Series A (StylePlus—Large Core Series)
SCHEDULE OF INVESTMENTS (Unaudited)	March 31, 2015

	Shares		Value
COMMON STOCKS^† - 15.2%
Consumer, Non-cyclical - 5.2%
Pfizer, Inc.		23,160	$	805,735
Procter & Gamble Co.		9,020		739,099
UnitedHealth Group, Inc.		5,036		595,708
PepsiCo, Inc.		5,979		571,712
Express Scripts Holding Co.^*		5,882		510,381
Johnson & Johnson		4,966		499,580
Mondelez International, Inc. — Class A		13,586		490,318
Anthem, Inc.		3,009		464,620
Aetna, Inc.		4,276		455,522
Cigna Corp.		3,495		452,393
General Mills, Inc.		7,913		447,876
Merck & Company, Inc.		7,763		446,217
Kimberly-Clark Corp.		4,137		443,114
Archer-Daniels-Midland Co.		9,118		432,193
Stryker Corp.		4,585		422,966
Coca-Cola Co.		9,962		403,959
Kroger Co.		4,584		351,409
Kraft Foods Group, Inc.		4,013		349,593
Abbott Laboratories		7,408		343,213
Cardinal Health, Inc.		3,704		334,360
AbbVie, Inc.		5,401		316,175
Humana, Inc.		1,749		311,357
Philip Morris International, Inc.		3,667		276,235
Eli Lilly & Co.		3,694		268,369
McKesson Corp.		1,166		263,749
Amgen, Inc.		1,638		261,834
HCA Holdings, Inc.^*		3,186		239,683
Baxter International, Inc.		3,253		222,831
Medtronic plc		2,814		219,464
Gilead Sciences, Inc.^*		2,136		209,606
Actavis plc^*		513		152,679
Total Consumer, Non-cyclical				12,301,950
Technology - 2.4%
Apple, Inc.		11,106		1,381,920
Microsoft Corp.		22,876		930,024
International Business Machines Corp.		4,062		651,951
Intel Corp.		20,315		635,250
Hewlett-Packard Co.		14,771		460,264
Oracle Corp.		10,217		440,864
EMC Corp.		17,083		436,641
Micron Technology, Inc.^*		13,793		374,204
Western Digital Corp.		3,980		362,220
Total Technology				5,673,338
Industrial - 2.4%
General Electric Co.		26,828		665,603
Caterpillar, Inc.		5,679		454,490
Eaton Corporation plc		6,249		424,557
FedEx Corp.		2,530		418,589
Corning, Inc.		17,888		405,700
CSX Corp.		11,548		382,470
Boeing Co.		2,480		372,199
Deere & Co.		4,099		359,441
Waste Management, Inc.		6,501		352,549
Norfolk Southern Corp.		3,276		337,166
General Dynamics Corp.		2,391		324,530
Raytheon Co.		2,860		312,455
Northrop Grumman Corp.		1,886		303,571
Emerson Electric Co.		4,720		267,246
United Technologies Corp.		1,857		217,640
Total Industrial				5,598,206
Financial - 1.4%
JPMorgan Chase & Co.		9,378		568,120
MetLife, Inc.		9,220		466,071
Bank of New York Mellon Corp.		9,352		376,325
Bank of America Corp.		21,324		328,177
Prudential Financial, Inc.		3,854		309,514
Citigroup, Inc.		5,608		288,924
Wells Fargo & Co.		4,091		222,550
State Street Corp.		2,504		184,119
Berkshire Hathaway, Inc. — Class B^*		1,101		158,896
Allstate Corp.		2,035		144,831
Aflac, Inc.		2,066		132,245
Ameriprise Financial, Inc.		837		109,513
Total Financial				3,289,285
Energy - 1.2%
ConocoPhillips		7,898		491,729
Exxon Mobil Corp.		5,739		487,815
Anadarko Petroleum Corp.		5,522		457,277
Occidental Petroleum Corp.		5,694		415,662
Apache Corp.		6,694		403,849
Chevron Corp.		2,922		306,752
Kinder Morgan, Inc.		3,412		143,509
Valero Energy Corp.		1,863		118,524
Devon Energy Corp.		1,881		113,443
Total Energy				2,938,560
Communications - 1.1%
Cisco Systems, Inc.		22,381		616,037
eBay, Inc.^*		8,192		472,515
Comcast Corp. — Class A		7,304		412,457
AT&T, Inc.		8,612		281,182
Google, Inc. — Class C^*		492		269,616
Walt Disney Co.		2,074		217,541
Time Warner, Inc.		2,549		215,238
Verizon Communications, Inc.		2,313		112,481
Total Communications				2,597,067
Consumer, Cyclical - 1.1%
Wal-Mart Stores, Inc.		7,511		617,780
CVS Health Corp.		5,809		599,546
Delta Air Lines, Inc.		7,346		330,277
Southwest Airlines Co.		6,598		292,291
Ford Motor Co.		15,527		250,606
General Motors Co.		5,840		219,000
Walgreens Boots Alliance, Inc.		2,491		210,938
Total Consumer, Cyclical				2,520,438
Utilities - 0.4%
Duke Energy Corp.		6,186		474,961
American Electric Power Company, Inc.		4,852		272,925
PG&E Corp.		4,456		236,480
Total Utilities				984,366
Total Common Stocks
(Cost $33,216,083)				35,903,210

MUTUAL FUNDS^†,1 - 72.0%
Guggenheim Strategy Fund I		2,262,463		56,335,321

Series A (StylePlus—Large Core Series)
SCHEDULE OF INVESTMENTS (Unaudited)	March 31, 2015

	Shares		Value
MUTUAL FUNDS^†,1 - 72.0% (continued)
Guggenheim Variable Insurance Strategy Fund III		2,245,844	$	56,056,254
Guggenheim Strategy Fund II		1,739,804		43,338,514
Guggenheim Strategy Fund III		606,728		15,137,860
Total Mutual Funds
(Cost $170,886,810)				170,867,949

SHORT TERM INVESTMENTS^† - 2.5%
Dreyfus Treasury Prime Cash Management Fund 0.00%		6,014,531		6,014,531
Total Short Term Investments
(Cost $6,014,531)				6,014,531

	Face Amount
ASSET-BACKED SECURITIES^†† - 8.9%
Duane Street CLO IV Ltd.
2007-4A, 0.49% due 11/14/21^2,3	$	2,002,749		1,986,526
Goldman Sachs Asset Management CLO plc
2007-1A, 3.00% due 08/01/22^2,3		1,800,000		1,802,700
Brentwood CLO Corp.
2006-1A, 0.52% due 02/01/22^2,3		1,191,080		1,174,167
2006-1A, 1.07% due 02/01/22^2,3		600,000		569,580
Salus CLO Ltd.
2013-1AN, 2.48% due 03/05/21^2,3		1,700,000		1,702,040
KKR Financial CLO 2007-1 Ltd.
2007-1A, 2.51% due 05/15/21^2,3		1,400,000		1,394,540
Cornerstone CLO Ltd.
2007-1A, 0.47% due 07/15/21^2,3		1,360,704		1,349,002
Black Diamond CLO 2005-1 Delaware Corp.
2005-1A, 2.17% due 06/20/17^2,3		1,350,000		1,321,515
Symphony CLO VII Ltd.
2011-7A, 3.46% due 07/28/21^2,3		1,250,000		1,248,500
GSC Group CDO Fund VIII Ltd.
2007-8A, 0.64% due 04/17/21^2,3		1,250,000		1,233,875
N-Star REL CDO VIII Ltd.
2006-8A, 0.47% due 02/01/41^2,3		1,099,342		1,078,785
OFSI Fund V Ltd.
2013-5A, 3.46% due 04/17/25^2,3		1,000,000		987,700
Black Diamond CLO 2006-1 Luxembourg S.A.
2007-1A, 0.64% due 04/29/19^2,3		1,000,000		960,200
Foothill CLO Ltd.
2007-1A, 0.51% due 02/22/21^2,3		827,278		821,239
Symphony CLO IX, LP
2012-9A, 2.75% due 04/16/22^2,3		800,000		802,960
Hewett's Island CDO Ltd.
2007-6A, 2.51% due 06/09/19^2,3		750,000		749,850
Halcyon Loan Advisors Funding 2012-1 Ltd.
2012-1A, 3.26% due 08/15/23^2,3		500,000		488,250
Race Point IV CLO Ltd.
2007-4A, 1.00% due 08/01/21^2,3		500,000		486,300
NewStar Commercial Loan Trust 2007-1
2007-1A, 1.56% due 09/30/22^2,3		500,000		475,650
Tricadia CDO 2006-6 Ltd.
2006-6A, 0.81% due 11/05/41^2,3		246,033		244,852
Global Leveraged Capital Credit Opportunity Fund
2006-1A, 0.56% due 12/20/18^2,3		134,308		133,945
Golub Capital Partners Fundings Ltd.
2007-1A, 0.52% due 03/15/22^2,3		113,115		112,606
West Coast Funding Ltd.
2006-1A, 0.40% due 11/02/41^2,3		113,140		112,450
Total Asset-Backed Securities
(Cost $20,912,988)				21,237,232

COLLATERALIZED MORTGAGE OBLIGATION^†† - 0.5%
SRERS-2011 Funding Ltd.
2011-RS,0.43% due 05/09/46^2,3		1,321,597		1,256,574
Total Collateralized Mortgage Obligation
(Cost $1,175,234)				1,256,574
Total Investments - 99.1%
(Cost $232,205,646)			$	235,279,496
Other Assets & Liabilities, net - 0.9%				2,246,307
Total Net Assets - 100.0%			$	237,525,803

Series A (StylePlus—Large Core Series)
SCHEDULE OF INVESTMENTS (Unaudited)	March 31, 2015

	Contracts		Unrealized Gain (Loss)
EQUITY FUTURES CONTRACTS PURCHASED^†
June 2015 S&P 500 Index Equity Mini Futures Contracts (Aggregate Value of Contracts $1,029,750)		10	$	13,718

	Units
OTC EQUITY INDEX SWAP AGREEMENTS^††
Goldman Sachs International May 2015 S&P 500 Index Swap, Terminating 05/05/15⁴ (Notional Value $199,499,688)		96,475	$	—

*	Non-income producing security.
^†	Value determined based on Level 1 inputs — See Note 3.
^††	Value determined based on Level 2 inputs — See Note 3.
¹	Affiliated issuer — See Note 5.
²	Variable rate security. Rate indicated is rate effective at March 31, 2015.
³	Security is a 144A or Section 4(a)(2) security. The total market value of 144A or Section 4(a)(2) securities is $22,493,806 (cost $22,088,222), or 9.5% 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

Series B (Large Cap Value Series)
SCHEDULE OF INVESTMENTS (Unaudited)	March 31, 2015

	Shares		Value
COMMON STOCKS^† - 97.7%
Financial - 27.0%
Wells Fargo & Co.		187,645	$	10,207,888
American International Group, Inc.		166,669		9,131,795
JPMorgan Chase & Co.		134,530		8,149,827
Citigroup, Inc.		149,070		7,680,086
Bank of New York Mellon Corp.		145,010		5,835,202
Reinsurance Group of America, Inc. — Class A		55,640		5,185,092
Allstate Corp.		59,020		4,200,453
Zions Bancorporation		147,330		3,977,910
Legg Mason, Inc.		60,790		3,355,608
NASDAQ OMX Group, Inc.		56,998		2,903,478
BB&T Corp.		71,800		2,799,482
Unum Group		78,872		2,660,353
Assured Guaranty Ltd.		78,530		2,072,407
Equity Residential		18,710		1,456,761
Simon Property Group, Inc.		7,430		1,453,605
Bank of America Corp.		85,100		1,309,689
Total Financial				72,379,636
Consumer, Non-cyclical - 21.3%
Teva Pharmaceutical Industries Ltd. ADR		119,400		7,438,620
Johnson & Johnson		58,430		5,878,058
UnitedHealth Group, Inc.		36,710		4,342,426
Mondelez International, Inc. — Class A		113,910		4,111,011
Kellogg Co.		57,950		3,821,802
Pfizer, Inc.		109,640		3,814,376
Archer-Daniels-Midland Co.		70,150		3,325,110
ADT Corp.		77,820		3,231,086
Quanta Services, Inc.^*		108,170		3,086,090
Philip Morris International, Inc.		39,600		2,983,068
Medtronic plc		36,750		2,866,133
Zimmer Holdings, Inc.		24,050		2,826,356
MasterCard, Inc. — Class A		32,070		2,770,527
Kraft Foods Group, Inc.		29,293		2,551,860
DeVry Education Group, Inc.		63,510		2,118,694
Tenet Healthcare Corp.^*		40,070		1,983,866
Total Consumer, Non-cyclical				57,149,083
Industrial - 14.2%
Republic Services, Inc. — Class A		153,560		6,228,394
United Technologies Corp.		43,680		5,119,296
Parker-Hannifin Corp.		38,710		4,597,973
General Electric Co.		157,600		3,910,056
FLIR Systems, Inc.		124,690		3,900,303
Covanta Holding Corp.		165,770		3,718,221
TE Connectivity Ltd.		45,381		3,250,187
Oshkosh Corp.		64,440		3,144,028
Rock-Tenn Co. — Class A		44,822		2,891,019
Huntington Ingalls Industries, Inc.		5,300		742,795
Owens-Illinois, Inc.^*		28,890		673,715
Total Industrial				38,175,987
Consumer, Cyclical - 10.2%
Wal-Mart Stores, Inc.		76,670		6,306,107
CVS Health Corp.		54,550		5,630,105
Kohl's Corp.		56,030		4,384,348
PulteGroup, Inc.		193,370		4,298,615
Lear Corp.		33,830		3,749,041
WESCO International, Inc.^*		44,450		3,106,611
Total Consumer, Cyclical				27,474,827
Energy - 6.6%
Chevron Corp.		61,000		6,403,780
Exxon Mobil Corp.		55,250		4,696,250
Whiting Petroleum Corp.^*		70,000		2,163,000
Patterson-UTI Energy, Inc.		82,090		1,541,240
Marathon Oil Corp.		49,110		1,282,262
Superior Energy Services, Inc.		51,030		1,140,010
Oasis Petroleum, Inc.^*		32,580		463,288
Total Energy				17,689,830
Communications - 6.4%
Cisco Systems, Inc.		233,880		6,437,547
Time Warner, Inc.		48,553		4,099,815
AT&T, Inc.		91,570		2,989,761
DigitalGlobe, Inc.^*		70,975		2,418,118
Scripps Networks Interactive, Inc. — Class A		19,210		1,317,038
Total Communications				17,262,279
Technology - 6.2%
Computer Sciences Corp.		86,230		5,629,094
QUALCOMM, Inc.		56,320		3,905,229
Microsoft Corp.		85,490		3,475,596
NetApp, Inc.		64,760		2,296,390
Stratasys Ltd.^*		23,100		1,219,218
Total Technology				16,525,527
Utilities - 3.5%
Edison International		85,420		5,336,187
AGL Resources, Inc.		83,250		4,133,362
Total Utilities				9,469,549
Basic Materials - 2.3%
Dow Chemical Co.		130,560		6,264,269
Total Common Stocks
(Cost $209,188,606)				262,390,987
WARRANTS^† - 0.3%
American International Group, Inc.
$45.00, 01/19/21		36,910		806,114
Total Warrants
(Cost $694,721)				806,114

SHORT TERM INVESTMENTS^† - 1.9%
Dreyfus Treasury Prime Cash Management Fund 0.00%		5,074,813		5,074,813
Total Short Term Investments
(Cost $5,074,813)				5,074,813
Total Investments - 99.9%
(Cost $214,958,140)			$	268,271,914
Other Assets & Liabilities, net - 0.1%				197,141
Total Net Assets - 100.0%			$	268,469,055

*	Non-income producing security.
^†	Value determined based on Level 1 inputs — See Note 3.
	ADR — American Depositary Receipt
	plc — Public Limited Company

Series C (Money Market Series)
SCHEDULE OF INVESTMENTS (Unaudited)	March 31, 2015

	Shares		Value
SHORT TERM INVESTMENTS^† - 38.9%
Dreyfus Treasury Prime Cash Management Fund 0.00%³		23,370,598	$	23,370,598
Total Short Term Investments
(Cost $23,370,598)				23,370,598

	Face Amount
ASSET-BACKED SECURITIES^†† - 0.1%
Small Business Administration Pools
#503295, 0.75% due 04/25/21¹	$	36,965		36,946
#503303, 0.75% due 04/25/21¹		12,905		12,895
#502353, 1.00% due 09/25/18¹		12,726		12,739
Total Asset-Backed Securities
(Cost $62,603)				62,580

COMMERCIAL PAPER^†† - 62.2%
Abbott Laboratories
0.13% due 04/10/15		3,300,000		3,299,955
Siemens Capital Co. LLC
0.11% due 04/23/15		3,000,000		2,999,798
Jupiter Securitization Co. LLC
0.23% due 06/05/15²		3,000,000		2,998,823
Coca-Cola Co.
0.12% due 04/28/15		1,000,000		999,960
0.18% due 05/07/15²		1,000,000		999,943
0.18% due 05/13/15²		800,000		799,944
Total Coca-Cola Co.				2,799,847
AstraZeneca plc
0.08% due 05/28/15		2,500,000		2,499,368
General RE Corp.
0.13% due 06/08/15		2,500,000		2,499,204
Caterpillar Financial Services Corp.
0.13% due 06/17/15		2,500,000		2,499,123
Toyota Motor Credit Corp.
0.18% due 08/10/15		2,000,000		1,999,010
0.09% due 04/29/15		500,000		499,965
Total Toyota Motor Credit Corp.				2,498,975
Prudential plc
0.19% due 07/10/15		2,000,000		1,998,738
0.20% due 07/10/15		500,000		499,684
Total Prudential plc				2,498,422
John Deere Financial Ltd.
0.14% due 04/15/15		2,000,000		1,999,909
Sheffield Receivables Corp.
0.23% due 04/24/15		2,000,000		1,999,773
Barton Capital LLC
0.22% due 05/27/15		2,000,000		1,999,538
ING US Funding LLC
0.24% due 06/03/15		2,000,000		1,999,313
Nestle Capital Corp.
0.11% due 07/09/15		1,000,000		999,767
0.15% due 08/31/15		1,000,000		999,499
Total Nestle Capital Corp.				1,999,266
General Electric Capital Corp.
0.12% due 05/01/15		1,300,000		1,299,888
American Honda Finance Corp.
0.12% due 06/23/15		1,000,000		999,613
John Deere Bank SA
0.10% due 04/08/15		500,000		499,990
Total Commercial Paper
(Cost $37,390,424)				37,390,805
Total Investments - 101.2%
(Cost $60,823,625)			$	60,823,983
Other Assets & Liabilities, net - (1.2)%				(749,282	)
Total Net Assets - 100.0%			$	60,074,701

^†	Value determined based on Level 1 inputs — See Note 3.
^††	Value determined based on Level 2 inputs — See Note 3.
¹	Variable rate security. Rate indicated is rate effective at March 31, 2015.
²	Security is a 144A or Section 4(a)(2) security. The total market value of 144A or Section 4(a)(2) securities is $4,798,710 (cost $4,798,406), or 8.0% of total net assets. These securities have been determined to be liquid under guidelines established by the Board of Trustees.
³	More information regarding the Dreyfus Treasury Prime Cash Management Fund can be found at www.investment-professionals.dreyfus.com.
	plc — Public Limited Company

Series D (World Equity Income Series)
SCHEDULE OF INVESTMENTS (Unaudited)	March 31, 2015

	Shares		Value
COMMON STOCKS^† - 99.3%
Consumer, Non-cyclical - 23.7%
Pfizer, Inc.		85,900	$	2,988,462
Roche Holding AG^††		9,600		2,638,031
Merck & Company, Inc.		42,900		2,465,892
Johnson & Johnson		23,100		2,323,860
Altria Group, Inc.		43,900		2,195,878
Eli Lilly & Co.		29,800		2,164,970
Procter & Gamble Co.		26,100		2,138,634
Cardinal Health, Inc.		23,500		2,121,345
Koninklijke Ahold N.V.^††		100,400		1,977,972
Reynolds American, Inc.		27,800		1,915,698
Dr Pepper Snapple Group, Inc.		23,600		1,852,128
Nestle S.A.^††		23,500		1,769,626
Baxter International, Inc.		25,400		1,739,900
Kimberly-Clark Corp.		15,900		1,703,049
Philip Morris International, Inc.		19,900		1,499,067
Automatic Data Processing, Inc.		17,200		1,473,008
Clorox Co.		12,800		1,412,992
Anthem, Inc.		8,900		1,374,249
Wesfarmers Ltd.^††		39,600		1,322,388
Novartis AG^††		12,600		1,243,639
Hutchison Port Holdings Trust — Class U^††		1,368,400		949,883
AmerisourceBergen Corp. — Class A		7,700		875,259
GlaxoSmithKline plc^††		23,600		543,189
PepsiCo, Inc.		4,700		449,414
Sysco Corp.		11,500		433,895
Vertex Pharmaceuticals, Inc.^*		2,000		235,940
Total Consumer, Non-cyclical				41,808,368
Financial - 21.0%
Boston Properties, Inc.		13,400		1,882,432
Swiss Re AG^††		18,400		1,774,846
Wells Fargo & Co.		29,600		1,610,240
Annaly Capital Management, Inc.		153,100		1,592,240
Simon Property Group, Inc.		7,400		1,447,736
Host Hotels & Resorts, Inc.		64,000		1,291,520
Zurich Insurance Group AG^*,††		3,600		1,216,821
American Capital Agency Corp.		56,300		1,200,879
National Australia Bank Ltd.^††		40,568		1,187,590
ASX Ltd.^††		37,000		1,164,063
Stockland^††		334,478		1,142,763
New York Community Bancorp, Inc.		68,300		1,142,659
Friends Life Group Ltd.^††		182,200		1,115,627
Hang Seng Bank Ltd.^††		60,900		1,102,221
Lend Lease Group^*,††		85,200		1,076,117
Insurance Australia Group Ltd.^††		231,651		1,072,301
Iron Mountain, Inc.		28,600		1,043,328
U.S. Bancorp		21,900		956,373
Government Properties Trust, Inc.^*,††		264,200		917,652
Novion Property Group^††		480,617		915,553
First Capital Realty, Inc.^††		58,200		906,618
People's United Financial, Inc.		59,400		902,880
Gjensidige Forsikring ASA^††		51,700		891,892
Admiral Group plc^††		39,200		887,166
CK Hutchison Holdings Ltd.^††		40,200		821,307
H&R Real Estate Investment Trust^††		40,700		749,693
Hannover Rueck SE^††		7,200		743,822
CME Group, Inc. — Class A		7,600		719,796
Bendigo & Adelaide Bank Ltd.^††		74,200		707,035
ACE Ltd.		5,600		624,344
Digital Realty Trust, Inc.		9,300		613,428
Suncorp Group Ltd.^††		59,100		606,042
JPMorgan Chase & Co.		9,600		581,568
Credit Suisse Group AG^*,††		19,100		513,871
Bank of America Corp.		31,800		489,402
Bank of New York Mellon Corp.		11,300		454,712
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen^††		2,100		451,139
Marsh & McLennan Companies, Inc.		7,500		420,675
Deutsche Boerse AG^††		1,800		146,859
Total Financial				37,085,210
Communications - 13.2%
Verizon Communications, Inc.		55,000		2,674,649
AT&T, Inc.		76,700		2,504,255
Vivendi S.A.^††		74,600		1,851,688
Swisscom AG^††		2,970		1,722,292
Windstream Holdings, Inc.		143,000		1,058,200
Lagardere SCA^††		34,800		1,045,665
PCCW Ltd.^††		1,671,800		1,021,595
Time Warner Cable, Inc.		6,700		1,004,196
TDC A/S^††		136,600		978,556
Bezeq The Israeli Telecommunication Corporation Ltd.^††		516,000		960,866
BCE, Inc.^††		22,600		956,774
StarHub Ltd.^††		289,100		916,499
Singapore Press Holdings Ltd.^††		290,200		885,832
Belgacom S.A.^††		24,600		860,496
NTT DOCOMO, Inc.^††		48,300		844,057
CenturyLink, Inc.		24,000		829,200
Spark New Zealand Ltd.^††		361,000		802,826
Elisa Oyj^††		31,000		778,325
Singapore Telecommunications Ltd.^††		212,600		678,400
Motorola Solutions, Inc.		7,800		520,026
SES S.A.^††		13,500		478,458
Total Communications				23,372,855
Consumer, Cyclical - 12.8%
McDonald's Corp.		23,900		2,328,816
Wal-Mart Stores, Inc.		26,000		2,138,500
Sumitomo Corp.^††		180,700		1,928,162
Compass Group plc^††		110,400		1,915,159
LVMH Moet Hennessy Louis Vuitton SE^††		9,100		1,601,044
Costco Wholesale Corp.		10,100		1,530,100
ITOCHU Corp.^††		135,100		1,461,974
InterContinental Hotels Group plc^††		37,100		1,446,738
Marubeni Corp.^††		248,600		1,437,220
Mitsui & Company Ltd.^††		102,600		1,373,981

Series D (World Equity Income Series)
SCHEDULE OF INVESTMENTS (Unaudited)	March 31, 2015

	Shares		Value
COMMON STOCKS^† - 99.3% (continued)
Consumer, Cyclical - 12.8% (continued)
Persimmon plc^*,††		49,500	$	1,219,329
Mitsubishi Corp.^††		57,800		1,161,375
Home Depot, Inc.		9,300		1,056,573
Lawson, Inc.^††		12,700		880,326
Toyota Motor Corp.^††		9,600		670,088
Fiat Chrysler Automobiles N.V.^*,††		28,600		464,178
Total Consumer, Cyclical				22,613,563
Utilities - 11.8%
Duke Energy Corp.		24,200		1,858,076
CLP Holdings Ltd.^††		207,000		1,809,206
PPL Corp.		51,500		1,733,490
Southern Co.		38,000		1,682,640
Dominion Resources, Inc.		23,100		1,637,097
Power Assets Holdings Ltd.^††		113,200		1,155,528
AGL Energy Ltd.^††		96,700		1,119,494
CenterPoint Energy, Inc.		53,800		1,098,058
SSE plc^††		46,100		1,022,590
TransAlta Corp.^††		98,100		910,083
Snam SpA^††		159,100		772,099
Entergy Corp.		9,800		759,402
Enagas S.A.^††		26,500		757,573
Consolidated Edison, Inc.		11,800		719,800
American Electric Power Company, Inc.		11,800		663,750
Ameren Corp.		15,500		654,100
SCANA Corp.		11,300		621,387
NiSource, Inc.		11,700		516,672
Sempra Energy		4,700		512,394
DTE Energy Co.		5,400		435,726
NextEra Energy, Inc.		3,800		395,390
Total Utilities				20,834,555
Industrial - 6.2%
Lockheed Martin Corp.		9,800		1,989,007
TransDigm Group, Inc.		8,700		1,902,864
Waste Management, Inc.		27,200		1,475,056
Northrop Grumman Corp.		7,800		1,255,488
AP Moeller - Maersk A/S — Class A^††		600		1,218,167
United Parcel Service, Inc. — Class B		9,400		911,236
Melrose Industries plc^††		202,985		833,528
IMI plc^††		42,900		809,040
Cheung Kong Infrastructure Holdings Ltd.^††		68,400		587,474
TNT Express N.V.^††		89		565
Total Industrial				10,982,425
Technology - 5.3%
International Business Machines Corp.		14,700		2,359,349
Apple, Inc.		17,300		2,152,639
Canon, Inc.^††		59,000		2,087,410
Accenture plc — Class A		13,500		1,264,815
Microsoft Corp.		22,000		894,410
Paychex, Inc.		13,100		649,957
Total Technology				9,408,580
Energy - 2.1%
ConocoPhillips		15,600		971,255
Pembina Pipeline Corp.^††		22,300		704,622
Exxon Mobil Corp.		8,200		697,000
Vermilion Energy, Inc.^††		11,900		500,312
Royal Dutch Shell plc — Class B^††		13,900		433,065
Schlumberger Ltd.		5,000		417,200
Total Energy				3,723,454
Basic Materials - 2.1%
Dow Chemical Co.		36,500		1,751,270
Israel Chemicals Ltd.^††		118,100		838,779
International Paper Co.		13,400		743,566
ArcelorMittal^††		37,200		348,945
Total Basic Materials				3,682,560
Diversified - 0.7%
Hutchison Whampoa Ltd.^††		84,132		1,166,141
Consumer Discretionary - 0.4%
Next plc^*,††		7,600		789,963
Persimmon plc^*,††		49,500		—
Total Consumer Discretionary				789,963
Total Common Stocks
(Cost $173,193,517)				175,467,674

SHORT TERM INVESTMENTS^† - 0.2%
Goldman Sachs Financial Square Funds - Treasury Instruments Fund 0.00%		380,531		380,531
Total Short Term Investments
(Cost $380,531)				380,531
Total Investments - 99.5%
(Cost $173,574,048)			$	175,848,205
Other Assets & Liabilities, net - 0.5%				926,292
Total Net Assets - 100.0%			$	176,774,497

*	Non-income producing security.
^†	Value determined based on Level 1 inputs, unless otherwise noted — See Note 3.
^††	Value determined based on Level 2 inputs — See Note 3.
	plc — Public Limited Company

Series E (Total Return Bond Series)
SCHEDULE OF INVESTMENTS (Unaudited)	March 31, 2015

	Shares		Value
PREFERRED STOCKS^† - 2.6%
Financial - 2.2%
Aspen Insurance Holdings Ltd. 5.95%^1,2		40,000	$	1,027,199
Goldman Sachs Group, Inc. 5.50%^1,2		21,450		540,111
CoBank ACB 6.20%^1,2		2,500		255,391
AgriBank FCB 6.88%^1,2		1,500		156,000
Woodbourne Capital Trust I 0.01%^{†††,1,2,3}		300,000		142,620
Woodbourne Capital Trust IV 0.01%^{†††,1,2,3}		300,000		142,620
Woodbourne Capital Trust III 0.01%^{†††,1,2,3}		300,000		142,620
Woodbourne Capital Trust II 0.01%^{†††,1,2,3}		300,000		142,620
City National Corp. 6.75%^1,2		4,000		116,520
Total Financial				2,665,701
Industrial - 0.4%
Seaspan Corp. 6.38% due 04/30/19		18,000		453,240
Total Preferred Stocks
(Cost $3,672,241)				3,118,941

UNIT INVESTMENT TRUSTS^† - 0.1%
Rescap Liquidating Trust		9,655		101,378
Total Unit Investment Trusts
(Cost $487,486)				101,378

MUTUAL FUNDS^†^,4 - 3.5%
Guggenheim Total Return Bond Fund — Institutional Class		82,054		2,231,047
Guggenheim Strategy Fund I		80,413		2,002,284
Total Mutual Funds
(Cost $4,226,352)				4,233,331

SHORT TERM INVESTMENTS^† - 5.8%
Dreyfus Treasury Prime Cash Management Fund 0.00%		6,901,543		6,901,543
Total Short Term Investments
(Cost $6,901,543)				6,901,543

	Face Amount
ASSET-BACKED SECURITIES^†† - 42.9%
GCAT 2014-2 LLC
2014-2, 3.72% due 10/25/19³	$	2,246,957	2,241,734
Willis Engine Securitization Trust II
2012-A, 5.50% due 09/15/37³		2,001,280	2,006,284
AASET
2014-1, 5.13% due 12/15/29¹		1,225,962	1,229,026
2014-1, 7.37% due 12/15/29¹		735,577	737,416
Northwoods Capital VIII Ltd.
2007-8A, 2.26% due 07/28/22^1,3		1,750,000	1,745,450
Emerald Aviation Finance Ltd.
2013-1, 4.65% due 10/15/38³		1,139,323	1,170,654
2013-1, 6.35% due 10/15/38^3,5		227,865	231,283
Castlelake Aircraft Securitization Trust 2014-1
2014-1, 5.25% due 02/15/29		838,999	832,706
2014-1, 7.50% due 02/15/29		419,499	418,451
CIT Mortgage Loan Trust 2007-1
2007-1, 1.62% due 10/25/37^1,3		1,300,000	1,235,161
ALM VII R-2 Ltd.
2013-7R2A, 2.86% due 04/24/24^1,3		1,250,000	1,233,500
Grayson CLO Ltd.
2006-1A, 0.66% due 11/01/21^1,3		1,250,000	1,183,125
CKE Restaurant Holdings, Inc.
2013-1A, 4.47% due 03/20/43³		1,115,500	1,151,675
Telos CLO 2007-2 Ltd.
2007-2A, 2.45% due 04/15/22^1,3		1,100,000	1,061,390
Northwoods Capital XIV Ltd.
2014-14A, 2.72% due 11/12/25^1,3		1,000,000	1,000,000
Great Lakes CLO 2012-1 Ltd.
2012-1A, 4.35% due 01/15/23^1,3		1,000,000	1,000,000
AIM Aviation Finance Ltd.
2015-1A, 4.21% due 02/15/40³		994,048	996,632
KKR Financial CLO 2007-1 Ltd.
2007-1A, 2.51% due 05/15/21^1,3		1,000,000	996,100
Fortress Credit Opportunities V CLO Ltd.
2014-5A, 2.88% due 10/15/26^1,3		1,000,000	982,300
Telos CLO Ltd.
2013-3A, 3.26% due 01/17/24^1,3		1,000,000	978,900
Dryden 37 Senior Loan Fund
2015-37A, 0.00% due 04/15/27^†††,3		1,000,000	971,500
GSAA Trust
2005-10, 0.82% due 06/25/35¹		1,050,000	951,819
Nationstar HECM Loan Trust 2014-1A
2014-1A, 4.50% due 11/25/17³		925,069	929,972
RAIT CRE CDO I Ltd.
2006-1X, 0.49% due 11/20/46		1,005,997	925,920
Turbine Engines Securitization Ltd.
2013-1A, 5.13% due 12/13/48³		852,067	862,973
Rockwall CDO II Ltd.
2007-1A, 0.80% due 08/01/24^1,3		900,000	839,250
Gramercy Real Estate CDO 2007-1 Ltd.
2007-1A, 0.54% due 08/15/56^1,3		911,577	821,331
Garanti Diversified Payment Rights Finance Co.
2007-A, 0.44% due 07/09/17¹		800,000	776,880

Series E (Total Return Bond Series)
SCHEDULE OF INVESTMENTS (Unaudited)	March 31, 2015

	Face Amount		Value
ASSET-BACKED SECURITIES^†† - 42.9% (continued)
Acis CLO 2013-2 Ltd.
2013-2A, 3.46% due 10/14/22^1,3	$	750,000	$	750,300
ARES XII CLO Ltd.
2007-12A, 3.51% due 11/25/20^1,3		750,000		750,000
NRPL Trust 2015-1
2015-1A, 3.88% due 11/01/54³		744,595		738,191
MCF CLO I LLC
2013-1A, 3.81% due 04/20/23^1,3		750,000		734,775
Chesterfield Financial Holdings LLC
2014-1A, 4.50% due 12/15/34³		732,000		733,976
N-Star Real Estate CDO IX Ltd.
0.49% due 02/01/41⁶		732,895		700,354
ICE EM CLO
2007-1A, 0.98% due 08/15/22^1,3		698,037		678,701
KVK CLO 2013-1 Ltd.
2013-1A, 0.00% due 04/14/25³		900,000		665,100
Ivy Hill Middle Market Credit Fund VII Ltd.
2013-7A, 3.71% due 10/20/25^1,3		600,000		580,200
Black Diamond CLO 2012-1 Ltd.
2013-1A, 3.50% due 02/01/23^1,3		550,000		546,040
Structured Asset Securities Corporation Mortgage Loan Trust 2006-OPT1
2006-OPT1, 0.43% due 04/25/36¹		600,000		544,483
Babson CLO Limited 2012-II
2012-2A, 0.00% due 05/15/23^3,7		750,000		535,800
Cent CLO 16, LP
2014-16AR, 2.50% due 08/01/24^1,3		500,000		502,300
Oxford Finance Funding Trust 2014-1
2014-1A, 3.48% due 12/15/22³		500,000		500,200
Apidos CLO IX
2012-9A, 4.00% due 07/15/23^1,3		500,000		500,050
Dryden XXIII Senior Loan Fund
2014-23RA, 3.20% due 07/17/23^1,3		500,000		500,000
Newstar Trust
2012-2A, 3.51% due 01/20/23^1,3		500,000		499,150
KKR CLO Trust
2012-1A, 3.57% due 12/15/24^1,3		500,000		498,700
Icon Brand Holdings LLC
2013-1A, 4.35% due 01/25/43³		487,638		492,368
Fortress Credit Opportunities III CLO, LP
2014-3A, 2.75% due 04/28/26^1,3		300,000		294,990
2014-3A, 3.50% due 04/28/26^1,3		200,000		193,160
New Century Home Equity Loan Trust 2005-3
2005-3, 0.68% due 07/25/35¹		550,000		486,533
Golub Capital Partners Fundings Ltd.
2007-1A, 1.02% due 03/15/22^1,3		500,000		485,300
Treman Park CLO LLC
2015-1A, 0.00% due 04/20/27³		500,000		480,050
MCF CLO III LLC
2014-3A, 3.21% due 01/20/24^1,3		500,000		476,100
N-Star REL CDO VIII Ltd.
2006-8A, 0.54% due 02/01/41^1,3		500,000		451,000
Babson CLO Limited 2014-I
2014-IA, 0.00% due 07/20/25³		550,000		435,820
Wachovia Asset Securitization Issuance II LLC 2007-HE1 Trust
2007-HE1, 0.31% due 07/25/37^1,3		483,252		425,160
Acis CLO 2013-1 Ltd.
2013-1A, 3.21% due 04/18/24^1,3		400,000		392,200
Eastland CLO Ltd.
2007-1A, 0.65% due 05/01/22^1,3		400,000		376,080
Halcyon Loan Advisors Funding 2012-2 Ltd.
2012-2A, 4.77% due 12/20/24^1,3		350,000		347,165
NewStar Commercial Loan Funding 2013-1 LLC
2013-1A, 4.80% due 09/20/23^1,3		350,000		340,270
UCFC Manufactured Housing Contract
1997-2, 7.38% due 10/15/28		294,824		318,924
Copper River CLO Ltd.
2007-1A, 0.00% due 01/20/21^1,3		600,000		308,220
Saxon Asset Securities Trust 2005-4
2005-4, 0.61% due 11/25/37¹		350,000		301,657
DIVCORE CLO Ltd.
2013-1A B, 4.07% due 11/15/32		300,000		301,500
Salus CLO Ltd.
2013-1AN, 3.98% due 03/05/21^1,3		300,000		300,990
Westwood CDO I Ltd.
2007-1A, 0.94% due 03/25/21^1,3		300,000		282,900

Series E (Total Return Bond Series)
SCHEDULE OF INVESTMENTS (Unaudited)	March 31, 2015

	Face Amount		Value
ASSET-BACKED SECURITIES^†† - 42.9% (continued)
GreenPoint Mortgage Funding Trust 2005-HE4
2005-HE4, 0.88% due 07/25/30¹	$	264,532	$	252,835
TICC CLO 2012-1 LLC
2012-1A, 5.01% due 08/25/23^1,3		250,000		250,025
Garrison Funding 2013-2 Ltd.
2013-2A, 3.63% due 09/25/23^1,3		250,000		247,800
Gallatin CLO VII 2014-1 Ltd.
2014-1A, 3.15% due 07/15/23^1,3		250,000		247,600
ALM XIV Ltd.
2014-14A, 3.21% due 07/28/26^1,3		250,000		247,525
Golub Capital Partners CLO 17 Ltd.
2013-17A, 4.09% due 10/25/25^1,3		250,000		246,775
Great Lakes CLO 2014-1 Ltd.
2014-1A, 3.95% due 04/15/25^1,3		250,000		244,850
Venture XIV CLO Ltd.
2013-14A, 3.01% due 08/28/25^1,3		250,000		242,350
NewStar Arlington Senior Loan Program LLC
2014-1A, 3.56% due 07/25/25^1,3		250,000		239,550
Drug Royalty II Limited Partnership 2
2014-1, 3.08% due 07/15/23^1,3		234,058		237,684
Carlyle Global Market Strategies CLO 2012-3 Ltd.
2012-3A, 0.00% due 10/04/24³		250,000		207,500
Keuka Park CLO Limited 2013-1
2013-1A, 0.00% due 10/21/24³		250,000		197,675
Neuberger Berman CLO Ltd.
2012-12A, 0.00% due 07/25/23³		300,000		192,690
GSAA Home Equity Trust 2007-7
2007-7, 0.44% due 07/25/37¹		192,940		162,914
New Century Home Equity Loan Trust 2005-1
2005-1, 0.89% due 03/25/35¹		124,067		107,818
Cerberus Offshore Levered I, LP
2012-1A, 5.02% due 11/30/18^1,3		97,404		97,394
West Coast Funding Ltd.
2006-1A, 0.40% due 11/02/41^1,3		94,283		93,708
First Franklin Mortgage Loan Trust 2006-FF1
2006-FF1, 0.51% due 01/25/36¹		50,000		44,079
Credit-Based Asset Servicing and Securitization LLC
2005-CB5, 0.43% due 08/25/35¹		12,766		12,744
Total Asset-Backed Securities
(Cost $51,059,796)				51,533,655

CORPORATE BONDS^††- 28.1%
Financial - 18.0%
SunTrust Banks, Inc.
5.63% due 12/29/49^1,2,8		1,850,000		1,885,844
Bank of America Corp.
6.50% due 10/29/49^1,2		1,000,000		1,057,500
6.10% due 03/12/49^1,2		750,000		760,781
Citigroup, Inc.
5.80% due 11/29/49^1,2		800,000		802,000
5.35% due 05/29/49^1,2,8		555,000		536,963
5.88% due 12/31/49^1,2		305,000		308,050
6.30% due 12/29/49^1,2		160,000		163,400
JPMorgan Chase & Co.
5.00% due 12/29/49^1,2		1,100,000		1,080,694
5.15% due 12/31/49^1,2		650,000		634,563
EPR Properties
5.25% due 07/15/23⁸		1,000,000		1,079,426
5.75% due 08/15/22⁸		400,000		440,360
Fifth Third Bancorp
5.10% due 12/31/49^1,2		870,000		826,500
4.90% due 12/29/49^1,2		500,000		483,125
Susquehanna Bancshares, Inc.
5.38% due 08/15/22⁸		1,100,000		1,225,687
AmTrust Financial Services, Inc.
6.13% due 08/15/23		1,000,000		1,066,620
Icahn Enterprises Limited Partnership / Icahn Enterprises Finance Corp.
6.00% due 08/01/20⁸		1,000,000		1,038,800
Deutsche Bank AG
4.50% due 04/01/25		1,000,000		999,190
Nippon Life Insurance Co.
5.10% due 10/16/44^1,3,8		750,000		812,812
Lancashire Holdings Ltd.
5.70% due 10/01/22³		700,000		767,116
WP Carey, Inc.
4.00% due 02/01/25		750,000		752,106
Kemper Corp.
4.35% due 02/15/25		500,000		511,677
Morgan Stanley
5.55% due 12/31/49^1,2		500,000		505,000
Corporation Financiera de Desarrollo S.A.
5.25% due 07/15/29^1,3		450,000		467,933
Pacific Northwest Communities LLC
5.91% due 06/15/50³		400,000		448,472
Customers Bank
6.13% due 06/26/29^1,3		400,000		411,000
Wilton Re Finance LLC
5.88% due 03/30/33^1,3		375,000		405,113
Atlantic Marine Corporations Communities LLC
5.43% due 12/01/50³		339,286		352,830

Series E (Total Return Bond Series)
SCHEDULE OF INVESTMENTS (Unaudited)	March 31, 2015

	Face Amount		Value
CORPORATE BONDS^††- 28.1% (continued)
Financial - 18.0% (continued)
Royal Bank of Scotland Group plc
5.12% due 05/28/24	$	300,000	$	314,733
Allstate Corp.
5.75% due 08/15/53^1,8		250,000		272,188
ACC Group Housing LLC
6.35% due 07/15/54^†††,3		250,000		261,125
Assured Guaranty US Holdings, Inc.
5.00% due 07/01/24⁸		200,000		214,042
CIC Receivables Master Trust
4.89% due 10/07/21^†††		200,000		204,660
HSBC Holdings plc
6.37% due 12/29/49^1,2		200,000		204,250
Cadence Bank North America
6.25% due 06/28/29^1,10		150,000		153,750
Cadence Financial Corp.
4.88% due 06/28/19¹⁰		100,000		100,956
Total Financial				21,549,266
Consumer, Cyclical - 2.6%
Northern Group Housing LLC
6.80% due 08/15/53³		600,000		731,934
United Airlines 2014-2 Class B Pass Through Trust
4.63% due 09/03/22		700,000		704,375
Sabre GLBL, Inc.
8.50% due 05/15/19^3,8		600,000		641,070
Continental Airlines 2012-2 Class B Pass Through Trust
5.50% due 10/29/20		362,393		385,042
GRD Holdings III Corp.
10.75% due 06/01/19³		250,000		271,875
QVC, Inc.
7.38% due 10/15/20³		250,000		259,375
Continental Airlines 2012-1 Class B Pass Through Trust
6.25% due 04/11/20		105,996		113,151
Total Consumer, Cyclical				3,106,822
Basic Materials - 2.2%
Newcrest Finance Pty Ltd.
4.20% due 10/01/22^3,8		1,100,000		1,035,152
4.45% due 11/15/21³		500,000		491,507
Yamana Gold, Inc.
4.95% due 07/15/24⁸		950,000		934,051
AngloGold Ashanti Holdings plc
5.13% due 08/01/22		200,000		188,503
Total Basic Materials				2,649,213
Industrial - 1.6%
Chicago Bridge & Iron Co.
5.15% due 12/27/22^†††,6		750,000		767,925
Quality Distribution LLC / QD Capital Corp.
9.88% due 11/01/18		710,000		743,725
SBM Baleia Azul
5.50% due 09/15/27^†††,6		447,600		336,729
Prosight Global Inc.
7.50% due 11/26/20^†††,6		100,000		104,810
Total Industrial				1,953,189
Consumer, Non-cyclical - 1.5%
CDK Global, Inc.
4.50% due 10/15/24⁸		1,000,000		1,030,693
Actavis Funding SCS
4.75% due 03/15/45		500,000		531,428
Central Garden & Pet Co.
8.25% due 03/01/18		226,000		231,227
Total Consumer, Non-cyclical				1,793,348
Communications - 1.4%
Avaya, Inc.
7.00% due 04/01/19³		650,000		645,124
CBS Corp.
4.60% due 01/15/45		500,000		509,014
Juniper Networks, Inc.
4.35% due 06/15/25		500,000		506,919
Total Communications				1,661,057
Energy - 0.4%
BreitBurn Energy Partners Limited Partnership / BreitBurn Finance Corp.
7.87% due 04/15/22⁸		550,000		396,000
Crestwood Midstream Partners Limited Partnership / Crestwood Midstream Finance Corp.
7.75% due 04/01/19		110,000		114,301
Total Energy				510,301
Diversified - 0.4%
Leucadia National Corp.
5.50% due 10/18/23⁸		450,000		464,229
Total Corporate Bonds
(Cost $33,074,988)				33,687,425

MUNICIPAL BONDS^††- 7.6%
Florida - 1.5%
County of Miami-Dade Florida Revenue Bonds
0.00% due 10/01/45^7,8		5,600,000		1,377,039
0.00% due 10/01/42⁷		1,500,000		424,140
Total Florida				1,801,179
Illinois - 1.4%
State of Illinois General Obligation Unlimited
6.90% due 03/01/35		500,000		591,110
5.65% due 12/01/38		400,000		425,388
Chicago, Illinois, Second Lien Water Revenue Bonds, Taxable Build America Bonds
6.74% due 11/01/40		360,000		467,903

Series E (Total Return Bond Series)
SCHEDULE OF INVESTMENTS (Unaudited)	March 31, 2015

	Face Amount		Value
MUNICIPAL BONDS^††- 7.6% (continued)
Illinois - 1.4% (continued)
City of Chicago Illinois General Obligation Unlimited
5.00% due 01/01/27	$	150,000	$	160,982
0.00% due 01/01/30⁷		100,000		52,550
Total Illinois				1,697,933
Alabama - 1.1%
County of Jefferson Alabama Sewer Revenue Revenue Bonds
0.00% due 10/01/30⁷		1,000,000		455,270
0.00% due 10/01/34⁷		775,000		265,035
0.00% due 10/01/36⁷		875,000		262,666
0.00% due 10/01/35⁷		525,000		168,210
0.00% due 10/01/31⁷		275,000		116,589
0.00% due 10/01/32⁷		250,000		98,465
Total Alabama				1,366,235
New Jersey - 1.1%
New Jersey Transportation Trust Fund Authority Revenue Bonds
0.00% due 12/15/32^7,8		3,000,000		1,350,270
Puerto Rico - 1.0%
Puerto Rico Commonwealth Aqueduct & Sewer Authority Revenue Bonds
5.13% due 07/01/47		1,000,000		996,010
Puerto Rico Highways & Transportation Authority Revenue Bonds
5.50% due 07/01/28		200,000		211,578
Total Puerto Rico				1,207,588
Michigan - 0.8%
Detroit City School District General Obligation Unlimited
7.75% due 05/01/39		750,000		918,510
California - 0.7%
Stockton Unified School District General Obligation Unlimited
0.00% due 08/01/36⁷		755,000		323,971
0.00% due 08/01/35⁷		490,000		219,182
Inland Valley Development Agency Tax Allocation
5.50% due 03/01/33		170,000		186,522
Total California				729,675
Total Municipal Bonds
(Cost $8,640,177)				9,071,390

COLLATERALIZED MORTGAGE OBLIGATIONS^†† - 6.7%
LSTAR Securities Investment Trust
2014-1,3.28% due 09/01/21^1,3		1,911,858		1,929,639
2015-1,2.18% due 01/01/20^1,3		988,178		974,640
2015-2,2.17% due 01/01/20^1,3		740,609		736,906
SRERS-2011 Funding Ltd.
2011-RS,0.43% due 05/09/46^1,3		1,189,437		1,130,917
Motel 6 Trust 2015-MTL6
2015-MTL6,4.53% due 02/05/30³		1,000,000		1,010,584
HarborView Mortgage Loan Trust 2006-12
2006-12,0.37% due 01/19/38¹		977,502		825,703
HarborView Mortgage Loan Trust 2006-14
2006-14,0.33% due 01/25/47¹		927,379		711,013
Hilton USA Trust 2013-HLT
2013-HLT,5.22% due 11/05/18^1,3		300,000		308,147
Nomura Resecuritization Trust 2012-1R
2012-1R,0.62% due 08/27/47^1,3		254,065		235,010
Morgan Stanley Re-REMIC Trust 2010-R5
2010-R5,0.48% due 06/26/36^1,3		188,939		135,777
Total Collateralized Mortgage Obligations
(Cost $7,979,655)				7,998,336

SENIOR FLOATING RATE INTERESTS^††- 5.7%
Industrial - 1.6%
Rise Ltd.
4.74% due 02/12/39		1,072,135		1,080,177
AABS Ltd.
4.87% due 01/15/38		433,988		441,584
Capstone Logistics
5.50% due 10/07/21		399,000		397,005
CareCore National LLC
5.50% due 03/05/21		149,246		149,992
Total Industrial				2,068,758
Consumer, Cyclical - 1.2%
Landry's, Inc.
4.00% due 04/24/18		603,453		604,207
Ollies Bargain Outlet
4.75% due 09/28/19		434,179		429,837
Neiman Marcus Group, Inc.
4.25% due 10/25/20		345,634		344,272
Total Consumer, Cyclical				1,378,316
Technology - 0.9%
Avago Technologies Ltd.
3.75% due 05/06/21		690,813		691,808
Greenway Medical Technologies
6.00% due 11/04/20⁶		345,625		345,625
Total Technology				1,037,433
Basic Materials - 0.8%
Fortescue Metals Group Ltd.
3.75% due 06/30/19		1,093,456		985,729
Financial - 0.5%
Corporate Capital Trust
4.00% due 05/20/19		297,750		297,750
Magic Newco, LLC
5.00% due 12/12/18		245,596		245,771

Series E (Total Return Bond Series)
SCHEDULE OF INVESTMENTS (Unaudited)	March 31, 2015

	Face Amount		Value
SENIOR FLOATING RATE INTERESTS^††- 5.7% (continued)
Financial - 0.5% (continued)
American Stock Transfer & Trust
5.75% due 06/26/20	$	96,152	$	95,671
Total Financial				639,192
Communications - 0.5%
Asurion Corp.
5.00% due 05/24/19		453,080		454,086
MergerMarket Ltd.
4.50% due 02/04/21		99,000		96,030
Total Communications				550,116
Consumer, Non-cyclical - 0.2%
NES Global Talent
6.50% due 10/03/19		129,861		123,367
Performance Food Group
6.25% due 11/14/19		98,744		98,826
Total Consumer, Non-cyclical				222,193
Total Senior Floating Rate Interests
(Cost $6,924,138)				6,881,737

MORTGAGE-BACKED SECURITIES^†† - 5.5%
Boca Hotel Portfolio Trust
2013-BOCA,3.22% due 08/15/26^1,3		1,000,000		998,818
Luminent Mortgage Trust 2006-2
2006-2,0.37% due 02/25/46¹		1,325,494		991,513
Hilton USA Trust 2013-HLT
2013-HLT,4.41% due 11/05/30³		950,000		977,767
American Home Mortgage Investment Trust 2006-1
2006-1,0.57% due 03/25/46¹		1,169,259		971,672
Alternative Loan Trust 2003-18CB
2003-18CB,5.25% due 09/25/33		922,928		958,758
Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-AR9 Trust
2006-AR9,0.97% due 11/25/46¹		594,555		414,422
Chase Mortgage Finance Trust Series 2006-S3
2006-S3,6.00% due 11/25/36		403,766		352,565
GMAC Commercial Mortgage Asset Corp.
2003-PRES,6.24% due 10/10/41^†††,3		240,088		271,419
Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-8 Trust
2006-8,4.82% due 10/25/36		330,570		262,755
Structured Asset Mortgage Investments II Trust 2006-AR1
2006-AR1,0.40% due 02/25/36¹		210,319		175,225
American Home Mortgage Assets Trust 2007-1
2007-1,0.83% due 02/25/47¹		218,976		139,262
JP Morgan Mortgage Trust 2006-A3
2006-A3, 2.59% due 04/25/36¹		65,947		56,787
Ginnie Mae
#518436, 7.25% due 09/15/29		9,261		9,826
Fannie Mae⁹
1990-68, 6.95% due 07/25/20		682		734
1990-103, 7.50% due 09/25/20		216		234
Freddie Mac⁹
1990-188,7.00% due 09/15/21		350		383
Total Mortgage-Backed Securities
(Cost $6,533,404)				6,582,140

U.S. GOVERNMENT SECURITIES^†^† - 1.6%
U.S. Treasury Notes
2.25% due 11/15/24		916,000		941,691
U.S. Treasury Bonds
0.00% due 05/15/44⁷		1,328,400		621,222
0.00% due 11/15/44⁷		680,000		313,969
Total U.S. Treasury Bonds				935,191
Total U.S. Government Securities
(Cost $1,795,246)				1,876,882

FOREIGN GOVERNMENT BONDS^†† - 0.9%
Kenya Government International Bond
6.88% due 06/24/24³		500,000		522,125
Mexico Government International Bond
4.60% due 01/23/46		500,000		511,250
Total Foreign Government Bonds
(Cost $1,019,234)				1,033,375

	Contracts
OPTIONS PURCHASED^† - 0.2%
Call options on:
September 2015 iShares 7-10 Year Treasury Bond ETF Expiring with strike price of $109.00		1,214		145,680
September 2015 iShares 20+ Year Treasury Bond ETF Expiring with strike price of $134.00		469		94,269
Total Call options				239,949
Total Options Purchased
(Cost $272,698)				239,949
Total Investments - 111.2%
(Cost $132,586,958)			$	133,260,082

Series E (Total Return Bond Series)
SCHEDULE OF INVESTMENTS (Unaudited)	March 31, 2015

	Contracts		Value
OPTIONS WRITTEN^† - (0.1)%
Call options on:
iShares 20+ Year Treasury Bond ETF Expiring September 2015 with strike price of $139.00		469	$	(44,086	)
iShares 7-10 Year Treasury Bond ETF Expiring September 2015 with strike price of $111.00		1,214		(103,190	)
Total Call options				(147,276	)
Total Options Written
(Premiums received $127,686)			$	(147,276	)
Other Assets & Liabilities, net - (11.1)%				(13,336,889	)
Total Net Assets - 100.0%			$	119,775,917

^†	Value determined based on Level 1 inputs, unless otherwise noted — See Note 3.
^††	Value determined based on Level 2 inputs, unless otherwise noted — See Note 3.
^†††	Value determined based on Level 3 inputs — See Note 3.
¹	Variable rate security. Rate indicated is rate effective at March 31, 2015.
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 $61,262,955 (cost $61,086,465), or 51.2% 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 5.
⁵	Security is a step up/step down bond. The coupon increases or decreases at regular intervals until the bond reaches full maturity.
⁶	Illiquid security.
⁷	Zero coupon rate security.
⁸	Security or a portion thereof is held as collateral for reverse repurchase agreements.
⁹	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.
¹⁰	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 $254,706 (cost $250,000) or 0.2% of total net assets — See Note 7.
	plc — Public Limited Company
	REIT — Real Estate Investment Trust

Series F (Floating Rate Strategies Series)
SCHEDULE OF INVESTMENTS (Unaudited)	March 31, 2015

	Shares		Value
SHORT TERM INVESTMENTS^† - 9.7%
Federated U.S. Treasury Cash Reserve Fund 0.00%		5,059,070	$	5,059,070
Total Short Term Investments
(Cost $5,059,070)				5,059,070

	Face Amount
SENIOR FLOATING RATE INTERESTS^††- 83.2%
Industrial - 17.4%
Element Materials Technology
5.25% due 08/06/21	$	547,250	547,249
B/E Aerospace
4.00% due 12/16/21		498,750	502,281
CareCore National LLC
5.50% due 03/05/21		496,368	498,850
Gates Global, Inc.
4.25% due 07/05/21		500,000	497,815
Brickman Group Holdings, Inc.
4.00% due 12/18/20		494,256	491,646
GYP Holdings III Corp.
4.75% due 04/01/21		496,250	482,916
Landmark Aviation (US)
4.75% due 10/25/19		461,999	462,230
AlliedBarton Security Services LLC
4.25% due 02/12/21		439,414	439,050
Power Borrower, LLC
4.25% due 05/06/20		429,060	424,769
Knowledge Learning Corp.
5.25% due 03/18/21		396,000	399,299
US Infrastructure Corp.
4.00% due 07/10/20		393,000	390,053
Thermasys Corp.
5.25% due 05/03/19		385,000	384,038
Nord Anglia Education Finance LLC
4.50% due 03/31/21		347,375	347,375
Amber Bidco Foster + Partners
4.75% due 06/30/21^{†††, 1}		350,000	343,630
Quikrete Holdings, Inc.
4.00% due 09/28/20		300,000	301,125
Connolly Corp.
5.00% due 05/14/21		297,750	299,054
Mitchell International, Inc.
8.50% due 10/11/21		300,000	296,937
Mast Global
8.75% due 09/12/19^†††,1		257,223	255,277
VAT Holding AG
4.75% due 02/11/21		247,500	246,468
Doncasters Group Ltd.
9.50% due 10/09/20		220,690	219,586
syncreon
5.25% due 10/28/20		197,500	189,106
SI Organization
5.75% due 11/23/19		186,993	187,647
Crosby Worldwide
3.75% due 11/23/20		167,651	154,449
Learning Care Group (US), Inc.
5.50% due 05/05/21		148,875	149,433
Ceva Logistics US Holdings
6.50% due 03/19/21		156,059	145,850
NANA Development Corp.
8.00% due 03/15/18¹		150,000	143,625
Ceva Logistics Holdings BV (Dutch)
6.50% due 03/19/21		113,143	105,741
Ceva Group plc (United Kingdom)
6.50% due 03/19/21		108,374	101,285
Pregis Holding I Corp.
5.00% due 05/20/21		99,250	99,332
Landmark Aviation (CAD)
4.75% due 10/25/19		18,337	18,346
Ceva Logistics Canada, ULC
6.50% due 03/19/21		19,507	18,231
Total Industrial			9,142,693
Consumer, Cyclical - 14.8%
American Tire Distributors, Inc.
5.25% due 09/24/21		347,874	349,178
7.00% due 06/01/18		346,997	346,997
BJ's Wholesale Club, Inc.
4.50% due 09/26/19		595,477	595,210
Compucom Systems, Inc.
4.25% due 05/07/20		600,000	558,001
Fitness International LLC
5.50% due 07/01/20		595,500	553,816
PetSmart, Inc.
5.00% due 03/11/22		500,000	503,615
Eyemart Express
5.00% due 12/18/21		500,000	502,500
Ceridian Corp.
4.50% due 09/15/20		505,061	497,172
Ipreo Holdings
4.25% due 08/06/21		500,000	495,625
Sears Holdings Corp.
5.50% due 06/30/18		500,000	492,030
National Vision, Inc.
4.00% due 03/12/21		450,000	444,564
Warner Music Group
3.75% due 07/01/20		448,861	437,639
Smart & Final Stores LLC
4.75% due 11/15/19		414,105	415,401
Information Resources, Inc.
4.75% due 09/26/20		394,000	396,628
Dave & Busters, Inc.
4.25% due 07/27/20		202,830	203,400
Acosta, Inc.
5.00% due 09/26/21		199,500	201,339
1-800 Contacts, Inc.
4.25% due 01/29/21		199,496	198,748
Ollies Bargain Outlet
4.75% due 09/28/19		184,535	182,690
Mattress Firm
5.25% due 10/20/21		149,625	150,560
Aecom Techology Corp.
3.75% due 10/15/21		127,961	129,048

Series F (Floating Rate Strategies Series)
SCHEDULE OF INVESTMENTS (Unaudited)	March 31, 2015

	Face Amount		Value
SENIOR FLOATING RATE INTERESTS^††- 83.2% (continued)
Consumer, Cyclical - 14.8% (continued)
Fleetpride Corp.
5.25% due 11/19/19	$	122,997	$	121,921
Total Consumer, Cyclical				7,776,082
Technology - 13.7%
Active Network, Inc., The
5.50% due 11/13/20		727,511		724,178
TIBCO Software, Inc.
6.50% due 12/04/20		500,000		499,529
Eze Castle Software, Inc.
4.00% due 04/06/20		500,000		497,084
Go Daddy Operating Company, LLC
4.75% due 05/13/21		493,229		494,921
Flexera Software LLC
4.50% due 04/02/20		322,013		321,208
8.00% due 04/02/21		100,000		97,500
American Builders & Contractors Supply Co., Inc.
3.50% due 04/16/20		397,980		396,885
Greenway Medical Technologies
6.00% due 11/04/20¹		395,000		395,000
Sabre, Inc.
4.50% due 02/19/19		394,000		393,902
EIG Investors Corp.
5.00% due 11/09/19		392,025		393,252
LANDesk Group, Inc.
5.00% due 02/25/20		394,020		393,035
Aspect Software, Inc.
7.25% due 05/07/16		370,000		368,150
Advanced Computer Software
6.50% due 01/31/22		250,000		246,563
10.50% due 01/31/23		100,000		96,000
Wall Street Systems
4.50% due 04/30/21		300,543		298,854
MSC Software Corp.
5.00% due 05/29/20		266,250		267,581
Evergreen Skill
5.75% due 04/28/21		264,916		261,605
Telx Group
4.50% due 04/09/20		148,875		147,882
7.50% due 04/09/21		100,000		98,625
CCC Information Services, Inc.
4.00% due 12/20/19		244,987		243,763
Renaissance Learning Corp.
4.50% due 04/09/21		207,601		203,102
Sparta Holding Corp.
7.50% due 07/28/20^†††		199,500		197,705
Infor, Inc.
3.75% due 06/03/20		166,972		165,094
Total Technology				7,201,418
Financial - 12.2%
National Financial Partners Corp.
4.50% due 07/01/20		548,872		546,930
Magic Newco, LLC
12.00% due 06/12/19		250,000		271,875
5.00% due 12/12/18		245,845		246,019
York Risk Services
4.75% due 10/01/21		498,747		496,667
AssuredPartners
5.00% due 04/02/21		497,501		495,949
Transunion Holding Co.
4.00% due 04/09/21		495,000		494,693
Lineage Logistics LLC
4.50% due 04/07/21		495,000		490,362
HUB International Ltd.
4.00% due 10/02/20		492,525		488,127
HDV Holdings
5.75% due 09/17/20¹		470,000		465,347
STG-Fairway Acquisitions, Inc.
6.25% due 02/28/19		392,004		389,554
Cunningham Lindsey U.S., Inc.
5.00% due 12/10/19		391,980		385,120
DTZ US Borrower, LLC
5.50% due 11/04/21		300,000		301,500
American Stock Transfer & Trust
5.75% due 06/26/20		288,457		287,014
Fly Leasing Ltd.
4.50% due 08/09/19		281,250		281,953
Intertrust Group
7.28% due 04/11/22		200,000		199,084
Corporate Capital Trust
4.00% due 05/20/19		198,500		198,500
Harbourvest
3.25% due 02/04/21		164,422		162,367
Expert Global Solutions
8.50% due 04/03/18		161,981		161,508
Total Financial				6,362,569
Consumer, Non-cyclical - 11.0%
Dollar Tree, Inc.
4.25% due 03/09/22		750,000		757,604
Phillips-Medsize Corp.
4.75% due 06/16/21		595,500		594,505
Albertson's (Safeway) Holdings LLC
5.50% due 08/25/21		550,000		554,355
Grocery Outlet, Inc.
5.75% due 10/21/21		498,750		500,311
Par Pharmaceuticals
4.25% due 09/30/19		498,750		498,127
Performance Food Group
6.25% due 11/14/19		494,359		494,770
NES Global Talent
6.50% due 10/03/19		434,535		412,809
Reddy Ice Holdings, Inc.
6.75% due 04/01/19¹		392,982		343,860
Arctic Glacier Holdings, Inc.
6.00% due 05/10/19		319,805		317,407
Authentic Brands
5.50% due 05/27/21		297,750		297,997
Valeant Pharmaceuticals International, Inc.
4.00% due 03/11/22		283,133		284,322

Series F (Floating Rate Strategies Series)
SCHEDULE OF INVESTMENTS (Unaudited)	March 31, 2015

	Face Amount		Value
SENIOR FLOATING RATE INTERESTS^††- 83.2% (continued)
Consumer, Non-cyclical - 11.0% (continued)
PPDI
4.00% due 12/05/18	$	249,362	$	249,258
Mitel Networks Corp.
5.25% due 01/31/20		196,558		196,517
Hearthside Foods
4.50% due 06/02/21		148,875		149,682
CTI Foods Holding Co. LLC
8.25% due 06/28/21		100,000		98,250
Total Consumer, Non-cyclical				5,749,774
Communications - 8.4%
Cengage Learning Acquisitions, Inc.
7.00% due 03/31/20		842,989		845,400
Ziggo BV
3.50% due 01/15/22		500,000		496,664
Internet Brands
5.00% due 07/08/21		494,567		493,795
Univision Communications, Inc.
4.00% due 03/01/20		448,821		447,780
Avaya, Inc.
6.50% due 03/31/18		244,215		243,436
4.68% due 10/26/17		198,822		195,524
Live Nation Worldwide, Inc.
3.50% due 08/14/20		394,000		393,015
Asurion Corp.
5.00% due 05/24/19		382,497		383,346
MergerMarket Ltd.
4.50% due 02/04/21		346,500		336,105
Virgin Media Investment Holdings Ltd.
3.50% due 06/07/20		300,000		299,439
Anaren, Inc.
5.50% due 02/18/21		148,125		147,755
9.25% due 08/18/21		100,000		99,000
Internet Brands
5.00% due 07/08/21^†††		3,137		3,137
Total Communications				4,384,396
Basic Materials - 3.5%
Royal Adhesives and Sealants
5.50% due 07/31/18		426,068		427,134
CPG International, Inc.
4.75% due 09/30/20		394,000		387,302
Ennis-Flint
4.25% due 03/31/21		297,000		291,431
7.75% due 09/30/21		100,000		90,000
INEOS US Finance LLC
4.25% due 03/11/22		200,000		200,050
Atkore International, Inc.
7.75% due 10/09/21		200,000		193,000
Minerals Technologies, Inc.
4.00% due 05/07/21		183,103		183,789
WR Grace & Co.
2.75% due 02/03/21		57,590		57,518
WR Grace & Co.
2.75% due 02/03/21^†††		20,724		20,673
Total Basic Materials				1,850,897
Utilities - 1.4%
Veresen Midstream LP
6.00% due 04/01/22		500,000		499,125
Expro Holdings UK 3 Ltd.
5.75% due 09/02/21		249,375		211,792
Total Utilities				710,917
Energy - 0.8%
Cactus Wellhead
7.00% due 07/31/20		547,250		333,823
Floatel International Ltd.
6.00% due 06/27/20		118,153		86,104
Total Energy				419,927
Total Senior Floating Rate Interests
(Cost $43,995,538)				43,598,673

ASSET-BACKED SECURITIES^†† - 10.8%
Gramercy Real Estate CDO 2007-1 Ltd.
2007-1A, 0.54% due 08/15/56^2,3		465,486		419,404
Castlelake Aircraft Securitization Trust 2014-1
2014-1, 5.25% due 02/15/29		419,499		416,353
Cedar Woods CRE CDO Ltd.
2006-1A, 0.44% due 07/25/51		378,902		342,641
N-Star Real Estate CDO IX Ltd.
0.49% due 02/01/41¹		333,134		318,343
GreenPoint Mortgage Funding Trust 2005-HE4
2005-HE4, 0.88% due 07/25/30²		308,621		294,974
RAIT CRE CDO I Ltd.
2006-1X, 0.49% due 11/20/46		309,538		284,898
Salus CLO Ltd.
2013-1AN, 4.98% due 03/05/21^2,3		250,000		251,450
DIVCORE CLO Ltd.
2013-1A B, 4.07% due 11/15/32		250,000		251,250
OZLM Funding Ltd.
2012-2A, 3.50% due 10/30/23^2,3		250,000		250,000
COA Summit CLO Limited 2014-1
2014-1A, 4.10% due 04/20/23^2,3		250,000		248,175
Acis CLO 2013-2 Ltd.
2013-2A, 4.10% due 10/14/22^2,3		250,000		247,725
Garrison Funding 2013-2 Ltd.
2013-2A, 4.88% due 09/25/23^2,3		250,000		247,700
Jasper CLO Ltd.
2005-1A, 1.15% due 08/01/17^2,3		250,000		246,000
Duane Street CLO IV Ltd.
2007-4A, 2.51% due 11/14/21^2,3		250,000		243,475
NewStar Commercial Loan Funding 2013-1 LLC
2013-1A, 4.80% due 09/20/23^2,3		250,000		243,050

Series F (Floating Rate Strategies Series)
SCHEDULE OF INVESTMENTS (Unaudited)	March 31, 2015

	Face Amount		Value
ASSET-BACKED SECURITIES^†† - 10.8% (continued)
Kingsland III Ltd.
2006-3A, 1.86% due 08/24/21^2,3	$	250,000	$	241,400
NewStar Arlington Senior Loan Program LLC
2014-1A, 3.56% due 07/25/25^2,3		250,000		239,550
ALM XIV Ltd.
2014-14A, 3.71% due 07/28/26^2,3		250,000		237,400
Cerberus Onshore II CLO LLC
2014-1A, 4.25% due 10/15/23^2,3		250,000		236,900
Kingsland IV Ltd.
2007-4A, 1.70% due 04/16/21^2,3		250,000		233,375
Wachovia Asset Securitization Issuance II LLC 2007-HE1 Trust
2007-HE1, 0.31% due 07/25/37^2,3		135,311		119,045
New Century Home Equity Loan Trust 2004-4
2004-4, 0.97% due 02/25/35²		48,973		43,904
West Coast Funding Ltd.
2006-1A, 0.40% due 11/02/41^2,3		7,978		7,929
Total Asset-Backed Securities
(Cost $5,501,629)				5,664,941

COLLATERALIZED MORTGAGE OBLIGATIONS^†† - 1.3%
GreenPoint Mortgage Funding Trust
2006-AR1,0.46% due 02/25/36²		236,692		203,717
Nomura Resecuritization Trust 2012-1R
2012-1R,0.62% due 08/27/47^2,3		141,147		130,561
HarborView Mortgage Loan Trust 2006-12
2006-12,0.37% due 01/19/38²		153,334		129,522
Bear Stearns Mortgage Funding Trust 2007-AR5
2007-AR5,0.34% due 06/25/47²		148,394		118,570
Morgan Stanley Re-REMIC Trust 2010-R5
2010-R5,0.48% due 06/26/36^2,3		125,959		90,518
Total Collateralized Mortgage Obligations
(Cost $678,098)				672,888
Total Investments - 105.0%
(Cost $55,234,335)			$	54,995,572
Other Assets & Liabilities, net - (5.0)%				(2,638,434	)
Total Net Assets - 100.0%			$	52,357,138

^†	Value determined based on Level 1 inputs — See Note 3.
^††	Value determined based on Level 2 inputs, unless otherwise noted — See Note 3.
^†††	Value determined based on Level 3 inputs — See Note 3.
¹	Illiquid security.
²	Variable rate security. Rate indicated is rate effective at March 31, 2015.
³	Security is a 144A or Section 4(a)(2) security. The total market value of 144A or Section 4(a)(2) securities is $3,933,657 (cost $3,880,595), or 7.5% of total net assets. These securities have been determined to be liquid under guidelines established by the Board of Trustees.
	plc — Public Limited Company

Series J (StylePlus—Mid Growth Series)
SCHEDULE OF INVESTMENTS (Unaudited)	March 31, 2015

	Shares		Value
COMMON STOCKS^† - 14.9%
Consumer, Non-cyclical - 5.7%
Kroger Co.		5,920	$	453,827
Catamaran Corp.^*		6,098		363,075
AmerisourceBergen Corp. — Class A		3,116		354,195
Mylan N.V.^*		5,692		337,821
Cigna Corp.		2,253		291,628
Constellation Brands, Inc. — Class A^*		2,346		272,629
Vertex Pharmaceuticals, Inc.^*		2,274		268,264
Archer-Daniels-Midland Co.		5,519		261,601
Hertz Global Holdings, Inc.^*		11,717		254,025
Dr Pepper Snapple Group, Inc.		3,157		247,761
CR Bard, Inc.		1,412		236,298
Western Union Co.		10,954		227,953
Coca-Cola Enterprises, Inc.		5,136		227,011
Boston Scientific Corp.^*		12,518		222,195
United Rentals, Inc.^*		2,376		216,596
St. Jude Medical, Inc.		3,267		213,662
DaVita HealthCare Partners, Inc.^*		2,501		203,281
Kellogg Co.		3,067		202,269
Zoetis, Inc.		4,206		194,696
Mead Johnson Nutrition Co. — Class A		1,926		193,621
Brown-Forman Corp. — Class B		2,078		187,747
Hershey Co.		1,664		167,914
Universal Health Services, Inc. — Class B		1,396		164,323
Cardinal Health, Inc.		1,817		164,021
HCA Holdings, Inc.^*		2,064		155,275
Illumina, Inc.^*		830		154,081
Darling Ingredients, Inc.^*		10,827		151,686
Henry Schein, Inc.^*		1,077		150,371
Monster Beverage Corp.^*		1,061		146,837
RR Donnelley & Sons Co.		7,621		146,247
Ingredion, Inc.		1,860		144,745
BioMarin Pharmaceutical, Inc.^*		1,154		143,811
Campbell Soup Co.		3,062		142,536
McGraw Hill Financial, Inc.		1,348		139,383
Quanta Services, Inc.^*		4,820		137,515
Clorox Co.		1,218		134,455
Endo International plc^*		1,461		131,052
Perrigo Company plc		788		130,453
Spectrum Brands Holdings, Inc.		1,405		125,832
Avis Budget Group, Inc.^*		2,091		123,400
Whole Foods Market, Inc.		2,147		111,816
Jazz Pharmaceuticals plc^*		630		108,858
Total System Services, Inc.		2,766		105,523
Hologic, Inc.^*		3,159		104,326
DENTSPLY International, Inc.		2,049		104,274
Booz Allen Hamilton Holding Corp.		3,562		103,084
Keurig Green Mountain, Inc.		861		96,200
KAR Auction Services, Inc.		2,383		90,387
Vantiv, Inc. — Class A^*		2,374		89,500
Incyte Corp.^*		937		85,885
Alkermes plc^*		1,318		80,358
Mallinckrodt plc^*		628		79,536
Intuitive Surgical, Inc.^*		149		75,249
Total Consumer, Non-cyclical				9,419,088
Industrial - 2.3%
Parker-Hannifin Corp.		2,649		314,648
Dover Corp.		3,790		261,965
Corning, Inc.		10,777		244,422
Stanley Black & Decker, Inc.		2,543		242,500
Tyco International plc		5,496		236,658
Rockwell Automation, Inc.		2,024		234,764
Pentair plc		2,956		185,903
Huntington Ingalls Industries, Inc.		1,307		183,176
Fluor Corp.		2,734		156,275
Agilent Technologies, Inc.		3,443		143,057
Triumph Group, Inc.		2,365		141,238
Waste Management, Inc.		2,427		131,616
Trimble Navigation Ltd.^*		5,040		127,008
Ingersoll-Rand plc		1,834		124,859
Roper Industries, Inc.		711		122,292
TransDigm Group, Inc.		543		118,765
Timken Co.		2,800		117,992
Lincoln Electric Holdings, Inc.		1,654		108,155
Kansas City Southern		1,057		107,899
Avnet, Inc.		2,409		107,201
Waste Connections, Inc.		2,185		105,186
Xylem, Inc.		2,906		101,768
Clean Harbors, Inc.^*		1,592		90,394
Moog, Inc. — Class A^*		1,087		81,579
B/E Aerospace, Inc.		1,249		79,461
Total Industrial				3,868,781
Consumer, Cyclical - 2.1%
United Continental Holdings, Inc.^*		5,876		395,161
PACCAR, Inc.		5,708		360,403
Southwest Airlines Co.		7,740		342,882
Macy's, Inc.		4,109		266,715
WW Grainger, Inc.		970		228,736
PVH Corp.		1,960		208,858
The Gap, Inc.		4,249		184,109
Allison Transmission Holdings, Inc.		5,411		172,827
Harley-Davidson, Inc.		2,815		170,983
Tesla Motors, Inc.^*		765		144,409
Kohl's Corp.		1,729		135,294
Genuine Parts Co.		1,434		133,634
Dollar General Corp.*		1,755		132,292
Dollar Tree, Inc.^*		1,551		125,856
Whirlpool Corp.		586		118,407
Best Buy Company, Inc.		3,044		115,033
O'Reilly Automotive, Inc.^*		507		109,634
Hilton Worldwide Holdings, Inc.^*		2,716		80,448
Wyndham Worldwide Corp.		845		76,447
Restaurant Brands International, Inc.		1,895		72,787
Total Consumer, Cyclical				3,574,915
Technology - 2.1%
Applied Materials, Inc.		10,409		234,827
NetApp, Inc.		6,350		225,171
Avago Technologies Ltd.		1,653		209,898

Series J (StylePlus—Mid Growth Series)
SCHEDULE OF INVESTMENTS (Unaudited)	March 31, 2015

	Shares		Value
COMMON STOCKS^† - 14.9% (continued)
Technology - 2.1% (continued)
IHS, Inc. — Class A^*		1,792	$	203,858
Citrix Systems, Inc.^*		3,141		200,617
Computer Sciences Corp.		3,033		197,994
Fiserv, Inc.^*		2,315		183,811
SanDisk Corp.		2,807		178,581
Activision Blizzard, Inc.		7,639		173,596
Intuit, Inc.		1,727		167,450
Pitney Bowes, Inc.		7,171		167,228
Xilinx, Inc.		3,926		166,070
KLA-Tencor Corp.		2,655		154,760
Teradyne, Inc.		7,638		143,976
Cerner Corp.^*		1,817		133,113
DST Systems, Inc.		1,061		117,463
Maxim Integrated Products, Inc.		3,257		113,376
Riverbed Technology, Inc.^*		5,167		108,041
Workday, Inc. — Class A^*		1,243		104,922
PTC, Inc.^*		2,763		99,938
ServiceNow, Inc.^*		1,248		98,317
VeriFone Systems, Inc.^*		2,611		91,098
NCR Corp.^*		3,009		88,796
Total Technology				3,562,901
Communications - 1.8%
Omnicom Group, Inc.		3,747		292,191
Twitter, Inc.^*		5,416		271,233
LinkedIn Corp. — Class A^*		1,023		255,607
Juniper Networks, Inc.		10,481		236,661
Liberty Interactive Corp. — Class A^*		6,700		195,573
Netflix, Inc.^*		443		184,594
Alliance Data Systems Corp.^*		604		178,935
CenturyLink, Inc.		4,844		167,360
ARRIS Group, Inc.^*		4,990		144,186
Harris Corp.		1,673		131,765
Level 3 Communications, Inc.^*		2,004		107,895
Nielsen N.V.		2,353		104,873
Charter Communications, Inc. — Class A^*		515		99,452
Interpublic Group of Companies, Inc.		4,481		99,120
Viacom, Inc. — Class B		1,432		97,806
Discovery Communications, Inc. — Class A^*		3,158		97,140
CommScope Holding Company, Inc.^*		3,191		91,071
Cablevision Systems Corp. — Class A		4,728		86,522
DISH Network Corp. — Class A^*		1,229		86,104
EchoStar Corp. — Class A^*		1,655		85,597
Sirius XM Holdings, Inc.^*		20,804		79,471
Total Communications				3,093,156
Energy - 0.7%
Cheniere Energy, Inc.^*		2,626		203,253
Valero Energy Corp.		2,905		184,816
Chesapeake Energy Corp.		11,636		164,766
HollyFrontier Corp.		3,214		129,428
Cameron International Corp.^*		2,087		94,165
Concho Resources, Inc.^*		811		94,011
ONEOK, Inc.		1,827		88,134
Nabors Industries Ltd.		6,425		87,701
Superior Energy Services, Inc.		3,896		87,037
Southwestern Energy Co.^*		3,446		79,913
Total Energy				1,213,224
Financial - 0.2%
Ameriprise Financial, Inc.		1,346		176,111
Crown Castle International Corp.		1,856		153,194
T. Rowe Price Group, Inc.		928		75,149
Total Financial				404,454
Total Common Stocks
(Cost $23,322,782)				25,136,519

MUTUAL FUNDS^†^,1 - 70.2%
Guggenheim Strategy Fund I		1,639,068		40,812,791
Guggenheim Variable Insurance Strategy Fund III		1,524,928		38,062,191
Guggenheim Strategy Fund II		1,114,651		27,765,967
Guggenheim Strategy Fund III		475,265		11,857,853
Total Mutual Funds
(Cost $118,481,623)				118,498,802

SHORT TERM INVESTMENTS^† - 5.2%
Dreyfus Treasury Prime Cash Management Fund 0.00%		8,826,680		8,826,680
Total Short Term Investments
(Cost $8,826,680)				8,826,680

	Face Amount
ASSET-BACKED SECURITIES^†† - 8.5%
Duane Street CLO IV Ltd.
2007-4A, 0.49% due 11/14/21^2,3	$	1,314,304	1,303,657
Goldman Sachs Asset Management CLO plc
2007-1A, 3.00% due 08/01/22^2,3		1,200,000	1,201,800
Brentwood CLO Corp.
2006-1A, 0.52% due 02/01/22^2,3		799,979	788,619
2006-1A, 1.07% due 02/01/22^2,3		400,000	379,720
Salus CLO Ltd.
2013-1AN, 2.48% due 03/05/21^2,3		1,100,000	1,101,320
Symphony CLO IX, LP
2012-9A, 2.75% due 04/16/22^2,3		500,000	501,850
2012-9A, 3.50% due 04/16/22^2,3		500,000	501,700
KKR Financial CLO 2007-1 Ltd.
2007-1A, 2.51% due 05/15/21^2,3		950,000	946,295
Black Diamond CLO 2005-1 Delaware Corp.
2005-1A, 2.17% due 06/20/17^2,3		900,000	881,010
Cornerstone CLO Ltd.
2007-1A, 0.47% due 07/15/21^2,3		882,619	875,028
N-Star REL CDO VIII Ltd.
2006-8A, 0.47% due 02/01/41^2,3		866,149	849,952

Series J (StylePlus—Mid Growth Series)
SCHEDULE OF INVESTMENTS (Unaudited)	March 31, 2015

	Face Amount		Value
ASSET-BACKED SECURITIES^†† - 8.5% (continued)
GSC Group CDO Fund VIII Ltd.
2007-8A, 0.64% due 04/17/21^2,3	$	850,000	$	839,035
Symphony CLO VII Ltd.
2011-7A, 3.46% due 07/28/21^2,3		750,000		749,100
Black Diamond CLO 2006-1 Luxembourg S.A.
2007-1A, 0.64% due 04/29/19^2,3		700,000		672,140
OFSI Fund V Ltd.
2013-5A, 3.46% due 04/17/25^2,3		600,000		592,620
Foothill CLO Ltd.
2007-1A, 0.51% due 02/22/21^2,3		544,262		540,289
Halcyon Loan Advisors Funding 2012-1 Ltd.
2012-1A, 3.26% due 08/15/23^2,3		500,000		488,250
NewStar Commercial Loan Trust 2007-1
2007-1A, 1.56% due 09/30/22^2,3		500,000		475,650
Race Point IV CLO Ltd.
2007-4A, 1.00% due 08/01/21^2,3		300,000		291,780
Tricadia CDO 2006-6 Ltd.
2006-6A, 0.81% due 11/05/41^2,3		153,771		153,033
Global Leveraged Capital Credit Opportunity Fund
2006-1A, 0.56% due 12/20/18^2,3		89,539		89,297
West Coast Funding Ltd.
2006-1A, 0.40% due 11/02/41^2,3		74,701		74,246
Golub Capital Partners Fundings Ltd.
2007-1A, 0.52% due 03/15/22^2,3		73,524		73,194
Total Asset-Backed Securities
(Cost $14,157,038)				14,369,585

COLLATERALIZED MORTGAGE OBLIGATION^†† - 0.5%
SRERS-2011 Funding Ltd.
2011-RS,0.43% due 05/09/46^2,3		925,118		879,602
Total Collateralized Mortgage Obligation
(Cost $821,537)				879,602
Total Investments - 99.3%
(Cost $165,609,660)			$	167,711,188
Other Assets & Liabilities, net - 0.7%				1,207,346
Total Net Assets - 100.0%			$	168,918,534

	Units		Unrealized Gain (Loss)
OTC EQUITY INDEX SWAP AGREEMENTS^††
Deutsche Bank May 2015 Russell MidCap Growth Index Swap, Terminating 05/05/15⁴ (Notional Value $141,499,903)		180,007	$	—

^*	Non-income producing security.
^†	Value determined based on Level 1 inputs — See Note 3.
^††	Value determined based on Level 2 inputs — See Note 3.
¹	Affiliated issuer — See Note 5.
²	Variable rate security. Rate indicated is rate effective at March 31, 2015.
³	Security is a 144A or Section 4(a)(2) security. The total market value of 144A or Section 4(a)(2) securities is $15,249,187 (cost $14,978,575), or 9.0% 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 MidCap Growth Index +/- financing at a variable rate.
	plc — Public Limited Company

Series M (Macro Opportunities Series)
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)	March 31, 2015

	Shares		Value
PREFERRED STOCKS^† - 2.0%
Financial - 1.0%
Aspen Insurance Holdings Ltd. 5.95%^1,2		10,000	$	256,800
CoBank ACB 6.20%^1,2		1,000		102,156
Total Financial				358,956
Industrial - 1.0%
Seaspan Corp. 6.38% due 04/30/19		14,000		352,520
Total Preferred Stocks
(Cost $700,000)				711,476

EXCHANGE-TRADED FUNDS^†- 3.5%
iShares MSCI Spain Capped ETF		10,848		377,294
iShares MSCI Italy Capped ETF		24,770		366,596
SPDR EURO STOXX 50 ETF		9,305		361,220
iShares iBoxx $ High Yield Corporate Bond ETF		1,700		154,037
Total Exchange-Traded Funds
(Cost $1,301,614)				1,259,147

MUTUAL FUNDS^†,3 - 20.1%
Guggenheim Limited Duration Fund — Institutional Class		224,547		5,582,240
Guggenheim Macro Opportunities Fund — Institutional Class		56,914		1,539,531
Total Mutual Funds
(Cost $7,125,579)				7,121,771

SHORT TERM INVESTMENTS^† - 2.1%
Federated U.S. Treasury Cash Reserve Fund 0.00%		753,910		753,910
Total Short Term Investments
(Cost $753,910)				753,910

	Face Amount
ASSET-BACKED SECURITIES^†† - 25.1%
Gramercy Real Estate CDO 2007-1 Ltd.
2007-1A, 0.54% due 08/15/56^1,4	$	620,648	559,204
LCM X, LP
2014-10AR, 4.00% due 04/15/22^1,4		500,000	498,850
Castlelake Aircraft Securitization Trust 2014-1
2014-1, 5.25% due 02/15/29		419,499	416,353
Great Lakes CLO 2014-1 Ltd.
2014-1A, 4.45% due 04/15/25^1,4		350,000	325,360
N-Star Real Estate CDO IX Ltd.
0.49% due 02/01/41⁵		333,134	318,343
Cedar Woods CRE CDO Ltd.
2006-1A, 0.44% due 07/25/51		349,755	316,284
CIT Mortgage Loan Trust 2007-1
2007-1, 1.62% due 10/25/37^1,4		325,000	308,790
Structured Asset Securities Corporation Mortgage Loan Trust 2006-OPT1
2006-OPT1, 0.43% due 04/25/36¹		300,000	272,242
GreenPoint Mortgage Funding Trust 2005-HE4
2005-HE4, 0.88% due 07/25/30¹		264,532	252,835
DIVCORE CLO Ltd.
2013-1A B, 4.07% due 11/15/32		250,000	251,250
NewStar Commercial Loan Funding 2014-1 LLC
2014-1A, 5.01% due 04/20/25^1,4		250,000	250,000
Northwoods Capital VII Ltd.
2006-7A, 3.76% due 10/22/21^1,4		250,000	249,375
RAIT CRE CDO I Ltd.
2006-1X, 0.49% due 11/20/46		270,845	249,286
COA Summit CLO Limited 2014-1
2014-1A, 4.10% due 04/20/23^1,4		250,000	248,175
Garrison Funding 2013-2 Ltd.
2013-2A, 4.88% due 09/25/23^1,4		250,000	247,700
Salus CLO Ltd.
2013-1AN, 6.98% due 03/05/21^1,4		250,000	247,350
NewStar Commercial Loan Funding 2013-1 LLC
2013-1A, 5.55% due 09/20/23^1,4		250,000	247,025
Telos CLO Ltd.
2013-3A, 4.51% due 01/17/24^1,4		250,000	245,975
Battalion Clo 2007-I Ltd.
2007-1A, 2.40% due 07/14/22^1,4		250,000	244,025
Black Diamond CLO 2005-2 Delaware Corp.
2005-2A, 2.07% due 01/07/18^1,4		250,000	243,025
ColumbusNova CLO Limited 2007-I
2007-1A, 1.61% due 05/16/19^1,4		250,000	242,500
KVK CLO 2014-1 Ltd.
2014-1A, 3.16% due 05/15/26^1,4		250,000	241,800
Kingsland III Ltd.
2006-3A, 1.86% due 08/24/21^1,4		250,000	241,400
ALM XIV Ltd.
2014-14A, 3.71% due 07/28/26^1,4		250,000	237,400
Cerberus Onshore II CLO LLC
2014-1A, 4.25% due 10/15/23^1,4		250,000	236,900
Kingsland IV Ltd.
2007-4A, 1.70% due 04/16/21^1,4		250,000	233,375
Emerald Aviation Finance Ltd.
2013-1, 6.35% due 10/15/38^4,6		227,865	231,283

Series M (Macro Opportunities Series)
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)	March 31, 2015

	Face Amount		Value
ASSET-BACKED SECURITIES^†† - 25.1% (continued)
Turbine Engines Securitization Ltd.
2013-1A, 6.37% due 12/13/48⁴	$	221,225	$	227,530
First Franklin Mortgage Loan Trust 2006-FF1
2006-FF1, 0.51% due 01/25/36¹		250,000		220,396
AMMC CLO XI Ltd.
2012-11A, 0.00% due 10/30/23⁴		250,000		152,075
Fortress Credit Opportunities III CLO, LP
2014-3A, 3.50% due 04/28/26^1,4		150,000		144,870
GSAA Home Equity Trust 2007-7
2007-7, 0.44% due 07/25/37¹		160,783		135,762
Tricadia CDO 2006-6 Ltd.
2006-6A, 1.01% due 11/05/41^1,4		100,000		97,390
Saxon Asset Securities Trust 2005-4
2005-4, 0.61% due 11/25/37¹		100,000		86,188
Wachovia Asset Securitization Issuance II LLC 2007-HE1 Trust
2007-HE1, 0.31% due 07/25/37^1,4		77,320		68,026
New Century Home Equity Loan Trust 2005-1
2005-1, 0.89% due 03/25/35¹		62,033		53,909
New Century Home Equity Loan Trust 2004-4
2004-4, 0.97% due 02/25/35¹		48,973		43,904
West Coast Funding Ltd.
2006-1A, 0.40% due 11/02/41^1,4		36,988		36,762
Total Asset-Backed Securities
(Cost $8,806,967)				8,922,917

SENIOR FLOATING RATE INTERESTS^††- 20.0%
Industrial - 5.4%
Rise Ltd.
4.74% due 02/12/39		466,146		469,642
AABS Ltd.
4.87% due 01/15/38		433,988		441,583
Power Borrower, LLC
8.25% due 11/06/20		125,000		121,563
4.25% due 05/06/20		115,011		113,860
US Infrastructure Corp.
4.00% due 07/10/20		200,000		198,500
Thermasys Corp.
5.25% due 05/03/19		120,313		120,012
Nord Anglia Education Finance LLC
4.50% due 03/31/21		99,250		99,250
Mitchell International, Inc.
8.50% due 10/11/21		100,000		98,979
syncreon
5.25% due 10/28/20		98,750		94,553
MRC Global, Inc.
5.00% due 11/08/19		98,500		94,462
NANA Development Corp.
8.00% due 03/15/18⁵		60,000		57,450
Total Industrial				1,909,854
Technology - 4.4%
Sophia, LP
4.00% due 07/19/18		299,180		298,730
EIG Investors Corp.
5.00% due 11/09/19		245,016		245,783
Deltek, Inc.
4.50% due 10/10/18		215,787		216,124
Wall Street Systems
4.50% due 04/30/21		171,739		170,774
Active Network, Inc., The
5.50% due 11/13/20		117,560		117,022
Greenway Medical Technologies
6.00% due 11/04/20⁵		98,750		98,750
LANDesk Group, Inc.
5.00% due 02/25/20		98,505		98,259
Go Daddy Operating Company, LLC
4.75% due 05/13/21		97,744		98,079
Aspect Software, Inc.
7.25% due 05/07/16		92,500		92,038
P2 Energy Solutions
5.00% due 10/30/20		78,851		76,387
Evergreen Skill
5.75% due 04/28/21		45,500		44,931
Total Technology				1,556,877
Financial - 3.6%
First Data Corp.
3.67% due 03/23/18		250,000		249,749
Intertrust Group
4.53% due 04/16/21		100,000		99,833
7.28% due 04/11/22		100,000		99,542
National Financial Partners Corp.
4.50% due 07/01/20		198,505		197,802
American Stock Transfer & Trust
5.75% due 06/26/20		192,304		191,343
STG-Fairway Acquisitions, Inc.
6.25% due 02/28/19		147,002		146,083
Magic Newco, LLC
12.00% due 06/12/19		125,000		135,938
HDV Holdings
5.75% due 09/17/20⁵		120,000		118,812
Expert Global Solutions
8.50% due 04/03/18		34,656		34,555
Total Financial				1,273,657
Consumer, Cyclical - 2.4%
Ollies Bargain Outlet
4.75% due 09/28/19		437,833		433,455
Men's Wearhouse
4.50% due 06/18/21		199,000		199,746
Advantage Sales & Marketing, Inc.
4.25% due 07/23/21		99,750		99,611
Sears Holdings Corp.
5.50% due 06/30/18		98,750		97,176

Series M (Macro Opportunities Series)
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)	March 31, 2015

	Face Amount		Value
SENIOR FLOATING RATE INTERESTS^††- 20.0% (continued)
Consumer, Cyclical - 2.4% (continued)
Fleetpride Corp.
5.25% due 11/19/19	$	27,925	$	27,680
Total Consumer, Cyclical				857,668
Communications - 1.5%
Avaya, Inc.
6.50% due 03/31/18		244,215		243,435
4.68% due 10/26/17		98,829		97,190
Interactive Data Corp.
4.75% due 05/02/21		99,250		99,643
Cengage Learning Acquisitions, Inc.
7.00% due 03/31/20		99,000		99,283
Total Communications				539,551
Basic Materials - 1.4%
Fortescue Metals Group Ltd.
3.75% due 06/30/19		300,000		270,444
CPG International, Inc.
4.75% due 09/30/20		124,684		122,564
Royal Adhesives and Sealants
5.50% due 07/31/18		106,517		106,783
Total Basic Materials				499,791
Consumer, Non-cyclical - 1.3%
Arctic Glacier Holdings, Inc.
6.00% due 05/10/19		159,903		158,703
Performance Food Group
6.25% due 11/14/19		122,813		122,914
Reddy Ice Holdings, Inc.
6.75% due 04/01/19⁵		98,246		85,965
NES Global Talent
6.50% due 10/03/19		86,907		82,562
Total Consumer, Non-cyclical				450,144
Total Senior Floating Rate Interests
(Cost $7,128,844)				7,087,542

CORPORATE BONDS^††- 16.6%
Financial - 8.5%
Citigroup, Inc.
5.80% due 11/29/49^1,2		200,000		200,499
5.88% due 12/31/49^1,2		175,000		176,750
5.95% due 12/29/49^1,2		100,000		101,250
5.35% due 05/29/49^1,2		75,000		72,563
Bank of America Corp.
5.13% due 12/29/49^1,2		350,000		343,839
6.10% due 03/12/49^1,2		150,000		152,156
6.25% due 09/29/49^1,2		50,000		50,938
SunTrust Banks, Inc.
5.63% due 12/29/49^1,2		450,000		458,718
Fifth Third Bancorp
5.10% due 12/31/49^1,2		250,000		237,500
HRG Group, Inc.
7.88% due 07/15/19		193,000		203,133
JPMorgan Chase & Co.
5.00% due 12/29/49^1,2		200,000		196,490
Customers Bank
6.13% due 06/26/29^1,4		150,000		154,125
Morgan Stanley
5.55% due 12/31/49^1,2		150,000		151,500
Barclays plc
8.25% due 12/29/49^1,2		100,000		107,142
Prosight Global Inc.
7.50% due 11/26/20^†††,5		100,000		104,810
CIC Receivables Master Trust
4.89% due 10/07/21^†††		100,000		102,330
Cadence Financial Corp.
4.88% due 06/28/19¹²		100,000		100,956
Jefferies LoanCore LLC / JLC Finance Corp.
6.87% due 06/01/20⁴		100,000		92,750
Total Financial				3,007,449
Consumer, Non-cyclical - 2.8%
Vector Group Ltd.
7.75% due 02/15/21		300,000		319,125
Central Garden & Pet Co.
8.25% due 03/01/18⁷		200,000		204,626
Opal Acquisition, Inc.
8.87% due 12/15/21⁴		150,000		152,625
KeHE Distributors LLC / KeHE Finance Corp.
7.62% due 08/15/21⁴		100,000		106,125
FTI Consulting, Inc.
6.75% due 10/01/20		100,000		105,500
VRX Escrow Corp.
5.88% due 05/15/23⁴		100,000		102,500
Total Consumer, Non-cyclical				990,501
Consumer, Cyclical - 1.5%
Seminole Hard Rock Entertainment Incorporated / Seminole Hard Rock International LLC
5.88% due 05/15/21⁴		250,000		250,938
GRD Holdings III Corp.
10.75% due 06/01/19⁴		150,000		163,125
Petco Animal Supplies, Inc.
9.25% due 12/01/18⁴		125,000		131,250
Total Consumer, Cyclical				545,313
Basic Materials - 1.2%
KGHM International Ltd.
7.75% due 06/15/19⁴		250,000		257,500
TPC Group, Inc.
8.75% due 12/15/20⁴		185,000		169,275
Total Basic Materials				426,775
Communications - 0.8%
MDC Partners, Inc.
6.75% due 04/01/20⁴		140,000		147,525
SITEL LLC / Sitel Finance Corp.
11.00% due 08/01/17⁴		125,000		129,375

Series M (Macro Opportunities Series)
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)	March 31, 2015

	Face Amount		Value
CORPORATE BONDS^††- 16.6% (continued)
Communications - 0.8% (continued)
Expo Event Transco, Inc.
9.00% due 06/15/21⁴	$	10,000	$	10,225
Total Communications				287,125
Energy - 0.7%
CONSOL Energy, Inc.
8.00% due 04/01/23		100,000		98,625
BreitBurn Energy Partners Limited Partnership / BreitBurn Finance Corp.
7.87% due 04/15/22		100,000		72,000
Atlas Energy Holdings Operating Company LLC / Atlas Resource Finance Corp.
9.25% due 08/15/21		100,000		69,000
Total Energy				239,625
Industrial - 0.5%
Marquette Transportation Company LLC / Marquette Transportation Finance Corp.
10.87% due 01/15/17		95,000		97,969
Quality Distribution LLC / QD Capital Corp.
9.88% due 11/01/18		74,000		77,515
Total Industrial				175,484
Government - 0.3%
Dominican Republic International Bond
6.85% due 01/27/45⁴		100,000		105,000
Technology - 0.3%
Eagle Midco, Inc.
9.00% due 06/15/18⁴		100,000		101,875
Total Corporate Bonds
(Cost $5,940,942)				5,879,147

COLLATERALIZED MORTGAGE OBLIGATIONS^†† - 10.2%
Motel 6 Trust 2015-MTL6
2015-MTL6,5.28% due 02/05/30⁴		500,000		500,766
SRERS-2011 Funding Ltd.
2011-RS,0.43% due 05/09/46^1,4		330,399		314,144
Nomura Resecuritization Trust 2012-1R
2012-1R,0.62% due 08/27/47^1,4		338,754		313,346
CSMC Trust 2014-SURF
2014-SURF,3.28% due 02/15/29^1,4		250,000		249,708
LSTAR Securities Investment Trust
2015-3,2.18% due 03/01/20^1,4		250,000		248,750
Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-AR9 Trust
2006-AR9,0.97% due 11/25/46¹		331,510		231,072
Lehman XS Trust Series 2006-16N
2006-16N,0.36% due 11/25/46¹		269,740		225,185
IndyMac INDX Mortgage Loan Trust 2006-AR4
2006-AR4,0.38% due 05/25/46¹		258,315		218,825
GreenPoint Mortgage Funding Trust
2006-AR1,0.46% due 02/25/36¹		236,692		203,717
American Home Mortgage Assets Trust 2006-4
2006-4,0.36% due 10/25/46¹		291,961		202,814
Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-7 Trust
2006-7,4.68% due 09/25/36		357,915		201,678
Bear Stearns Mortgage Funding Trust 2007-AR5
2007-AR5,0.34% due 06/25/47¹		222,591		177,855
Hilton USA Trust 2013-HLT
2013-HLT,5.22% due 11/05/18^1,4		100,000		102,716
Structured Asset Mortgage Investments II Trust 2006-AR1
2006-AR1,0.40% due 02/25/36¹		117,779		98,126
Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-OA4 Trust
2007-OA4,0.89% due 04/25/47¹		126,220		92,693
Residential Asset Securitization Trust 2006-A12
2006-A12,6.25% due 11/25/36		128,842		91,730
Morgan Stanley Re-REMIC Trust 2010-R5
2010-R5,0.48% due 06/26/36^1,4		125,959		90,518
First Horizon Alternative Mortgage Securities Trust 2006-FA1
2006-FA1,5.75% due 04/25/36		90,272		73,698
Total Collateralized Mortgage Obligations
(Cost $3,629,661)				3,637,341

MORTGAGE-BACKED SECURITIES^†† - 1.3%
Acis CLO 2013-2 Ltd.
2013-2A,4.10% due 10/14/22^1,4		250,000		247,724
Banc of America Merrill Lynch Commercial Mortgage, Inc.
2005-6,5.72% due 09/10/47^1,4		157,230		158,419
Wachovia Bank Commercial Mortgage Trust Series 2007-WHALE 8
2007-WHL8,0.87% due 06/15/20^1,4		55,839		54,321
Total Mortgage-Backed Securities
(Cost $456,854)				460,464

Series M (Macro Opportunities Series)
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)	March 31, 2015

	Contracts		Value
OPTIONS PURCHASED^† - 0.4%
Call options on:
September 2015 iShares 7-10 Year Treasury Bond ETF Expiring with strike price of $109.00		372	$	44,640
June 2015 iShares 20+ Year Treasury Bond ETF Expiring with strike price of $134.00		139		27,939
February 2016 U.S. Dollar/U.A.E. Dirham Expiring with strike price of $3.68^†††		2,475,000		8,331
February 2016 U.S. Dollar/U.A.E. Dirham Expiring with strike price of $3.68^†††		825,000		2,758
Total Call options				83,668
Put options on:
June 2015 Crude Oil Expiring with strike price of $45.00		14		31,920
July 2015 Euro/Danish Krone Expiring with strike price of $7.42^†††		2,887,500		22,853
Total Put options				54,773
Total Options Purchased
(Cost $172,374)				138,441
Total Investments - 101.3%
(Cost $36,016,745)			$	35,972,156

OPTIONS WRITTEN^† - (0.1)%
Call options on:
iShares 20+ Year Treasury Bond ETF Expiring June 2015 with strike price of $139.00		139		(13,066	)
iShares 7-10 Year Treasury Bond ETF Expiring September 2015 with strike price of $111.00		372		(31,620	)
Total Call options				(44,686	)
Put options on:
Crude Oil Expiring June 2015 with strike price of $35.00		14		(7,280	)
Total Options Written
(Premiums received $48,836)				(51,966	)
Other Assets & Liabilities, net - (1.2)%				(412,272	)
Total Net Assets - 100.0%			$	35,507,918

	Units		Unrealized Gain (Loss)
OTC CURRENCY SWAP AGREEMENTS^†^†
Bank of America June 2015 U.S. Dollar Index Future Swap, Terminating 06/12/15⁸ (Notional Value $690,480)		7	$	(8,197	)

OTC INTEREST RATE SWAP AGREEMENTS SOLD SHORT^†^†
Bank of America June 2015 Japan Government 10 Year Bond Future Index Swap, Terminating 06/09/15⁹ (Notional Value $3,681,341)		3	$	4,834

OTC EQUITY INDEX SWAP AGREEMENTS^††
Bank of America S&P 500 Homebuilding Index April 2015 Swap, Terminating 04/13/15¹¹ (Notional Value $757,760)	1,053	$	48,777
Bank of America S&P 500 HomeBuilding Index July 2015 Swap, Terminating 07/13/15¹¹ (Notional Value $187,821)	261		8,467
Bank of America May 2014 S&P 1500 Education Services Sub-Industry Index April 2015 Swap, Terminating 04/13/15¹⁰ (Notional Value $941,215)	17,702		(97,076	)
(Total Notional Value $1,886,796)		$	(39,832	)

Series M (Macro Opportunities Series)
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)	March 31, 2015

	Units		Unrealized Gain
OTC EQUITY SWAP AGREEMENTS SOLD SHORT^††
Bank of America Merrill Lynch Tesla Motors, Inc. September 2015 Swap, Terminating 09/15/15 (Notional Value $373,953)		1,981		$	2,822

CENTRALLY CLEARED INTEREST RATE SWAP AGREEMENTS^††
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	%	06/08/2025	$	1,000,000		$	97,000		$	97,000
Merrill Lynch	Pay	3-Month USD-LIBOR	2.93	%	08/24/2025		950,000			69,540			69,540
Merrill Lynch	Pay	3-Month USD-LIBOR	2.26	%	12/29/2025		800,000			3,920			3,920
Merrill Lynch	Receive	3-Month USD-LIBOR	2.70	%	07/05/2023		(50,000	)		(3,080	)		(3,080	)
Merrill Lynch	Receive	3-Month USD-LIBOR	1.56	%	07/05/2018		(850,000	)		(10,370	)		(10,370	)
Merrill Lynch	Receive	6-Month EUR-EURIBOR	0.81	%	12/29/2025		(660,000	)		(13,196	)		(13,196	)
Merrill Lynch	Receive	6-Month EUR-EURIBOR	1.42	%	08/24/2025		(667,000	)		(58,580	)		(58,580	)
Merrill Lynch	Receive	6-Month EUR-EURIBOR	1.89	%	06/08/2025		(700,000	)		(97,974	)		(97,974	)
												$	(12,740	)

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS^††
Counterparty	Contracts to Sell		Currency	Settlement Date	Settlement Value		Value at March 31, 2015		Net Unrealized Appreciation
BNY Mellon		689,004	EUR	06/02/15	$	774,130	$	741,534	$	32,596
Bank of America		16,754,421	SUR	05/18/15		306,461		282,132		24,329
BNY Mellon		127,190	EUR	04/13/15		150,000		136,768		13,232
Bank of America		3,870,000,000	IDR	07/02/15		300,000		287,642		12,358
									$	82,515

^†	Value determined based on Level 1 inputs, unless otherwise noted — See Note 3.
^††	Value determined based on Level 2 inputs, unless otherwise noted — See Note 3.
^†††	Value determined based on Level 3 inputs — See Note 3.
¹	Variable rate security. Rate indicated is rate effective at March 31, 2015.
²	Perpetual maturity.
³	Affiliated issuer — See Note 5.
⁴	Security is a 144A or Section 4(a)(2) security. The total market value of 144A or Section 4(a)(2) securities is $10,759,416 (cost $10,725,140), or 30.3% 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 is a step up/step down bond. The coupon increases or decreases at regular intervals until the bond reaches full maturity.
⁷	Security or a portion thereof is held as collateral for reverse repurchase agreements.
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 $100,956 (cost $100,000) or 0.3% of total net assets — See Note 7.
	plc — Public Limited Company
	REIT — Real Estate Investment Trust

Series N (Managed Asset Allocation Series)
SCHEDULE OF INVESTMENTS (Unaudited)	March 31, 2015

	Shares		Value
EXCHANGE-TRADED FUNDS^† - 68.2%
SPDR S&P 500 ETF Trust		46,653	$	9,630,579
iShares Core U.S. Aggregate Bond ETF		85,300		9,504,979
Vanguard S&P 500 ETF		48,793		9,231,636
iShares iBoxx $ Investment Grade Corporate Bond ETF		36,157		4,400,668
iShares Core S&P Mid-Capital ETF		24,294		3,692,202
iShares MSCI EAFE ETF		43,440		2,787,545
iShares Core S&P 500 ETF		2		416
Total Exchange-Traded Funds
(Cost $31,013,931)				39,248,025

MUTUAL FUNDS^†^,¹ - 30.0%
Guggenheim Variable Insurance Strategy Fund III		504,915		12,602,677
Guggenheim Strategy Fund II		85,399		2,127,286
Guggenheim Strategy Fund I		56,853		1,415,642
Guggenheim Strategy Fund III		45,479		1,134,701
Total Mutual Funds
(Cost $17,299,318)				17,280,306

SHORT TERM INVESTMENTS^† - 1.0%
Dreyfus Treasury Prime Cash Management Fund 0.00%		574,123		574,123
Total Short Term Investments
(Cost $574,123)				574,123
Total Investments - 99.2%
(Cost $48,887,372)			$	57,102,454
Other Assets & Liabilities, net - 0.8%				461,678
Total Net Assets - 100.0%			$	57,564,132

	Contracts		Unrealized Gain (Loss)
EQUITY FUTURES CONTRACTS PURCHASED^†
June 2015 MSCI EAFE Index Mini Futures Contracts (Aggregate Value of Contracts $6,397,299)		70	$	144,092
June 2015 Russell 2000 Index Mini Futures Contracts (Aggregate Value of Contracts $2,373,480)		19		59,733
June 2015 S&P 500 Index Mini Futures Contracts (Aggregate Value of Contracts $2,471,400)		24		31,668
April 2015 Hang Seng Index Futures Contracts^†† (Aggregate Value of Contracts $322,142)		2		6,253
June 2015 Nikkei 225 (CME) Index Futures Contracts (Aggregate Value of Contracts $96,425)		1		3,772
June 2015 S&P/TSX 60 IX Index Futures Contracts^†† (Aggregate Value of Contracts $137,017)		1		1,393
June 2015 DAX Index Futures Contracts^†† (Aggregate Value of Contracts $321,580)		1		791
June 2015 SPI 200 Index Futures Contracts^†† (Aggregate Value of Contracts $111,467)		1		(2,670	)
(Total Aggregate Value of Contracts $12,230,810)			$	245,032

INTEREST RATE FUTURES CONTRACTS PURCHASED^†
June 2015 U.S. Treasury 10 Year Note Futures Contracts (Aggregate Value of Contracts $6,574,219)		51	$	44,092
June 2015 U.S. Treasury 5 Year Note Futures Contracts (Aggregate Value of Contracts $1,562,641)		13		9,290
June 2015 U.S. Treasury 2 Year Note Futures Contracts (Aggregate Value of Contracts $3,944,531)		18		8,691
(Total Aggregate Value of Contracts $12,081,391)			$	62,073

CURRENCY FUTURES CONTRACTS SOLD SHORT^†
June 2015 Euro FX Futures Contracts (Aggregate Value of Contracts $134,513)		1	$	972
June 2015 British Pound Futures Contracts (Aggregate Value of Contracts $92,675)		1		(3	)
June 2015 Japanese Yen Futures Contracts (Aggregate Value of Contracts $104,325)		1		(983	)
(Total Aggregate Value of Contracts $331,513)			$	(14	)

EQUITY FUTURES CONTRACTS SOLD SHORT^††
April 2015 CAC40 10 Euro Index Futures Contracts (Aggregate Value of Contracts $54,082)		1	$	(74	)

^†	Value determined based on Level 1 inputs, unless otherwise noted — See Note 3.
^††	Value determined based on Level 2 inputs — See Note 3.
¹	Affiliated issuer – See Note 5.

Series O (All Cap Value Series)
SCHEDULE OF INVESTMENTS (Unaudited)	March 31, 2015

	Shares		Value
COMMON STOCKS^† - 98.4%
Financial - 27.8%
Wells Fargo & Co.		67,213	$	3,656,386
American International Group, Inc.		65,812		3,605,838
JPMorgan Chase & Co.		59,300		3,592,393
Citigroup, Inc.		61,700		3,178,784
Bank of New York Mellon Corp.		62,630		2,520,231
Reinsurance Group of America, Inc. — Class A		19,465		1,813,944
Hanover Insurance Group, Inc.		20,636		1,497,761
Allstate Corp.		20,950		1,491,012
Zions Bancorporation		52,310		1,412,370
Legg Mason, Inc.		22,090		1,219,368
Alleghany Corp.^*		2,080		1,012,960
NASDAQ OMX Group, Inc.		19,778		1,007,491
BB&T Corp.		24,850		968,901
Unum Group		27,303		920,930
American Financial Group, Inc.		13,220		848,063
FirstMerit Corp.		44,387		846,016
Popular, Inc.^*		22,220		764,146
Assured Guaranty Ltd.		27,730		731,795
Endurance Specialty Holdings Ltd.		9,330		570,436
Sun Communities, Inc.		7,930		529,090
Kilroy Realty Corp.		6,870		523,288
CubeSmart		21,660		523,089
Apartment Investment & Management Co. — Class A		13,120		516,404
Wintrust Financial Corp.		10,710		510,653
Equity Residential		6,370		495,968
Camden Property Trust		6,340		495,344
Simon Property Group, Inc.		2,530		494,969
Bank of America Corp.		31,500		484,785
NorthStar Realty Finance Corp.		25,910		469,489
Jones Lang LaSalle, Inc.		2,480		422,592
Symetra Financial Corp.		15,697		368,252
Trustmark Corp.		14,470		351,332
Alexandria Real Estate Equities, Inc.		2,950		289,218
Ocwen Financial Corp.^*		34,030		280,748
BioMed Realty Trust, Inc.		11,230		254,472
Home Loan Servicing Solutions Ltd.		13,257		219,271
OFG Bancorp		12,465		203,429
Fulton Financial Corp.		13,573		167,491
UDR, Inc.		3,610		122,848
Chatham Lodging Trust		3,910		114,993
Total Financial				39,496,550
Consumer, Non-cyclical - 21.8%
Teva Pharmaceutical Industries Ltd. ADR		40,690		2,534,987
MEDNAX, Inc.^*		34,220		2,481,292
Johnson & Johnson		20,740		2,086,444
Mondelez International, Inc. — Class A		49,060		1,770,575
UnitedHealth Group, Inc.		13,980		1,653,694
Quanta Services, Inc.^*		55,870		1,593,971
Kraft Foods Group, Inc.		17,500		1,524,513
Pfizer, Inc.		40,650		1,414,214
Kellogg Co.		20,640		1,361,208
ADT Corp.		29,110		1,208,647
Archer-Daniels-Midland Co.		25,490		1,208,226
Philip Morris International, Inc.		14,390		1,083,999
Hormel Foods Corp.		18,060		1,026,711
Medtronic plc		12,720		992,033
Zimmer Holdings, Inc.		8,320		977,766
MasterCard, Inc. — Class A		11,100		958,929
DeVry Education Group, Inc.		27,210		907,726
Bunge Ltd.		8,950		737,122
HealthSouth Corp.		16,260		721,294
Tenet Healthcare Corp.^*		14,220		704,032
Kindred Healthcare, Inc.		28,934		688,340
Navigant Consulting, Inc.^*		44,230		573,220
Hologic, Inc.^*		14,693		485,236
ICF International, Inc.^*		10,850		443,223
Darling Ingredients, Inc.^*		24,170		338,622
Apollo Education Group, Inc. — Class A^*		17,760		336,019
Globus Medical, Inc. — Class A^*		12,590		317,772
Emergent Biosolutions, Inc.^*		10,730		308,595
Ingredion, Inc.		3,810		296,494
Grand Canyon Education, Inc.^*		2,860		123,838
IPC Healthcare, Inc.^*		2,630		122,663
Aegerion Pharmaceuticals, Inc.^*		4,426		115,828
Total Consumer, Non-cyclical				31,097,233
Industrial - 13.0%
Republic Services, Inc. — Class A		69,780		2,830,277
United Technologies Corp.		23,230		2,722,556
Covanta Holding Corp.		79,510		1,783,409
Parker-Hannifin Corp.		13,890		1,649,854
General Electric Co.		58,200		1,443,942
FLIR Systems, Inc.		44,270		1,384,766
TE Connectivity Ltd.		15,892		1,138,185
Orbital ATK, Inc.		14,215		1,089,295
Sonoco Products Co.		20,260		921,020
Oshkosh Corp.		18,267		891,247
Owens-Illinois, Inc.^*		34,260		798,943
Rock-Tenn Co. — Class A		11,936		769,872
Gentex Corp.		29,260		535,458
Huntington Ingalls Industries, Inc.		1,127		157,949
UTI Worldwide, Inc.^*		11,530		141,819
Aegion Corp. — Class A^*		6,950		125,448
Kirby Corp.^*		1,580		118,579
Total Industrial				18,502,619
Consumer, Cyclical - 9.8%
Wal-Mart Stores, Inc.		34,000		2,796,499
CVS Health Corp.		19,780		2,041,494
Kohl's Corp.		20,360		1,593,170
PulteGroup, Inc.		68,900		1,531,647
Lear Corp.		12,290		1,361,978
WESCO International, Inc.^*		16,130		1,127,326
Chico's FAS, Inc.		31,860		563,603
Visteon Corp.^*		5,790		558,156
Ryland Group, Inc.		9,290		452,795
Brown Shoe Company, Inc.		13,702		449,426
Dolby Laboratories, Inc. — Class A		8,126		310,088

Series O (All Cap Value Series)
SCHEDULE OF INVESTMENTS (Unaudited)	March 31, 2015

	Shares		Value
COMMON STOCKS^† - 98.4% (continued)
Consumer, Cyclical - 9.8% (continued)
Wendy's Co.		22,440	$	244,596
Iconix Brand Group, Inc.^*		7,040		237,037
Steven Madden Ltd.^*		5,739		218,082
United Stationers, Inc.		5,170		211,918
Ascena Retail Group, Inc.^*		10,180		147,712
Abercrombie & Fitch Co. — Class A		5,020		110,641
Total Consumer, Cyclical				13,956,168
Technology - 8.0%
Computer Sciences Corp.		45,000		2,937,600
IXYS Corp.		172,330		2,123,106
QUALCOMM, Inc.		19,990		1,386,107
Microsoft Corp.		29,840		1,213,145
NetApp, Inc.		22,420		795,013
Diebold, Inc.		20,450		725,157
Maxwell Technologies, Inc.^*		67,170		541,390
Stratasys Ltd.^*		9,800		517,244
KEYW Holding Corp.^*		37,000		304,510
Cree, Inc.^*		7,640		271,144
Teradyne, Inc.		9,380		176,813
IPG Photonics Corp.^*		1,860		172,422
IGATE Corp.^*		3,280		139,925
ManTech International Corp. — Class A		4,110		139,493
Total Technology				11,443,069
Communications - 6.0%
Cisco Systems, Inc.		104,540		2,877,463
Time Warner, Inc.		17,236		1,455,408
AT&T, Inc.		41,170		1,344,201
DigitalGlobe, Inc.^*		28,677		977,025
Scholastic Corp.		14,170		580,120
Finisar Corp.^*		25,600		546,304
Scripps Networks Interactive, Inc. — Class A		7,130		488,833
Liquidity Services, Inc.^*		17,433		172,238
NETGEAR, Inc.^*		3,350		110,148
Total Communications				8,551,740
Energy - 4.9%
Chevron Corp.		25,300		2,655,994
Exxon Mobil Corp.		17,580		1,494,300
Patterson-UTI Energy, Inc.		47,570		893,127
Whiting Petroleum Corp.^*		28,870		892,083
Marathon Oil Corp.		16,740		437,081
Superior Energy Services, Inc.		16,940		378,440
Oasis Petroleum, Inc.^*		13,220		187,988
Resolute Energy Corp.^*		56,540		31,855
Total Energy				6,970,868
Utilities - 4.8%
Edison International		29,570		1,847,237
AGL Resources, Inc.		30,880		1,533,192
Pinnacle West Capital Corp.		13,190		840,863
Great Plains Energy, Inc.		23,392		624,099
Ameren Corp.		14,750		622,450
Westar Energy, Inc.		14,420		558,919
Black Hills Corp.		7,220		364,177
Avista Corp.		7,960		272,073
Portland General Electric Co.		3,360		124,622
EnerNOC, Inc.^*		7,660		87,324
Total Utilities				6,874,956
Basic Materials - 2.3%
Dow Chemical Co.		45,830		2,198,923
Landec Corp.^*		31,830		444,029
Olin Corp.		13,306		426,324
Intrepid Potash, Inc.^*		21,180		244,629
Total Basic Materials				3,313,905
Total Common Stocks
(Cost $112,843,992)				140,207,108

WARRANTS^† - 0.2%
American International Group, Inc.
$45.00, 01/19/21		12,040		262,954
Total Warrants
(Cost $226,617)				262,954

SHORT TERM INVESTMENTS^† - 1.5%
Dreyfus Treasury Prime Cash Management Fund 0.00%		2,133,208		2,133,208
Total Short Term Investments
(Cost $2,133,208)				2,133,208
Total Investments - 100.1%
(Cost $115,203,817)			$	142,603,270
Other Assets & Liabilities, net - (0.1)%				(131,235	)
Total Net Assets - 100.0%			$	142,472,035

^*	Non-income producing security.
^†	Value determined based on Level 1 inputs — See Note 3.
	ADR ― American Depositary Receipt
	Plc ― Public Limited Company

Series P (High Yield Series)
SCHEDULE OF INVESTMENTS (Unaudited)	March 31, 2015

	Shares		Value
COMMON STOCKS^† - 1.4%
Consumer Discretionary - 1.1%
Travelport, LLC^*		48,069	$	802,752
Travelport LLC^*		17,328		289,378
Total Consumer Discretionary				1,092,130
Basic Materials - 0.2%
Mirabela Nickel Ltd.^*,††		1,470,315		156,780
Energy - 0.1%
Stallion Oilfield Holdings Ltd.^*,††		19,265		80,277
Communications - 0.0%
Cengage Learning Acquisitions, Inc.^*,††		2,107		47,209
Aimia, Inc.		5		52
Total Communications				47,261
Diversified - 0.0%
Leucadia National Corp.		247		5,506
Consumer, Non-cyclical - 0.0%
Crimson Wine Group Ltd.^*		24		218
MEDIQ, Inc.^*,†††		92		1
Total Consumer, Non-cyclical				219
Consumer, Cyclical - 0.0%
Delta Air Lines, Inc.		1		45
Chorus Aviation, Inc.		3		14
Total Consumer, Cyclical				59
Financial - 0.0%
Adelphia Recovery Trust^{*,†††,1}		5,270		53
Total Common Stocks
(Cost $2,246,286)				1,382,285

PREFERRED STOCKS^† - 4.2%
Financial - 3.3%
Goldman Sachs Group, Inc. 5.50%^2,3		55,000		1,384,900
Kemper Corp. 7.38% due 02/27/54		39,000		1,023,750
Aspen Insurance Holdings Ltd. 5.95%^2,3		35,000		898,800
Total Financial				3,307,450
Industrial - 0.9%
Seaspan Corp. 6.38% due 04/30/19		34,000		856,120
U.S. Shipping Corp.^{*,†††,1}		24,529		27,472
Total Industrial				883,592
Total Preferred Stocks
(Cost $4,654,811)				4,191,042

SHORT TERM INVESTMENTS^† - 0.4%
Dreyfus Treasury Prime Cash Management Fund 0.00%		416,116		416,116
Total Short Term Investments
(Cost $416,116)				416,116

	Face Amount
CORPORATE BONDS^††^,⁶- 79.9%
Financial - 14.4%
Jefferies Finance LLC / JFIN Company-Issuer Corp.
7.50% due 04/15/21⁴	$	900,000	868,500
7.37% due 04/01/20⁴		705,000	683,850
Credit Acceptance Corp.
6.12% due 02/15/21⁵		1,400,000	1,340,500
Pacific Premier Bancorp, Inc.
5.75% due 09/03/24⁸		1,250,000	1,287,500
Bank of America Corp.
6.10% due 03/12/49^2,3		600,000	608,625
4.20% due 08/26/24		550,000	569,011
Icahn Enterprises Limited Partnership / Icahn Enterprises Finance Corp.
5.88% due 02/01/22		950,000	978,500
American Equity Investment Life Holding Co.
6.62% due 07/15/21		900,000	965,250
HRG Group, Inc.
7.88% due 07/15/19		598,000	629,395
7.75% due 01/15/22⁴		250,000	248,750
Morgan Stanley
5.55% due 12/31/49^2,3		700,000	706,999
Citigroup, Inc.
6.30% due ^2,3		650,000	663,813
Oxford Finance LLC / Oxford Finance Company-Issuer, Inc.
7.25% due 01/15/18⁴		500,000	515,000
Kennedy-Wilson, Inc.
5.88% due 04/01/24		470,000	471,175
Ally Financial, Inc.
4.63% due 03/30/25		450,000	443,250
Wilton Re Finance LLC
5.88% due 03/30/33^2,4		400,000	432,120
HSBC Holdings plc
6.38% due 03/30/49^2,3		350,000	357,875
EPR Properties
5.75% due 08/15/22		300,000	330,270
Majid al Futtaim Holding
7.12% due 12/31/49		300,000	319,935
Lock AS
7.00% due 08/15/21	EUR 250,000		289,549
Lancashire Holdings Ltd.
5.70% due 10/01/22⁴		260,000	284,929
Cabot Financial Luxembourg S.A.
6.50% due 04/01/21⁴	GBP 200,000		279,521
Jefferies LoanCore LLC / JLC Finance Corp.
6.87% due 06/01/20⁴		300,000	278,250
Hospitality Properties Trust
4.50% due 03/15/25		250,000	255,806
Fidelity & Guaranty Life Holdings, Inc.
6.37% due 04/01/21⁴		225,000	236,250

Series P (High Yield Series)
SCHEDULE OF INVESTMENTS (Unaudited)	March 31, 2015

	Face Amount		Value
CORPORATE BONDS^††,⁶- 79.9% (continued)
Financial - 14.4% (continued)
Greystar Real Estate Partners LLC
8.25% due 12/01/22⁴	$	200,000	$	209,500
Total Financial				14,254,123
Energy - 13.9%
Crestwood Midstream Partners Limited Partnership / Crestwood Midstream Finance Corp.
7.75% due 04/01/19⁵		1,350,000		1,402,785
6.00% due 12/15/20		300,000		301,500
6.25% due 04/01/23		200,000		202,000
Sabine Pass Liquefaction LLC
6.25% due 03/15/22		900,000		930,375
5.62% due 03/01/25⁴		600,000		593,250
ContourGlobal Power Holdings S.A.
7.12% due 06/01/19^4,5		1,150,000		1,173,000
Atlas Energy Holdings Operating Company LLC / Atlas Resource Finance Corp.
7.75% due 01/15/21⁵		825,000		561,000
9.25% due 08/15/21		775,000		534,750
Legacy Reserves Limited Partnership / Legacy Reserves Finance Corp.
6.62% due 12/01/21		825,000		651,750
8.00% due 12/01/20		505,000		414,100
CONSOL Energy, Inc.
8.00% due 04/01/23		650,000		641,063
5.87% due 04/15/22		450,000		407,250
BreitBurn Energy Partners Limited Partnership / BreitBurn Finance Corp.
7.87% due 04/15/22		1,000,000		720,000
8.62% due 10/15/20		250,000		185,000
Unit Corp.
6.62% due 05/15/21		800,000		752,000
Antero Resources Corp.
5.63% due 06/01/23		500,000		495,000
5.13% due 12/01/22		256,000		245,760
Comstock Resources, Inc.
10.00% due 03/15/20⁴		750,000		725,625
Keane Group Holdings LLC
8.50% due 08/08/19^†††,1		645,938		610,411
Ultra Resources, Inc.
4.51% due 10/12/20^†††,1		600,000		549,720
FTS International, Inc.
6.25% due 05/01/22⁴		600,000		441,000
TerraForm Power Operating LLC
5.87% due 02/01/23⁴		400,000		415,000
Newfield Exploration Co.
5.38% due 01/01/26		250,000		252,531
Endeavor Energy Resources. LP / EER Finance, Inc.
7.00% due 08/15/21⁴		250,000		241,250
Schahin II Finance Company SPV Ltd.
5.87% due 09/25/22⁴		173,733		105,022
IronGate Energy Services LLC
11.00% due 07/01/18⁸		155,000		102,300
Ultra Petroleum Corp.
5.75% due 12/15/18		100,000		90,250
SemGroup, LP
8.75% due 11/15/15^{†††,1,7}		1,700,000		–
Total Energy				13,743,692
Consumer, Non-cyclical - 10.8%
Vector Group Ltd.
7.75% due 02/15/21⁵		1,500,000		1,595,624
Opal Acquisition, Inc.
8.87% due 12/15/21^4,5		1,250,000		1,271,875
Central Garden & Pet Co.
8.25% due 03/01/18⁵		1,094,000		1,119,304
VRX Escrow Corp.
5.88% due 05/15/23⁴		750,000		768,750
5.38% due 03/15/20⁴		200,000		201,750
Bumble Bee Holdco SCA
9.63% due 03/15/18⁴		800,000		826,000
ADT Corp.
6.25% due 10/15/21⁵		700,000		745,500
KeHE Distributors LLC / KeHE Finance Corp.
7.62% due 08/15/21⁴		700,000		742,875
Midas Intermediate Holdco II LLC / Midas Intermediate Holdco II Finance, Inc.
7.87% due 10/01/22⁴		600,000		589,500
Physio-Control International, Inc.
9.87% due 01/15/19⁴		525,000		557,813
WEX, Inc.
4.75% due 02/01/23⁴		550,000		545,875
US Foods, Inc.
8.50% due 06/30/19⁵		350,000		367,500
Valeant Pharmaceuticals International, Inc.
5.50% due 03/01/23⁴		350,000		352,625
American Seafoods Group LLC / American Seafoods Finance, Inc.
10.75% due 05/15/16^1,5,8		300,000		281,250
FTI Consulting, Inc.
6.00% due 11/15/22		250,000		262,818
Surgical Care Affiliates, Inc.
6.00% due 04/01/23⁴		250,000		251,875
Nathan's Famous, Inc.
10.00% due 03/15/20⁸		150,000		157,500
Total Consumer, Non-cyclical				10,638,434
Communications - 10.3%
MDC Partners, Inc.
6.75% due 04/01/20⁴		1,100,000		1,159,125
SITEL LLC / Sitel Finance Corp.
11.00% due 08/01/17⁴		1,000,000		1,035,000

Series P (High Yield Series)
SCHEDULE OF INVESTMENTS (Unaudited)	March 31, 2015

	Face Amount		Value
CORPORATE BONDS^††^,6- 79.9% (continued)
Communications - 10.3% (continued)
Sirius XM Radio, Inc.
5.38% due 04/15/25⁴	$	1,025,000	$	1,030,125
McGraw-Hill Global Education Holdings LLC / McGraw-Hill Global Education Finance
9.75% due 04/01/21		900,000		994,500
WMG Acquisition Corp.
6.75% due 04/15/22⁴		950,000		900,125
CSC Holdings LLC
5.25% due 06/01/24⁵		650,000		662,999
DISH DBS Corp.
5.88% due 11/15/24		400,000		400,500
5.87% due 07/15/22		200,000		203,250
Alcatel-Lucent USA, Inc.
6.75% due 11/15/20⁴		500,000		532,500
IAC / InterActive Corp.
4.75% due 12/15/22		400,000		397,000
Sprint Corp.
7.62% due 02/15/25		350,000		348,250
Level 3 Financing, Inc.
9.38% due 04/01/19		300,000		314,064
CenturyLink, Inc.
5.63% due 04/01/25		300,000		301,125
UPCB Finance IV Ltd.
5.38% due 01/15/25⁴		300,000		300,000
Inmarsat Finance plc
4.88% due 05/15/22⁴		300,000		300,000
Cogent Communications Group, Inc.
5.37% due 03/01/22⁴		300,000		299,250
Sprint Communications, Inc.
7.00% due 03/01/20⁴		250,000		275,625
GCI, Inc.
6.88% due 04/15/25		170,000		171,275
VeriSign, Inc.
5.25% due 04/01/25		150,000		153,000
Avaya, Inc.
7.00% due 04/01/19⁴		150,000		148,875
Sirius XM Canada Holdings, Inc.
5.63% due 04/23/21⁴	CAD 150,000			119,343
Expo Event Transco, Inc.
9.00% due 06/15/21⁴		85,000		86,913
Total Communications				10,132,844
Consumer, Cyclical - 9.0%
GRD Holdings III Corp.
10.75% due 06/01/19^4,5		1,600,000		1,740,000
Checkers Drive-In Restaurants, Inc.
11.00% due 12/01/17⁴		1,050,000		1,142,526
Iron Mountain, Inc.
6.12% due 09/15/22	GBP 600,000			937,553
Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp.
5.50% due 03/01/25⁴		800,000		810,000
AmeriGas Finance LLC / AmeriGas Finance Corp.
7.00% due 05/20/22		700,000		750,750
Rite Aid Corp.
6.13% due 04/01/23		625,000		640,625
Suburban Propane Partners Limited Partnership/Suburban Energy Finance Corp.
5.50% due 06/01/24		350,000		358,750
5.75% due 03/01/25		250,000		255,000
WMG Acquisition Corp.
6.00% due 01/15/21⁴		600,000		612,000
Men's Wearhouse, Inc.
7.00% due 07/01/22^4,5		300,000		315,750
Ferrellgas Limited Partnership / Ferrellgas Finance Corp.
6.75% due 01/15/22		300,000		305,220
Petco Animal Supplies, Inc.
9.25% due 12/01/18⁴		200,000		210,000
Seminole Hard Rock Entertainment Incorporated / Seminole Hard Rock International LLC
5.88% due 05/15/21⁴		200,000		200,750
DreamWorks Animation SKG, Inc.
6.87% due 08/15/20⁴		170,000		165,750
Family Tree Escrow LLC
5.75% due 03/01/23⁴		150,000		157,875
Bumble Bee Holdings, Inc.
9.00% due 12/15/17⁴		136,000		142,800
Argos Merger Sub, Inc.
7.12% due 03/15/23⁴		100,000		103,625
Guitar Center, Inc.
6.50% due 04/15/19⁴		50,000		43,625
Total Consumer, Cyclical				8,892,599
Technology - 7.0%
NCR Corp.
6.38% due 12/15/23		750,000		798,750
5.87% due 12/15/21		250,000		260,625
Audatex North America, Inc.
6.13% due 11/01/23^4,5		1,000,000		1,057,500
Eagle Midco, Inc.
9.00% due 06/15/18⁴		950,000		967,813
Micron Technology, Inc.
5.25% due 08/01/23		950,000		966,625
Aspect Software, Inc.
10.62% due 05/15/17¹		940,000		817,800
Infor US, Inc.
6.50% due 05/15/22		750,000		768,750
Open Text Corp.
5.63% due 01/15/23⁴		700,000		726,250
Epicor Software Corp.
8.62% due 05/01/19		500,000		522,500
Total Technology				6,886,613
Industrial - 6.1%
Marquette Transportation Company LLC / Marquette Transportation Finance Corp.
10.87% due 01/15/17		860,000		886,875

Series P (High Yield Series)
SCHEDULE OF INVESTMENTS (Unaudited)	March 31, 2015

	Face Amount		Value
CORPORATE BONDS^††^,6- 79.9% (continued)
Industrial - 6.1% (continued)
CEVA Group plc
7.00% due 03/01/21⁴	$	900,000	$	873,000
Amsted Industries, Inc.
5.38% due 09/15/24⁴		850,000		850,000
BMBG Bond Finance SCA
5.07% due 10/15/20^2,4	EUR 500,000			542,494
Reliance Intermediate Holdings, LP
6.50% due 04/01/23⁴		500,000		511,250
Odebrecht Offshore Drilling Finance Ltd.
6.62% due 10/01/22⁸		616,850		471,890
VWR Funding, Inc.
4.62% due 04/15/22	EUR 350,000			370,129
LMI Aerospace, Inc.
7.37% due 07/15/19⁴		300,000		302,250
Actuant Corp.
5.62% due 06/15/22		250,000		259,063
Vulcan Materials Co.
4.50% due 04/01/25		250,000		253,750
Moto Finance plc
6.37% due 09/01/20	GBP 150,000			224,774
Penske Truck Leasing Company Lp / PTL Finance Corp.
3.38% due 02/01/22⁴		200,000		199,938
Novelis, Inc.
8.38% due 12/15/17		150,000		156,750
Moog, Inc.
5.25% due 12/01/22⁴		150,000		154,500
Total Industrial				6,056,663
Basic Materials - 4.6%
KGHM International Ltd.
7.75% due 06/15/19^4,5		1,275,000		1,313,250
Ineos Finance plc
8.38% due 02/15/19⁴		1,200,000		1,275,840
TPC Group, Inc.
8.75% due 12/15/20⁴		1,030,000		942,450
Eldorado Gold Corp.
6.12% due 12/15/20⁴		665,000		646,713
Mirabela Nickel Ltd.
9.50% due 06/24/19^†††,1		339,390		339,390
1.00% due 07/31/44^{†††,1,7}		7,722		–
Total Basic Materials				4,517,643
Utilities - 3.0%
Elwood Energy LLC
8.16% due 07/05/26^1,5		994,875		1,104,311
LBC Tank Terminals Holding Netherlands BV
6.88% due 05/15/23⁴		1,000,000		1,022,500
AES Corp.
5.50% due 03/15/24		600,000		598,500
4.88% due 05/15/23		250,000		243,750
Total Utilities				2,969,061
Diversified - 0.8%
HRG Group, Inc.
7.75% due 01/15/22		750,000		746,250
Total Corporate Bonds
(Cost $80,384,643)				78,837,922

SENIOR FLOATING RATE INTERESTS^††,2^,6- 26.9%
Industrial - 5.2%
Flakt Woods
2.63% due 03/20/17^†††,1	EUR 1,558,622			1,641,809
CareCore National LLC
5.50% due 03/05/21		992,488		997,449
SIRVA Worldwide, Inc.
7.50% due 03/27/19		588,000		585,059
Mast Global
8.75% due 09/12/19^†††,1		514,446		510,556
Knowledge Learning Corp.
5.25% due 03/18/21		396,000		399,299
Atkore International, Inc.
7.75% due 10/09/21		400,000		386,000
Hardware Holdings LLC
6.75% due 03/30/20¹		348,250		337,803
Ceva Logistics US Holdings
6.50% due 03/19/21		97,537		91,156
NANA Development Corp.
8.00% due 03/15/18¹		90,000		86,175
Ceva Logistics Holdings BV (Dutch)
6.50% due 03/19/21		70,714		66,088
Ceva Group plc (United Kingdom)
6.50% due 03/19/21		67,734		63,303
Ceva Logistics Canada, ULC
6.50% due 03/19/21		12,192		11,395
Total Industrial				5,176,092
Technology - 5.2%
Greenway Medical Technologies
9.25% due 11/04/21¹		500,000		487,500
6.00% due 11/04/20¹		395,000		395,000
Sparta Holding Corp.
7.50% due 07/28/20^†††		698,250		691,965
TIBCO Software, Inc.
6.50% due 12/04/20		600,000		599,436
Mitchell International, Inc.
8.50% due 10/11/21		600,000		593,874
Advanced Computer Software
6.50% due 01/31/22		350,000		345,188
10.50% due 01/31/23		200,000		192,000
Infor, Inc.
3.75% due 06/03/20		400,000		396,064
Micro Focus International plc
5.25% due 11/19/21		375,000		375,563
Sophia, LP
4.00% due 07/19/18		299,180		298,731
STG-Fairway Acquisitions, Inc.
6.25% due 02/28/19		294,003		292,166
GlobalLogic Holdings, Inc.
6.25% due 05/31/19		246,875		245,023
Flexera Software LLC
8.00% due 04/02/21		250,000		243,750
Total Technology				5,156,260
Consumer, Cyclical - 4.7%
GCA Services Group, Inc.
9.25% due 11/01/20		1,200,000		1,188,000
Sky Bet
6.50% due 02/25/22	GBP 600,000			886,856

Series P (High Yield Series)
SCHEDULE OF INVESTMENTS (Unaudited)	March 31, 2015

	Face Amount		Value
SENIOR FLOATING RATE INTERESTS^††,2,⁶- 26.9% (continued)
Consumer, Cyclical - 4.7% (continued)
IntraWest Holdings S.à r.l.
5.50% due 12/09/20	$	691,250	$	695,356
Eyemart Express
5.00% due 12/18/21		400,000		402,000
Nord Anglia Education Finance LLC
4.50% due 03/31/21		398,995		398,995
Ipreo Holdings
4.25% due 08/06/21		400,000		396,500
MergerMarket Ltd.
4.50% due 02/04/21		346,500		336,105
National Vision, Inc.
4.00% due 03/12/21		200,000		197,584
OneSky
7.50% due 06/03/19¹		100,000		103,000
BBB Industries, LLC
4.18% due 10/17/19¹		94,107		82,050
Total Consumer, Cyclical				4,686,446
Financial - 4.2%
Cunningham Lindsey U.S., Inc.
9.25% due 06/10/20		935,455		905,053
Magic Newco, LLC
12.00% due 06/12/19		700,000		761,250
Asurion Corp.
4.25% due 07/08/20		448,858		447,345
Intertrust Group
7.28% due 04/11/22		400,000		398,168
York Risk Services
4.75% due 10/01/21		379,048		377,467
Safe-Guard
6.25% due 08/19/21		343,250		341,534
Expert Global Solutions
8.50% due 04/03/18		271,984		271,189
Transunion Holding Co.
4.00% due 04/09/21		250,000		249,845
First Data Corp.
3.67% due 09/24/18		200,000		199,708
Trademonster
7.25% due 08/29/19^†††		199,500		198,602
Total Financial				4,150,161
Consumer, Non-cyclical - 3.1%
AdvancePierre Foods, Inc.
9.50% due 10/10/17		709,000		709,886
Dollar Tree, Inc.
4.25% due 03/09/22		600,000		606,084
NES Global Talent
6.50% due 10/03/19		608,349		577,932
Reddy Ice Holdings, Inc.
10.75% due 10/01/19¹		530,000		402,800
CTI Foods Holding Co. LLC
8.25% due 06/28/21		350,000		343,875
Performance Food Group
6.25% due 11/14/19		245,625		245,829
Valeant Pharmaceuticals International, Inc.
4.00% due 03/11/22		141,566		142,161
Total Consumer, Non-cyclical				3,028,567
Communications - 2.6%
Avaya, Inc.
6.50% due 03/31/18		633,127		631,107
Cartrawler
4.25% due 04/29/21	EUR 550,000			589,022
Anaren, Inc.
9.25% due 08/18/21		500,000		495,000
Lions Gate Entertainment Corp.
5.00% due 03/11/22		400,000		400,332
Cengage Learning Acquisitions, Inc.
7.00% due 03/31/20		247,500		248,208
Internet Brands
5.00% due 07/08/21		198,739		198,429
Total Communications				2,562,098
Utilities - 1.0%
Veresen Midstream LP
6.00% due 04/01/22		550,000		549,039
DLK Acquisitions BV
4.34% due 02/28/19^†††,1	EUR 400,000			399,590
Total Utilities				948,629
Basic Materials - 0.7%
INEOS US Finance LLC
4.25% due 03/11/22		650,000		650,163
Energy - 0.2%
FTS International
5.75% due 04/16/21		218,182		168,410
Total Senior Floating Rate Interests
(Cost $27,401,545)				26,526,826

ASSET-BACKED SECURITIES^†† - 0.6%
ALM XIV Ltd.
2014-14A, 3.71% due 07/28/26^2,4		600,000		569,760
Total Asset-Backed Securities
(Cost $571,956)				569,760

COLLATERALIZED MORTGAGE OBLIGATIONS^†† - 0.5%
SRERS-2011 Funding Ltd.
2011-RS,0.43% due 05/09/46^2,4		495,599		471,215
Total Collateralized Mortgage Obligations
(Cost $459,230)				471,215
Total Investments - 113.9%
(Cost $116,134,587)			$	112,395,166
Other Assets & Liabilities, net - (13.9)%				(13,706,298	)
Total Net Assets - 100.0%			$	98,688,868

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
Counterparty	Contracts to Sell		Currency	Settlement Date	Settlement Value		Value at March 31, 2015		Net Unrealized Appreciation/ Depreciation
BNY Mellon		3,820,000	EUR	04/7/15	$	4,209,616	$	4,107,093	$	102,523
BNY Mellon		1,950,000	GBP	04/7/15		2,944,731		2,893,242		51,489
BNY Mellon		120,000	AUD	04/7/15		93,248		91,362		1,886
BNY Mellon		150,000	CAD	04/7/15		120,177		118,432		1,745
									$	157,643

Series P (High Yield Series)
SCHEDULE OF INVESTMENTS (Unaudited)	March 31, 2015

^*	Non-income producing security.
^†	Value determined based on Level 1 inputs, unless otherwise noted — See Note 3.
^††	Value determined based on Level 2 inputs, unless otherwise noted — See Note 3.
^†††	Value determined based on Level 3 inputs — See Note 3.
¹	Illiquid security.
²	Variable rate security. Rate indicated is rate effective at March 31, 2015.
³	Perpetual maturity.
⁴	Security is a 144A or Section 4(a)(2) security. The total market value of 144A or Section 4(a)(2) securities is $43,180,771 (cost $43,355,779), or 43.8% of total net assets. These securities have been determined to be liquid under guidelines established by the Board of Trustees.
⁵	Security or a portion thereof is held as collateral for reverse repurchase aggreements.
⁶	The face amount is denominated in U.S Dollars, unless otherwise noted.
⁷	Security is in default of interest and/or principal obligations.
⁸	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)(3) securities is $2,300,440 (cost $2,467,477) or 2.3% of total net assets — See Note 7.
	Plc ― Public Limited Company
	REIT ―Real Estate Investment Trust

Series Q (Small Cap Value Series)
SCHEDULE OF INVESTMENTS (Unaudited)	March 31, 2015

	Shares		Value
COMMON STOCKS^† - 99.2%
Financial - 33.2%
Endurance Specialty Holdings Ltd.		54,040	$	3,304,005
Hanover Insurance Group, Inc.		44,959		3,263,124
Berkshire Hills Bancorp, Inc.		84,460		2,339,541
Apartment Investment & Management Co. — Class A		59,190		2,329,718
CubeSmart		90,686		2,190,067
Reinsurance Group of America, Inc. — Class A		23,375		2,178,316
Navigators Group, Inc.^*		24,860		1,935,102
NorthStar Realty Finance Corp.		97,440		1,765,613
Sun Communities, Inc.		25,675		1,713,036
Horace Mann Educators Corp.		49,410		1,689,822
Camden Property Trust		21,480		1,678,232
Chatham Lodging Trust		55,800		1,641,078
OFG Bancorp		98,408		1,606,018
Symetra Financial Corp.		63,360		1,486,426
Wintrust Financial Corp.		25,540		1,217,747
Cathay General Bancorp		35,000		995,750
Argo Group International Holdings Ltd.		19,198		962,780
Acacia Research Corp.		82,270		880,289
1st Source Corp.		26,721		858,546
Ocwen Financial Corp.^*		78,190		645,068
BioMed Realty Trust, Inc.		21,630		490,136
Fulton Financial Corp.		30,702		378,863
Trustmark Corp.		12,920		313,698
Radian Group, Inc.		16,840		282,744
Total Financial				36,145,719
Consumer, Non-cyclical - 16.1%
Emergent Biosolutions, Inc.^*		83,490		2,401,172
ABM Industries, Inc.		64,760		2,063,254
Invacare Corp.		83,700		1,624,617
Global Cash Access Holdings, Inc.^*		203,780		1,552,804
Kindred Healthcare, Inc.		61,158		1,454,949
Aegerion Pharmaceuticals, Inc.^*		33,800		884,546
Darling Ingredients, Inc.^*		55,253		774,095
Great Lakes Dredge & Dock Corp.^*		127,043		763,528
Navigant Consulting, Inc.^*		57,430		744,293
Omega Protein Corp.^*		52,700		721,463
Globus Medical, Inc. — Class A^*		27,130		684,761
HealthSouth Corp.		14,520		644,107
Greatbatch, Inc.^*		10,681		617,896
Depomed, Inc.^*		27,309		611,995
ICU Medical, Inc.^*		6,439		599,728
DeVry Education Group, Inc.		15,000		500,400
ICF International, Inc.^*		7,938		324,267
IPC Healthcare, Inc.^*		6,020		280,773
Grand Canyon Education, Inc.^*		5,970		258,501
Total Consumer, Non-cyclical				17,507,149
Industrial - 14.4%
Covanta Holding Corp.		114,460		2,567,338
Orbital ATK, Inc.		25,323		1,940,501
Celadon Group, Inc.		68,003		1,851,041
PMFG, Inc.^*		346,426		1,610,881
FLIR Systems, Inc.		37,190		1,163,303
Rofin-Sinar Technologies, Inc.^*		44,930		1,088,654
Marten Transport Ltd.		46,788		1,085,482
Oshkosh Corp.		16,392		799,766
Gentex Corp.		36,750		672,525
Sterling Construction Company, Inc.^*		121,838		550,708
Aegion Corp. — Class A^*		29,508		532,619
LMI Aerospace, Inc.^*		43,370		529,548
Rand Logistics, Inc.^*		119,809		389,379
Energy Recovery, Inc.^*		132,345		342,774
UTI Worldwide, Inc.^*		27,140		333,822
Kirby Corp.^*		3,480		261,174
Total Industrial				15,719,515
Technology - 12.8%
Diebold, Inc.		79,630		2,823,680
Maxwell Technologies, Inc.^*		217,153		1,750,253
Silicon Graphics International Corp.^*		191,510		1,664,222
ManTech International Corp. — Class A		40,380		1,370,497
KEYW Holding Corp.^*		148,772		1,224,394
IXYS Corp.		97,936		1,206,572
Diodes, Inc.^*		25,080		716,285
Brooks Automation, Inc.		60,840		707,569
Mercury Systems, Inc.^*		45,480		707,214
Cree, Inc.^*		17,060		605,459
IGATE Corp.^*		8,190		349,385
IPG Photonics Corp.^*		3,540		328,158
Teradyne, Inc.		14,040		264,654
Stratasys Ltd.^*		4,660		245,955
Total Technology				13,964,297
Consumer, Cyclical - 8.5%
Papa Murphy's Holdings, Inc.^*		133,280		2,417,700
International Speedway Corp. — Class A		47,010		1,532,996
Chico's FAS, Inc.		60,010		1,061,577
Ryland Group, Inc.		15,660		763,268
ScanSource, Inc.^*		14,750		599,588
United Stationers, Inc.		13,480		552,545
Wendy's Co.		49,530		539,877
Iconix Brand Group, Inc.^*		15,870		534,342
Crocs, Inc.^*		40,750		481,258
Abercrombie & Fitch Co. — Class A		20,630		454,685
WESCO International, Inc.^*		4,263		297,941
Total Consumer, Cyclical				9,235,777
Utilities - 4.3%
Laclede Group, Inc.		43,740		2,240,363
PICO Holdings, Inc.^*		75,460		1,223,207
Avista Corp.		17,980		614,556
EnerNOC, Inc.^*		33,160		378,024
Portland General Electric Co.		7,410		274,837
Total Utilities				4,730,987
Communications - 4.3%
DigitalGlobe, Inc.^*		63,484		2,162,899
Finisar Corp.^*		58,700		1,252,658
Scholastic Corp.		15,474		633,506
Liquidity Services, Inc.^*		37,933		374,778
NETGEAR, Inc.^*		7,670		252,190
Total Communications				4,676,031

Series Q (Small Cap Value Series)
SCHEDULE OF INVESTMENTS (Unaudited)	March 31, 2015

	Shares		Value
COMMON STOCKS^† - 99.2% (continued)
Energy - 3.2%
Patterson-UTI Energy, Inc.		62,260	$	1,168,932
Superior Energy Services, Inc.		40,450		903,653
Oasis Petroleum, Inc.^*		61,250		870,974
Sanchez Energy Corp.^*		28,480		370,525
Resolute Energy Corp.^*		215,960		121,672
Total Energy				3,435,756
Basic Materials - 2.4%
Olin Corp.		30,891		989,748
Landec Corp.^*		39,924		556,940
Intrepid Potash, Inc.^*		48,100		555,555
Luxfer Holdings plc ADR		37,830		505,787
Total Basic Materials				2,608,030
Total Common Stocks
(Cost $96,906,187)				108,023,261

CONVERTIBLE PREFERRED STOCKS^††† - 0.0%
Thermoenergy Corp.^*,1,²		116,667		341
Total Convertible Preferred Stocks
(Cost $111,410)				341

SHORT TERM INVESTMENTS^† - 0.5%
Dreyfus Treasury Prime Cash Management Fund 0.00%		544,733		544,733
Total Short Term Investments
(Cost $544,733)				544,733
Total Investments - 99.7%
(Cost $97,562,330)			$	108,568,335
Other Assets & Liabilities, net - 0.3%				304,910
Total Net Assets - 100.0%			$	108,873,245

^*	Non-income producing security.
^†	Value determined based on Level 1 inputs — See Note 3.
^††	Value determined based on Level 2 inputs — See Note 3.
^†††	Value determined based on Level 3 inputs — See Note 3.
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

Series V (Mid Cap Value Series)
SCHEDULE OF INVESTMENTS (Unaudited)	March 31, 2015

	Shares		Value
COMMON STOCKS^† - 98.9%
Financial - 30.8%
Hanover Insurance Group, Inc.		105,907	$	7,686,730
Zions Bancorporation		274,960		7,423,920
Alleghany Corp.^*		11,430		5,566,410
Reinsurance Group of America, Inc. — Class A		55,077		5,132,626
FirstMerit Corp.		238,389		4,543,694
Popular, Inc.^*		118,980		4,091,721
American Financial Group, Inc.		63,330		4,062,620
Assured Guaranty Ltd.		119,940		3,165,217
Endurance Specialty Holdings Ltd.		51,196		3,130,123
Sun Communities, Inc.		42,010		2,802,907
Wintrust Financial Corp.		58,550		2,791,664
Kilroy Realty Corp.		36,630		2,790,108
CubeSmart		114,210		2,758,172
Apartment Investment & Management Co. — Class A		69,120		2,720,563
Camden Property Trust		33,920		2,650,170
NorthStar Realty Finance Corp.		140,890		2,552,927
Jones Lang LaSalle, Inc.		12,970		2,210,088
Symetra Financial Corp.		86,638		2,032,527
Trustmark Corp.		76,020		1,845,766
Ocwen Financial Corp.^*		184,530		1,522,373
Alexandria Real Estate Equities, Inc.		14,880		1,458,835
BioMed Realty Trust, Inc.		55,970		1,268,280
Home Loan Servicing Solutions Ltd.		68,227		1,128,475
OFG Bancorp		64,155		1,047,010
Fulton Financial Corp.		71,463		881,853
UDR, Inc.		19,060		648,612
Chatham Lodging Trust		22,000		647,020
Total Financial				78,560,411
Consumer, Non-cyclical - 17.2%
MEDNAX, Inc.^*		65,790		4,770,433
Hormel Foods Corp.		75,240		4,277,393
Bunge Ltd.		48,620		4,004,343
HealthSouth Corp.		88,550		3,928,078
Kindred Healthcare, Inc.		159,787		3,801,333
Navigant Consulting, Inc.^*		242,217		3,139,132
Hologic, Inc.^*		78,664		2,597,879
Quanta Services, Inc.^*		90,930		2,594,233
ICF International, Inc.^*		61,375		2,507,169
Darling Ingredients, Inc.^*		130,108		1,822,813
DeVry Education Group, Inc.		53,147		1,772,984
Apollo Education Group, Inc. — Class A^*		92,250		1,745,370
Globus Medical, Inc. — Class A^*		66,150		1,669,626
Emergent Biosolutions, Inc.^*		56,471		1,624,106
Ingredion, Inc.		20,320		1,581,302
IPC Healthcare, Inc.^*		14,190		661,822
Aegerion Pharmaceuticals, Inc.^*		24,047		629,310
Grand Canyon Education, Inc.^*		13,880		601,004
Total Consumer, Non-cyclical				43,728,330
Industrial - 14.6%
Orbital ATK, Inc.		74,799		5,731,847
Covanta Holding Corp.		250,470		5,618,042
Sonoco Products Co.		110,490		5,022,875
Owens-Illinois, Inc.^*		184,600		4,304,872
FLIR Systems, Inc.		135,870		4,250,014
Rock-Tenn Co. — Class A		50,180		3,236,610
Gentex Corp.		152,890		2,797,887
Oshkosh Corp.		53,870		2,628,317
Aegion Corp. — Class A^*		70,525		1,272,976
Huntington Ingalls Industries, Inc.		8,285		1,161,143
UTI Worldwide, Inc.^*		64,450		792,735
Kirby Corp.^*		8,370		628,169
Total Industrial				37,445,487
Technology - 9.6%
Computer Sciences Corp.		90,650		5,917,633
IXYS Corp.		409,830		5,049,105
Diebold, Inc.		113,830		4,036,412
Maxwell Technologies, Inc.^*		387,650		3,124,459
Cree, Inc.^*		40,120		1,423,859
KEYW Holding Corp.^*		133,680		1,100,186
IPG Photonics Corp.^*		10,550		977,985
IGATE Corp.^*		20,030		854,480
ManTech International Corp. — Class A		25,050		850,197
Teradyne, Inc.		33,380		629,213
Stratasys Ltd.^*		11,040		582,691
Total Technology				24,546,220
Consumer, Cyclical - 8.5%
Visteon Corp.^*		31,750		3,060,700
Chico's FAS, Inc.		155,340		2,747,964
Ryland Group, Inc.		48,810		2,378,999
Brown Shoe Company, Inc.		70,931		2,326,536
WESCO International, Inc.^*		26,266		1,835,731
DR Horton, Inc.		57,570		1,639,594
Dolby Laboratories, Inc. — Class A		42,650		1,627,524
Wendy's Co.		117,510		1,280,859
United Stationers, Inc.		31,010		1,271,100
Iconix Brand Group, Inc.^*		37,470		1,261,615
Steven Madden Ltd.^*		30,734		1,167,892
Ascena Retail Group, Inc.^*		56,870		825,184
Abercrombie & Fitch Co. — Class A		18,990		418,540
Total Consumer, Cyclical				21,842,238
Utilities - 8.0%
Pinnacle West Capital Corp.		68,390		4,359,862
AGL Resources, Inc.		64,740		3,214,341
Ameren Corp.		73,411		3,097,944
Westar Energy, Inc.		74,080		2,871,341
Great Plains Energy, Inc.		93,095		2,483,775
Black Hills Corp.		36,209		1,826,382
Avista Corp.		44,280		1,513,490
Portland General Electric Co.		17,630		653,897
EnerNOC, Inc.^*		43,110		491,454
Total Utilities				20,512,486
Communications - 4.8%
DigitalGlobe, Inc.^*		151,518		5,162,219
Scholastic Corp.		72,944		2,986,327
Finisar Corp.^*		133,310		2,844,835
Liquidity Services, Inc.^*		82,296		813,084
NETGEAR, Inc.^*		18,070		594,142
Total Communications				12,400,607

Series V (Mid Cap Value Series)
SCHEDULE OF INVESTMENTS (Unaudited)	March 31, 2015

	Shares		Value
COMMON STOCKS^† - 98.9% (continued)
Energy - 3.1%
Sanchez Energy Corp.^*		158,391	$	2,060,667
Whiting Petroleum Corp.^*		55,390		1,711,551
Patterson-UTI Energy, Inc.		82,430		1,547,623
Superior Energy Services, Inc.		69,192		1,545,749
Oasis Petroleum, Inc.^*		70,360		1,000,519
Resolute Energy Corp.^*		251,840		141,887
HydroGen Corp.^{*,†††,1}		672,346		1
Total Energy				8,007,997
Basic Materials - 2.3%
Landec Corp.^*		170,200		2,374,290
Olin Corp.		72,466		2,321,811
Intrepid Potash, Inc.^*		112,560		1,300,068
Total Basic Materials				5,996,169
Total Common Stocks
(Cost $215,691,372)				253,039,945

CONVERTIBLE PREFERRED STOCKS^††^† - 0.0%
Thermoenergy Corp.^{*, 2, 3}		308,333		900
Total Convertible Preferred Stocks
(Cost $294,438)				900

SHORT TERM INVESTMENTS^† - 0.9%
Dreyfus Treasury Prime Cash Management Fund 0.00%		2,381,331		2,381,331
Total Short Term Investments
(Cost $2,381,331)				2,381,331
Total Investments - 99.8%
(Cost $218,367,141)			$	255,422,176
Other Assets & Liabilities, net - 0.2%				558,186
Total Net Assets - 100.0%			$	255,980,362

^*	Non-income producing security.
^†	Value determined based on Level 1 inputs, unless otherwise noted — See Note 3.
^††	Value determined based on Level 2 inputs — See Note 3.
^†††	Value determined based on Level 3 inputs — See Note 3.
¹	Affiliated issuer — See Note 5.
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.

Series X (StylePlus—Small Growth Series)
SCHEDULE OF INVESTMENTS (Unaudited)	March 31, 2015

	Shares		Value
COMMON STOCKS^† - 15.1%
Consumer, Non-cyclical - 5.9%
West Pharmaceutical Services, Inc.		1,049	$	63,160
HealthSouth Corp.		1,390		61,660
Isis Pharmaceuticals, Inc.^*		880		56,030
PAREXEL International Corp.^*		772		53,260
DexCom, Inc.^*		842		52,491
Team Health Holdings, Inc.^*		876		51,255
WEX, Inc.^*		474		50,889
Deluxe Corp.		685		47,457
Molina Healthcare, Inc.^*		705		47,440
Cepheid^*		764		43,472
Chemed Corp.		340		40,596
NuVasive, Inc.^*		854		39,275
Haemonetics Corp.^*		862		38,721
Darling Ingredients, Inc.^*		2,760		38,668
Select Medical Holdings Corp.		2,599		38,543
Cal-Maine Foods, Inc.		975		38,084
Air Methods Corp.^*		807		37,598
United Natural Foods, Inc.^*		478		36,825
Receptos, Inc.^*		221		36,441
Puma Biotechnology, Inc.^*		152		35,889
TreeHouse Foods, Inc.^*		409		34,773
Thoratec Corp.^*		806		33,763
Pacira Pharmaceuticals, Inc.^*		380		33,763
WellCare Health Plans, Inc.^*		368		33,657
Corporate Executive Board Co.		410		32,742
Lancaster Colony Corp.		342		32,548
Vector Group Ltd.		1,452		31,900
Amsurg Corp. — Class A^*		493		30,329
OPKO Health, Inc.^*		2,081		29,488
Exact Sciences Corp.^*		1,277		28,120
Coca-Cola Bottling Company Consolidated		247		27,926
Cardtronics, Inc.^*		742		27,899
Heartland Payment Systems, Inc.		595		27,876
ACADIA Pharmaceuticals, Inc.^*		845		27,539
J&J Snack Foods Corp.		256		27,315
Agios Pharmaceuticals, Inc.^*		282		26,593
STERIS Corp.		378		26,562
Anika Therapeutics, Inc.^*		631		25,978
HMS Holdings Corp.^*		1,625		25,107
EVERTEC, Inc.		1,148		25,095
Seaboard Corp.^*		6		24,792
Synageva BioPharma Corp.^*		249		24,285
Central Garden & Pet Co. — Class A^*		2,267		24,076
Insulet Corp.^*		707		23,578
Medicines Co.^*		831		23,285
Theravance, Inc.		1,457		22,904
Surgical Care Affiliates, Inc.^*		667		22,898
Landauer, Inc.		650		22,841
USANA Health Sciences, Inc.^*		201		22,335
Andersons, Inc.		538		22,257
B&G Foods, Inc.		752		22,131
Inter Parfums, Inc.		646		21,073
IPC Healthcare, Inc.^*		441		20,568
Revlon, Inc. — Class A^*		496		20,435
Intrexon Corp.^*		448		20,326
RPX Corp.^*		1,410		20,290
Prestige Brands Holdings, Inc.^*		473		20,287
Inovio Pharmaceuticals, Inc.^*		2,484		20,269
Arena Pharmaceuticals, Inc.^*		4,623		20,203
MannKind Corp.^*		3,826		19,895
PDL BioPharma, Inc.		2,698		18,980
SP Plus Corp.^*		864		18,878
Premier, Inc. — Class A^*		499		18,752
Capital Senior Living Corp.^*		717		18,599
Great Lakes Dredge & Dock Corp.^*		3,027		18,192
Affymetrix, Inc.^*		1,443		18,124
Array BioPharma, Inc.^*		2,439		17,975
Advisory Board Co.^*		333		17,742
Medifast, Inc.^*		584		17,502
Huron Consulting Group, Inc.^*		264		17,464
Genesis Healthcare, Inc.^*		2,420		17,230
Healthways, Inc.^*		845		16,647
Boulder Brands, Inc.^*		1,735		16,535
Alliance HealthCare Services, Inc.^*		728		16,147
Genomic Health, Inc.^*		521		15,917
Nektar Therapeutics^*		1,385		15,235
Ophthotech Corp.^*		327		15,215
Celldex Therapeutics, Inc.^*		529		14,743
Bluebird Bio, Inc.^*		103		12,439
Total Consumer, Non-cyclical				2,257,771
Technology - 2.7%
MAXIMUS, Inc.		913		60,951
Aspen Technology, Inc.^*		1,410		54,271
SS&C Technologies Holdings, Inc.		762		47,473
Ultimate Software Group, Inc.^*		248		42,149
Guidewire Software, Inc.^*		793		41,720
Verint Systems, Inc.^*		670		41,493
ACI Worldwide, Inc.^*		1,906		41,284
Microsemi Corp.^*		1,091		38,622
Dealertrack Technologies, Inc.^*		986		37,981
Entegris, Inc.^*		2,669		36,539
Integrated Device Technology, Inc.^*		1,824		36,516
Cavium, Inc.^*		511		36,189
MedAssets, Inc.^*		1,843		34,685
Science Applications International Corp.		670		34,405
Syntel, Inc.^*		654		33,831
Cypress Semiconductor Corp.		2,215		31,254
Acxiom Corp.^*		1,676		30,989
Silicon Laboratories, Inc.^*		591		30,005
Rambus, Inc.^*		2,267		28,508
CSG Systems International, Inc.		936		28,445
Blackbaud, Inc.		588		27,859
IGATE Corp.^*		616		26,279
Quality Systems, Inc.		1,638		26,175
Unisys Corp.^*		1,014		23,535
PMC-Sierra, Inc.^*		2,415		22,411
Diodes, Inc.^*		730		20,849
Sykes Enterprises, Inc.^*		786		19,532
TeleTech Holdings, Inc.		750		19,088

Series X (StylePlus—Small Growth Series)
SCHEDULE OF INVESTMENTS (Unaudited)	March 31, 2015

	Shares		Value
COMMON STOCKS^† - 15.1% (continued)
Technology - 2.7% (continued)
Cornerstone OnDemand, Inc.^*		636	$	18,374
Take-Two Interactive Software, Inc.^*		713		18,149
Brooks Automation, Inc.		1,543		17,945
Cabot Microelectronics Corp.^*		353		17,639
Applied Micro Circuits Corp.^*		3,297		16,815
Total Technology				1,041,960
Industrial - 2.6%
FEI Co.		686		52,369
Belden, Inc.		521		48,745
CLARCOR, Inc.		711		46,969
Woodward, Inc.		903		46,062
HEICO Corp.		690		42,139
Hillenbrand, Inc.		1,331		41,088
Curtiss-Wright Corp.		460		34,013
Teledyne Technologies, Inc.^*		318		33,941
EnerSys		527		33,854
Swift Transportation Co. — Class A^*		1,233		32,082
Moog, Inc. — Class A^*		402		30,170
Harsco Corp.		1,710		29,514
Rexnord Corp.^*		1,099		29,333
ArcBest Corp.		665		25,197
MasTec, Inc.^*		1,295		24,994
TAL International Group, Inc.		607		24,723
Watts Water Technologies, Inc. — Class A		447		24,598
Mueller Water Products, Inc. — Class A		2,429		23,926
TriMas Corp.^*		777		23,924
Hyster-Yale Materials Handling, Inc.		318		23,306
Kaman Corp.		545		23,124
Advanced Energy Industries, Inc.^*		877		22,504
Albany International Corp. — Class A		562		22,340
Blount International, Inc.^*		1,533		19,745
Coherent, Inc.^*		299		19,423
Altra Industrial Motion Corp.		696		19,237
CIRCOR International, Inc.		349		19,090
Aegion Corp. — Class A^*		1,056		19,061
YRC Worldwide, Inc.^*		1,031		18,517
AZZ, Inc.		395		18,403
EnPro Industries, Inc.		273		18,004
Raven Industries, Inc.		879		17,984
Plexus Corp.^*		435		17,735
NCI Building Systems, Inc.^*		1,026		17,729
Cubic Corp.		342		17,705
Graphic Packaging Holding Co.		1,211		17,608
Aerovironment, Inc.^*		655		17,364
Total Industrial				996,520
Consumer, Cyclical - 1.9%
Tenneco, Inc.^*		1,147		65,862
JetBlue Airways Corp.^*		2,946		56,710
Dana Holding Corp.		2,594		54,889
Vail Resorts, Inc.		494		51,089
Casey's General Stores, Inc.		549		49,465
Wolverine World Wide, Inc.		1,472		49,238
American Axle & Manufacturing Holdings, Inc.^*		1,821		47,036
PriceSmart, Inc.		550		46,739
Steelcase, Inc. — Class A		2,207		41,801
Bloomin' Brands, Inc.		1,469		35,741
HNI Corp.		622		34,316
Hawaiian Holdings, Inc.^*		1,471		32,399
DineEquity, Inc.		284		30,391
Herman Miller, Inc.		1,055		29,287
Wabash National Corp.^*		1,719		24,238
Meritor, Inc.^*		1,582		19,949
Tower International, Inc.^*		727		19,338
Abercrombie & Fitch Co. — Class A		856		18,866
TiVo, Inc.^*		1,581		16,774
Total Consumer, Cyclical				724,128
Communications - 1.3%
Qorvo, Inc.^*		865		68,941
Anixter International, Inc.^*		638		48,572
j2 Global, Inc.		636		41,772
InterDigital, Inc.		775		39,323
ViaSat, Inc.^*		462		27,540
Polycom, Inc.^*		2,011		26,947
Ciena Corp.^*		1,242		23,983
West Corp.		685		23,105
WebMD Health Corp. — Class A^*		509		22,312
Ixia^*		1,636		19,845
Comverse, Inc.^*		988		19,464
Web.com Group, Inc.^*		1,013		19,196
Extreme Networks, Inc.^*		6,007		18,982
Harmonic, Inc.^*		2,500		18,525
Travelzoo, Inc.^*		1,866		17,988
ADTRAN, Inc.		887		16,560
Bankrate, Inc.^*		1,268		14,379
Sonus Networks, Inc.^*		1,224		9,645
Total Communications				477,079
Energy - 0.5%
SemGroup Corp. — Class A		445		36,196
REX American Resources Corp.^*		409		24,871
Clayton Williams Energy, Inc.^*		426		21,568
EXCO Resources, Inc.		9,966		18,239
W&T Offshore, Inc.		3,538		18,079
Bonanza Creek Energy, Inc.^*		679		16,744
ION Geophysical Corp.^*		7,438		16,140
Western Refining, Inc.		255		12,594
Carrizo Oil & Gas, Inc.^*		250		12,413
Total Energy				176,844
Financial - 0.2%
Blackhawk Network Holdings, Inc.^*		1,086		38,846
Aircastle Ltd.		1,371		30,793
Total Financial				69,639
Utilities - 0.0%
EnerNOC, Inc.^*		1,522		17,351
Total Common Stocks
(Cost $5,429,256)				5,761,292

MUTUAL FUNDS^†^,¹ - 66.6%
Guggenheim Strategy Fund I		371,826		9,258,463

Series X (StylePlus—Small Growth Series)
SCHEDULE OF INVESTMENTS (Unaudited)	March 31, 2015

	Shares		Value
MUTUAL FUNDS^†,1 - 66.6% (continued)
Guggenheim Variable Insurance Strategy Fund III		345,388	$	8,620,886
Guggenheim Strategy Fund II		234,086		5,831,089
Guggenheim Strategy Fund III		68,618		1,712,028
Total Mutual Funds
(Cost $25,410,973)				25,422,466

SHORT TERM INVESTMENTS^† - 4.7%
Dreyfus Treasury Prime Cash Management Fund 0.00%		1,807,706		1,807,706
Total Short Term Investments
(Cost $1,807,706)				1,807,706

	Face Amount
ASSET-BACKED SECURITIES^†† - 10.8%
Goldman Sachs Asset Management CLO plc
2007-1A, 3.00% due 08/01/22^2,3	$	500,000	500,750
KKR Financial CLO 2007-1 Ltd.
2007-1A, 2.51% due 05/15/21^2,3		500,000	498,050
Brentwood CLO Corp.
2006-1A, 1.07% due 02/01/22^2,3		250,000	237,325
2006-1A, 0.52% due 02/01/22^2,3		213,328	210,298
N-Star REL CDO VIII Ltd.
2006-8A, 0.47% due 02/01/41^2,3		333,134	326,904
Duane Street CLO IV Ltd.
2007-4A, 0.49% due 11/14/21^2,3		312,929	310,395
Salus CLO Ltd.
2013-1AN, 2.48% due 03/05/21^2,3		270,000	270,324
Symphony CLO VII Ltd.
2011-7A, 3.46% due 07/28/21^2,3		250,000	249,700
GSC Group CDO Fund VIII Ltd.
2007-8A, 0.64% due 04/17/21^2,3		250,000	246,775
Black Diamond CLO 2005-1 Delaware Corp.
2005-1A, 2.17% due 06/20/17^2,3		250,000	244,725
Race Point IV CLO Ltd.
2007-4A, 1.00% due 08/01/21^2,3		250,000	243,150
Black Diamond CLO 2006-1 Luxembourg S.A.
2007-1A, 0.64% due 04/29/19^2,3		250,000	240,050
Cornerstone CLO Ltd.
2007-1A, 0.47% due 07/15/21^2,3		183,879	182,298

OFSI Fund V Ltd.
2013-5A, 3.46% due 04/17/25^2,3	150,000		148,155
Foothill CLO Ltd.
2007-1A, 0.51% due 02/22/21^2,3	130,623		129,669
Tricadia CDO 2006-6 Ltd.
2006-6A, 0.81% due 11/05/41^2,3	30,754		30,607
Global Leveraged Capital Credit Opportunity Fund
2006-1A, 0.56% due 12/20/18^2,3	22,385		22,324
West Coast Funding Ltd.
2006-1A, 0.40% due 11/02/41^2,3	18,131		18,021
Total Asset-Backed Securities
(Cost $4,023,951)			4,109,520

COLLATERALIZED MORTGAGE OBLIGATIONS^†† - 0.8%
SRERS-2011 Funding Ltd.
2011-RS, 0.43% due 05/09/46^2,3	330,399		314,144
Total Collateralized Mortgage Obligations
(Cost $290,991)			314,144
Total Investments - 98.0%
(Cost $36,962,877)		$	37,415,128
Other Assets & Liabilities, net - 2.0%			750,887
Total Net Assets - 100.0%		$	38,166,015

	Contracts		Unrealized Gain
EQUITY FUTURES CONTRACTS PURCHASED^†
June 2015 S&P MidCap 400 Index Mini Futures Contracts (Aggregate Value of Contracts $304,040)		2	$	8,383
June 2015 Russell 2000 Index Mini Futures Contracts (Aggregate Value of Contracts $249,840)		2		7,764
(Total Aggregate Value of Contracts $553,880)			$	16,147

	Units
OTC EQUITY INDEX SWAP AGREEMENTS^††
Bank of America April 2015 Russell 2000 Growth Index Swap, Terminating 04/30/15⁴ (Notional Value $31,400,017)		40,843	$	—

^*	Non-income producing security.
^†	Value determined based on Level 1 inputs — See Note 3.
^††	Value determined based on Level 2 inputs — See Note 3.
¹	Affiliated issuer — See Note 5.
²	Variable rate security. Rate indicated is rate effective at March 31, 2015.
³	Security is a 144A or Section 4(a)(2) security. The total market value of 144A or Section 4(a)(2) securities is $4,423,664 (cost $4,314,942), or 11.6% 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 2000 Growth Index +/- financing at a variable rate.
	plc ― Public Limited Company

Series Y (StylePlus—Large Growth Series)
SCHEDULE OF INVESTMENTS (Unaudited)	March 31, 2015

	Shares		Value
COMMON STOCKS^† - 15.0%
Consumer, Non-cyclical - 5.1%
PepsiCo, Inc.		1,370	$	130,999
Coca-Cola Co.		2,685		108,877
AbbVie, Inc.		1,688		98,815
Amgen, Inc.		617		98,627
Express Scripts Holding Co.^*		1,041		90,328
Kraft Foods Group, Inc.		969		84,414
General Mills, Inc.		1,422		80,485
Kimberly-Clark Corp.		704		75,405
McKesson Corp.		332		75,099
Gilead Sciences, Inc.^*		754		73,990
Stryker Corp.		739		68,172
Aetna, Inc.		625		66,581
Boston Scientific Corp.^*		3,549		62,995
Cigna Corp.		484		62,649
Procter & Gamble Co.		761		62,356
Baxter International, Inc.		890		60,965
Archer-Daniels-Midland Co.		1,280		60,672
AmerisourceBergen Corp. — Class A		529		60,131
Kroger Co.		742		56,882
Kellogg Co.		807		53,222
HCA Holdings, Inc.^*		707		53,188
Merck & Company, Inc.		919		52,824
Philip Morris International, Inc.		688		51,827
Cardinal Health, Inc.		540		48,746
Automatic Data Processing, Inc.		472		40,422
Actavis plc^*		131		38,988
Johnson & Johnson		341		34,305
Mylan N.V.^*		568		33,711
Vertex Pharmaceuticals, Inc.^*		281		33,150
Becton Dickinson and Co.		118		16,944
Total Consumer, Non-cyclical				1,935,769
Technology - 3.3%
Apple, Inc.		3,027		376,649
Microsoft Corp.		4,026		163,677
International Business Machines Corp.		849		136,265
Oracle Corp.		2,584		111,500
Micron Technology, Inc.^*		2,492		67,608
Intel Corp.		1,993		62,321
EMC Corp.		2,152		55,005
QUALCOMM, Inc.		749		51,936
Texas Instruments, Inc.		827		47,292
salesforce.com, Inc.^*		690		46,099
Adobe Systems, Inc.^*		547		40,445
Accenture plc — Class A		412		38,600
Applied Materials, Inc.		1,414		31,900
Total Technology				1,229,297
Industrial - 2.3%
Boeing Co.		718		107,758
Emerson Electric Co.		1,183		66,981
FedEx Corp.		401		66,346
Caterpillar, Inc.		772		61,783
United Parcel Service, Inc. — Class B		618		59,909
Norfolk Southern Corp.		572		58,871
Waste Management, Inc.		1,080		58,568
Deere & Co.		667		58,489
Corning, Inc.		2,577		58,446
3M Co.		347		57,238
Honeywell International, Inc.		522		54,450
Union Pacific Corp.		408		44,190
United Technologies Corp.		307		35,980
Lockheed Martin Corp.		130		26,385
Cummins, Inc.		163		22,598
Thermo Fisher Scientific, Inc.		135		18,136
Total Industrial				856,128
Communications - 1.8%
Comcast Corp. — Class A		1,956		110,455
Google, Inc. — Class C^*		195		106,860
eBay, Inc.^*		1,606		92,635
Amazon.com, Inc.^*		182		67,722
Walt Disney Co.		577		60,521
Twitter, Inc.^*		1,026		51,382
Verizon Communications, Inc.		1,031		50,138
LinkedIn Corp. — Class A^*		178		44,475
Viacom, Inc. — Class B		582		39,751
CBS Corp. — Class B		483		29,284
Facebook, Inc. — Class A^*		349		28,693
Total Communications				681,916
Consumer, Cyclical - 1.6%
PACCAR, Inc.		1,097		69,265
Macy's, Inc.		1,063		68,999
CVS Health Corp.		650		67,087
Wal-Mart Stores, Inc.		782		64,319
Walgreens Boots Alliance, Inc.		624		52,840
Target Corp.		611		50,145
United Continental Holdings, Inc.^*		698		46,941
Delta Air Lines, Inc.		970		43,611
Southwest Airlines Co.		805		35,662
Hilton Worldwide Holdings, Inc.^*		1,157		34,270
Johnson Controls, Inc.		665		33,543
Home Depot, Inc.		230		26,130
American Airlines Group, Inc.		462		24,384
Total Consumer, Cyclical				617,196
Energy - 0.7%
Valero Energy Corp.		1,054		67,055
Anadarko Petroleum Corp.		735		60,866
Schlumberger Ltd.		578		48,229
EOG Resources, Inc.		315		28,882
Noble Energy, Inc.		385		18,827
National Oilwell Varco, Inc.		376		18,796
Halliburton Co.		405		17,771
Total Energy				260,426
Financial - 0.2%
Visa, Inc. — Class A		884		57,822
Total Common Stocks
(Cost $5,204,357)				5,638,554

MUTUAL FUNDS^†^,¹ - 70.5%
Guggenheim Strategy Fund I		373,782		9,307,164
Guggenheim Variable Insurance Strategy Fund III		325,033		8,112,830
Guggenheim Strategy Fund II		282,510		7,037,320
Guggenheim Strategy Fund III		82,995		2,070,731
Total Mutual Funds
(Cost $26,524,677)				26,528,045

Series Y (StylePlus—Large Growth Series)
SCHEDULE OF INVESTMENTS (Unaudited)	March 31, 2015

	Shares		Value
SHORT TERM INVESTMENTS^† - 2.5%
Dreyfus Treasury Prime Cash Management Fund 0.00%		949,844	$	949,844
Total Short Term Investments
(Cost $949,844)				949,844

	Face Amount
ASSET-BACKED SECURITIES^†† - 10.2%
Goldman Sachs Asset Management CLO plc
2007-1A, 3.00% due 08/01/22^2,3	$	500,000		500,750
KKR Financial CLO 2007-1 Ltd.
2007-1A, 2.51% due 05/15/21^2,3		500,000		498,050
Brentwood CLO Corp.
2006-1A, 1.07% due 02/01/22^2,3		250,000		237,325
2006-1A, 0.52% due 02/01/22^2,3		195,550		192,774
N-Star REL CDO VIII Ltd.
2006-8A, 0.47% due 02/01/41^2,3		333,134		326,904
Duane Street CLO IV Ltd.
2007-4A, 0.49% due 11/14/21^2,3		281,637		279,355
Symphony CLO VII Ltd.
2011-7A, 3.46% due 07/28/21^2,3		250,000		249,700
GSC Group CDO Fund VIII Ltd.
2007-8A, 0.64% due 04/17/21^2,3		250,000		246,775
Black Diamond CLO 2005-1 Delaware Corp.
2005-1A, 2.17% due 06/20/17^2,3		250,000		244,725
Race Point IV CLO Ltd.
2007-4A, 1.00% due 08/01/21^2,3		250,000		243,150
Black Diamond CLO 2006-1 Luxembourg S.A.
2007-1A, 0.64% due 04/29/19^2,3		250,000		240,050
Salus CLO Ltd.
2013-1AN, 2.48% due 03/05/21^2,3		230,000		230,276
Cornerstone CLO Ltd.
2007-1A, 0.47% due 07/15/21^2,3		183,879		182,298
Foothill CLO Ltd.
2007-1A, 0.51% due 02/22/21^2,3		117,561		116,702
Global Leveraged Capital Credit Opportunity Fund
2006-1A, 0.56% due 12/20/18^2,3		16,789		16,743
West Coast Funding Ltd.
2006-1A, 0.40% due 11/02/41^2,3		16,318		16,219
Total Asset-Backed Securities
(Cost $3,737,505)				3,821,796

COLLATERALIZED MORTGAGE OBLIGATIONS^†† - 0.8%
SRERS-2011 Funding Ltd.
2011- RS, 0.43% due 05/09/46^2,3		330,399		314,144
Total Collateralized Mortgage Obligations
(Cost $290,991)				314,144
Total Investments - 99.0%
(Cost $36,707,374)			$	37,252,383
Other Assets & Liabilities, net - 1.0%				384,444
Total Net Assets - 100.0%			$	37,636,827

	Contracts		Unrealized Gain/(Loss)
EQUITY FUTURES CONTRACTS PURCHASED^†
June 2015 S&P 500 Index Mini Futures Contracts (Aggregate Value of Contracts $308,925)		3	$	4,115
June 2015 NASDAQ-100 Index Mini Futures Contracts (Aggregate Value of Contracts $173,130)		2		1,060
(Total Aggregate Value of Contracts $482,055)			$	5,175

	Units
OTC EQUITY INDEX SWAP AGREEMENTS^††
Goldman Sachs International May 2015 Russell 1000 Growth Index Swap, Terminating 05/05/15⁴ (Notional Value $31,299,949)		31,474	$	—

^*	Non-income producing security.
^†	Value determined based on Level 1 inputs — See Note 3.
^††	Value determined based on Level 2 inputs — See Note 3.
¹	Affiliated issuer — See Note 5.
²	Variable rate security. Rate indicated is rate effective at March 31, 2015.
³	Security is a 144A or Section 4(a)(2) security. The total market value of 144A or Section 4(a)(2) securities is $4,135,940 (cost $4,028,496), or 11.0% 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

Series Z (Alpha Opportunity Series)
SCHEDULE OF INVESTMENTS (Unaudited)	March 31, 2015

	Shares		Value
COMMON STOCKS^† - 87.0%
Consumer, Non-cyclical - 31.2%
ConAgra Foods, Inc.		5,822	$	212,677
Merck & Company, Inc.		3,205		184,223
DaVita HealthCare Partners, Inc.^*		1,975		160,528
Quest Diagnostics, Inc.		1,976		151,856
Ingredion, Inc.		1,947		151,516
Anthem, Inc.		955		147,461
Molson Coors Brewing Co. — Class B		1,875		139,594
Coca-Cola Enterprises, Inc.		3,096		136,843
Baxter International, Inc.		1,991		136,383
UnitedHealth Group, Inc.		1,064		125,861
HCA Holdings, Inc.^*		1,614		121,421
Aetna, Inc.		1,101		117,290
Gilead Sciences, Inc.		1,180		115,794
Pfizer, Inc.		3,304		114,946
PepsiCo, Inc.		1,180		112,832
Cigna Corp.		866		112,095
Campbell Soup Co.		2,298		106,972
Humana, Inc.		576		102,540
Omnicare, Inc.		1,280		98,637
Epizyme, Inc.^*		4,898		91,984
Universal Health Services, Inc. — Class B		764		89,930
ManpowerGroup, Inc.		996		85,805
United Rentals, Inc.^*		844		76,939
Dr Pepper Snapple Group, Inc.		942		73,928
SUPERVALU, Inc.^*		6,192		72,013
Magellan Health, Inc.^*		946		66,996
Eli Lilly & Co.		911		66,184
JM Smucker Co.		555		64,230
Tekmira Pharmaceuticals Corp.^*		3,521		61,477
Molina Healthcare, Inc.^*		904		60,830
Amgen, Inc.		373		59,624
MEDNAX, Inc.^*		799		57,935
Coca-Cola Co.		1,414		57,338
Cardinal Health, Inc.		635		57,321
Varian Medical Systems, Inc.^*		597		56,172
H&R Block, Inc.		1,740		55,802
Darling Ingredients, Inc.^*		3,885		54,429
Hershey Co.		514		51,868
Centene Corp.^*		730		51,604
Select Medical Holdings Corp.		3,391		50,289
United Therapeutics Corp.^*		288		49,661
Halyard Health, Inc.^*		1,009		49,643
Health Net, Inc.^*		805		48,694
Andersons, Inc.		1,148		47,493
Cal-Maine Foods, Inc.		1,213		47,380
LifePoint Hospitals, Inc.^*		633		46,494
Sanderson Farms, Inc.		581		46,277
Hill-Rom Holdings, Inc.		943		46,207
Chemed Corp.		381		45,491
Stryker Corp.		491		45,295
Total System Services, Inc.		1,185		45,208
Patterson Companies, Inc.		901		43,960
Medifast, Inc.^*		1,420		42,557
Total Consumer, Non-cyclical				4,516,527
Industrial - 15.3%
Emerson Electric Co.		2,574		145,740
Fluor Corp.		2,497		142,728
Joy Global, Inc.		2,690		105,394
Energizer Holdings, Inc.		658		90,837
AGCO Corp.		1,851		88,181
Parker-Hannifin Corp.		733		87,066
CSX Corp.		2,459		81,442
Oshkosh Corp.		1,644		80,211
Norfolk Southern Corp.		770		79,248
Terex Corp.		2,933		77,988
Jacobs Engineering Group, Inc.^*		1,635		73,837
ITT Corp.		1,818		72,556
Timken Co.		1,667		70,247
Kirby Corp.^*		935		70,172
Kennametal, Inc.		2,036		68,593
Jabil Circuit, Inc.		2,794		65,324
Con-way, Inc.		1,415		62,444
Avnet, Inc.		1,383		61,544
Triumph Group, Inc.		994		59,361
Stanley Black & Decker, Inc.		602		57,407
Deere & Co.		627		54,982
Arrow Electronics, Inc.^*		828		50,632
Trinity Industries, Inc.		1,407		49,963
Sanmina Corp.^*		1,991		48,162
Tech Data Corp.^*		820		47,371
Waters Corp.^*		378		46,993
Raytheon Co.		420		45,885
TE Connectivity Ltd.		623		44,619
Actuant Corp. — Class A		1,850		43,919
Valmont Industries, Inc.		352		43,254
Lincoln Electric Holdings, Inc.		653		42,700
Union Pacific Corp.		386		41,808
Total Industrial				2,200,608
Technology - 12.7%
Intel Corp.		5,249		164,136
International Business Machines Corp.		996		159,858
Micron Technology, Inc.^*		5,367		145,607
NetApp, Inc.		4,011		142,229
SanDisk Corp.		2,087		132,775
EMC Corp.		4,221		107,889
Seagate Technology plc		1,998		103,956
Hewlett-Packard Co.		3,226		100,522
Microsoft Corp.		2,420		98,385
Pitney Bowes, Inc.		3,901		90,971
Oracle Corp.		2,081		89,796
Xilinx, Inc.		1,772		74,956
Accenture plc — Class A		785		73,547
QUALCOMM, Inc.		951		65,942
Apple, Inc.		433		53,878
KLA-Tencor Corp.		920		53,627
Lexmark International, Inc. — Class A		1,188		50,300
CACI International, Inc. — Class A^*		510		45,859
Texas Instruments, Inc.		779		44,547
MKS Instruments, Inc.		1,269		42,905
Total Technology				1,841,685

Series Z (Alpha Opportunity Series)
SCHEDULE OF INVESTMENTS (Unaudited)	March 31, 2015

	Shares		Value
COMMON STOCKS^† - 87.0% (continued)
Utilities - 9.6%
Edison International		2,267	$	141,620
DTE Energy Co.		1,598		128,943
PPL Corp.		3,352		112,828
American Electric Power Company, Inc.		1,994		112,163
PG&E Corp.		2,042		108,369
AGL Resources, Inc.		2,041		101,335
National Fuel Gas Co.		1,437		86,694
OGE Energy Corp.		2,534		80,100
Questar Corp.		2,820		67,285
Vectren Corp.		1,518		67,005
Global Partners, LP		1,915		66,642
MDU Resources Group, Inc.		2,923		62,377
UGI Corp.		1,879		61,237
Great Plains Energy, Inc.		1,971		52,586
PNM Resources, Inc.		1,622		47,362
NextEra Energy, Inc.		445		46,302
Westar Energy, Inc.		1,183		45,853
Total Utilities				1,388,701
Financial - 8.3%
Brixmor Property Group, Inc.		5,453		144,777
Hartford Financial Services Group, Inc.		3,159		132,110
Aflac, Inc.		1,865		119,379
Prudential Financial, Inc.		1,285		103,198
American International Group, Inc.		1,741		95,389
MetLife, Inc.		1,637		82,750
Nationstar Mortgage Holdings, Inc.^*		2,695		66,755
Principal Financial Group, Inc.		1,190		61,130
Assurant, Inc.		899		55,208
Berkshire Hathaway, Inc. — Class B^*		369		53,254
Regions Financial Corp.		5,551		52,457
Loews Corp.		1,284		52,426
TCF Financial Corp.		3,113		48,936
ProAssurance Corp.		1,057		48,527
Charles Schwab Corp.		1,518		46,208
Northern Trust Corp.		653		45,481
Total Financial				1,207,985
Consumer, Cyclical - 4.4%
Wal-Mart Stores, Inc.		2,737		225,117
CVS Health Corp.		976		100,733
PACCAR, Inc.		1,416		89,406
Ingram Micro, Inc. — Class A^*		2,571		64,584
Dana Holding Corp.		2,736		57,894
Costco Wholesale Corp.		343		51,963
WW Grainger, Inc.		193		45,511
Total Consumer, Cyclical				635,208
Communications - 3.2%
Time Warner, Inc.		1,252		105,719
Scripps Networks Interactive, Inc. — Class A		1,062		72,811
General Communication, Inc. — Class A^*		4,274		67,358
VeriSign, Inc.^*		977		65,430
Viacom, Inc. — Class B		906		61,880
NETGEAR, Inc.^*		1,406		46,229
Cablevision Systems Corp. — Class A		2,368		43,334
Total Communications				462,761
Energy - 1.6%
ConocoPhillips		1,041		64,813
Chevron Corp.		608		63,828
Marathon Oil Corp.		2,040		53,264
Anadarko Petroleum Corp.		643		53,247
Total Energy				235,152
Basic Materials - 0.7%
United States Steel Corp.		2,016		49,191
Nucor Corp.		963		45,771
Total Basic Materials				94,962
Total Common Stocks
(Cost $12,558,808)				12,583,589

EXCHANGE-TRADED FUNDS^††- %
Irish Bank Resolution Corporation Ltd.		16,638		–
Total Exchange-Traded Funds
(Cost $101,261)				–

SHORT TERM INVESTMENTS^† - 1.3%
Goldman Sachs Financial Square Funds - Treasury Instruments Fund 0.00%		188,509		188,509
Total Short Term Investments
(Cost $188,509)				188,509
Total Investments - 88.3%
(Cost $12,848,578)			$	12,772,098

COMMON STOCKS SOLD SHORT^† - (71.4)%
Midstream Oil - 0.0%
Magellan Midstream Partners, LP		46		(3,529	)
Utilities - (0.8)%
NiSource, Inc.		1,251		(55,244	)
Dominion Resources, Inc.		788		(55,846	)
Total Utilities				(111,090	)
Energy - (2.0)%
Crestwood Equity Partners, LP		268		(1,608	)
Rose Rock Midstream, LP		59		(2,803	)
Holly Energy Partners, LP		92		(2,892	)
NuStar GP Holdings LLC		123		(4,354	)
Tesoro Logistics, LP		124		(6,671	)
Genesis Energy, LP		192		(9,024	)
ONEOK, Inc.		320		(15,437	)
SemGroup Corp. — Class A		190		(15,455	)
Williams Companies, Inc.		319		(16,138	)
Gulfport Energy Corp.^*		1,103		(50,639	)
Exterran Holdings, Inc.		1,549		(52,000	)
Marathon Petroleum Corp.		533		(54,574	)
Spectra Energy Corp.		1,680		(60,765	)
Total Energy				(292,360	)
Technology - (3.6)%
CommVault Systems, Inc.^*		941		(41,122	)
Intuit, Inc.		463		(44,892	)
Allscripts Healthcare Solutions, Inc.^*		3,793		(45,364	)
Akamai Technologies, Inc.^*		648		(46,037	)

Series Z (Alpha Opportunity Series)
SCHEDULE OF INVESTMENTS (Unaudited)	March 31, 2015

	Shares		Value
COMMON STOCKS SOLD SHORT^† - (71.4)% (continued)
Technology - (3.6)% (continued)
Ultimate Software Group, Inc.^*		275	$	(46,738	)
Cognizant Technology Solutions Corp. — Class A^*		839		(52,345	)
Bottomline Technologies de, Inc.^*		1,962		(53,700	)
Cerner Corp.^*		797		(58,389	)
Solera Holdings, Inc.		1,144		(59,099	)
Adobe Systems, Inc.^*		977		(72,239	)
Total Technology				(519,925	)
Communications - (3.9)%
Walt Disney Co.		428		(44,893	)
ViaSat, Inc.^*		887		(52,874	)
Nielsen N.V.		1,459		(65,028	)
Fortinet, Inc.^*		1,990		(69,550	)
Priceline Group, Inc.^*		64		(74,506	)
Facebook, Inc. — Class A^*		1,212		(99,645	)
Amazon.com, Inc.^*		409		(152,188	)
Total Communications				(558,684	)
Basic Materials - (5.8)%
HB Fuller Co.		1,025		(43,942	)
Dow Chemical Co.		940		(45,101	)
RPM International, Inc.		1,174		(56,340	)
Allegheny Technologies, Inc.		2,066		(62,001	)
Eastman Chemical Co.		907		(62,819	)
Minerals Technologies, Inc.		886		(64,767	)
Cytec Industries, Inc.		1,272		(68,739	)
Valspar Corp.		821		(68,989	)
Praxair, Inc.		606		(73,168	)
Ashland, Inc.		650		(82,751	)
Ecolab, Inc.		765		(87,500	)
Compass Minerals International, Inc.		1,251		(116,606	)
Total Basic Materials				(832,723	)
Industrial - (8.2)%
Martin Midstream Partners, LP		24		(851	)
Greif, Inc. — Class A		1,092		(42,883	)
Graco, Inc.		595		(42,935	)
CH Robinson Worldwide, Inc.		611		(44,737	)
Allegion plc		773		(47,284	)
Kansas City Southern		478		(48,794	)
Knight Transportation, Inc.		1,547		(49,891	)
B/E Aerospace, Inc.		804		(51,150	)
UTI Worldwide, Inc.^*		4,557		(56,052	)
TimkenSteel Corp.		2,193		(58,049	)
Lennox International, Inc.		521		(58,190	)
Pall Corp.		580		(58,226	)
Packaging Corporation of America		854		(66,774	)
AMETEK, Inc.		1,305		(68,565	)
Roper Industries, Inc.		400		(68,800	)
Louisiana-Pacific Corp.^*		4,397		(72,594	)
Bemis Company, Inc.		1,623		(75,161	)
General Electric Co.		3,200		(79,392	)
Stericycle, Inc.^*		568		(79,764	)
Sealed Air Corp.		2,180		(99,321	)
Total Industrial				(1,169,413	)
Consumer, Non-cyclical - (8.3)%
Alkermes plc^*		422		(25,729	)
ACADIA Pharmaceuticals, Inc.^*		796		(25,942	)
Repligen Corp.^*		913		(27,719	)
Halozyme Therapeutics, Inc.^*		1,975		(28,203	)
Ultragenyx Pharmaceutical, Inc.^*		464		(28,810	)
Neurocrine Biosciences, Inc.^*		743		(29,505	)
Alnylam Pharmaceuticals, Inc.^*		285		(29,760	)
Biogen, Inc.^*		74		(31,246	)
Incyte Corp.^*		343		(31,439	)
NewLink Genetics Corp.^*		586		(32,060	)
Medivation, Inc.^*		249		(32,138	)
Anacor Pharmaceuticals, Inc.^*		580		(33,553	)
Insmed, Inc.^*		1,724		(35,859	)
Bluebird Bio, Inc.^*		310		(37,439	)
Receptos, Inc.^*		242		(39,903	)
Brown-Forman Corp. — Class B		497		(44,904	)
Avery Dennison Corp.		854		(45,185	)
Church & Dwight Company, Inc.		531		(45,358	)
Monro Muffler Brake, Inc.		720		(46,836	)
WhiteWave Foods Co. — Class A^*		1,082		(47,976	)
Perrigo Company plc		330		(54,632	)
Robert Half International, Inc.		970		(58,704	)
Cooper Companies, Inc.		323		(60,537	)
Akorn, Inc.^*		1,319		(62,666	)
Equifax, Inc.		691		(64,263	)
Endo International plc^*		746		(66,916	)
Edwards Lifesciences Corp.^*		487		(69,378	)
McGraw Hill Financial, Inc.		814		(84,168	)
Total Consumer, Non-cyclical				(1,220,828	)
Consumer, Cyclical - (15.9)%
Polaris Industries, Inc.		294		(41,483	)
Home Depot, Inc.		392		(44,535	)
Johnson Controls, Inc.		893		(45,043	)
Ross Stores, Inc.		430		(45,305	)
Texas Roadhouse, Inc. — Class A		1,267		(46,157	)
Leggett & Platt, Inc.		1,005		(46,320	)
Domino's Pizza, Inc.		464		(46,655	)
Fastenal Co.		1,131		(46,863	)
L Brands, Inc.		512		(48,276	)
Cinemark Holdings, Inc.		1,079		(48,631	)
G-III Apparel Group Ltd.^*		434		(48,890	)
World Fuel Services Corp.		863		(49,605	)
Carter's, Inc.		557		(51,506	)
Meritage Homes Corp.^*		1,060		(51,558	)
Marriott International, Inc. — Class A		651		(52,288	)
Whirlpool Corp.		263		(53,142	)
Standard Pacific Corp.^*		5,907		(53,163	)
American Eagle Outfitters, Inc.		3,115		(53,204	)
Mohawk Industries, Inc.^*		291		(54,053	)
VF Corp.		722		(54,374	)
Tractor Supply Co.		644		(54,779	)
Signet Jewelers Ltd.		397		(55,100	)
Buffalo Wild Wings, Inc.^*		312		(56,547	)
Lithia Motors, Inc. — Class A		574		(57,061	)
Carnival Corp.		1,225		(58,604	)
Thor Industries, Inc.		938		(59,291	)
Kate Spade & Co.^*		1,947		(65,011	)

Series Z (Alpha Opportunity Series)
SCHEDULE OF INVESTMENTS (Unaudited)	March 31, 2015

	Shares		Value
COMMON STOCKS SOLD SHORT^† - (71.4)% (continued)
Consumer, Cyclical - (15.9)% (continued)
O'Reilly Automotive, Inc.^*		322	$	(69,629	)
Harman International Industries, Inc.		529		(70,690	)
Pinnacle Entertainment, Inc.^*		2,024		(73,046	)
NIKE, Inc. — Class B		766		(76,853	)
Skechers U.S.A., Inc. — Class A^*		1,088		(78,238	)
DR Horton, Inc.		2,835		(80,741	)
Yum! Brands, Inc.		1,048		(82,498	)
Jarden Corp.^*		1,654		(87,497	)
Hanesbrands, Inc.		2,832		(94,901	)
Royal Caribbean Cruises Ltd.		1,200		(98,220	)
Cabela's, Inc.^*		1,790		(100,204	)
Total Consumer, Cyclical				(2,299,961	)
Financial - (22.9)%
PennyMac Financial Services, Inc. — Class A^*		255		(4,327	)
Dime Community Bancshares, Inc.		455		(7,326	)
Essent Group Ltd.^*		556		(13,294	)
Capitol Federal Financial, Inc.		1,067		(13,338	)
MGIC Investment Corp.^*		1,611		(15,514	)
Equity One, Inc.		1,060		(28,291	)
Boston Private Financial Holdings, Inc.		3,622		(44,007	)
Iron Mountain, Inc.		1,223		(44,615	)
Education Realty Trust, Inc.		1,278		(45,216	)
First Niagara Financial Group, Inc.		5,135		(45,393	)
United Bankshares, Inc.		1,218		(45,772	)
PNC Financial Services Group, Inc.		492		(45,874	)
Boston Properties, Inc.		329		(46,218	)
First Horizon National Corp.		3,247		(46,400	)
Parkway Properties, Inc.		2,731		(47,383	)
Navient Corp.		2,332		(47,410	)
American Campus Communities, Inc.		1,164		(49,901	)
Financial Engines, Inc.		1,239		(51,827	)
National Retail Properties, Inc.		1,281		(52,483	)
Public Storage		270		(53,228	)
ETRADE Financial Corp.^		1,887		(53,883	)
Medical Properties Trust, Inc.		3,703		(54,582	)
PrivateBancorp, Inc. — Class A		1,555		(54,689	)
Simon Property Group, Inc.		282		(55,170	)
SVB Financial Group^*		439		(55,771	)
Alexandria Real Estate Equities, Inc.		570		(55,883	)
HCP, Inc.		1,359		(58,722	)
Kilroy Realty Corp.		775		(59,031	)
Cousins Properties, Inc.		5,642		(59,805	)
Invesco Ltd.		1,529		(60,686	)
Citigroup, Inc.		1,205		(62,082	)
Equity Residential		812		(63,222	)
Sovran Self Storage, Inc.		677		(63,597	)
Valley National Bancorp		6,794		(64,135	)
Vornado Realty Trust		573		(64,176	)
Sabra Health Care REIT, Inc.		1,990		(65,969	)
Senior Housing Properties Trust		2,981		(66,148	)
Plum Creek Timber Company, Inc.		1,530		(66,479	)
FNB Corp.		5,171		(67,947	)
UDR, Inc.		2,005		(68,230	)
Goldman Sachs Group, Inc.		369		(69,361	)
AvalonBay Communities, Inc.		400		(69,700	)
EPR Properties		1,177		(70,655	)
BB&T Corp.		1,830		(71,352	)
U.S. Bancorp		1,707		(74,545	)
Taubman Centers, Inc.		978		(75,433	)
Crown Castle International Corp.		914		(75,441	)
Ventas, Inc.		1,035		(75,576	)
Federal Realty Investment Trust		559		(82,290	)
General Growth Properties, Inc.		2,976		(87,941	)
Regency Centers Corp.		1,330		(90,493	)
Health Care REIT, Inc.		1,243		(96,159	)
Kite Realty Group Trust		3,576		(100,736	)
Kimco Realty Corp.		3,855		(103,507	)
Morgan Stanley		2,909		(103,822	)
Realty Income Corp.		2,215		(114,294	)
Total Financial				(3,329,329	)
Total Common Stock Sold Short
(Proceeds $10,177,439)				(10,337,842	)

EXCHANGE-TRADED FUNDS SOLD SHORT^† - (1.7)%
SPDR S&P Biotech ETF		1,073		(241,962	)
Total Exchange-Traded Funds Sold Short
(Proceeds $244,807)				(241,962	)

CLOSED-END FUNDS SOLD SHORT^† - (0.3)%
Herzfeld Caribbean Basin Fund, Inc.		4,298		(39,757	)
Total Closed-End Funds Sold Short
(Proceeds $46,493)				(39,757	)
Total Securities Sold Short - (73.4)%
(Proceeds $10,468,739)			$	(10,619,561	)
Other Assets & Liabilities, net - 85.1%				12,316,244
Total Net Assets - 100.0%			$	14,468,781

	Units		Unrealized Loss
OTC EQUITY INDEX SWAP AGREEMENTS^††
Morgan Stanley February 2016 Alpha Opportunity Short Custom Basket Swap, Terminating 02/03/16¹ (Notional Value $5,086,310)		92,936	$	(115,870	)
Morgan Stanley February 2016 Alpha Opportunity Long Custom Basket Swap, Terminating 02/03/16² (Notional Value $7,446,358)		193,456	$	(159,550	)

Series Z (Alpha Opportunity Series)
SCHEDULE OF INVESTMENTS (Unaudited)	March 31, 2015

CUSTOM BASKET OF LONG SECURITIES²
	Shares		Unrealized Gain (Loss)
Kroger Co.		2,119	$	15,047
Agilent Technologies, Inc.		3,309		10,456
Express Scripts Holding Co.^*		1,979		9,366
Telephone & Data Systems, Inc.		5,529		8,574
Valero Energy Corp.		1,728		7,781
AES Corp.		11,708		6,707
General Mills, Inc.		1,779		6,053
PAREXEL International Corp.^*		1,096		4,737
Western Union Co.		3,452		3,884
The Gap, Inc.		2,708		3,409
Allstate Corp.		2,353		3,387
Southwest Gas Corp.		1,257		3,368
CA, Inc.		4,493		3,241
DST Systems, Inc.		708		3,092
Macy's, Inc.		1,534		2,992
NRG Energy, Inc.		4,500		2,924
Progressive Corp.		2,912		2,203
Atlantic Tele-Network, Inc.		1,548		1,965
Bank of New York Mellon Corp.		1,871		1,536
Clean Harbors, Inc.^*		1,593		1,446
Travelers Companies, Inc.		1,234		1,423
Chubb Corp.		669		647
Alaska Air Group, Inc.		1,328		619
WR Berkley Corp.		1,343		605
Caterpillar, Inc.		1,905		442
DENTSPLY International, Inc.		904		229
Quanta Services, Inc.^*		2,381		(179	)
CR Bard, Inc.		478		(283	)
Medtronic plc		1,381		(299	)
Delta Air Lines, Inc.		1,549		405
AT&T, Inc.		1,363		(454	)
General Dynamics Corp.		502		(583	)
Comerica, Inc.		1,780		(834	)
Teradata Corp.^*		2,246		(1,191	)
Northrop Grumman Corp.		414		(1,231	)
First Solar, Inc.^*		1,150		(1,372	)
Everest Re Group Ltd.		425		(1,647	)
JPMorgan Chase & Co.		1,265		(1,688	)
State Street Corp.		1,122		(1,734	)
Johnson & Johnson		1,180		(1,883	)
Fossil Group, Inc.^*		768		(1,986	)
Dover Corp.		2,018		(2,003	)
Archer-Daniels-Midland Co.		4,805		(2,306	)
Franklin Resources, Inc.		1,288		(2,632	)
Cummins, Inc.		577		(2,832	)
Symantec Corp.		3,257		(2,992	)
St. Jude Medical, Inc.		1,794		(3,377	)
Juniper Networks, Inc.		5,045		(3,758	)
Computer Sciences Corp.		954		(4,595	)
Kimberly-Clark Corp.		1,580		(4,768	)
Procter & Gamble Co.		1,355		(5,079	)
Murphy Oil Corp.		1,654		(5,192	)
AbbVie, Inc.		1,211		(5,606	)
Apache Corp.		1,093		(6,366	)
Chesapeake Energy Corp.		4,824		(6,722	)
Cisco Systems, Inc.		3,797		(6,814	)
FedEx Corp.		768		(7,142	)
Hess Corp.		1,095		(7,193	)
Xerox Corp.		14,179		(7,319	)
Public Service Enterprise Group, Inc.		3,775		(7,396	)
Windstream Holdings, Inc.		11,918		(8,766	)
Avon Products, Inc.		13,414		(9,296	)
Consolidated Edison, Inc.		1,040		(10,775	)
Philip Morris International, Inc.		1,884		(11,243	)
Ameren Corp.		2,784		(11,917	)
Pinnacle West Capital Corp.		1,794		(13,812	)
Corning, Inc.		6,869		(14,299	)
CenturyLink, Inc.		5,057		(15,209	)
Western Digital Corp.		1,227		(17,222	)
CenterPoint Energy, Inc.		6,899		(20,509	)
Entergy Corp.		1,938		(22,774	)
Total Long Swap holdings
(Cost $7,605,909)				(159,550	)

CUSTOM BASKET OF SHORT SECURITIES¹
SunCoke Energy, Inc.		4,437		11,718
TripAdvisor, Inc.^*		1,452		9,467
Freeport-McMoRan, Inc.		4,963		8,356
Autodesk, Inc.^*		1,869		6,980
Discovery Communications, Inc. — Class C^*		2,498		6,504
CF Industries Holdings, Inc.		214		4,732
Airgas, Inc.		680		4,690
Vertex Pharmaceuticals, Inc.^*		926		2,757
American Tower Corp. — Class A		646		2,754
Mosaic Co.		1,236		2,591
Air Products & Chemicals, Inc.		558		2,300
Monsanto Co.		377		2,228
Ball Corp.		1,558		1,272
EI du Pont de Nemours & Co.		1,017		1,175
Danaher Corp.		934		1,129
HollyFrontier Corp.		2,397		1,026
Rayonier, Inc.		2,965		894
BlackRock, Inc. — Class A		212		691
SL Green Realty Corp.		1,111		523
Newell Rubbermaid, Inc.		2,489		129
PPG Industries, Inc.		467		(107	)
SunTrust Banks, Inc.		2,764		(272	)
FMC Corp.		1,897		(371	)
Essex Property Trust, Inc.		435		(427	)
Intercontinental Exchange, Inc.		513		(453	)
People's United Financial, Inc.		6,704		(674	)
Extra Space Storage, Inc.		1,326		(827	)
Associated Banc-Corp.		5,175		(889	)
Wabtec Corp.		840		(1,124	)
New York Community Bancorp, Inc.		8,162		(1,148	)
Bank of the Ozarks, Inc.		2,495		(1,440	)
Tesoro Corp.		1,432		(1,944	)
salesforce.com, Inc.^*		1,651		(2,705	)
Sherwin-Williams Co.		283		(2,739	)
Eagle Materials, Inc.		972		(2,858	)
Mobile Mini, Inc.		2,071		(3,059	)
Starwood Hotels & Resorts Worldwide, Inc.		1,245		(3,123	)
Signature Bank^*		654		(3,409	)
Williams Companies, Inc.		2,323		(4,521	)
Men's Wearhouse, Inc.		932		(4,704	)
Toll Brothers, Inc.^*		1,218		(5,374	)
Starbucks Corp.		955		(5,448	)
Webster Financial Corp.		2,461		(5,586	)
International Flavors & Fragrances, Inc.		641		(6,884	)
AmerisourceBergen Corp. — Class A		833		(8,585	)

Series Z (Alpha Opportunity Series)
SCHEDULE OF INVESTMENTS (Unaudited)	March 31, 2015

CUSTOM BASKET OF SHORT SECURITIES¹(continued)
	Shares		Unrealized Gain (Loss)
CarMax, Inc.^*		2,283	$	(9,676	)
Skyworks Solutions, Inc.		699		(9,918	)
CME Group, Inc. — Class A		1,352		(10,068	)
Lennar Corp. — Class A		1,777		(10,113	)
Avago Technologies Ltd.		526		(11,035	)
Red Hat, Inc.^*		1,347		(11,518	)
Under Armour, Inc. — Class A^*		1,778		(13,948	)
Vulcan Materials Co.		1,331		(17,336	)
Martin Marietta Materials, Inc.		855		(25,503	)
Total Short Swap holdings
(Cost $(4,970,440))				(115,870	)

^*	Non-income producing security.
^†	Value determined based on Level 1 inputs — See Note 3.
^††	Value determined based on Level 2 inputs — See Note 3.
¹	Total Return is based on the return of the basket of short securities+/- financing at a variable rate
²	Total Return is based on the return of the basket of long securities+/- financing at a variable rate
	plc ― Public Limited Company
	REIT ― Real Estate Investment Trust

NOTES TO SCHEDULE OF INVESTMENTS (Unaudited)

For information on the Fund’s policy regarding valuation of investments and other significant accounting policies, please refer to the Fund’s most recent semiannual or annual shareholder report.

Consolidation of Subsidiary

The consolidated schedule of investments includes the accounts of a wholly-owned and controlled Cayman Islands subsidiary (the “Subsidiary”). Significant intercompany accounts and transactions have been eliminated in consolidation for the Series M (Macro Opportunities Series). The Series M (Macro Opportunities Series) may invest up to 25% of its total assets in the Subsidiary which acts as an investment vehicle in order to effect certain investments consistent with the Fund’s investment objectives and policies.

1. 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 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. 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 amounts approximates market value.

Repurchase agreements are valued at amortized cost, which 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.

Listed options are valued at the Official Settlement Price listed by the exchange, usually as of 4:00 p.m. Long options are valued using the bid price and short options are valued using the ask price. In the event that a settlement price is not available, fair valuation is enacted. Over-the-counter options are valued using the average bid price (for long options), or average ask price (for short options) obtained from one or more security dealers.

Premiums received from options written are entered in a 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 an option written expires, or if a 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).

NOTES TO SCHEDULE OF INVESTMENTS (Unaudited)

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 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 reccords 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 (including restricted securities) 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, (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.

Under the Funds’ organizational documents, their 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. As part of their investment strategy, the Funds utilize short sales and a variety of derivative instruments.

A short sale is a transaction in which a Fund sells a security it does not own. If the security sold short decreases in price between the time the Fund sells the security and closes its short position, that Fund will realize a gain on the transaction. Conversely, if the security increases in price during the period, that Fund will realize a loss on the transaction. The risk of such price increases is the principal risk of engaging in short sales.

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 segregated cash with broker on the Statement of Assets and Liabilities; securities held as collateral are noted on the Schedule of Investments.

NOTES TO SCHEDULE OF INVESTMENTS (Unaudited)

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. For Funds utilizing interest rate swaps, the exchange bears the risk of loss. 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 use 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 short sales and 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.

There are several risks associated with exposure to foreign currencies, foreign issuers and emerging markets. A Fund’s indirect and direct exposure to foreign currencies subjects the Fund to the risk that those currencies will decline in value relative to the U.S. dollar, or, in the case of short positions, that the U.S. dollar will decline in value relative to the currency being hedged. Currency rates in foreign countries may fluctuate significantly over short periods of time for a number of reasons, including changes in interest rates and the imposition of currency controls or other political developments in the U.S. or abroad. In addition, the Fund may incur transaction costs in connection with conversions between various currencies. The Fund may, but is not obligated to, engage in currency hedging transactions, which generally involve buying currency forward, options or futures contracts. However, not all currency risk may be effectively hedged, and in some cases the costs of hedging techniques may outweigh expected benefits. In such instances, the value of securities denominated in foreign currencies can change significantly when foreign currencies strengthen or weaken relative to the U.S. dollar.

Certain Funds may invest in securities of foreign companies directly, or in financial instruments, such as ADRs and exchange-traded funds, which are indirectly linked to the performance of foreign issuers. Foreign markets can be more volatile than the U.S. market due to increased risks of adverse issuer, political, regulatory, market, or economic developments and can perform differently from the U.S. market. Investing in securities of foreign companies directly, or in financial instruments that are indirectly linked to the performance of foreign issuers, may involve risks not typically associated with investing in U.S. issuers. The value of securities denominated in foreign currencies, and of dividends from such securities, can change significantly when foreign currencies strengthen or weaken relative to the U.S. dollar. Foreign securities markets generally have less trading volume and less liquidity than U.S. markets, and prices in some foreign markets may fluctuate more than those of securities traded on U.S. markets. Many foreign countries lack accounting and disclosure standards comparable to those that apply to U.S. companies, and it may be more difficult to obtain reliable information regarding a foreign issuer’s financial condition and operations. Transaction costs and costs associated with custody services are generally higher for foreign securities than they are for U.S. securities. Some foreign governments levy withholding taxes against dividend and interest income. Although in some countries portions of these taxes are recoverable, the non-recovered portion will reduce the income received by the 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.

3. 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:

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.

NOTES TO SCHEDULE OF INVESTMENTS (Unaudited)

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 March 31, 2015:

	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)	$	212,785,690	$	13,718	$	22,493,806	$	–	$	–	$	235,293,214
Series B (Large Cap Value Series)		268,271,914		–		–		–		–		268,271,914
Series C (Money Market Series)		23,370,598		–		37,453,385		–		–		60,823,983
Series D (World Equity Income Series)		97,085,992		–		78,762,213		–		–		175,848,205
Series E (Total Return Bond Series)		14,024,662		–		115,746,772		–		3,488,648		133,260,082
Series F (Floating Rate Strategies Series)		5,059,070		–		49,116,080		–		820,422		54,995,572
Series J (StylePlus—Mid Growth Series)		152,462,001		–		15,249,187		–		–		167,711,188
Series M (Macro Opportunities Series)		9,950,803		–		25,780,271		317,875		241,082		36,290,031
Series N (Managed Asset Allocation Series)		57,102,454		302,310		–		8,437		–		57,413,201
Series O (All Cap Value Series)		142,603,270		–		–		–		–		142,603,270
Series P (High Yield Series)		5,677,651		–		101,747,946		157,643		4,969,569		112,552,809
Series Q (Small Cap Value Series)		108,567,994		–		–		–		341		108,568,335
Series V (Mid Cap Value Series)		255,421,276		–		–		–		900		255,422,176
Series X (StylePlus—Small Growth Series)		32,991,464		16,147		4,423,664		–		–		37,431,275
Series Y (StylePlus—Large Growth Series)		33,116,443		5,175		4,135,940		–		–		37,257,558
Series Z (Alpha Opportunity Series)		12,772,098		–		–		–		–		12,772,098
Liabilities
Series E (Total Return Bond Series)	$	147,276	$	–	$	–	$	–	$	–	$	147,276
Series M (Macro Opportunities Series)		51,966		–		–		288,473		–		340,439
Series N (Managed Asset Allocation Series)		–		986		–		2,744		–		3,730
Series Z (Alpha Opportunity Series)		10,619,561		–		–		275,420		–		10,894,981

*	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 the 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.

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 03/31/15	Valuation Technique	Unobservable Inputs
	Investments, at value
Series E (Total Return Bond Series)	Corporate Bonds	$1,675,249	Option Adjusted Spread off the month end broker mark over the 3 month LIBOR	Indicative Quote
	Asset-Backed Securities	971,500	Option Adjusted Spread off the month end broker mark over the 3 month LIBOR	Indicative Quote
	Preferred Stock	570,480	Option Adjusted Spread off the month end broker mark over the 3 month LIBOR	Indicative Quote
	Mortgage-Backed Securities	271,419	Option Adjusted Spread off the month end broker mark over the 3 month LIBOR	Indicative Quote

Series F (Floating Rate Strategies Series)	Senior Floating Rate Interests	820,422	Model Priced	Purchase Price

Series P (High Yield Series)	Senior Floating Rate Interests	3,442,524	Model Priced	Purchase Price
	Corporate Bonds	949,801	Model Priced	Purchase Price
		549,720	Option Adjusted Spread off the month end broker mark over the 3 month LIBOR	Indicative Quote
	Total Corporate Bonds	1,499,521
	Preferred Stock	27,472	Option Adjusted Spread off the month end broker mark over the 3 month LIBOR	Indicative Quote

NOTES TO SCHEDULE OF INVESTMENTS (Unaudited)

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 avialability of data used in the investment's valuation changes. The Funds recognized transfers between the levels as of the beginning of the period. As of March 31, 2015, Series D (World Equity Income Fund) had securities with a total value of $78,762,213 transfer 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 $978,900 transfer from Level 3 to Level 2 due to changes in securities valuation method. Series F (Floating Rate Strategies Series) had securities with a total value of $32,549 transfer from Level 2 to Level 3 due to changes in the securities valuation method. There were no other securities that transferred between levels.

Summary of Fair Value Level 3 Activity

Following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value for the period ended March 31, 2015:

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	$	666,000		$	978,900		$	1,995,917		$	255,997		$	3,896,814
Purchases		-			974,283			-			-			974,283
Sales, maturities and paydowns		-			-			(6,000	)		(805	)		(6,805	)
Total realized gains or losses included in earnings		-			-			-			-			-
Total change in unrealized gains or losses included in earnings		(95,520	)		(2,783	)		(62,718	)		16,227			(144,794	)
Transfers into Level 3		-			-			-			-			-
Transfers out of Level 3		-			(978,900	)		(251,950	)		-			(1,230,850	)
Ending Balance	$	570,480		$	971,500		$	1,675,249		$	271,419		$	3,488,648

	Senior Floating Rate Interests			Total
Series F (Floating Rate Strategies Series)
Assets:
Beginning Balance	$	798,535		$	798,535
Purchases		21,257			21,257
Sales, maturities and paydowns		(32,372	)		(32,372	)
Total realized gains or losses included in earnings		-			-
Total change in unrealized gains or losses included in earnings		453			453
Transfers into Level 3		32,549			32,549
Transfers out of Level 3		-			-
Ending Balance	$	820,422		$	820,422

	Senior Floating Rate Interests			Common Stocks		Preferred Stocks		Corporate Bonds			Total
Series P (High Yield Series)
Assets:
Beginning Balance	$	4,010,844		$	54	$	-	$	1,510,515		$	5,521,413
Purchases		1,867			-		-		-			1,867
Sales, maturities and paydowns		(5,617	)		-		-		(4,063	)		(9,680	)
Total realized gains or losses included in earnings		-			-		-		-			-
Total change in unrealized gains or losses included in earnings		(225,920	)		-		-		(6,932	)		(232,852	)
Transfers in Level 3		-			-		27,472		-			27,472
Transfers out of Level 3		(338,651	)		-		-		-			(338,651	)
Ending Balance		3,442,522			54		27,472		1,499,521		$	4,969,569

4. 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 position 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	-

5. 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, and Guggenheim 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 available from the EDGAR database on the SEC's website at http://www.sec.gov.

6. Options Written

Written Call Options

Series E

(Total Return Bond Series)

Series M

(Macro Opportunities Series)

Number of contracts

Premium

amount

Number of contracts

Premium

amount

Balance at December 31, 2014

–

Options Written

1,683

127,686

511

38,554

Options terminated in closing purchase transactions

–

Options expired

–

Options exercised

–

Balance at March 31, 2015

1,683

127,686

511

38,554

Written Put Options

Series E

(Total Return Bond Series)

Series M

(Macro Opportunities Series)

Number of contracts

Premium

amount

Number of contracts

Premium

amount

Balance at December 31, 2014

–

Options Written

–

18,382

Options terminated in closing purchase transactions

–

(17

)

(8,099

)

Options expired

–

Options exercised

–

Balance at March 31, 2015

–

10,283

NOTES TO SCHEDULE OF INVESTMENTS (Unaudited)

7. 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)	Cadence Bank North America
	6.25% due 06/28/29	06/06/14	$	150,000	$	153,750
	Cadence Financial Corp.
	4.88% due 06/28/19	06/06/14		100,000		100,956
				250,000		254,706
Series M (Macro Opportunities Series)	Cadence Financial Corp.
	4.88% due 06/28/19	06/06/14		100,000		100,956

Series P (High Yield Series)	Pacific Premier Bancorp, Inc.
	5.75% due 09/03/24	08/25/14		1,250,000		1,287,500
	Odebrecht Offshore Drilling Finance Ltd.
	6.62% due 10/01/22	02/20/14		621,777		471,890
	IronGate Energy Services LLC
	11.% due 07/01/18	07/10/13		146,795		102,300
	American Seafood Group LLC
	10.75% due 05/15/16	07/31/14		298,905		281,250
	Nathan's Famous, Inc.
	10% due to 3/15/20	2/27/2015		150,000		157,500
				2,467,477		2,300,440

Item 2. Controls and Procedures.

(a) The registrant’s principal executive officer and 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-Q 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 most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 3. Exhibits.

A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Investment Company Act (17 CFR 270.30a-2(a)) is attached hereto.

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, Chief Executive Officer and President

Date	May 19, 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, Chief Executive Officer and President

Date	May 19, 2015

By (Signature and Title)*	/s/ John L. Sullivan
	John L. Sullivan, Chief Financial Officer, Chief Accounting Officer and Treasurer

Date	May 19, 2015

* Print the name and title of each signing officer under his or her signature.