that we offer. Additional details about how we handle your personal information are provided below. To complete certain transactions or account changes that you direct, it may be necessary to provide identifying information to companies, individuals or groups that are not affiliated with Guggenheim Investments. For example, if you ask to transfer assets from another financial institution to Guggenheim Investments, we will need to provide certain information about you to that company to complete the transaction. To alert you to other Guggenheim Investments investment products and services, we may share your information within the Guggenheim Investments family of affiliated companies. This would include, for example, sharing your information within Guggenheim Investments so we can make you aware of new Rydex and Guggenheim Investments funds or the services offered through another Guggenheim Investments affiliated company. In certain instances, we may contract with nonaffiliated companies to perform services for us. Where necessary, we will disclose information we have about you to these third parties. In all such cases, we provide the third party with only the information necessary to carry out its assigned responsibilities and only for that purpose. And we require these third parties to treat your private information with the same high degree of confidentiality that we do. In certain instances, we may share information with other financial institutions regarding individuals and entities in response to the U.S.A. Patriot Act. Finally, we will release information about you if you direct us to do so, if we are compelled by law to do so or in other circumstances permitted by law.

Opt Out Provisions

We do not sell your personal information to anyone. The law allows you to “opt out” of only certain kinds of information sharing with third parties. The firm does not share personal information about you with any third parties that triggers this opt-out right. This means YOU ARE ALREADY OPTED OUT.

186 | THE GUGGENHEIM FUNDS ANNUAL REPORT

GUGGENHEIM INVESTMENTS PRIVACY POLICIES (Unaudited)(concluded)

How We Protect Privacy Online

Our concern for the privacy of our shareholders also extends to those who use our web site, guggenheiminvestments.com. Our web site uses some of the most secure forms of online communication available, including encryption technology, Secure Socket Layer (SSL) protocol, firewalls and user names and passwords. These technologies provide a high level of security and privacy when you access your account information or initiate online transactions. The Guggenheim Investments web site offers customized features that require our use of “http cookies”—tiny pieces of information that we ask your browser to store. However, we make very limited use of these cookies. We only use cookies for session management and security features on the Guggenheim Investments web site. We do not use them to pull data from your hard drive, to learn your email address, or to view data in cookies created by other web sites. We will not share the information in our cookies or give others access to it. See the legal information area on our web site for more details about web site security and privacy features.

How We Safeguard Your Personal Information

We restrict access to nonpublic personal information about shareholders to our employees and in some cases to third parties (for example, the service providers described above) as permitted by law. We maintain strict physical, electronic and procedural safeguards that comply with federal standards to guard your nonpublic personal information.

We’ll Keep You Informed

As required by federal law, we will notify shareholders of our privacy policy annually. We reserve the right to modify this policy at any time, but rest assured that if we do change it, we will tell you promptly. You will also be able to access our privacy policy from our web site at guggenheiminvestments.com. Should you have any questions regarding our privacy policy, contact us at 800.820.0888 or 301.296.5100.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 187

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Item 2. Code of Ethics.

The registrant’s Board of Trustees has adopted a code of ethics that applies to the registrant’s principal executive officer and principal financial officer. No substantive amendments were approved or waivers were granted to the Code during the period covered by this report.  The Code is filed as an exhibit to this Form N-CSR.

Item 3. Audit Committee Financial Expert.

The registrant's Board of Trustees has determined that Robert B. Karn III, an "independent" Trustee serving on the registrant's audit committee, is an "audit committee financial expert," as defined in Item 3 of Form N-CSR. Under applicable securities laws, a person who is determined to be an audit committee financial expert will not be deemed an "expert" for any purpose, including without limitation for the purposes of Section 11 of the Securities Act of 1933, as a result of being designated or identified as an audit committee financial expert. The designation or identification of a person as an audit committee financial expert does not impose on such person any duties, obligations, or liabilities that are greater than the duties, obligations, and liabilities imposed on such person as a member of the audit committee and Board of Trustees in the absence of such designation or identification.

Item 4. Principal Accountant Fees and Services.

(a)Audit Fees. The aggregate Audit Fees billed by the registrant’s principal accountant, for the audit of the annual financial statements in connection with statutory and regulatory filings for the fiscal years ended December 31, 2014 and December 31, 2013 were $323,430 and $$319,400, respectively.

(b)Audit-Related Fees. The aggregate Audit Related Fees billed by the registrant’s principal accountant for the fiscal years ended December 31, 2014 and December 31, 2013 were $0 and $0, respectively.

The aggregate fees billed in the Reporting Periods for assurance and related services by the Auditor to the registrant’s investment adviser (not including any sub‑investment adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by or under common control with the investment adviser that provides ongoing services to the Registrant (“Service Affiliates”) which required pre‑approval by the Audit Committee which related to the review of the transfer agent function for the fiscal years ended December 31, 2013 and December 31, 2012 were $36,750 and $35,000, respectively.

(c)Tax Fees. The aggregate Tax Fees billed by the registrant’s principal accountant for professional services rendered for tax compliance, tax advice, and tax planning, including preparation of tax returns and distribution assistance, for the fiscal years ended December 31, 2014 and December 31, 2013 were $68,167 and $71,153, respectively.

(d)All Other Fees. The aggregate All Other Fees billed by the registrant’s principal accountant for products and services provided by the Auditor, other than the services reported in paragraphs (a) through (c) of this Item, for the fiscal years ended December 31, 2014 and December 31, 2013 were $0 and $0, respectively.

(e)Audit Committee Pre-Approval Policies and Procedures. The audit committee has adopted a policy whereby audit and non-audit services performed by the registrant’s principal accountant for the registrant, its investment advisor, and any entity controlling, controlled by, or under common control with the investment advisor that provides ongoing services to the registrant require pre-approval in advance at regularly scheduled audit committee meetings.  If such service is required between regularly scheduled audit committee meetings, the chairman of the audit committee is authorized to pre-approve the service with full committee approval at the next scheduled meeting.  There shall be no waivers of the pre-approval process.  No services described in (b)-(d) above were approved pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.

(f)Not applicable.

(g)Non-Audit Fees. The aggregate non-audit fees billed by the registrant’s accountant for the most recent fiscal year and the preceding fiscal year for services rendered to the registrant, the investment advisor, and any entity controlling, controlled by, or under common control with the advisor that provides ongoing services to the registrant were $104,917 and $106,153, respectively.  These aggregate fees were less than the aggregate fees billed for the same periods by the registrant’s principal accountant for audit services rendered to the registrant, the investment advisor, and any entity controlling, controlled by, or under common control with the advisor that provides ongoing services to the registrant.

(h)Auditor Independence. All non-audit services rendered in (g) above were pre-approved by the registrant’s audit committee.  As such, the audit committee has considered these services in maintaining the principal accountant’s independence.

Item 5. Audit Committee of Listed Registrants.

Not applicable.

Item 6. Investments.

Schedule of Investments is included as part of the report to shareholders filed under Item 1 of this form.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable.

Item 8. Portfolio Mangers of Closed-end Management Investment Companies

Not applicable

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

Not applicable.

Item 10. Submission of Matters to a Vote of Security Holders.

The registrant does not currently have in place procedures by which shareholders may recommend nominees to the registrant’s board.

There have been no changes to the procedures by which shareholders may recommend nominees to the registrant’s board.

Item 11. Controls and Procedures.

(a)The registrant’s President (principal executive officer) and Treasurer (principal financial officer) have evaluated the registrant’s disclosure controls and procedures within 90 days of this filing and have concluded 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-CSR was recorded, processed, summarized, and reported timely.

(b)The registrant’s principal executive officer and principal financial officer are aware of no change in the registrant’s internal control over financial reporting that occurred during the registrant’s second fiscal quarter covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 12. Exhibits.

(a)(1)The registrant’s code of ethics pursuant to Item 2 of Form N-CSR is attached.

(a)(2)Separate certifications by the President (principal executive officer) and Treasurer (principal financial officer) of the registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2(a)) are attached.

(b)A certification by the registrant’s President (principal executive officer) and Treasurer (principal financial officer) as required by Rule 30a-2(b) under the Act (17 CFR 270.30a-2(b)) is attached.

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.

(Registrant)	Guggenheim Variable Funds Trust
By (Signature and Title)*	/s/ Donald C. Cacciapaglia
	Donald C. Cacciapaglia, President and Chief Executive Officer
Date	March 10, 2015

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 (Signature and Title)*	/s/ Donald C. Cacciapaglia
	Donald C. Cacciapaglia, President and Chief Executive Officer
Date	March 10, 2015
By (Signature and Title)*	/s/ John L. Sullivan
	John L. Sullivan, Chief Financial Officer and Treasurer
Date	March 10, 2015

^* Print the name and title of each signing officer under his or her signature.