UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, DC 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number 811-02753

Guggenheim Variable Funds Trust

(Exact name of registrant as specified in charter)

702 King Farm Boulevard, Suite 200

Rockville, Maryland 20850

(Address of principal executive offices) (Zip code)

Amy J. Lee, Chief Executive Officer and President

Guggenheim Variable Funds Trust

702 King Farm Boulevard, Suite 200

Rockville, Maryland 20850

(Name and address of agent for service)

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

Date of fiscal year end: December 31

Date of reporting period: September 30, 2017

Form N-Q is to be used by management investment companies, other than small business investment companies registered on Form N-5 (§§ 239.24 and 274.5 of this chapter), to file reports with the Commission, not later than 60 days after the close of the first and third fiscal quarters, pursuant to rule 30b1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use the information provided on Form N-Q in its regulatory, disclosure review, inspection, and policymaking roles.

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

Item 1. Schedule of Investments.

Attached hereto.

Series A (StylePlus—Large Core Series)
SCHEDULE OF INVESTMENTS (Unaudited)	September 30, 2017

	Shares		Value
COMMON STOCKS^†- 19.0%
Consumer, Non-cyclical - 6.0%
Pfizer, Inc.		24,002	$	856,872
Abbott Laboratories		13,052		696,455
Merck & Company, Inc.		9,581		613,472
Amgen, Inc.		3,088		575,757
Sysco Corp.		9,986		538,745
Archer-Daniels-Midland Co.		12,381		526,316
UnitedHealth Group, Inc.		2,621		513,324
Cardinal Health, Inc.		7,537		504,376
JM Smucker Co.		4,580		480,579
Tyson Foods, Inc. — Class A		6,350		447,358
Cigna Corp.		2,352		439,683
Anthem, Inc.		2,250		427,230
Gilead Sciences, Inc.		5,186		420,170
Kroger Co.		20,928		419,816
McKesson Corp.		2,648		406,759
General Mills, Inc.		7,837		405,643
United Rentals, Inc.^*		2,812		390,137
Humana, Inc.		1,588		386,884
Aetna, Inc.		2,408		382,896
Nielsen Holdings plc		8,906		369,154
Mylan N.V.^*		11,499		360,724
HCA Healthcare, Inc.^*		4,473		356,006
Johnson & Johnson		2,509		326,195
Altria Group, Inc.		4,735		300,294
Procter & Gamble Co.		3,070		279,308
Express Scripts Holding Co.^*		3,997		253,090
Mondelez International, Inc. — Class A		6,149		250,018
AbbVie, Inc.		2,559		227,393
Kimberly-Clark Corp.		1,921		226,063
Zimmer Biomet Holdings, Inc.		1,912		223,876
Eli Lilly & Co.		2,608		223,088
Western Union Co.		11,001		211,219
AmerisourceBergen Corp. — Class A		2,501		206,958
Conagra Brands, Inc.		5,711		192,689
Centene Corp.^*		1,974		191,024
DaVita, Inc.^*		2,955		175,497
Kraft Heinz Co.		2,062		159,908
PepsiCo, Inc.		1,408		156,894
Medtronic plc		1,883		146,441
Molson Coors Brewing Co. — Class B		1,749		142,788
Colgate-Palmolive Co.		1,955		142,422
Total Consumer, Non-cyclical				14,553,521
Technology - 2.7%
Apple, Inc.		9,835		1,515,769
Microsoft Corp.		11,683		870,267
Intel Corp.		17,239		656,462
International Business Machines Corp.		4,157		603,098
HP, Inc.		26,885		536,625
Oracle Corp.		9,631		465,659
NetApp, Inc.		10,053		439,919
Western Digital Corp.		4,706		406,598
Applied Materials, Inc.		5,771		300,611
QUALCOMM, Inc.		3,611		187,194
Seagate Technology plc		4,434		147,076
CA, Inc.		4,246		141,731
Broadcom Ltd.		548		132,912
Total Technology				6,403,921
Industrial - 2.6%
United Technologies Corp.		5,615		651,789
Caterpillar, Inc.		4,703		586,511
Johnson Controls International plc		13,029		524,938
Republic Services, Inc. — Class A		7,626		503,774
FedEx Corp.		2,011		453,642
Norfolk Southern Corp.		3,213		424,887
Stericycle, Inc.^*		5,639		403,865
Fluor Corp.		9,454		398,014
Ingersoll-Rand plc		3,752		334,566
Textron, Inc.		6,178		332,871
Jacobs Engineering Group, Inc.		5,605		326,603
Waste Management, Inc.		4,124		322,785
Cummins, Inc.		1,677		281,786
Corning, Inc.		7,682		229,845
Eaton Corporation plc		2,032		156,037
Deere & Co.		1,193		149,829
General Electric Co.		5,593		135,239
Total Industrial				6,216,981
Communications - 2.3%
Cisco Systems, Inc.		25,892		870,748
Alphabet, Inc. — Class C^*		869		833,466
Verizon Communications, Inc.		16,493		816,239
Amazon.com, Inc.^*		693		666,215
AT&T, Inc.		14,054		550,495
Omnicom Group, Inc.		6,841		506,713
Facebook, Inc. — Class A^*		2,488		425,125
Juniper Networks, Inc.		8,242		229,375
Comcast Corp. — Class A		5,549		213,525
Netflix, Inc.^*		1,165		211,273
Expedia, Inc.		1,133		163,084
Viacom, Inc. — Class B		5,340		148,666
Total Communications				5,634,924
Consumer, Cyclical - 2.0%
CVS Health Corp.		9,606		781,160
Wal-Mart Stores, Inc.		7,633		596,443
Ford Motor Co.		45,583		545,628
Walgreens Boots Alliance, Inc.		6,492		501,312
General Motors Co.		11,168		450,964
American Airlines Group, Inc.		6,009		285,368
Ralph Lauren Corp. — Class A		3,187		281,380
Southwest Airlines Co.		4,997		279,732
United Continental Holdings, Inc.^*		4,360		265,437
Delta Air Lines, Inc.		5,452		262,895
Alaska Air Group, Inc.		2,768		211,115
Lowe's Companies, Inc.		1,734		138,616
Home Depot, Inc.		800		130,848
Total Consumer, Cyclical				4,730,898
Financial - 1.9%
JPMorgan Chase & Co.		6,957		664,463
Prudential Financial, Inc.		5,427		576,999
Aflac, Inc.		6,644		540,755
Principal Financial Group, Inc.		8,003		514,913
Capital One Financial Corp.		4,564		386,388
Alliance Data Systems Corp.		1,554		344,289

Series A (StylePlus—Large Core Series)
SCHEDULE OF INVESTMENTS (Unaudited)	September 30, 2017

	Shares		Value
COMMON STOCKS^† - 19.0% (continued)
Financial - 1.9% (continued)
Berkshire Hathaway, Inc. — Class B^*		1,625	$	297,895
Lincoln National Corp.		3,356		246,599
Northern Trust Corp.		2,051		188,548
Charles Schwab Corp.		3,466		151,603
Discover Financial Services		2,303		148,497
Citigroup, Inc.		2,028		147,517
Wells Fargo & Co.		2,628		144,934
Bank of America Corp.		5,487		139,041
Total Financial				4,492,441
Energy - 1.0%
ConocoPhillips		13,221		661,710
Anadarko Petroleum Corp.		11,914		581,999
Exxon Mobil Corp.		5,322		436,298
Marathon Oil Corp.		27,016		366,337
Noble Energy, Inc.		5,816		164,942
Valero Energy Corp.		2,032		156,322
Total Energy				2,367,608
Utilities - 0.4%
FirstEnergy Corp.		14,998		462,388
American Electric Power Company, Inc.		4,113		288,897
Public Service Enterprise Group, Inc.		4,968		229,770
Total Utilities				981,055
Basic Materials - 0.1%
DowDuPont, Inc.		4,145		286,958
Total Common Stocks
(Cost $42,900,790)				45,668,307

MUTUAL FUNDS^† - 76.0%
Guggenheim Strategy Fund III¹	2,395,432	59,981,630
Guggenheim Variable Insurance Strategy Fund III¹	2,389,569	59,978,188
Guggenheim Strategy Fund II¹	1,451,846	36,383,265
Guggenheim Strategy Fund I¹	1,043,803	26,209,892
Total Mutual Funds
(Cost $181,474,595)		182,552,975

MONEY MARKET FUND^† - 4.4%
Dreyfus Treasury Securities Cash Management Fund - Institutional Class 0.90%²	10,596,306		10,596,306
Total Money Market Fund
(Cost $10,596,306)			10,596,306
Total Investments - 99.4%
(Cost $234,971,691)		$	238,817,588
Other Assets & Liabilities, net - 0.6%			1,446,867
Total Net Assets - 100.0%		$	240,264,455

Futures Contracts

Description

Contracts

Expiration date

Notional Amount

Unrealized
Gain

Equity Futures Contracts Purchased^†

S&P 500 Index Mini Futures Contracts

Dec 2017

4,779,450

19,843

Total Return Swap Agreements

Counterparty

Index

Financing

Rate Pay

(Receive)

Payment

Frequency

Maturity Date

Units

Notional Value

Unrealized Gain

OTC Equity Index Swap Agreements^††

UBS

S&P 500 Index

156.92

At Maturity

10/5/17

75,242

189,561,685

11,884,707

*	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.
²	Rate indicated is the 7 day yield as of September 30, 2017.

plc	Public Limited Company

See Sector Classification in Other Information section.

Series A (StylePlus—Large Core Series)
SCHEDULE OF INVESTMENTS (Unaudited)	September 30, 2017

The following table summarizes the inputs used to value the Fund's investments at September 30, 2017 (See Note 3 in the Notes to Schedule of Investments):

Investments in Securities (Assets)	Level 1 Quoted Prices		Level 1 - Other*		Level 2 Significant Observable Inputs		Level 2 - Other*		Level 3 Significant Unobservable Inputs		Total
Common Stocks	$	45,668,307	$	—	$	—	$	—	$	—	$	45,668,307
Equity Futures Contracts		—		19,843		—		—		—		19,843
Equity Index Swap Agreements		—		—		—		11,884,707		—		11,884,707
Money Market Fund		10,596,306		—		—		—		—		10,596,306
Mutual Funds		182,552,975		—		—		—		—		182,552,975
Total Assets	$	238,817,588	$	19,843	$	—	$	11,884,707	$	—	$	250,722,138

*	Other financial instruments include futures contracts and swaps, which are reported as unrealized gain/loss at period end.

Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.

For the period ended September 30, 2017, there were no transfers between levels.

Affiliated 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 Fund may invest in the Guggenheim Strategy Funds Trust consisting of Guggenheim Strategy Fund I, Guggenheim Strategy Fund II, Guggenheim Strategy Fund III, and Guggenheim Variable Insurance Strategy Fund III (collectively, the “Cash Management Funds”), open end management investment companies managed by GI. The Cash Management Funds, which launched on March 11, 2014, are offered as cash management options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Cash Management Funds pay no investment management fees. The Cash Management Funds’ annual report on Form N-CSR dated September 30, 2016, is available publicly or upon request. This information is available from the EDGAR database on the SEC’s website at https://www.sec.gov/Archives/edgar/data/1601445/000089180416001923/gug65857-ncsr.htm.
Transactions during the period ended September 30, 2017, in which the portfolio company is an "affiliated person", were as follows:
Security Name	Value 12/31/16		Additions		Reductions			Realized Gain)		Change in Unrealized		Value 9/30/17		Shares 9/30/17		Investment Income
Guggenheim Strategy Fund I	$	21,897,209	$	5,204,878	$	(999,990	)	$	8,768	$	99,027	$	26,209,892		1,043,803	$	346,303
Guggenheim Strategy Fund II		57,260,566		894,787		(21,999,993	)		119,825		108,080		36,383,265		1,451,846		898,914
Guggenheim Strategy Fund III		36,004,831		23,856,635		–			–		120,164		59,981,630		2,395,432		857,852
Guggenheim Variable Insurance Strategy Fund III		58,544,462		1,268,329		–			–		165,397		59,978,188		2,389,569		1,272,485
	$	173,707,068	$	31,224,629	$	(22,999,983	)	$	128,593	$	492,668	$	182,552,975		–	$	3,375,554

Series B (Large Cap Value Series)
SCHEDULE OF INVESTMENTS (Unaudited)	September 30, 2017

	Shares		Value
COMMON STOCKS^† - 98.7%
Financial - 29.0%
JPMorgan Chase & Co.		96,900	$	9,254,919
Berkshire Hathaway, Inc. — Class B^*		43,881		8,044,265
Bank of America Corp.		260,201		6,593,493
Citigroup, Inc.		87,506		6,365,186
Wells Fargo & Co.		91,802		5,062,880
BB&T Corp.		66,310		3,112,591
Zions Bancorporation		61,010		2,878,452
SunTrust Banks, Inc.		47,058		2,812,657
T. Rowe Price Group, Inc.		30,433		2,758,752
Charles Schwab Corp.		62,301		2,725,046
Welltower, Inc. REIT		33,719		2,369,772
Allstate Corp.		24,086		2,213,744
Unum Group		42,142		2,154,720
Piedmont Office Realty Trust, Inc. — Class A REIT		105,881		2,134,561
ETRADE Financial Corp.^		48,400		2,110,724
Omega Healthcare Investors, Inc. REIT		59,084		1,885,370
Assured Guaranty Ltd.		45,969		1,735,330
Morgan Stanley		35,168		1,694,043
Host Hotels & Resorts, Inc. REIT		80,059		1,480,291
American International Group, Inc.		21,007		1,289,620
KeyCorp		65,606		1,234,705
Regions Financial Corp.		77,187		1,175,558
Prudential Financial, Inc.		10,662		1,133,584
Federated Investors, Inc. — Class B		29,732		883,040
Equity Commonwealth REIT^*		24,046		730,998
Rayonier, Inc. REIT		22,373		646,356
Liberty Property Trust REIT		15,002		615,982
Hartford Financial Services Group, Inc.		8,000		443,440
Total Financial				75,540,079
Consumer, Non-cyclical - 18.3%
Johnson & Johnson		54,930		7,141,448
Pfizer, Inc.		129,305		4,616,189
Merck & Company, Inc.		63,152		4,043,623
Procter & Gamble Co.		39,813		3,622,187
HCA Healthcare, Inc.^*		41,234		3,281,814
Hormel Foods Corp.		72,329		2,324,654
Bunge Ltd.		33,095		2,298,778
Tyson Foods, Inc. — Class A		30,664		2,160,279
Express Scripts Holding Co.^*		31,634		2,003,065
Zimmer Biomet Holdings, Inc.		14,894		1,743,938
United Therapeutics Corp.^*		14,510		1,700,427
Quest Diagnostics, Inc.		17,766		1,663,608
UnitedHealth Group, Inc.		8,407		1,646,511
Archer-Daniels-Midland Co.		29,749		1,264,630
DaVita, Inc.^*		20,476		1,216,070
AmerisourceBergen Corp. — Class A		14,674		1,214,274
Post Holdings, Inc.^*		13,632		1,203,297
Medtronic plc		13,805		1,073,615
Akorn, Inc.^*		28,319		939,908
Philip Morris International, Inc.		6,476		718,901
Ingredion, Inc.		5,513		665,088
JM Smucker Co.		6,166		646,998
Dr Pepper Snapple Group, Inc.		5,528		489,062
Total Consumer, Non-cyclical				47,678,364
Industrial - 10.8%
WestRock Co.		50,722		2,877,459
Corning, Inc.		83,608		2,501,551
Orbital ATK, Inc.		18,761		2,498,214
General Electric Co.		99,292		2,400,880
Republic Services, Inc. — Class A		34,617		2,286,799
Crown Holdings, Inc.^*		35,204		2,102,383
Owens Corning		26,813		2,073,986
United Technologies Corp.		17,470		2,027,918
Carlisle Companies, Inc.		16,492		1,653,983
Eagle Materials, Inc.		14,243		1,519,728
Honeywell International, Inc.		10,534		1,493,089
Eaton Corporation plc		19,215		1,475,520
Jabil, Inc.		44,250		1,263,338
Snap-on, Inc.		7,495		1,116,830
Timken Co.		20,143		977,943
Total Industrial				28,269,621
Consumer, Cyclical - 10.0%
Wal-Mart Stores, Inc.		53,182		4,155,642
Southwest Airlines Co.		47,872		2,679,874
Lear Corp.		14,116		2,443,197
DR Horton, Inc.		56,704		2,264,191
CVS Health Corp.		27,334		2,222,801
Goodyear Tire & Rubber Co.		65,368		2,173,486
Target Corp.		31,509		1,859,346
PVH Corp.		13,030		1,642,562
Carnival Corp.		23,493		1,516,943
PACCAR, Inc.		20,547		1,486,370
JetBlue Airways Corp.^*		78,603		1,456,514
MGM Resorts International		43,478		1,416,948
Lowe's Companies, Inc.		8,212		656,467
Total Consumer, Cyclical				25,974,341
Energy - 9.9%
Chevron Corp.		58,240		6,843,201
Exxon Mobil Corp.		74,505		6,107,920
Kinder Morgan, Inc.		134,804		2,585,541
Marathon Oil Corp.		160,387		2,174,848
Valero Energy Corp.		25,827		1,986,871
Hess Corp.		41,670		1,953,906
Concho Resources, Inc.^*		10,527		1,386,616
Diamondback Energy, Inc.^*		13,314		1,304,239
Whiting Petroleum Corp.^*		158,014		862,756
Laredo Petroleum, Inc.^*		44,160		570,989
Total Energy				25,776,887
Utilities - 6.8%
Exelon Corp.		73,492		2,768,443
FirstEnergy Corp.		86,284		2,660,136
Public Service Enterprise Group, Inc.		57,292		2,649,755
Ameren Corp.		41,879		2,422,281
Edison International		28,058		2,165,236
OGE Energy Corp.		58,959		2,124,293
UGI Corp.		45,281		2,121,868
Duke Energy Corp.		8,550		717,516
Total Utilities				17,629,528
Technology - 6.2%
Intel Corp.		116,620		4,440,890

Series B (Large Cap Value Series)
SCHEDULE OF INVESTMENTS (Unaudited)	September 30, 2017

	Shares		Value
COMMON STOCKS^† - 98.7% (continued)
Technology - 6.2% (continued)
Xerox Corp.		73,067	$	2,432,400
Apple, Inc.		11,326		1,745,563
QUALCOMM, Inc.		32,234		1,671,011
Oracle Corp.		29,154		1,409,596
VMware, Inc. — Class A^*		11,833		1,292,045
CSRA, Inc.		39,036		1,259,692
Qorvo, Inc.^*		17,000		1,201,560
NCR Corp.^*		16,583		622,194
Total Technology				16,074,951
Basic Materials - 3.8%
Nucor Corp.		39,318		2,203,380
DowDuPont, Inc.		30,061		2,081,123
Reliance Steel & Aluminum Co.		25,607		1,950,485
Steel Dynamics, Inc.		47,993		1,654,319
Cabot Corp.		21,835		1,218,393
Freeport-McMoRan, Inc.^*		54,442		764,366
Total Basic Materials				9,872,066
Communications - 3.5%
Cisco Systems, Inc.		120,244		4,043,805
AT&T, Inc.		66,905		2,620,669
Time Warner, Inc.		14,005		1,434,812
Verizon Communications, Inc.		21,246		1,051,465
Total Communications				9,150,751
Diversified - 0.4%
Leucadia National Corp.		36,622		924,706
Total Common Stocks
(Cost $206,680,753)				256,891,294

MONEY MARKET FUND^† - 1.4%
Dreyfus Treasury Securities Cash Management Fund - Institutional Class 0.90%¹	3,591,194		3,591,194
Total Money Market Fund
(Cost $3,591,194)			3,591,194
Total Investments - 100.1%
(Cost $210,271,947)		$	260,482,488
Other Assets & Liabilities, net - (0.1)%			(149,498	)
Total Net Assets - 100.0%		$	260,332,990

^*	Non-income producing security.
^†	Value determined based on Level 1 inputs — See Note 3.
¹	Rate indicated is the 7 day yield as of September 30, 2017.

plc	Public Limited Company

REIT	Real Estate Investment Trust

See Sector Classification in Other Information section.

The following table summarizes the inputs used to value the Fund's investments at September 30, 2017 (See Note 3 in the Notes to Schedule of Investments):

Investments in Securities (Assets)	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs		Total
Common Stocks	$	256,891,294	$	—	$	—	$	256,891,294
Money Market Fund		3,591,194		—		—		3,591,194
Total Assets	$	260,482,488	$	—	$	—	$	260,482,488

Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.

For the period ended September 30, 2017, there were no transfers between levels.

Series D (World Equity Income Series)
SCHEDULE OF INVESTMENTS (Unaudited)	September 30, 2017

	Shares		Value
COMMON STOCKS^† - 99.6%
Financial - 26.3%
Visa, Inc. — Class A		19,000	$	1,999,560
Mastercard, Inc. — Class A		12,300		1,736,760
Marsh & McLennan Companies, Inc.		17,800		1,491,817
Banco Bilbao Vizcaya Argentaria S.A.		165,000		1,474,489
Intercontinental Exchange, Inc.		20,700		1,422,090
CME Group, Inc. — Class A		10,400		1,411,072
Credit Agricole S.A.		77,100		1,401,487
Cincinnati Financial Corp.		18,300		1,401,231
BNP Paribas S.A.		17,100		1,379,358
ING Groep N.V.		74,500		1,373,597
Chubb Ltd.		9,000		1,282,950
Swiss Re AG		13,500		1,222,824
Annaly Capital Management, Inc. REIT		98,100		1,195,839
Hang Seng Bank Ltd.		46,000		1,121,214
AXA S.A.		36,500		1,103,930
Bank of Montreal		14,400		1,089,690
Credit Suisse Group AG^*		67,900		1,075,084
Henderson Land Development Company Ltd.		161,260		1,068,318
Westfield Corp. REIT		165,900		1,020,042
Kinnevik AB — Class B		30,500		994,435
Everest Re Group Ltd.		4,300		982,077
Welltower, Inc. REIT		12,300		864,444
Bank Hapoalim BM		123,500		863,903
Hysan Development Company Ltd. — Class A^*		179,500		844,473
First Capital Realty, Inc.		52,200		823,240
H&R Real Estate Investment Trust REIT		46,800		807,834
RioCan Real Estate Investment Trust REIT		41,600		797,750
Assurant, Inc.		8,100		773,712
Raiffeisen Bank International AG^*		19,800		663,549
Intesa Sanpaolo SpA		184,900		653,848
JPMorgan Chase & Co.		6,800		649,468
National Australia Bank Ltd. ADR		24,800		612,658
Ascendas Real Estate Investment Trust REIT		309,600		607,117
Investec plc		80,300		585,805
Smart Real Estate Investment Trust REIT		24,000		566,213
Liberty Property Trust REIT		11,700		480,402
Canadian Imperial Bank of Commerce		5,400		472,419
Toronto-Dominion Bank		7,200		405,331
CI Financial Corp.		18,000		393,647
Reinsurance Group of America, Inc. — Class A		2,800		390,684
ASX Ltd.		9,500		390,624
Ageas		7,500		352,441
Equity Residential REIT		5,300		349,429
Wells Fargo & Co.		6,200		341,930
Prologis, Inc. REIT		5,300		336,338
U.S. Bancorp		5,977		320,307
Lloyds Banking Group plc		281,700		255,628
Nasdaq, Inc.		3,000		232,710
Total Financial				42,083,768
Consumer, Non-cyclical - 20.3%
Johnson & Johnson		20,900		2,717,209
Pfizer, Inc.		59,300		2,117,010
UnitedHealth Group, Inc.		10,800		2,115,180
AbbVie, Inc.		23,400		2,079,324
Merck & Company, Inc.		29,300		1,876,079
Gilead Sciences, Inc.		22,000		1,782,440
Roche Holding AG		6,900		1,761,684
Procter & Gamble Co.		17,662		1,606,889
Amgen, Inc.		8,300		1,547,535
Diageo plc		46,700		1,534,809
Automatic Data Processing, Inc.		12,600		1,377,432
Wesfarmers Ltd.		40,200		1,303,009
Western Union Co.		61,700		1,184,640
Stryker Corp.		6,800		965,736
Becton Dickinson and Co.		4,600		901,370
Cardinal Health, Inc.		13,000		869,960
Reed Elsevier plc		35,700		782,513
George Weston Ltd.		8,300		722,668
Woolworths Ltd.		35,300		697,916
Coca-Cola Amatil Ltd.		112,400		681,399
Swedish Match AB		18,700		655,844
Orkla ASA		62,200		638,095
Orion Oyj — Class B		12,400		575,374
Eli Lilly & Co.		6,100		521,794
MEIJI Holdings Company Ltd.		6,500		515,286
Zoetis, Inc.		5,500		350,680
British American Tobacco plc		5,300		331,720
Quest Diagnostics, Inc.		2,900		271,556
Total Consumer, Non-cyclical				32,485,151
Technology - 13.2%
Apple, Inc.		15,800		2,435,096
Microsoft Corp.		22,500		1,676,025
International Business Machines Corp.		11,100		1,610,388
Accenture plc — Class A		11,400		1,539,798
Texas Instruments, Inc.		16,300		1,461,132
Paychex, Inc.		24,300		1,457,028
Canon, Inc.		41,900		1,431,794
Cie Generale des Etablissements Michelin — Class B^*		9,000		1,313,675
Fidelity National Information Services, Inc.		13,900		1,298,121
Adobe Systems, Inc.^*		8,600		1,282,948
CA, Inc.		36,700		1,225,046
Lam Research Corp.		5,800		1,073,232
Broadridge Financial Solutions, Inc.		12,200		986,004
Seagate Technology plc		26,700		885,639
Oracle Corporation Japan		8,400		659,936
NTT Data Corp.		52,500		561,767
Electronic Arts, Inc.^*		2,600		306,956
Total Technology				21,204,585
Industrial - 11.4%
3M Co.		8,400		1,763,161
Honeywell International, Inc.		12,200		1,729,228
Lockheed Martin Corp.		4,928		1,529,109

Series D (World Equity Income Series)
SCHEDULE OF INVESTMENTS (Unaudited)	September 30, 2017

	Shares		Value
COMMON STOCKS^† - 99.6% (continued)
Industrial - 11.4% (continued)
United Parcel Service, Inc. — Class B		10,900	$	1,308,981
Waste Management, Inc.		16,100		1,260,147
Pentair plc		18,200		1,236,872
FUJIFILM Holdings Corp.		31,200		1,210,899
TE Connectivity Ltd.		13,800		1,146,228
SKF AB — Class B		50,200		1,093,832
Skanska AB — Class B		44,300		1,026,182
Mizuho Financial Group, Inc.		536,600		939,956
Deere & Co.		5,900		740,981
Republic Services, Inc. — Class A		10,300		680,418
MTR Corporation Ltd.		90,400		527,712
Vinci S.A.		5,500		522,633
Harris Corp.		3,600		474,048
Raytheon Co.		2,300		429,134
Toyo Seikan Group Holdings Ltd.		22,300		372,592
BAE Systems plc		33,300		281,523
Total Industrial				18,273,636
Communications - 8.9%
Facebook, Inc. — Class A^*		11,800		2,016,266
Verizon Communications, Inc.		34,100		1,687,610
Shaw Communications, Inc. — Class B		58,800		1,353,295
Alphabet, Inc. — Class C^*		1,200		1,150,932
AT&T, Inc.		27,300		1,069,341
Cisco Systems, Inc.		30,000		1,008,900
SES S.A.		45,100		986,646
BCE, Inc.		20,600		965,065
Telefonica Deutschland Holding AG		162,500		911,890
TELUS Corp.		22,400		805,622
Elisa Oyj		15,400		662,886
Amazon.com, Inc.^*		500		480,675
Motorola Solutions, Inc.		4,600		390,402
Rogers Communications, Inc. — Class B		7,400		381,543
Kakaku.com, Inc.		25,300		322,433
Total Communications				14,193,506
Consumer, Cyclical - 7.2%
McDonald's Corp.		9,000		1,410,120
Commonwealth Bank of Australia ADR^*		21,600		1,274,724
Li & Fung Ltd.		2,265,700		1,136,979
Home Depot, Inc.		6,800		1,112,208
Berkeley Group Holdings plc		21,300		1,060,463
Sekisui House Ltd.		55,200		930,384
Iida Group Holdings Company Ltd.		49,900		889,614
Ford Motor Co.		58,500		700,245
Crown Resorts Ltd.		78,400		695,400
Harvey Norman Holdings Ltd.		198,500		604,015
LVMH Moet Hennessy Louis Vuitton SE		2,100		579,417
Compass Group plc		26,365		559,176
Vail Resorts, Inc.		1,800		410,616
Yue Yuen Industrial Holdings Ltd.		65,600		249,416
Total Consumer, Cyclical				11,612,777
Utilities - 7.0%
Southern Co.		28,700		1,410,318
Duke Energy Corp.		15,000		1,258,800
CLP Holdings Ltd.		118,138		1,210,640
PPL Corp.		31,700		1,203,015
Dominion Energy, Inc.		13,600		1,046,248
CenterPoint Energy, Inc.		29,400		858,774
DTE Energy Co.		7,200		772,992
Emera, Inc.		18,900		715,791
NextEra Energy, Inc.		3,500		512,925
AGL Energy Ltd.		25,500		467,363
Engie S.A.		27,300		463,658
WEC Energy Group, Inc.		7,100		445,738
Entergy Corp.		5,300		404,708
Sempra Energy		2,200		251,086
SCANA Corp.		5,100		247,299
Total Utilities				11,269,355
Basic Materials - 2.9%
LyondellBasell Industries N.V. — Class A		13,500		1,337,175
DowDuPont, Inc.		17,500		1,211,525
Mitsubishi Chemical Holdings Corp.		121,800		1,160,412
Nissan Chemical Industries Ltd.		14,400		506,790
Mondi plc		17,900		480,848
Total Basic Materials				4,696,750
Energy - 1.8%
Woodside Petroleum Ltd.		51,900		1,184,448
OMV AG		17,800		1,036,948
Inter Pipeline Ltd.		16,200		335,588
Exxon Mobil Corp.		4,000		327,920
Total Energy				2,884,904
Diversified - 0.6%
Jardine Matheson Holdings Ltd.		14,300		906,048
Total Common Stocks
(Cost $142,919,517)				159,610,480

MONEY MARKET FUND^† - 0.1%
Goldman Sachs Financial Square Treasury Instruments Fund 0.86%¹	134,399		134,399
Total Money Market Fund
(Cost $134,399)			134,399
Total Investments - 99.7%
(Cost $143,053,916)		$	159,744,879
Other Assets & Liabilities, net - 0.3%			548,698
Total Net Assets - 100.0%		$	160,293,577

Series D (World Equity Income Series)
SCHEDULE OF INVESTMENTS (Unaudited)	September 30, 2017

^*	Non-income producing security.
^†	Value determined based on Level 1 inputs — See Note 3.
¹	Rate indicated is the 7 day yield as of September 30, 2017.

ADR	American Depositary Receipt

plc	Public Limited Company

REIT	Real Estate Investment Trust

See Sector Classification in Other Information section.

The following table summarizes the inputs used to value the Fund's investments at September 30, 2017 (See Note 3 in the Notes to Schedule of Investments):

Investments in Securities (Assets)	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs		Total
Common Stocks	$	159,610,480	$	—	$	—	$	159,610,480
Money Market Fund		134,399		—		—		134,399
Total Assets	$	159,744,879	$	—	$	—	$	159,744,879

For the period ended September 30, 2017, there were no transfers between levels.

Series E (Total Return Bond Series)
SCHEDULE OF INVESTMENTS (Unaudited)	September 30, 2017

	Shares		Value
COMMON STOCKS^† - 0.1%
Financial - 0.1%
Rescap Liquidating Trust^*		9,655	$	71,930
Total Common Stocks
(Cost $487,486)				71,930

PREFERRED STOCKS^†† - 0.9%
Financial - 0.7%
Woodbourne Capital Trust III (1 Month USD LIBOR + 250 bps) 3.14%^{*,†††,1,2,3}	300,000	226,255
Woodbourne Capital Trust IV (1 Month USD LIBOR + 250 bps) 3.14%^{*,†††,1,2,3}	300,000	226,255
Woodbourne Capital Trust I (1 Month USD LIBOR + 250 bps) 3.13%^{*,†††,1,2,3}	300,000	226,254
Woodbourne Capital Trust II (1 Month USD LIBOR + 250 bps) 3.13%^{*,†††,1,2,3}	300,000	226,254
Total Financial		905,018
Industrial - 0.2%
Seaspan Corp. 6.38% due 04/30/19	8,540	221,357
Total Preferred Stocks
(Cost $1,419,296)		1,126,375

MUTUAL FUNDS^† - 9.5%
Guggenheim Total Return Bond Fund - Institutional Class⁴	225,870	6,114,305
Guggenheim Strategy Fund I⁴	124,227	3,119,346
Guggenheim Limited Duration Fund - Institutional Class⁴	116,573	2,896,844
Total Mutual Funds
(Cost $11,919,622)		12,130,495

MONEY MARKET FUND^†- 1.6%
Dreyfus Treasury Securities Cash Management Fund - Institutional Class 0.90%⁵	2,091,632	2,091,632
Total Money Market Fund
(Cost $2,091,632)		2,091,632

Face
Amount

ASSET-BACKED SECURITIES^†† - 40.9%
Collateralized Loan Obligations - 25.2%
Fortress Credit Opportunities III CLO, LP
2017-3A, 2.95% (3 Month USD LIBOR + 165 bps) due 04/28/26^1,6	$	1,300,000	1,305,593
2017-3A, 3.55% (3 Month USD LIBOR + 225 bps) due 04/28/26^1,6		300,000	300,189
2017-3A, 4.40% (3 Month USD LIBOR + 310 bps) due 04/28/26^1,6		200,000	200,371
KVK CLO Ltd.
2017-1A, 3.12% (3 Month USD LIBOR + 180 bps) due 05/15/26^1,6		1,000,000	1,007,029
2013-1A, due 04/14/25^6,7		900,000	317,018
Northwoods Capital XIV Ltd.
2017-14A, 3.01% (3 Month USD LIBOR + 170 bps) due 11/12/25^1,6		1,250,000	1,252,025
Great Lakes CLO Ltd.
2012-1A, 5.40% (3 Month USD LIBOR + 410 bps) due 01/15/23^1,6		1,000,000	999,968
2014-1A, 5.00% (3 Month USD LIBOR + 370 bps) due 04/15/25^1,6		250,000	250,006
Grayson CLO Ltd.
2006-1A, 1.72% (3 Month USD LIBOR + 41 bps) due 11/01/21^1,6		1,250,000	1,245,678
WhiteHorse VIII Ltd.
2014-1A, 3.36% (3 Month USD LIBOR + 205 bps) due 05/01/26^1,6		1,100,000	1,102,688
FDF II Ltd.
2016-2A, 4.29% due 05/12/31⁶		1,000,000	1,024,134
Nelder Grove CLO Ltd.
2017-1A, 3.11% (3 Month USD LIBOR + 180 bps) due 08/28/26^1,6		1,000,000	1,007,152
Fortress Credit Opportunities V CLO Ltd.
2017-5A, 3.65% (3 Month USD LIBOR + 235 bps) due 10/15/26^1,6		1,000,000	1,006,897
Steele Creek CLO Ltd.
2017-1A, 3.17% (3 Month USD LIBOR + 185 bps) due 08/21/26^1,6		1,000,000	1,006,353
York CLO 1 Ltd.
2017-1A, 3.01% (3 Month USD LIBOR + 170 bps) due 01/22/27^1,6		1,000,000	1,006,107
OZLM IX Ltd.
2017-9A, 2.96% (3 Month USD LIBOR + 165 bps) due 01/20/27^1,6		1,000,000	1,005,768
Flagship CLO VIII Ltd.
2017-8A, 3.00% (3 Month USD LIBOR + 170 bps) due 01/16/26^1,6		1,000,000	1,005,067
Fortress Credit BSL II Ltd.
2017-2A, 2.96% (3 Month USD LIBOR + 165 bps) due 10/19/25^1,6		1,000,000	1,004,719
Marathon CLO VII Ltd.
2017-7A, 2.96% (3 Month USD LIBOR + 165 bps) due 10/28/25^1,6		1,000,000	1,003,504

Series E (Total Return Bond Series)
SCHEDULE OF INVESTMENTS (Unaudited)	September 30, 2017

	Face Amount		Value
ASSET-BACKED SECURITIES^†† - 40.9% (continued)
Collateralized Loan Obligations - 25.2% (continued)
Resource Capital Corporation Ltd.
2017-CRE5, 2.03% (1 Month USD LIBOR + 80 bps) due 07/15/34^1,6	$	1,000,000	$	1,002,184
Venture XII CLO Ltd.
2017-12A, 2.95% (3 Month USD LIBOR + 163 bps) due 02/28/26^1,6		1,000,000		1,001,395
OCP CLO Ltd.
2016-2A, 4.16% (3 Month USD LIBOR + 285 bps) due 11/22/25^1,6		1,000,000		1,000,841
Oaktree EIF I Ltd.
2016-A1, 3.90% (3 Month USD LIBOR + 260 bps) due 10/18/27^1,6		1,000,000		1,000,616
Hunt CRE Ltd.
2017-FL1, 2.23% (1 Month USD LIBOR + 100 bps) due 08/15/34^1,6		1,000,000		1,000,603
Marathon CLO IV Ltd.
2012-4A, 4.32% (3 Month USD LIBOR + 300 bps) due 05/20/23^1,6		1,000,000		1,000,153
CIFC Funding Ltd.
2017-3A, 2.26% (3 Month USD LIBOR + 95 bps) due 07/22/26^1,6		1,000,000		999,985
Vibrant CLO II Ltd.
2017-2A, 2.76% (3 Month USD LIBOR + 145 bps) due 07/24/24^1,6		1,000,000		999,343
NXT Capital CLO LLC
2017-1A, 3.13% (3 Month USD LIBOR + 170 bps) due 04/20/29^1,6		1,000,000		998,878
Dryden 37 Senior Loan Fund
2015-37A, due 04/15/27^6,7		1,000,000		920,584
Rockwall CDO II Ltd.
2007-1A, 1.86% (3 Month USD LIBOR + 55 bps) due 08/01/24^1,6		675,073		674,492
Ivy Hill Middle Market Credit Fund VII Ltd.
2013-7A, 4.76% (3 Month USD LIBOR + 345 bps) due 10/20/25^1,6		600,000		599,980
Newstar Trust
2012-2A, 4.56% (3 Month USD LIBOR + 325 bps) due 01/20/23^1,6		500,000		501,494
Cent CLO
2014-16A, 3.56% (3 Month USD LIBOR + 225 bps) due 08/01/24^1,6		500,000		500,535
Treman Park CLO Ltd.
2015-1A, due 04/20/27^6,7		500,000		431,036
Babson CLO Ltd.
2014-IA, due 07/20/25^6,7		550,000		271,767
2012-2A, due 05/15/23^6,7		750,000		154,295
ACIS CLO Ltd.
2013-1A, 4.25% (3 Month USD LIBOR + 295 bps) due 04/18/24^1,6		400,000		397,201
Black Diamond CLO Ltd.
2013-1A, 4.56% (3 Month USD LIBOR + 325 bps) due 02/01/23^1,6		359,194		359,323
Halcyon Loan Advisors Funding Ltd.
2012-2A, 5.83% (3 Month USD LIBOR + 450 bps) due 12/20/24^1,6		350,000		349,987
Eastland CLO Ltd.
2007-1A, 1.71% (3 Month USD LIBOR + 40 bps) due 05/01/22^1,6		283,373		282,076
Gallatin CLO VII Ltd.
2014-1A, 4.20% (3 Month USD LIBOR + 290 bps) due 07/15/23^1,6		250,000		249,559
NewStar Arlington Senior Loan Program LLC
2014-1A, 4.61% (3 Month USD LIBOR + 330 bps) due 07/25/25^1,6		250,000		247,747
Copper River CLO Ltd.
2007-1A, due 01/20/21^1,3,7		600,000		81,756
Keuka Park CLO Ltd.
2013-1A, due 10/21/24^6,7		245,739		28,278
Total Collateralized Loan Obligations				32,104,374
Transport-Aircraft - 8.2%
Apollo Aviation Securitization Equity Trust
2014-1, 5.13% (WAC) due 12/15/29¹		874,484		883,228
2016-1A, 4.88% due 03/17/36⁶		850,000		873,085
2014-1, 7.38% (WAC) due 12/15/29¹		524,690		528,625
Castlelake Aircraft Securitization Trust
2017-1, 3.97% due 07/15/42		986,100		984,580
2015-1A, 4.70% due 12/15/40⁶		778,846		788,861

Series E (Total Return Bond Series)
SCHEDULE OF INVESTMENTS (Unaudited)	September 30, 2017

	Face Amount		Value
ASSET-BACKED SECURITIES^†† - 40.9% (continued)
Transport-Aircraft - 8.2% (continued)
Willis Engine Securitization Trust II
2012-A, 5.50% due 09/15/37⁶	$	1,524,155	$	1,506,148
Emerald Aviation Finance Ltd.
2013-1, 4.65% due 10/15/38⁶		885,343		909,495
2013-1, 6.35% due 10/15/38⁶		177,069		181,772
AIM Aviation Finance Ltd.
2015-1A, 4.21% due 02/15/40⁶		815,476		820,375
Rise Ltd.
2014-1A, 4.74% due 02/12/39		780,491		788,296
Raspro Trust
2005-1A, 1.93% (3 Month USD LIBOR + 63 bps) due 03/23/24^1,6		792,279		750,685
Turbine Engines Securitization Ltd.
2013-1A, 5.13% due 12/13/48³		636,478		625,775
Falcon Aerospace Ltd.
2017-1, 4.58% due 02/15/42⁶		480,550		487,915
AABS Ltd.
2013-1 A, 4.87% due 01/10/38		249,547		252,043
Total Transport-Aircraft				10,380,883
Whole Business - 2.0%
Taco Bell Funding LLC
2016-1A, 4.97% due 05/25/46⁶		990,000		1,048,301
Jimmy Johns Funding LLC
2017-1A, 3.61% due 07/30/47⁶		1,000,000		1,005,280
Domino's Pizza Master Issuer LLC
2017-1A, 2.49% (3 Month USD LIBOR + 125 bps) due 07/25/47^1,6		500,000		499,915
Total Whole Business				2,553,496
Collateralized Debt Obligations - 1.6%
Anchorage Credit Funding Ltd.
2016-4A, 3.50% due 02/15/35⁶		1,000,000		1,000,881
Putnam Structured Product Funding Ltd.
2003-1A, 2.23% (1 Month USD LIBOR + 100 bps) due 10/15/38^1,6		731,441		690,506
N-Star REL CDO VIII Ltd.
2006-8A, 1.60% (1 Month USD LIBOR + 36 bps) due 02/01/41^1,6		266,272		264,975
RAIT CRE CDO I Ltd.
2006-1X A1B, 1.56% (1 Month USD LIBOR + 33 bps) due 11/20/46¹		52,059		51,966
Total Collateralized Debt Obligations				2,008,328
Automotive - 1.6%
Hertz Vehicle Financing II, LP
2015-1A, 2.73% due 03/25/21⁶		1,000,000		1,000,592
Hertz Vehicle Financing LLC
2016-4A, 2.65% due 07/25/22⁶		1,000,000		984,643
Total Automotive				1,985,235
Net Lease - 1.0%
Store Master Funding I-VII
2016-1A, 3.96% due 10/20/46⁶		1,229,855		1,228,439
Transport-Container - 0.8%
Textainer Marine Containers Ltd.
2017-2A, 3.52% due 06/20/42⁶		1,078,774		1,074,467
Insurance - 0.4%
Chesterfield Financial Holdings LLC
2014-1A, 4.50% due 12/15/34⁶		550,500		554,515
Diversified Payment Rights - 0.1%
CIC Receivables Master Trust
REGD, 4.89% due 10/07/21^†††		159,121		163,519
Total Asset-Backed Securities
(Cost $53,492,217)				52,053,256

COLLATERALIZED MORTGAGE OBLIGATIONS^††- 19.6%
Residential Mortgage Backed Securities - 8.7%
American Home Mortgage Investment Trust
2006-1, 1.64% (1 Month USD LIBOR + 40 bps) due 03/25/46¹	925,229	865,564
2007-1, 2.08% due 05/25/47⁸	3,047,783	588,832
GSAA Trust
2005-10, 2.21% (1 Month USD LIBOR + 65 bps) due 06/25/35¹	1,050,000	1,008,791
CSMC Series
2015-12R, 1.73% (1 Month USD LIBOR + 50 bps) due 11/30/37^1,6	1,021,030	1,006,014

Series E (Total Return Bond Series)
SCHEDULE OF INVESTMENTS (Unaudited)	September 30, 2017

	Face Amount		Value
COLLATERALIZED MORTGAGE OBLIGATIONS^††- 19.6% (continued)
Residential Mortgage Backed Securities - 8.7% (continued)
American Home Mortgage Assets Trust
2007-1, 1.59% (1 Year CMT Rate + 70 bps) due 02/25/47¹	$	1,457,771	$	972,118
CIT Mortgage Loan Trust
2007-1, 2.69% (1 Month USD LIBOR + 145 bps) due 10/25/37^1,6		679,879		684,559
2007-1, 2.59% (1 Month USD LIBOR + 135 bps) due 10/25/37^1,6		269,168		270,511
Wachovia Asset Securitization Issuance II LLC Trust
2007-HE2A, 1.37% (1 Month USD LIBOR + 13 bps) due 07/25/37^1,6		919,077		861,950
Luminent Mortgage Trust
2006-2, 1.44% (1 Month USD LIBOR + 20 bps) due 02/25/46¹		1,013,078		822,184
LSTAR Commercial Mortgage Trust
2016-7, 3.24% (1 Month USD LIBOR + 200 bps) due 12/01/21^1,6		753,588		753,588
HarborView Mortgage Loan Trust
2006-14, 1.39% (1 Month USD LIBOR + 15 bps) due 01/25/47¹		743,021		672,675
Bayview Opportunity Master Fund IVb Trust
2017-NPL1, 3.60% due 01/28/32⁶		541,239		539,840
LSTAR Securities Investment Ltd.
2016-4, 3.24% (1 Month USD LIBOR + 200 bps) due 10/01/21^1,6		518,333		515,926
NRPL Trust
2015-1A, 3.88% due 11/01/54⁶		432,418		433,230
Washington Mutual Mortgage Pass-Through Certificates WMALT Series Trust
2006-AR9, 1.73% (1 Year CMT Rate + 84 bps) due 11/25/46¹		467,190		374,953
VOLT XL LLC
2015-NP14, 4.38% due 11/27/45⁶		367,501		368,753
UCFC Manufactured Housing Contract
1997-2, 7.38% due 10/15/28		175,791		186,506
Morgan Stanley Re-REMIC Trust
2010-R5, 2.51% due 06/26/36⁶		120,226		101,596
Nomura Resecuritization Trust
2012-1R, 1.68% (1 Month USD LIBOR + 44 bps) due 08/27/47^1,6		28,346		28,305
Total Residential Mortgage Backed Securities				11,055,895
Government Agency - 6.6%
Fannie Mae
2.91% due 07/01/27		1,300,000		1,308,187
2.94% due 10/01/32		1,200,000		1,183,128
3.11% due 10/01/29		500,000		499,690
2.86% due 09/01/29		500,000		495,680
3.08% due 10/01/32^†††		500,000		494,426
2.96% due 11/01/29		500,000		494,065
2.99% due 09/01/29		500,000		490,556
2.90% due 11/01/29		500,000		490,000
Freddie Mac Multifamily Structured Pass Through Certificates
2017-KW03, 3.02% due 06/25/27		1,050,000		1,059,323
2017-K067, 3.28% due 08/25/27		500,000		512,374
Fannie Mae-Aces
2017-M11, 2.98% due 08/25/29		900,000		893,977
2017-M8, 3.06% (WAC) due 05/25/27¹		500,000		507,466
Total Government Agency				8,428,872
Commercial Mortgage Backed Securities - 3.2%
Cosmopolitan Hotel Trust
2016-CSMO, 3.88% (1 Month USD LIBOR + 265 bps) due 11/15/33^1,6		1,000,000		1,004,369
Citigroup Commercial Mortgage Trust
2017-P7, 1.29% (WAC) due 04/14/50¹		5,992,520		493,225
2016-GC37, 1.81% (WAC) due 04/10/49¹		3,817,726		440,460
Wells Fargo Commercial Mortgage Trust
2016-C32, 1.51% (WAC) due 01/15/59¹		5,281,761		425,619
2016-NXS5, 1.72% (WAC) due 01/15/59¹		4,933,067		421,022
BANK
2017-BNK4, 1.62% (WAC) due 05/15/50¹		4,984,220		496,557

Series E (Total Return Bond Series)
SCHEDULE OF INVESTMENTS (Unaudited)	September 30, 2017

	Face Amount		Value
COLLATERALIZED MORTGAGE OBLIGATIONS^†† - 19.6% (continued)
Commercial Mortgage Backed Securities - 3.2% (continued)
CFCRE Commercial Mortgage Trust
2016-C3, 1.24% (WAC) due 01/10/48¹	$	5,918,522	$	416,585
COMM Mortgage Trust
2015-CR26, 1.20% (WAC) due 10/10/48¹		6,912,218		415,180
Total Commercial Mortgage Backed Securities				4,113,017
Military Housing - 1.1%
GMAC Commercial Mortgage Asset Corp.
2007-HCKM, 6.11% due 08/10/52^†††^,3		971,895		1,073,908
2003-PRES, 6.24% due 10/10/41⁶		231,249		261,996
Total Military Housing				1,335,904
Total Collateralized Mortgage Obligation
(Cost $24,370,050)				24,933,688

CORPORATE BONDS^†† - 10.0%
Financial - 6.4%
Citigroup, Inc.
6.25% ^2,12	950,000	1,068,750
5.95% ^2,12	370,000	398,213
Bank of America Corp.
6.30% ^2,12	1,200,000	1,355,999
Mid-Atlantic Military Family Communities LLC
5.30% due 08/01/50⁶	939,322	929,545
Hospitality Properties Trust
5.25% due 02/15/26	600,000	643,461
American Equity Investment Life Holding Co.
5.00% due 06/15/27	540,000	559,642
BBC Military Housing-Navy Northeast LLC
6.30% due 10/15/49^†††	485,000	522,971
Northern Trust Corp.
4.60% (3 Month USD LIBOR + 320 bps) ^1,2	500,000	512,500
Pacific Northwest Communities LLC
5.91% due 06/15/50³	400,000	441,308
Wilton Re Finance LLC
5.88% due 03/30/33^6,12	375,000	395,625
Atlantic Marine Corporations Communities LLC
5.43% due 12/01/50³	331,250	330,270
MetLife, Inc.
9.25% due 04/08/38⁶	200,000	297,000
ACC Group Housing LLC
6.35% due 07/15/54³	250,000	292,197
Voya Financial, Inc.
5.65% due 05/15/53¹²	250,000	265,500
KeyCorp
5.00% (3 Month USD LIBOR + 361 bps) ^1,2	200,000	207,000
Cadence Bank North America
6.25% due 06/28/29¹²	60,000	61,800
Total Financial		8,281,781
Energy - 1.3%
Buckeye Partners, LP
3.95% due 12/01/26	366,000	361,074
4.35% due 10/15/24	145,000	149,319
Sunoco Logistics Partners Operations, LP
5.95% due 12/01/25	340,000	385,139
ConocoPhillips
6.50% due 02/01/39	250,000	333,333
Equities Corp.
2.11% (3 Month USD LIBOR + 77 bps) due 10/01/20¹	300,000	300,618
Hess Corp.
4.30% due 04/01/27	150,000	148,678
Total Energy		1,678,161
Basic Materials - 1.0%
Yamana Gold, Inc.
4.95% due 07/15/24	865,000	886,625
BHP Billiton Finance USA Ltd.
6.75% (USD 5 Year Swap Rate + 509 bps) due 10/19/75^1,6	300,000	353,250
Total Basic Materials		1,239,875
Consumer, Cyclical - 0.6%
Northern Group Housing LLC
6.80% due 08/15/53³	600,000	737,568
Communications - 0.4%
Discovery Communications LLC
3.95% due 03/20/28	300,000	297,850
SFR Group S.A.
7.38% due 05/01/26⁶	200,000	216,000
Total Communications		513,850
Diversified - 0.3%
HRG Group, Inc.
7.88% due 07/15/19	325,000	331,500
Total Corporate Bonds
(Cost $12,078,351)		12,782,735

U.S. GOVERNMENT SECURITIES^†† - 6.8%
U.S. Treasury Bond
due 11/15/44⁹	13,487,500	6,121,843
due 11/15/46⁹	5,920,000	2,520,610
Total U.S. Treasury Bond		8,642,453
Total U.S. Government Securities
(Cost $8,419,072)		8,642,453

FEDERAL AGENCY BONDS^†† - 3.7%
Fannie Mae Principal Strips¹⁰
due 05/15/30⁹	1,350,000	922,831
due 05/15/29⁹	1,250,000	887,316

Series E (Total Return Bond Series)
SCHEDULE OF INVESTMENTS (Unaudited)	September 30, 2017

	Face Amount		Value
FEDERAL AGENCY BONDS^†† - 3.7% (continued)
due 01/15/30⁹	$	600,000	$	414,897
Total Fannie Mae Principal Strips				2,225,044
Freddie Mac Principal Strips¹⁰
due 03/15/31⁹		1,500,000		991,925
due 07/15/32⁹		800,000		504,977
Total Freddie Mac Principal Strips				1,496,902
Tennessee Valley Authority
5.38% due 04/01/56		750,000		1,021,544
Total Federal Agency Bonds
(Cost $4,618,700)				4,743,490

SENIOR FLOATING RATE INTERESTS^††,1 - 2.9%
Consumer, Cyclical - 0.6%
PetSmart Inc
4.24% (1 Month USD LIBOR + 300 bps) due 03/11/22	591,431	498,772
Neiman Marcus Group, Inc.
4.48% (1 Month USD LIBOR + 325 bps) due 10/25/20	336,906	250,186
Total Consumer, Cyclical		748,958
Technology - 0.6%
Epicor Software
4.99% (1 Month USD LIBOR + 375 bps) due 06/01/22	457,407	457,980
EIG Investors Corp.
5.32% (3 Month USD LIBOR + 400 bps) due 02/09/23	246,125	248,453
Total Technology		706,433
Industrial - 0.5%
Capstone Logistics
5.74% (1 Month USD LIBOR + 450 bps) due 10/07/21	692,680	685,753
Communications - 0.5%
Cengage Learning Acquisitions, Inc.
5.49% (1 Month USD LIBOR + 425 bps) due 06/07/23	683,862	629,030
Financial - 0.5%
Misys Ltd.
4.82% (3 Month USD LIBOR + 350 bps) due 06/13/24	500,000	502,055
American Stock Transfer & Trust
5.84% (3 Month USD LIBOR + 450 bps) due 06/26/20	93,666	93,900
Total Financial		595,955
Consumer, Non-cyclical - 0.2%
NES Global Talent
6.81% (3 Month USD LIBOR + 550 bps) due 10/03/19	115,618	104,055
DJO Finance LLC
4.49% (1 Month USD LIBOR + 325 bps) due 06/08/20	99,241	99,075
CareCore National LLC
5.24% (1 Month USD LIBOR + 400 bps) due 03/05/21	89,721	90,619
Total Consumer, Non-cyclical		293,749
Total Senior Floating Rate Interests
(Cost $3,869,532)		3,659,878

MUNICIPAL BONDS^†† - 1.4%
California - 0.5%
Cypress School District General Obligation Unlimited
due 08/01/48⁹	1,000,000	265,570
Newport Mesa Unified School District General Obligation Unlimited
due 08/01/46⁹	700,000	225,904
Beverly Hills Unified School District California General Obligation Unlimited
due 08/01/37⁹	400,000	189,660
Total California		681,134
Ohio - 0.5%
American Municipal Power, Inc. Revenue Bonds
8.08% due 02/15/50	380,000	628,174
Illinois - 0.4%
State of Illinois General Obligation Unlimited
5.65% due 12/01/38	400,000	451,132
Total Municipal Bonds
(Cost $1,663,147)		1,760,440

FEDERAL AGENCY DISCOUNT NOTES^†† - 0.9%
Freddie Mac¹⁰
due 12/14/29^9,11	1,600,000	1,113,389
Total Federal Agency Discount Notes
(Cost $1,115,976)		1,113,389

FOREIGN GOVERNMENT DEBT^†† - 0.5%
Senegal Government International Bond
6.25% due 05/23/33⁶	200,000	205,658
Dominican Republic International Bond
6.85% due 01/27/45⁶	175,000	195,781
Kenya Government International Bond
6.88% due 06/24/24⁶	175,000	178,630
Total Foreign Government Bonds
(Cost $560,845)		580,069

COMMERCIAL PAPER^†† - 3.4%
Ei Du Pont De Nemours & Co.
1.36% due 10/10/17^9,11	2,000,000	1,999,320
1.33% due 10/06/17^9,11	1,200,000	1,199,778
WPP CP Finance plc
1.43% due 10/10/17^9,11	1,100,000	1,099,607
Total Commercial Paper
(Cost $4,298,705)		4,298,705

Series E (Total Return Bond Series)
SCHEDULE OF INVESTMENTS (Unaudited)	September 30, 2017

	Contracts		Value
OTC OPTIONS PURCHASED^†^† - 0.0%
Call options on:
Bank of America Merrill Lynch iShares 20+ Year Treasury Bond ETF Expiring October 2017 with strike price of $130.00 (Notional Value $10,267,748)		823	$	7,407
Total Call options				7,407
Put options on:
Bank of America Merrill Lynch iShares iBoxx High Yield Corporate Bond ETF Expiring October 2017 with strike price of $84.00 (Notional Value $13,944,196)		1,571		5,499
Total Put options				5,499
Total OTC Options Purchased
(Cost $198,635)				12,906
Total Investments - 102.2%
(Cost $130,603,266)			$	130,001,441

OTC OPTIONS WRITTEN^†^† - 0.0%
Call options on:
Bank of America Merrill Lynch iShares 20+ Year Treasury Bond ETF Expiring October 2017 with strike price of $133.00 (Notional Value $10,267,748)	823		(2,881	)
Total OTC Options Written
(Premiums received $59,256)			(2,881	)
Other Assets & Liabilities, net - (2.2)%			(2,780,987	)
Total Net Assets - 100.0%		$	127,217,573

CENTRALLY CLEARED INTEREST RATE SWAPS^††
Counterparty	Exchange	Floating Rate Type	Floating Rate Index	Fixed Rate			Payment Frequency	Maturity Date	Notional Amount			Market Value			Unrealized Gain (Loss)
BOA Merrill Lynch	CME	Receive	3-Month USD-LIBOR		2.24	%	Quarterly	08/11/27	$	(2,800,000	)	$	42,680		$	42,680
BOA Merrill Lynch	CME	Receive	3-Month USD-LIBOR		2.25	%	Quarterly	05/26/27		(3,700,000	)		13,854			13,854
BOA Merrill Lynch	CME	Receive	3-Month USD-LIBOR		1.71	%	Quarterly	08/11/20		(4,000,000	)		12,400			12,400
BOA Merrill Lynch	CME	Receive	3-Month USD-LIBOR		1.90	%	Quarterly	08/11/22		(2,400,000	)		11,864			11,864
BOA Merrill Lynch	CME	Receive	3-Month USD-LIBOR		2.19	%	Quarterly	08/15/27		(1,100,000	)		11,185			11,185
BOA Merrill Lynch	CME	Receive	3-Month USD-LIBOR		1.98	%	Quarterly	08/29/24		(900,000	)		9,597			9,597
BOA Merrill Lynch	CME	Receive	3-Month USD-LIBOR		2.17	%	Quarterly	08/22/27		(700,000	)		8,616			8,616
BOA Merrill Lynch	CME	Receive	3-Month USD-LIBOR		2.20	%	Quarterly	08/18/27		(800,000	)		7,412			7,412
BOA Merrill Lynch	CME	Receive	3-Month USD-LIBOR		2.19	%	Quarterly	07/08/24		(750,000	)		(2,182	)		(2,182	)
BOA Merrill Lynch	CME	Receive	3-Month USD-LIBOR		2.16	%	Quarterly	02/13/24		(3,450,000	)		(9,776	)		(9,776	)
															$	105,650

^*	Non-income producing security.
^†	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	Variable rate security. Rate indicated is rate effective at September 30, 2017.
²	Perpetual maturity.
³	Security is a 144A or Section 4(a)(2) security. These securities have been determined to be illiquid and restricted under guidelines established by the Board of Trustees. The total market value of 144A or Section 4(a)(2) illiquid and restricted securities is $4,487,800 (cost $5,227,551), or 3.5% of total net assets — See Note 6.
⁴	Affiliated issuer.
⁵	Rate indicated is the 7 day yield as of September 30, 2017.
⁶	Security is a 144A or Section 4(a)(2) security. These securities have been determined to be liquid under guidelines established by the Board of Trustees. The total market value of 144A or Section 4(a)(2) securities is $57,295,594 (cost $57,782,977), or 45.0% of total net assets.
⁷	Security has no stated coupon. However, it is expected to receive residual cash flow payments on defined deal dates.
⁸	Security is an interest-only strip. Rate indicated is effective yield at September 30, 2017.
⁹	Zero coupon rate security.
¹⁰	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.
¹¹	Rate indicated is the effective yield at the time of purchase.
¹²	Security has a fixed rate coupon which will convert to a floating or variable rate coupon on a future date.

plc	Public Limited Company

Series E (Total Return Bond Series)
SCHEDULE OF INVESTMENTS (Unaudited)	September 30, 2017

CME	Chicago Mercantile Exchange

LIBOR

London Interbank Offered Rate

WAC	Weighted Average Coupon

CMT	Constant Maturity Treasury

See Sector Classification in Other Information section.

The following table summarizes the inputs used to value the Fund's investments at September 30, 2017 (See Note 3 in the Notes to Schedule of Investments):

Investments in Securities (Assets)	Level 1 Quoted Prices		Level 1 - Other*		Level 2 Significant Observable Inputs		Level 2 - Other*		Level 3 Significant Unobservable Inputs		Total
Asset-Backed Securities	$	—	$	—	$	51,889,737	$	—	$	163,519	$	52,053,256
Collateralized Mortgage Obligations		—		—		23,365,354		—		1,568,334		24,933,688
Commercial Paper		—		—		4,298,705		—		—		4,298,705
Common Stocks		71,930		—		—		—		—		71,930
Corporate Bonds		—		—		12,259,764		—		522,971		12,782,735
Federal Agency Bonds		—		—		4,743,490		—		—		4,743,490
Federal Agency Discount Notes		—		—		1,113,389		—		—		1,113,389
Foreign Government Debt		—		—		580,069		—		—		580,069
Interest Rate Swaps		—		—		—		117,608		—		117,608
Money Market Fund		2,091,632		—		—		—		—		2,091,632
Municipal Bonds		—		—		1,760,440		—		—		1,760,440
Mutual Funds		12,130,495		—		—		—		—		12,130,495
Options Purchased		12,906		—		—		—		—		12,906
Preferred Stocks		—		—		221,357		—		905,018		1,126,375
Senior Floating Rate Interests		—		—		3,659,878		—		—		3,659,878
U.S. Government Securities		—		—		8,642,453		—		—		8,642,453
Total Assets	$	14,306,963	$	—	$	112,534,636	$	117,608	$	3,159,842	$	130,119,049

Investments in Securities (Liabilities)	Level 1 Quoted Prices		Level 1 - Other*		Level 2 Significant Observable Inputs		Level 2 - Other*		Level 3 Significant Unobservable Inputs		Total
Interest Rate Swaps	$	—	$	—	$	—	$	11,958	$	—	$	11,958
Options Written		—		—		2,881		—		—		2,881
Total Liabilities	$	—	$	—	$	2,881	$	11,958	$	—	$	14,839

*	Other financial instruments include swaps, which are reported as unrealized gain/loss at period end.

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:

Category	Level 3		Valuation Technique	Unobservable Inputs
Asset-Backed Securities	$	163,519	Option Adjusted Spread off the prior month end broker mark over the 3 month LIBOR	Indicative Quote
Collateralized Mortgage Obligations		1,568,334	Option Adjusted Spread off the prior month end broker mark over the 3 month LIBOR	Indicative Quote
Corporate Bonds		522,971	Option Adjusted Spread off the prior month end broker mark over the 3 month LIBOR	Indicative Quote
Preferred Stocks		905,018	Option Adjusted Spread off the prior month end broker mark over the 3 month LIBOR	Indicative Quote
Total	$	3,159,842

Any remaining Level 3 securities held by the Funds and excluded from the tables above, were not considered material to the Fund.

For the period ended September 30, 2017, there were no transfers between levels.

Following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value for the period ended September 30, 2017:

LEVEL 3 - Fair value measurement using significant unobservable inputs

	Corporate Bonds		Collateralized Mortgage Obligations			Preferred Stocks		Asset-Backed Securities			Total
Assets:
Beginning Balance	$	503,852	$	1,020,143		$	786,924	$	172,455		$	2,483,374
Purchases		-		505,508			-		-			505,508
Sales, maturities and paydowns		-		(1,933	)		-		(8,376	)		(10,309	)
Total realized gains or losses included in earnings		-		-			-		-			-
Total change in unrealized gains or losses included in earnings		19,119		44,616			118,094		(560	)		181,269
Transfers into Level 3		-		-			-		-			-
Transfers out of Level 3		-		-			-		-			-
Ending Balance	$	522,971	$	1,568,334		$	905,018	$	163,519		$	3,159,842
Net Change in unrealized appreciation (depreciation) for investments in securities still held at September 30, 2017	$	19,178	$	45,288		$	118,094	$	(560	)	$	182,000

Affiliated Transactions
Transactions during the period ended September 30, 2017, in which the portfolio company is an "affiliated person", were as follows:
Security Name	Value 12/31/16		Additions		Reductions		Realized Gain (Loss)		Change in Unrealized		Value 09/30/17		Shares 09/30/17		Investment Income
Guggenheim Strategy Fund I	$	3,064,585	$	41,203	$	–	$	–	$	13,558	$	3,119,346		124,227	$	41,289
Guggenheim Limited Duration Fund - Institutional Class		2,074,867		800,681		–		–		21,296		2,896,844		116,573		51,038
Guggenheim Total Return Bond Fund - Institutional Class		5,317,937		659,448		–		–		136,920		6,114,305		225,870		160,091
	$	10,457,389	$	1,501,332	$	–	$	–	$	171,774	$	12,130,495			$	252,418

Series F (Floating Rate Strategies Series)
SCHEDULE OF INVESTMENTS (Unaudited)	September 30, 2017

	Shares		Value
MONEY MARKET FUND^† - 11.1%
Federated U.S. Treasury Cash Reserve Fund Institutional Shares 0.84%¹		5,759,769	$	5,759,769
Total Money Market Fund
(Cost $5,759,769)				5,759,769

	Face Amount
SENIOR FLOATING RATE INTERESTS^††,3 - 88.1%
Industrial - 17.6%
GYP Holdings III Corp.
4.31% (3 Month USD LIBOR + 300 bps) due 04/01/23	$	553,997	557,693
Flex Acquisition Company, Inc.
4.30% (3 Month USD LIBOR + 300 bps) due 12/29/23		498,750	499,842
Rexnord LLC/ RBS Global, Inc.
4.06% ((1 Month USD LIBOR + 550 bps) and (3 Month USD LIBOR + 550 bps)) due 08/21/23⁷		496,250	497,922
Reynolds Group Holdings, Inc.
4.24% (1 Month USD LIBOR + 300 bps) due 02/05/23		495,009	496,791
Transdigm, Inc.
4.27% ((1 Month USD LIBOR + 300 bps) and (3 Month USD LIBOR + 300 bps)) due 05/14/22⁷		488,101	489,102
Travelport Finance
4.06% (3 Month USD LIBOR + 275 bps) due 09/02/21		470,547	469,771
Pro Mach Group, Inc.
4.99% ((1 Month USD LIBOR + 375 bps) and (Commercial Prime Lending Rate + 275 bps)) due 10/22/21⁷		452,503	454,390
BWAY Holding Co.
4.48% (1 Month USD LIBOR + 325 bps) due 04/03/24		448,875	449,916
Engineered Machinery Holdings, Inc.
4.56% (2 Month USD LIBOR + 325 bps) due 07/19/24⁹		420,354	420,354
4.58% (Prime Rate + 225 bps) due 07/19/24		22,069	22,069
CHI Overhead Doors, Inc.
4.58% (3 Month USD LIBOR + 325 bps) due 07/29/22		442,616	440,956
Optiv, Inc.
4.56% (3 Month USD LIBOR + 325 bps) due 02/01/24		418,718	392,548
Engility Corp.
4.49% ((1 Month USD LIBOR + 650 bps) and (Commercial Prime Lending Rate + 225 bps)) due 08/14/23⁷		386,795	390,907
Zodiac Pool Solutions LLC
5.33% (3 Month USD LIBOR + 400 bps) due 12/20/23		378,778	382,565
Thermasys Corp.
5.31% (3 Month USD LIBOR + 400 bps) due 05/03/19		360,000	331,200
DAE Aviation
4.99% (1 Month USD LIBOR + 375 bps) due 07/07/22		299,237	301,355
Pregis Holding I Corp.
4.83% (3 Month USD LIBOR + 350 bps) due 05/20/21		299,037	298,289
VC GB Holdings, Inc.
4.99% (1 Month USD LIBOR + 375 bps) due 02/28/24		273,653	276,047
American Bath Group LLC
6.58% (3 Month USD LIBOR + 525 bps) due 09/30/23		248,120	248,741
Hayward Industries, Inc.
4.74% (1 Month USD LIBOR + 350 bps) due 08/05/24		225,000	226,312
Charter Nex US, Inc.
4.49% (1 Month USD LIBOR + 325 bps) due 05/16/24		224,438	224,999
ProAmpac PG Borrower LLC
5.28% (1 Month USD LIBOR + 400 bps) and (3 Month USD LIBOR + 800 bps) due 11/20/23		189,150	190,688
SRS Distribution, Inc.
4.53% (3 Month USD LIBOR + 325 bps) due 08/25/22		187,644	189,051
Bioplan USA, Inc.
5.99% (1 Month USD LIBOR + 475 bps) due 09/23/21		182,198	180,718
Arctic Long Carriers
5.74% (1 Month USD LIBOR + 450 bps) due 05/18/23		174,563	175,763
SI Organization
6.08% (3 Month USD LIBOR + 475 bps) due 11/22/19		170,128	171,617
Doncasters Group Ltd.
9.58% (3 Month USD LIBOR + 825 bps) due 10/09/20		135,172	126,116
Nielsen Finance LLC
3.24% (1 Month USD LIBOR + 200 bps) due 10/04/23		99,251	99,345
Crosby Worldwide
4.31% (3 Month USD LIBOR + 300 bps) due 11/23/20		95,105	87,734
NANA Development Corp.
8.08% (3 Month USD LIBOR + 675 bps) due 03/15/18		7,562	7,410
Total Industrial			9,100,211
Consumer, Non-cyclical - 16.7%
Authentic Brands
5.32% (3 Month LIBOR + 400 bps) due 05/27/21		526,448	529,300
4.50% (3 Month USD LIBOR + 350 bps) due 09/29/24		175,000	175,438
Post Holdings, Inc.
3.49% (1 Month LIBOR + 225 bps) due 05/24/24		500,000	500,970
Press Ganey Holdings, Inc.
4.49% (1 Month USD LIBOR + 325 bps) due 10/23/23		496,250	498,424

Series F (Floating Rate Strategies Series)
SCHEDULE OF INVESTMENTS (Unaudited)	September 30, 2017

	Face Amount		Value
SENIOR FLOATING RATE INTERESTS^††,3- 88.1% (continued)
Consumer, Non-cyclical - 16.7% (continued)
American Tire Distributors, Inc.
5.49% (1 Month USD LIBOR + 425 bps) due 09/01/21	$	487,278	$	491,542
DJO Finance LLC
4.49% (1 Month USD LIBOR + 325 bps) due 06/08/20		490,000		489,182
Lineage Logistics LLC
4.74% (1 Month USD LIBOR + 350 bps) due 04/07/21		482,500		482,954
Smart & Final Stores LLC
4.83% (3 Month USD LIBOR + 350 bps) due 11/15/22		500,000		480,780
Albertson's LLC
4.33% (3 Month USD LIBOR + 300 bps) due 12/21/22		497,503		478,936
CHG Healthcare Services, Inc.
4.56% (3 Month USD LIBOR + 325 bps) due 06/07/23		445,477		449,456
Change Healthcare Holdings, Inc.
3.99% (1 Month USD LIBOR + 275 bps) due 03/01/24		447,750		448,757
PPDI LLC
4.04% ((1 Month USD LIBOR + 275 bps) and (3 Month USD LIBOR + 275 bps)) due 08/18/22⁷		445,443		447,532
Hearthside Group Holdings LLC
4.24% (1 Month USD LIBOR + 300 bps) due 06/02/21		446,538		447,467
CPI Holdco LLC
5.34% (3 Month LIBOR + 400 bps) due 03/21/24		399,000		401,993
Reddy Ice Holdings, Inc.
6.88% ((3 Month USD LIBOR + 550 bps) and (Commercial Prime Lending Rate + 450 bps)) due 05/01/19⁷		382,957		376,064
NES Global Talent
6.81% (3 Month USD LIBOR + 550 bps) due 10/03/19		386,877		348,189
Equian LLC
5.07% (3 Month USD LIBOR + 375 bps) due 05/20/24		228,838		231,699
5.06% (3 Month USD LIBOR + 375 bps) due 05/20/24		70,588		71,471
CareCore National LLC
5.24% (1 Month USD LIBOR + 400 bps) due 03/05/21		297,070		300,040
Diamond (BC) B.V.
4.32% (3 Month USD LIBOR + 300 bps) due 09/06/24		300,000		298,929
Surgery Center Holdings, Inc.
4.49% (1 Month USD LIBOR + 325 bps) due 09/02/24		200,000		198,250
Immucor, Inc.
6.24% (1 Month USD LIBOR + 500 bps) due 06/15/21		149,625		151,682
Endo Luxembourg Finance Co.
5.50% (1 Month USD LIBOR + 425 bps) due 04/29/24		99,750		100,623
Acadia Healthcare Company, Inc.
3.98% (1 Month USD LIBOR + 275 bps) due 02/16/23		98,500		99,140
Valeant Pharmaceuticals International, Inc.
5.99% (1 Month USD LIBOR + 475 bps) due 04/01/22		83,647		85,128
CTI Foods Holding Co. LLC
8.49% (1 Month USD LIBOR + 725 bps) due 06/28/21		80,000		64,100
Total Consumer, Non-cyclical				8,648,046
Consumer, Cyclical - 14.6%
AlixPartners, LLP
4.33% (3 Month USD LIBOR + 300 bps) due 04/04/24		527,350		528,340
USIC Holding, Inc.
5.00% (3 Month LIBOR + 350 bps) due 12/08/23		502,550		505,480
Fitness International LLC
7.50% (Commercial Prime Lending Rate + 325 bps) due 07/01/20		500,177		502,498
Equinox Holdings, Inc.
4.49% (1 Month USD LIBOR + 325 bps) due 03/08/24		498,750		500,411
Greektown Holdings LLC
4.24% (1 Month USD LIBOR + 300 bps) due 04/25/24		498,750		498,501
Leslie's Poolmart, Inc.
5.06% (3 Month USD LIBOR + 375 bps) due 08/16/23		495,000		494,822
Gates Global LLC
4.58% (3 Month USD LIBOR + 325 bps) due 04/01/24		471,469		473,238
Navistar Inc.
5.24% (1 Month USD LIBOR + 400 bps) due 08/07/20		442,125		444,150
National Vision, Inc.
4.24% (1 Month USD LIBOR + 300 bps) due 03/12/21		437,531		438,442
Life Time Fitness, Inc.
4.32% (3 Month USD LIBOR + 300 bps) due 06/10/22		435,184		436,341
PetSmart Inc
4.24% (1 Month USD LIBOR + 300 bps) due 03/11/22		492,325		415,193
Burlington Coat Factory Warehouse Corp.
3.99% (1 Month USD LIBOR + 275 bps) due 08/13/21		400,000		400,752
Sears Holdings Corp.
5.74% (1 Month USD LIBOR + 450 bps) due 06/30/18		366,696		361,654
Eldorado Resorts, Inc.
3.56% (3 Month USD LIBOR + 225 bps) due 04/17/24		345,474		345,042

Series F (Floating Rate Strategies Series)
SCHEDULE OF INVESTMENTS (Unaudited)	September 30, 2017

	Face Amount		Value
SENIOR FLOATING RATE INTERESTS^††,3 - 88.1% (continued)
Consumer, Cyclical - 14.6% (continued)
Petco Animal Supplies, Inc.
4.31% (3 Month USD LIBOR + 300 bps) due 01/26/23	$	357,187	$	293,936
Advantage Sales & Marketing LLC
4.49% (1 Month USD LIBOR + 325 bps) due 07/23/21		312,073		293,252
Talbots, Inc.
5.74% (1 Month USD LIBOR + 450 bps) due 03/19/20		219,686		210,898
1-800 Contacts
4.53% (2 Month USD LIBOR + 325 bps) due 01/22/23		197,011		193,810
Belk, Inc.
6.05% (3 Month USD LIBOR + 475 bps) due 12/12/22		160,843		134,523
Penn Engineering & Manufacturing Corp.
3.99% (1 Month USD LIBOR + 275 bps) due 06/27/24		99,750		99,968
Total Consumer, Cyclical				7,571,251
Technology - 11.7%
Compucom Systems, Inc.
4.49% (1 Month USD LIBOR + 325 bps) due 05/11/20		580,020		504,984
TIBCO Software, Inc.
4.74% (1 Month USD LIBOR + 350 bps) due 12/04/20		497,494		498,737
Solera LLC
4.49% (1 Month USD LIBOR + 325 bps) due 03/03/23		483,320		484,499
Ipreo Holdings
4.33% (3 Month USD LIBOR + 300 bps) due 08/06/21		486,300		483,057
Kronos, Inc.
4.81% (3 Month USD LIBOR + 350 bps) due 11/01/23		446,631		448,984
Internet Brands, Inc.
4.82% (3 Month USD LIBOR + 350 bps) due 09/13/24		448,507		445,516
LANDesk Group, Inc.
5.49% (1 Month USD LIBOR + 425 bps) due 01/20/24		427,970		416,556
Micron Technology, Inc.
3.74% (1 Month USD LIBOR + 250 bps) due 04/26/22		395,990		398,497
Project Alpha (Qlik)
4.81% (3 Month USD LIBOR + 350 bps) due 04/26/24		345,013		336,387
Aspect Software, Inc.
11.24% (1 Month USD LIBOR + 1000 bps) due 05/25/20²		321,252		316,031
Go Daddy Operating Company LLC
3.74% (1 Month USD LIBOR + 250 bps) due 02/15/24		298,928		299,675
EIG Investors Corp.
5.32% (3 Month USD LIBOR + 400 bps) due 02/09/23		283,376		286,057
Seattle Spnco
3.99% (1 Month USD LIBOR + 275 bps) due 06/21/24		261,307		261,633
Advanced Computer Software
6.82% (3 Month USD LIBOR + 550 bps) due 03/18/22		242,352		239,323
Peak 10 Holding Corp.
4.81% (3 Month USD LIBOR + 350 bps) due 08/01/24		200,000		200,000
Cypress Intermediate Holdings III, Inc.
4.24% (1 Month USD LIBOR + 300 bps) due 04/29/24		199,500		199,101
MA Financeco LLC
3.81% (3 Month USD LIBOR + 250 bps) due 11/19/21		100,000		99,875
Infor (US), Inc.
3.75% (3 Month EURIBOR + 275 bps) due 02/01/22⁸		70,430		70,232
Miami Escrow Borrower LLC
3.99% (1 Month USD LIBOR + 275 bps) due 06/21/24		38,693		38,742
CPI Acquisition, Inc.
5.96% (3 Month USD LIBOR + 450 bps) due 08/17/22		41,839		29,566
Total Technology				6,057,452
Communications - 11.6%
CSC Holdings, LLC
3.48% (1 Month USD LIBOR + 225 bps) due 07/17/25		526,805		523,416
Telenet Financing USD LLC
3.98% (1 Month USD LIBOR + 275 bps) due 06/30/25		510,000		511,403
Virgin Media Bristol LLC
3.98% (1 Month USD LIBOR + 275 bps) due 01/31/25		500,000		501,690
WMG Acquisition Corp.
3.74% (1 Month USD LIBOR + 250 bps) due 11/01/23		500,000		500,860
SFR Group SA
4.56% (3 Month USD LIBOR + 325 bps) due 01/14/25		496,250		497,560
Altice US Finance I Corp.
3.49% (1 Month USD LIBOR + 225 bps) due 07/28/25		498,750		496,132
Univision Communications, Inc.
3.99% (1 Month LIBOR + 275 bps) due 03/15/24		493,337		488,714
Cengage Learning Acquisitions, Inc.
5.49% (1 Month USD LIBOR + 425 bps) due 06/07/23		525,869		483,704
Ziggo Secured Finance BV
3.73% (1 Month USD LIBOR + 250 bps) due 04/15/25		450,000		449,609

Series F (Floating Rate Strategies Series)
SCHEDULE OF INVESTMENTS (Unaudited)	September 30, 2017

	Face Amount		Value
SENIOR FLOATING RATE INTERESTS^††,3 - 88.1% (continued)
Communications - 11.6% (continued)
Radiate HoldCo LLC
4.24% (1 Month USD LIBOR + 300 bps) due 02/01/24	$	447,750	$	441,361
Mcgraw-Hill Global Education Holdings LLC
5.24% (1 Month USD LIBOR + 400 bps) due 05/04/22		395,990		388,423
Sprint Communications, Inc.
3.75% (1 Month USD LIBOR + 250 bps) due 02/02/24		298,500		298,688
Anaren, Inc.
5.83% (3 Month USD LIBOR + 450 bps) due 02/18/21		138,935		139,629
9.58% (3 Month USD LIBOR + 825 bps) due 08/18/21		100,000		99,000
Market Track LLC
5.58% ((3 Month USD LIBOR + 425 bps) and (Commercial Prime Lending Rate + 425 bps)) due 06/05/24⁷		200,000		199,000
Total Communications				6,019,189
Financial - 9.1%
National Financial Partners Corp.
4.74% (3 Month USD LIBOR + 350 bps) due 01/08/24		607,500		611,296
Misys Ltd.
4.82% (3 Month USD LIBOR + 350 bps) due 06/13/24		500,000		502,055
Geo Group, Inc.
3.49% (1 Month USD LIBOR + 225 bps) due 03/22/24		497,500		497,913
LPL Holdings, Inc.
3.80% (6 Month LIBOR + 250 bps) due 03/11/24		498,750		497,503
York Risk Services
4.99% (1 Month USD LIBOR + 375 bps) due 10/01/21		486,216		477,221
Americold Realty Operating Partnership, LP
4.99% (1 Month USD LIBOR + 375 bps) due 12/01/22		464,647		469,294
Avolon Luxembourg SARL
3.99% (1 Month USD LIBOR + 275 bps) due 03/21/22		400,000		400,748
Capital Automotive L.P.
4.24% (1 Month LIBOR + 300 bps) due 03/25/24		368,953		370,798
American Stock Transfer & Trust
5.84% (3 Month USD LIBOR + 450 bps) due 06/26/20		280,998		281,701
USI, Inc.
4.31% (6 Month USD LIBOR + 300 bps) due 05/16/24⁹		200,000		199,250
3.00% (3 Month USD LIBOR + 300 bps) due 05/16/24⁹		60,000		59,775
Corporate Capital Trust
4.63% (3 Month USD LIBOR + 325 bps) due 05/20/19		193,000		193,724
Acrisure LLC
6.27% (2 Month USD LIBOR + 500 bps) due 11/22/23		136,258		137,733
Total Financial				4,699,011
Basic Materials - 2.6%
Alpha 3 B.V.
4.33% (3 Month USD LIBOR + 300 bps) due 01/31/24		498,750		499,996
PQ Corp.
4.56% (3 Month USD LIBOR + 325 bps) due 11/04/22		447,744		451,582
Nexeo Solutions LLC
5.07% (3 Month USD LIBOR + 375 bps) due 06/09/23		370,327		372,486
WR Grace & Co.
3.31% (3 Month USD LIBOR + 200 bps) due 02/03/21		33,939		33,996
Total Basic Materials				1,358,060
Utilities - 2.2%
Dynegy, Inc.
4.49% (1 Month USD LIBOR + 325 bps) due 02/07/24		453,786		455,623
Viva Alamo LLC
5.57% (3 Month USD LIBOR + 425 bps) due 02/22/21		397,941		378,044
Stonewall
6.83% (3 Month USD LIBOR + 550 bps) due 11/15/21		300,000		282,000
Total Utilities				1,115,667
Energy - 2.0%
Cactus Wellhead
7.32% (3 Month USD LIBOR + 600 bps) due 07/31/20		532,695		516,715
Veresen Midstream LP
4.74% (1 Month USD LIBOR + 350 bps) due 03/31/22		493,671		497,373
Total Energy				1,014,088
Total Senior Floating Rate Interests
(Cost $45,974,503)				45,582,975

ASSET-BACKED SECURITIES^†† - 1.9%
Collateralized Loan Obligations - 1.9%
ALM XIV Ltd.
2014-14A, 4.76% (3 Month USD LIBOR + 345 bps) due 07/28/26^3,4	250,000	250,657
Cerberus Onshore II CLO LLC
2014-1A, 5.30% (3 Month USD LIBOR + 400 bps) due 10/15/23^3,4	250,000	249,718
NewStar Arlington Senior Loan Program LLC
2014-1A, 4.61% (3 Month USD LIBOR + 330 bps) due 07/25/25^3,4	250,000	247,747

Series F (Floating Rate Strategies Series)
SCHEDULE OF INVESTMENTS (Unaudited)	September 30, 2017

	Face Amount		Value
ASSET-BACKED SECURITIES^†† - 1.9% (continued)
Collateralized Loan Obligations - 1.9% (continued)
Kingsland IV Ltd.
2007-4A, 2.75% (3 Month USD LIBOR + 145 bps) due 04/16/21^3,4	$	250,000	$	245,152
Total Collateralized Loan Obligations				993,274
Total Asset-Backed Securities
(Cost $974,695)				993,274

COLLATERALIZED MORTGAGE OBLIGATION^†† - 1.1%
Residential Mortgage Backed Securities - 1.1%
LSTAR Commercial Mortgage Trust
2016-7, 3.24% (1 Month USD LIBOR + 200 bps) due 12/01/21^3,4	342,540	342,540
LSTAR Securities Investment Ltd.
2016-4, 3.24% (1 Month USD LIBOR + 200 bps) due 10/01/21^3,4	235,606	234,512
Total Residential Mortgage Backed Securities		577,052
Total Collateralized Mortgage Obligation
(Cost $572,889)		577,052

CORPORATE BONDS^††† - 0.0%
Basic Materials - 0.0%
New Day Aluminum
10.00% due 10/28/20^,5,6	2,629		2,629
Total Corporate Bonds
(Cost $108)			2,629
Total Investments - 102.2%
(Cost $53,281,964)		$	52,915,699
Other Assets & Liabilities, net - (2.2)%			(1,133,332	)
Total Net Assets - 100.0%		$	51,782,367

^†	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	Rate indicated is the 7 day yield as of September 30, 2017.
²	Affiliated issuer.
³	Variable rate security. Rate indicated is rate effective at September 30, 2017.
⁴	Security is a 144A or Section 4(a)(2) security. These securities have been determined to be liquid under guidelines established by the Board of Trustees. The total market value of 144A or Section 4(a)(2) securities is $1,570,326 (cost $1,547,584), or 3.0% of total net assets.
⁵	Security was fair valued by the Valuation Committee at September 30, 2017. The total market value of fair valued securities amounts to $2,629, (cost $108) or 0.0% of total net assets.
⁶	Payment-in-kind security.
⁷	The effective rate shown is based on a weighted average of the underlying reference rates and spread amounts listed.
⁸	The underlying reference rate was negative at period end causing the effective rate to be equal to the spread amount listed.
⁹	This position was unsettled at period end. The underlying reference rate will not be applied to the effective rate until settlement occurs.

LIBOR

London Interbank Offered Rate

See Sector Classification in Other Information section.

The following table summarizes the inputs used to value the Fund's investments at September 30, 2017 (See Note 3 in the Notes to Schedule of Investments):

Investments in Securities (Assets)	Level 1 Quoted Prices		Level 1 - Other*		Level 2 Significant Observable Inputs		Level 2 - Other*		Level 3 Significant Unobservable Inputs		Total
Asset Backed Securities	$	—	$	—	$	993,274	$	—	$	—	$	993,274
Collateralized Mortgage Obligations		—		—		577,052		—		—		577,052
Corporate Bonds		—		—		—		—		2,629		2,629
Money Market Fund		5,759,769		—		—		—		—		5,759,769
Senior Floating Rate Interests		—		—		45,582,975		—		—		45,582,975
Total Assets	$	5,759,769	$	—	$	47,153,301	$	—	$	—	$	52,915,699

Series F (Floating Rate Strategies Series)
SCHEDULE OF INVESTMENTS (Unaudited)	September 30, 2017

Investments in Securities (Liabilities)		Level 1 Quoted Prices				Level 1 - Other*				Level 2 Significant Observable Inputs				Level 2 - Other*				Level 3 Significant Unobservable Inputs				Total
Unfunded Loans		$	—			$	—			$	16			$	—			$	—	**		$	16

*	Other financial instruments include futures contracts and/or swaps, which are reported as unrealized gain/loss at period end.

**	Market value of security is zero.

For the period ended September 30, 2017, there were no transfers between levels.

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:

Category		Level 3			Valuation Technique	Unobservable Inputs		Input Values
Corporate Bonds		$	2,629		Enterprise Value	Valuation Multiple			6.6	x

Any remaining Level 3 securities held by the Funds and excluded from the tables above, were not considered material to the Funds.

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 September 30, 2017:

LEVEL 3 - Fair value measurement using significant unobservable inputs

	Senior Floating Rate Interests			Corporate Bonds			Total
Series F (Floating Rate Strategies Series)
Assets:
Beginning Balance	$	622,680		$	2,820		$	625,500
Purchases		-			81			81
Sales, maturities and paydowns		(628,747	)		-			(628,747	)
Total realized gains or losses included in earnings		-			-			-
Total change in unrealized gains or losses included in earnings		6,067			(272	)		5,795
Transfers into Level 3		-			-			-
Transfers out of Level 3		-			-			-
Ending Balance	$	-		$	2,629		$	2,629
Net Change in unrealized appreciation (depreciation) for investments in securities still held at September 30, 2017	$	-		$	(299	)	$	(299	)

Affiliated Transactions

Investments representing 5% or more of the outstanding voting shares of a portfolio company of a fund, or control of or by, or common control under GI, result in that portfolio company being considered an affiliated company of such fund, as defined in the 1940 Act.

The Funds may invest in the Guggenheim Strategy Funds Trust consisting of Guggenheim Strategy Fund I, Guggenheim Strategy Fund II, Guggenheim Strategy Fund III, and Guggenheim Variable Insurance Strategy Fund III (collectively, the “Cash Management Funds”), open-end management investment companies managed by GI. The Cash Management Funds, which launched on March 11, 2014, are offered as cash management options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Cash Management Funds pay no investment management fees. The Cash Management Funds’ annual report on Form N-CSR dated September 30, 2016, is available publicly or upon request. This information is available from the EDGAR database on the

SEC's website at http://www.sec.gov/Archives/edgar/data/1601445/000089180416001923/gug65857-ncsr.htm.

Transactions during the period ended September 30, 2017, in which the portfolio company is an "affiliated person", were as follows:
Security Name	Value 12/31/16		Additions		Reductions			Realized Gain (Loss)		Change in Unrealized			Value 9/30/17		Shares 9/30/17		Investment Income
Aspect Software, Inc.	$	326,104	$	–	$	(7,855	)	$	1,637	$	(3,855	)	$	316,031		321,252	$	27,709

Series J (StylePlus—Mid Growth Series)
SCHEDULE OF INVESTMENTS (Unaudited)	September 30, 2017

	Shares		Value
COMMON STOCKS^† - 20.1%
Consumer, Non-cyclical - 7.2%
Dr Pepper Snapple Group, Inc.		6,459	$	571,428
United Rentals, Inc.^*		3,615		501,544
AmerisourceBergen Corp. — Class A		6,041		499,893
KAR Auction Services, Inc.		9,950		475,012
Quintiles IMS Holdings, Inc.^*		4,924		468,124
Kellogg Co.		6,791		423,555
Western Union Co.		21,429		411,437
Live Nation Entertainment, Inc.^*		9,328		406,234
Spectrum Brands Holdings, Inc.		3,790		401,437
Cintas Corp.		2,678		386,382
Sysco Corp.		7,082		382,074
Express Scripts Holding Co.^*		6,029		381,756
Sabre Corp.		20,178		365,222
Baxter International, Inc.		5,674		356,044
McKesson Corp.		2,314		355,454
WellCare Health Plans, Inc.^*		2,044		351,037
Incyte Corp.^*		2,898		338,312
WEX, Inc.^*		2,846		319,378
Illumina, Inc.^*		1,550		308,760
HealthSouth Corp.		6,628		307,208
Robert Half International, Inc.		6,058		304,960
BioMarin Pharmaceutical, Inc.^*		3,240		301,547
Kroger Co.		14,678		294,441
HCA Healthcare, Inc.^*		3,670		292,095
Centene Corp.^*		2,857		276,472
General Mills, Inc.		5,205		269,411
CoreLogic, Inc.^*		5,804		268,261
QIAGEN N.V.^*		8,475		266,963
Edwards Lifesciences Corp.^*		2,355		257,425
Zoetis, Inc.		3,873		246,942
Humana, Inc.		1,010		246,066
Campbell Soup Co.		5,214		244,119
Henry Schein, Inc.^*		2,480		203,335
Molina Healthcare, Inc.^*		2,710		186,340
FleetCor Technologies, Inc.^*		1,091		168,854
TreeHouse Foods, Inc.^*		2,476		167,699
Boston Scientific Corp.^*		5,326		155,359
Vantiv, Inc. — Class A^*		2,101		148,057
Total System Services, Inc.		2,005		131,328
Gartner, Inc.^*		1,039		129,262
ResMed, Inc.		1,508		116,056
CoStar Group, Inc.^*		418		112,129
Hologic, Inc.^*		2,925		107,318
Total Consumer, Non-cyclical				12,904,730
Industrial - 4.2%
Roper Technologies, Inc.		2,846		692,717
Parker-Hannifin Corp.		3,835		671,201
Ingersoll-Rand plc		6,056		540,014
Cummins, Inc.		3,066		515,180
Hubbell, Inc.		3,743		434,262
Stanley Black & Decker, Inc.		2,859		431,623
Deere & Co.		3,014		378,528
Waste Management, Inc.		4,802		375,853
Zebra Technologies Corp. — Class A^*		3,461		375,795
Dover Corp.		3,684		336,681
Snap-on, Inc.		2,082		310,239
Corning, Inc.		9,105		272,423
TransDigm Group, Inc.		1,029		263,064
Energizer Holdings, Inc.		5,593		257,558
Huntington Ingalls Industries, Inc.		994		225,081
Waters Corp.^*		1,112		199,626
XPO Logistics, Inc.^*		2,893		196,088
Masco Corp.		4,916		191,773
Stericycle, Inc.^*		2,555		182,989
EMCOR Group, Inc.		2,556		177,335
Tech Data Corp.^*		1,758		156,198
AMETEK, Inc.		1,946		128,514
Clean Harbors, Inc.^*		2,129		120,714
Agilent Technologies, Inc.		1,742		111,836
Total Industrial				7,545,292
Technology - 3.6%
Fidelity National Information Services, Inc.		6,436		601,057
NetApp, Inc.		12,421		543,544
Dell Technologies Incorporated Class V — Class V^*		6,378		492,445
Lam Research Corp.		2,469		456,863
Cerner Corp.^*		5,656		403,386
First Data Corp. — Class A^*		21,682		391,143
Analog Devices, Inc.		4,471		385,266
ON Semiconductor Corp.^*		18,141		335,064
Western Digital Corp.		3,796		327,974
CSRA, Inc.		9,280		299,466
DXC Technology Co.		3,480		298,862
Microsemi Corp.^*		5,514		283,861
NCR Corp.^*		7,213		270,632
KLA-Tencor Corp.		2,504		265,424
Skyworks Solutions, Inc.		1,763		179,650
Microchip Technology, Inc.		1,784		160,168
Fiserv, Inc.^*		1,162		149,852
j2 Global, Inc.		1,985		146,652
ServiceNow, Inc.^*		1,167		137,158
Black Knight Financial Services, Inc. — Class A^*		3,059		131,690
Cypress Semiconductor Corp.		8,158		122,533
Qorvo, Inc.^*		1,552		109,695
Total Technology				6,492,385
Consumer, Cyclical - 2.3%
Lear Corp.		2,640		456,930
Hilton Worldwide Holdings, Inc.		5,577		387,323
American Airlines Group, Inc.		6,841		324,879
Lions Gate Entertainment Corp. — Class A^*		8,987		300,615
Alaska Air Group, Inc.		3,816		291,046
Dollar Tree, Inc.^*		3,102		269,316
BorgWarner, Inc.		5,086		260,556
Allison Transmission Holdings, Inc.		5,711		214,334
WW Grainger, Inc.		1,158		208,151
Delphi Automotive plc		2,073		203,983
Wynn Resorts Ltd.		1,169		174,087
Whirlpool Corp.		940		173,374
Harley-Davidson, Inc.		3,093		149,114
Toll Brothers, Inc.		3,391		140,625
Liberty Interactive Corporation QVC Group — Class A^*		5,341		125,887
Southwest Airlines Co.		2,151		120,413
Dick's Sporting Goods, Inc.		4,157		112,281

Series J (StylePlus—Mid Growth Series)
SCHEDULE OF INVESTMENTS (Unaudited)	September 30, 2017

	Shares		Value
COMMON STOCKS^† - 20.1% (continued)
Consumer, Cyclical - 2.3% (continued)
United Continental Holdings, Inc.^*		1,770	$	107,758
HD Supply Holdings, Inc.^*		2,678		96,595
Total Consumer, Cyclical				4,117,267
Communications - 1.6%
Omnicom Group, Inc.		8,246		610,782
Expedia, Inc.		3,792		545,821
CommScope Holding Company, Inc.^*		9,949		330,406
Zayo Group Holdings, Inc.^*		9,219		317,318
CDW Corp.		4,035		266,310
Palo Alto Networks, Inc.^*		1,766		254,481
Interpublic Group of Companies, Inc.		11,579		240,727
F5 Networks, Inc.^*		1,152		138,885
Nexstar Media Group, Inc. — Class A		1,780		110,894
AMC Networks, Inc. — Class A^*		1,835		107,292
Total Communications				2,922,916
Financial - 0.6%
Alliance Data Systems Corp.		2,225		492,948
Air Lease Corp. — Class A		4,367		186,122
CBOE Holdings, Inc.		1,106		119,039
Sabra Health Care REIT, Inc. REIT		5,135		112,662
Digital Realty Trust, Inc. REIT		924		109,337
Progressive Corp.		2,250		108,945
Total Financial				1,129,053
Energy - 0.2%
Williams Companies, Inc.		6,011		180,390
Devon Energy Corp.		3,648		133,918
ONEOK, Inc.		2,163		119,852
Total Energy				434,160
Basic Materials - 0.2%
International Paper Co.		3,146		178,756
Univar, Inc.^*		5,866		169,703
Total Basic Materials				348,459
Diversified - 0.2%
HRG Group, Inc.^*		21,231		331,416
Total Common Stocks
(Cost $34,393,737)				36,225,678

MUTUAL FUNDS^† - 72.7%
Guggenheim Variable Insurance Strategy Fund III¹	1,810,241	45,437,059
Guggenheim Strategy Fund III¹	1,785,470	44,708,163
Guggenheim Strategy Fund II¹	1,059,319	26,546,536
Guggenheim Strategy Fund I¹	586,057	14,715,899
Total Mutual Funds
(Cost $130,665,288)		131,407,657

MONEY MARKET FUND^†- 6.6%
Dreyfus Treasury Securities Cash Management Fund - Institutional Class 0.90%²	11,823,574		11,823,574
Total Money Market Fund
(Cost $11,823,574)			11,823,574
Total Investments - 99.4%
(Cost $176,882,599)		$	179,456,909
Other Assets & Liabilities, net - 0.6%			999,076
Total Net Assets - 100.0%		$	180,455,985

Futures Contracts
Description	Contracts		Expiration date	Notional Amount		Unrealized Gain (Loss)
Equity Futures Contracts Purchased^†
S&P MidCap 400 Index Mini Futures Contracts		18	Dec 2017	$	3,231,000	$	101,724
S&P 500 Index Mini Futures Contracts		9	Dec 2017		1,131,975		13,309
NASDAQ-100 Index Mini Futures Contracts		9	Dec 2017		1,076,580		(1,770	)
				$	5,439,555	$	113,263

Total Return Swap Agreements

Counterparty

Index

Financing Rate

Pay (Receive)

Payment

Frequency

Maturity

Date

Units

Notional

Value

Unrealized

Gain

OTC Equity Index Swap Agreement^††

UBS Group AG

Russell Midcap Growth Index

134.92

At Maturity

10/05/17

153,139

139,490,180

11,529,391

^*	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.
²	Rate indicated is the 7 day yield as of September 30, 2017.

Series J (StylePlus—Mid Growth Series)
SCHEDULE OF INVESTMENTS (Unaudited)	September 30, 2017

plc	Public Limited Company

REIT	Real Estate Investment Trust

See Sector Classification in Other Information section.

The following table summarizes the inputs used to value the Fund's investments at September 30, 2017 (See Note 3 in the Notes to Schedule of Investments):

Investments in Securities (Assets)	Level 1 Quoted Prices		Level 1 - Other*		Level 2 Significant Observable Inputs		Level 2 - Other*		Level 3 Significant Unobservable Inputs		Total
Common Stocks	$	36,225,678	$	—	$	—	$	—	$	—	$	36,225,678
Equity Futures Contracts		—		115,033		—		—		—		115,033
Equity Index Swap Agreements		—		—		—		11,529,391		—		11,529,391
Money Market Fund		11,823,574		—		—		—		—		11,823,574
Mutual Funds		131,407,657		—		—		—		—		131,407,657
Total Assets	$	179,456,909	$	115,033	$	—	$	11,529,391	$	—	$	191,101,333

Investments in Securities (Liabilities)		Level 1 Quoted Prices				Level 1 - Other*				Level 2 Significant Observable Inputs				Level 2 - Other*				Level 3 Significant Unobservable Inputs				Total
Equity Futures Contracts		$	—			$	1,770			$	—			$	—			$	—			$	1,770

*	Other financial instruments include futures contracts and swaps, which are reported as unrealized gain/loss at period end.

Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.

For the period ended September 30, 2017, there were no transfers between levels.

Affiliated Transactions

The Fund may invest in the Guggenheim Strategy Funds Trust consisting of Guggenheim Strategy Fund I, Guggenheim Strategy Fund II, Guggenheim Strategy Fund III, and Guggenheim Variable Insurance Strategy Fund III (collectively, the “Cash Management Funds”), open end management investment companies managed by GI. The Cash Management Funds, which launched on March 11, 2014, are offered as cash management options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Cash Management Funds pay no investment management fees. The Cash Management Funds’ annual report on Form N-CSR dated September 30, 2016, is available publicly or upon request. This information is available from the EDGAR database on the SEC’s website at https://www.sec.gov/Archives/edgar/data/1601445/000089180416001923/gug65857-ncsr.htm.

Transactions during the period ended September 30, 2017, in which the portfolio company is an "affiliated person", were as follows:

Security Name	Value 12/31/16		Additions		Reductions			Realized Gain		Change in Unrealized			Value 09/30/17		Shares 09/30/17		Investment Income
Guggenheim Strategy Fund I	$	23,566,676	$	300,325	$	(9,249,977	)	$	102,080	$	(3,205	)	$	14,715,899		586,057	$	301,447
Guggenheim Strategy Fund II		31,890,964		521,130		(5,999,992	)		23,971		110,463			26,546,536		1,059,319		523,085
Guggenheim Strategy Fund III		31,629,271		12,976,308		–			–		102,584			44,708,163		1,785,470		777,880
Guggenheim Variable Insurance Strategy Fund III		42,142,748		3,172,555		–			–		121,756			45,437,059		1,810,241		925,416
	$	129,229,659	$	16,970,318	$	(15,249,969	)	$	126,051	$	331,598		$	131,407,657			$	2,527,828

Series N (Managed Asset Allocation Series)
SCHEDULE OF INVESTMENTS (Unaudited)	September 30, 2017

	Shares		Value
EXCHANGE-TRADED FUNDS^† - 67.7%
SPDR S&P 500 ETF Trust		36,173	$	9,087,744
Vanguard S&P 500 ETF		37,657		8,689,729
iShares Core U.S. Aggregate Bond ETF		71,658		7,853,000
iShares iBoxx $ Investment Grade Corporate Bond ETF		33,379		4,046,536
iShares Core S&P Mid-Capital ETF		16,268		2,910,345
iShares MSCI EAFE ETF		29,742		2,036,732
iShares Core S&P 500 ETF		2		506
Total Exchange-Traded Funds
(Cost $24,852,499)				34,624,592

MUTUAL FUNDS^† - 30.9%
Guggenheim Variable Insurance Strategy Fund III¹	368,544	9,250,461
Guggenheim Strategy Fund III¹	154,198	3,861,113
Guggenheim Strategy Fund II¹	68,797	1,724,061
Guggenheim Strategy Fund I¹	38,651	970,539
Total Mutual Funds
(Cost $15,720,372)		15,806,174

MONEY MARKET FUND^† - 0.5%
Dreyfus Treasury Securities Cash Management Fund - Institutional Class 0.90%²	262,014	262,014
Total Money Market Fund
(Cost $262,014)		262,014

	Face Amount
U.S. TREASURY BILLS^†† - 1.0%
U.S. Treasury Bill
1.03% due 12/14/17^3,4,5	$	500,000		499,029
Total U.S. Treasury Bills
(Cost $498,936)				499,029
Total Investments - 100.1%
(Cost $41,333,821)			$	51,191,809
Other Assets & Liabilities, net - (0.1)%				(67,570	)
Total Net Assets - 100.0%			$	51,124,239

Futures Contracts
Description	Contracts		Expiration date	Notional Amount		Unrealized Gain/(Loss)
Equity Futures Contracts Purchased^†
Russell 2000 Index Mini Futures Contracts		30	Dec 2017	$	2,238,450	$	115,198
MSCI EAFE Index Mini Futures Contracts		63	Dec 2017		6,231,331		38,326
S&P 500 Index Mini Futures Contracts		10	Dec 2017		1,257,750		27,237
S&P/TSX 60 IX Index Futures Contracts		2	Dec 2017		294,454		14,364
S&P MidCap 400 Index Mini Futures Contracts		1	Dec 2017		179,500		7,684
Nikkei 225 (CME) Index Futures Contracts		1	Dec 2017		101,950		5,596
NASDAQ-100 Index Mini Futures Contracts		2	Dec 2017		239,240		4,356
FTSE 100 Index Futures Contracts		1	Dec 2017		98,274		2,101
DAX Index Futures Contracts		1	Dec 2017		379,225		(751	)
				$	11,020,174	$	214,111

Currency Futures Contracts Purchased^†
Australian Dollar Futures Contracts		1	Dec 2017		78,360		(33	)
Canadian Dollar Futures Contracts		1	Dec 2017		80,175		(643	)
Euro FX Futures Contracts		1	Dec 2017		148,350		(2,003	)
Japanese Yen Futures Contracts		1	Dec 2017		111,488		(2,614	)
				$	418,373	$	(5,293	)

Interest Rate Futures Contracts Purchased^†
U.S. Treasury 2 Year Note Futures Contracts		20	Dec 2017		4,313,125		(11,281	)
U.S. Treasury 10 Year Note Futures Contracts		60	Dec 2017		7,515,937		(80,257	)
				$	11,829,062	$	(91,539	)

Equity Futures Contracts Sold Short^†
Hang Seng Index Futures Contracts^††		1	Oct 2017		177,018		939
SPI 200 Index Futures Contracts		1	Dec 2017		111,423		379
CAC 40 10 Euro Index Futures Contracts		5	Oct 2017		314,531		(7,212	)
				$	602,972	$	(5,894	)

Series N (Managed Asset Allocation Series)
SCHEDULE OF INVESTMENTS (Unaudited)	September 30, 2017

^†	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.
²	Rate indicated is the 7 day yield as of September 30, 2017.
³	All or a portion of this security is pledged as futures collateral at September 30, 2017.
⁴	Rate indicated is the effective yield at the time of purchase.
⁵	Zero coupon rate security.

See Sector Classification in Other Information section.

The following table summarizes the inputs used to value the Fund's investments at September 30, 2017 (See Note 3 in the Notes to Schedule of Investments):

Investments in Securities (Assets)	Level 1 Quoted Prices		Level 1 - Other*		Level 2 Significant Observable Inputs		Level 2 - Other*		Level 3 Significant Unobservable Inputs		Total
Equity Futures Contracts	$	—	$	215,241	$	—	$	939	$	—	$	216,180
Exchange-Traded Funds		34,624,592		—		—		—		—		34,624,592
Money Market Fund		262,014		—		—		—		—		262,014
Mutual Funds		15,806,174		—		—		—		—		15,806,174
U.S. Treasury Bills		—		—		499,029		—		—		499,029
Total Assets	$	50,692,780	$	215,241	$	499,029	$	939	$	—	$	51,407,989

Investments in Securities (Liabilities)	Level 1 Quoted Prices		Level 1 - Other*		Level 2 Significant Observable Inputs		Level 2 - Other*		Level 3 Significant Unobservable Inputs		Total
Currency Futures Contracts	$	—	$	5,293	$	—	$	—	$	—	$	5,293
Equity Futures Contracts		—		7,963		—		—		—		7,963
Interest Rate Futures Contracts		—		91,539		—		—		—		91,539
Total Liabilities	$	—	$	104,795	$	—	$	—	$	—	$	104,795

*	Other financial instruments include futures contracts and swaps, which are reported as unrealized gain/loss at period end.

Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.

For the period ended September 30, 2017, there were no transfers between levels.

Affiliated Transactions

Transactions during the period ended September 30, 2017, in which the portfolio company is an "affiliated person", were as follows:

Security Name	Value 12/31/16		Additions		Reductions			Realized Gain/(Loss)		Change in Unrealized		Value 09/30/17		Shares 09/30/17		Investment Income
Guggenheim Strategy Fund I	$	953,501	$	12,820	$	–		$	–	$	4,218	$	970,539		38,651	$	12,847
Guggenheim Strategy Fund II		1,687,827		28,738		–			–		7,496		1,724,061		68,797		28,824
Guggenheim Strategy Fund III		3,770,765		79,690		–			–		10,658		3,861,113		154,198		79,968
Guggenheim Variable Insurance Strategy Fund III		9,523,812		200,148		(500,000	)		1,994		24,507		9,250,461		368,544		200,855
	$	15,935,905	$	321,396	$	(500,000	)	$	1,994	$	46,879	$	15,806,174			$	322,494

Series O (All Cap Value Series)
SCHEDULE OF INVESTMENTS (Unaudited)	September 30, 2017

	Shares		Value
COMMON STOCKS^† - 99.3%
Financial - 28.5%
JPMorgan Chase & Co.		34,186	$	3,265,105
Berkshire Hathaway, Inc. — Class B^*		15,461		2,834,310
Bank of America Corp.		93,808		2,377,095
Citigroup, Inc.		30,067		2,187,074
Wells Fargo & Co.		31,519		1,738,273
Zions Bancorporation		36,235		1,709,567
Unum Group		26,045		1,331,681
ETRADE Financial Corp.^		28,274		1,233,029
BB&T Corp.		24,850		1,166,459
T. Rowe Price Group, Inc.		11,208		1,016,005
KeyCorp		53,394		1,004,875
SunTrust Banks, Inc.		16,269		972,398
Charles Schwab Corp.		22,019		963,111
Wintrust Financial Corp.		10,710		838,700
Welltower, Inc. REIT		11,694		821,855
Allstate Corp.		8,427		774,526
Piedmont Office Realty Trust, Inc. — Class A REIT		35,550		716,688
Huntington Bancshares, Inc.		49,943		697,204
Morgan Stanley		13,288		640,083
Omega Healthcare Investors, Inc. REIT		19,665		627,510
Equity Commonwealth REIT^*		20,007		608,213
First American Financial Corp.		11,110		555,167
Assured Guaranty Ltd.		14,213		536,541
Radian Group, Inc.		27,464		513,302
EastGroup Properties, Inc. REIT		4,963		437,340
Alexandria Real Estate Equities, Inc. REIT		3,623		431,028
Prosperity Bancshares, Inc.		6,280		412,784
Host Hotels & Resorts, Inc. REIT		22,000		406,780
Regions Financial Corp.		25,781		392,645
Prudential Financial, Inc.		3,683		391,577
American International Group, Inc.		6,175		379,083
Alleghany Corp.^*		684		378,943
Cousins Properties, Inc. REIT		37,705		352,165
Howard Hughes Corp.^*		2,937		346,360
IBERIABANK Corp.		3,994		328,107
Sun Communities, Inc. REIT		3,823		327,555
Federated Investors, Inc. — Class B		9,657		286,813
Lexington Realty Trust REIT		24,950		254,989
National Storage Affiliates Trust REIT		9,992		242,206
Redwood Trust, Inc. REIT		14,379		234,234
Camden Property Trust REIT		2,492		227,893
LaSalle Hotel Properties REIT		7,771		225,514
DCT Industrial Trust, Inc. REIT		3,738		216,505
Popular, Inc.		5,970		214,562
First Industrial Realty Trust, Inc. REIT		7,101		213,669
Rayonier, Inc. REIT		6,647		192,032
Liberty Property Trust REIT		4,457		183,004
CoreCivic, Inc. REIT		6,568		175,825
Hartford Financial Services Group, Inc.		2,687		148,940
Customers Bancorp, Inc.^*		3,193		104,156
Physicians Realty Trust REIT		4,543		80,547
Umpqua Holdings Corp.		1,193		23,275
Total Financial				36,737,302
Consumer, Non-cyclical - 16.2%
Johnson & Johnson		19,695		2,560,547
Pfizer, Inc.		47,521		1,696,500
Merck & Company, Inc.		22,873		1,464,558
Procter & Gamble Co.		13,284		1,208,578
Hormel Foods Corp.		35,806		1,150,805
Bunge Ltd.		16,239		1,127,961
Tyson Foods, Inc. — Class A		10,038		707,177
Zimmer Biomet Holdings, Inc.		5,953		697,037
Express Scripts Holding Co.^*		10,416		659,541
UnitedHealth Group, Inc.		3,364		658,839
Emergent BioSolutions, Inc.^*		16,131		652,499
Quest Diagnostics, Inc.		6,893		645,461
HCA Healthcare, Inc.^*		7,782		619,369
United Therapeutics Corp.^*		4,833		566,379
Perrigo Company plc		5,752		486,907
DaVita, Inc.^*		7,079		420,422
AmerisourceBergen Corp. — Class A		5,050		417,888
HealthSouth Corp.		8,880		411,588
Post Holdings, Inc.^*		4,500		397,215
Archer-Daniels-Midland Co.		8,836		375,618
Medtronic plc		4,720		367,074
Philip Morris International, Inc.		3,180		353,012
Myriad Genetics, Inc.^*		9,725		351,851
Dermira, Inc.^*		11,998		323,946
Sanderson Farms, Inc.		1,987		320,940
Premier, Inc. — Class A^*		9,350		304,530
Acadia Healthcare Company, Inc.^*		5,801		277,056
Akorn, Inc.^*		8,323		276,240
Eagle Pharmaceuticals, Inc.^*		4,416		263,370
Ingredion, Inc.		2,166		261,306
JM Smucker Co.		2,020		211,959
Fresh Del Monte Produce, Inc.		4,180		190,023
Dr Pepper Snapple Group, Inc.		2,052		181,540
ACCO Brands Corp.^*		11,917		141,812
SP Plus Corp.^*		2,548		100,646
Lannett Company, Inc.^*		4,895		90,313
Total Consumer, Non-cyclical				20,940,507
Industrial - 12.8%
WestRock Co.		32,316		1,833,286
Carlisle Companies, Inc.		16,017		1,606,345
General Electric Co.		39,991		966,982
Orbital ATK, Inc.		6,432		856,485
Republic Services, Inc. — Class A		12,387		818,285
Corning, Inc.		26,650		797,368
Crown Holdings, Inc.^*		12,737		760,654
Owens Corning		9,134		706,516
United Technologies Corp.		5,724		664,442
Crane Co.		7,337		586,887
Eagle Materials, Inc.		4,929		525,924
Honeywell International, Inc.		3,573		506,437
Eaton Corporation plc		6,518		500,517
Covenant Transportation Group, Inc. — Class A^*		16,376		474,576
Celadon Group, Inc.		66,481		448,747
Harris Corp.		3,264		429,804

Series O (All Cap Value Series)
SCHEDULE OF INVESTMENTS (Unaudited)	September 30, 2017

	Shares		Value
COMMON STOCKS^†- 99.3% (continued)
Industrial - 12.8% (continued)
Jabil, Inc.		14,718	$	420,199
Timken Co.		7,189		349,026
Scorpio Tankers, Inc.		100,999		346,427
Snap-on, Inc.		2,221		330,951
Kirby Corp.^*		4,917		324,276
FLIR Systems, Inc.		7,190		279,763
Owens-Illinois, Inc.^*		10,765		270,847
Dycom Industries, Inc.^*		2,827		242,783
ITT, Inc.		5,432		240,475
Golar LNG Ltd.		10,036		226,914
US Concrete, Inc.^*		2,898		221,117
Fabrinet^*		5,708		211,538
GasLog Ltd.		10,297		179,683
American Outdoor Brands Corp.^*		9,449		144,097
TriMas Corp.^*		4,731		127,737
Total Industrial				16,399,088
Energy - 10.0%
Chevron Corp.		25,300		2,972,750
Exxon Mobil Corp.		25,723		2,108,772
Kinder Morgan, Inc.		74,160		1,422,389
Marathon Oil Corp.		81,349		1,103,092
Valero Energy Corp.		10,843		834,152
Hess Corp.		15,197		712,587
Whiting Petroleum Corp.^*		119,428		652,077
Rowan Companies plc — Class A^*		45,411		583,531
Concho Resources, Inc.^*		3,647		480,383
Diamondback Energy, Inc.^*		4,599		450,518
Andeavor		4,134		426,422
Laredo Petroleum, Inc.^*		27,205		351,761
Oasis Petroleum, Inc.^*		31,767		289,715
Range Resources Corp.		11,294		221,024
MRC Global, Inc.^*		6,411		112,128
WildHorse Resource Development Corp.^*		6,956		92,654
Total Energy				12,813,955
Consumer, Cyclical - 9.6%
Wal-Mart Stores, Inc.		17,205		1,344,398
DR Horton, Inc.		30,643		1,223,575
Goodyear Tire & Rubber Co.		31,296		1,040,591
Lear Corp.		5,295		916,459
Southwest Airlines Co.		15,990		895,121
CVS Health Corp.		9,561		777,500
UniFirst Corp.		4,165		630,998
PVH Corp.		4,819		607,482
JetBlue Airways Corp.^*		32,233		597,277
Target Corp.		9,280		547,613
PACCAR, Inc.		7,199		520,776
American Eagle Outfitters, Inc.		36,072		515,830
MGM Resorts International		14,955		487,383
Carnival Corp.		6,544		422,546
Deckers Outdoor Corp.^*		5,402		369,551
Caleres, Inc.		10,132		309,229
GMS, Inc.^*		7,622		269,819
CalAtlantic Group, Inc.		6,304		230,916
Unifi, Inc.^*		5,680		202,378
Lowe's Companies, Inc.		2,439		194,974
Penske Automotive Group, Inc.		1,882		89,527
Asbury Automotive Group, Inc.^*		1,431		87,434
Total Consumer, Cyclical				12,281,377
Utilities - 8.1%
Ameren Corp.		24,035		1,390,185
OGE Energy Corp.		35,851		1,291,712
UGI Corp.		21,026		985,278
Exelon Corp.		25,408		957,119
FirstEnergy Corp.		29,657		914,325
Public Service Enterprise Group, Inc.		18,645		862,331
Edison International		9,238		712,896
Pinnacle West Capital Corp.		7,141		603,843
Avista Corp.		10,450		540,997
Portland General Electric Co.		9,624		439,239
Black Hills Corp.		6,287		432,986
Duke Energy Corp.		4,420		370,926
Calpine Corp.^*		21,488		316,948
AES Corp.		26,885		296,273
ONE Gas, Inc.		3,529		259,876
Total Utilities				10,374,934
Technology - 5.9%
Intel Corp.		42,340		1,612,307
CSRA, Inc.		38,756		1,250,656
Xerox Corp.		25,110		835,912
Qorvo, Inc.^*		10,349		731,467
Apple, Inc.		3,896		600,452
Micron Technology, Inc.^*		14,564		572,802
VMware, Inc. — Class A^*		4,104		448,116
Cray, Inc.^*		16,255		316,160
QUALCOMM, Inc.		4,794		248,521
Maxwell Technologies, Inc.^*		46,286		237,447
Cirrus Logic, Inc.^*		4,350		231,942
NCR Corp.^*		5,847		219,379
Oracle Corp.		4,286		207,228
Total Technology				7,512,389
Communications - 4.1%
Cisco Systems, Inc.		44,059		1,481,704
AT&T, Inc.		23,400		916,578
Scripps Networks Interactive, Inc. — Class A		5,787		497,045
Time Warner, Inc.		4,818		493,604
Infinera Corp.^*		42,991		381,330
Verizon Communications, Inc.		7,439		368,156
Ciena Corp.^*		13,183		289,631
Viavi Solutions, Inc.^*		29,738		281,321
Finisar Corp.^*		12,658		280,628
Time, Inc.		15,861		214,124
Oclaro, Inc.^*		13,238		114,244
Total Communications				5,318,365
Basic Materials - 3.8%
Nucor Corp.		22,928		1,284,885
Reliance Steel & Aluminum Co.		13,676		1,041,701
DowDuPont, Inc.		10,013		693,200
Steel Dynamics, Inc.		14,625		504,124
Cabot Corp.		7,190		401,202
Westlake Chemical Corp.		3,815		316,988
LyondellBasell Industries N.V. — Class A		2,274		225,240
Olin Corp.		6,544		224,132
United States Steel Corp.		4,830		123,938
Total Basic Materials				4,815,410
Diversified - 0.3%
Leucadia National Corp.		12,920		326,230

Series O (All Cap Value Series)
SCHEDULE OF INVESTMENTS (Unaudited)	September 30, 2017

	Shares	Value
COMMON STOCKS^†- 99.3% (continued)
Diversified - 0.3% (continued)
Total Common Stocks
(Cost $102,950,939)		$	127,519,557

MONEY MARKET FUND^† - 0.8%
Dreyfus Treasury Securities Cash Management Fund - Institutional Class 0.90%¹	1,030,197		1,030,197
Total Money Market Fund
(Cost $1,030,197)			1,030,197
Total Investments - 100.1%
(Cost $103,981,136)		$	128,549,754
Other Assets & Liabilities, net - (0.1)%			(181,090	)
Total Net Assets - 100.0%		$	128,368,664

^*	Non-income producing security.
^†	Value determined based on Level 1 inputs — See Note 3.
¹	Rate indicated is the 7 day yield as of September 30, 2017.

plc	Public Limited Company

REIT	Real Estate Investment Trust

See Sector Classification in Other Information section.

The following table summarizes the inputs used to value the Fund's investments at September 30, 2017 (See Note 3 in the Notes to Schedule of Investments):

Investments in Securities (Assets)	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs		Total
Common Stocks	$	127,519,557	$	—	$	—	$	127,519,557
Money Market Fund		1,030,197		—		—		1,030,197
Total Assets	$	128,549,754	$	—	$	—	$	128,549,754

For the period ended September 30, 2017, there were no transfers between levels.

Series P (High Yield Series)
SCHEDULE OF INVESTMENTS (Unaudited)	September 30, 2017

	Shares		Value
COMMON STOCKS^† - 0.8%
Energy - 0.4%
SandRidge Energy, Inc.^*		14,596	$	293,233
Titan Energy LLC^*		10,783		48,524
Approach Resources, Inc.^*		12,420		31,174
Stallion Oilfield Holdings Ltd.^*,^†††		19,265		12,041
Total Energy				384,972
Technology - 0.4%
Aspect Software Parent, Inc.^*,^†††^,1,2		35,351		364,116
Communications - 0.0%
Cengage Learning Acquisitions, Inc.^*,^††		2,107		16,329
Aimia, Inc.		5		10
Total Communications				16,339
Diversified - 0.0%
Leucadia National Corp.		247		6,237
Consumer, Non-cyclical - 0.0%
Crimson Wine Group Ltd.^*		24		258
MEDIQ, Inc.^*,^†††^,1		92		—
Total Consumer, Non-cyclical				258
Consumer, Cyclical - 0.0%
Delta Air Lines, Inc.		1		49
Chorus Aviation, Inc.		3		20
Total Consumer, Cyclical				69
Financial - 0.0%
Adelphia Recovery Trust^*,^†††^,1		5,270		1
Total Common Stocks
(Cost $2,363,785)				771,992

PREFERRED STOCKS^†† - 0.0%
Industrial - 0.0%
U.S. Shipping Corp. ^*	24,529	25,755
Total Preferred Stocks
(Cost $625,000)		25,755

WARRANTS^†† - 0.0%
Comstock Resources, Inc.
$0.01, 09/06/18^*	2,406	14,604
Total Warrants
(Cost $20,248)		14,604

EXCHANGE-TRADED FUNDS^†- 1.0%
SPDR Bloomberg Barclays High Yield Bond ETF	26,350	983,382
Total Exchange-Traded Funds
(Cost $977,430)		983,382

MONEY MARKET FUND^†- 3.3%
Dreyfus Treasury Securities Cash Management Fund - Institutional Class 0.90%³	3,159,451	3,159,451
Total Money Market Fund
(Cost $3,159,451)		3,159,451

	Face Amount^~
CORPORATE BONDS^†† - 80.7%
Communications - 17.1%
DISH DBS Corp.
5.88% due 11/15/24		1,250,000	1,310,155
7.75% due 07/01/26		500,000	574,085
CCO Holdings LLC / CCO Holdings Capital Corp.
5.13% due 05/01/27		1,100,000	1,115,125
5.00% due 02/01/28		600,000	597,930
SFR Group S.A.
7.38% due 05/01/26^4,5		1,175,000	1,269,000
6.25% due 05/15/24⁵		200,000	211,200
6.00% due 05/15/22⁵		125,000	130,625
MDC Partners, Inc.
6.50% due 05/01/24^4,5		1,475,000	1,486,062
EIG Investors Corp.
10.88% due 02/01/24		1,000,000	1,099,999
CSC Holdings LLC
5.25% due 06/01/24		650,000	657,313
6.75% due 11/15/21		200,000	221,000
5.50% due 04/15/27⁵		150,000	156,000
Sirius XM Radio, Inc.
5.38% due 07/15/26⁵		550,000	578,875
5.00% due 08/01/27⁵		400,000	408,000
McGraw-Hill Global Education Holdings LLC / McGraw-Hill Global Education Finance
7.88% due 05/15/24⁵		925,000	912,281
Cengage Learning, Inc.
9.50% due 06/15/24⁵		925,000	804,750
Inmarsat Finance plc
4.88% due 05/15/22⁵		625,000	637,500
Virgin Media Secured Finance plc
5.00% due 04/15/27	GBP	450,000	619,974
Virgin Media Finance plc
6.38% due 04/15/23⁵		500,000	521,875
Sprint Spectrum Company LLC / Sprint Spectrum Co II LLC / Sprint Spectrum Co III LLC
3.36% due 09/20/21⁵		375,000	380,625
Zayo Group LLC / Zayo Capital, Inc.
5.75% due 01/15/27⁵		350,000	371,000
Altice US Finance I Corp.
5.50% due 05/15/26⁵		300,000	316,407
Midcontinent Communications / Midcontinent Finance Corp.
6.88% due 08/15/23⁵		250,000	269,375
Nokia Oyj
4.38% due 06/12/27		250,000	257,188
Charter Communications Operating LLC / Charter Communications Operating Capital
4.20% due 03/15/28		225,000	227,679
Ziggo Bond Finance B.V.
5.88% due 01/15/25⁵		200,000	208,500
Ziggo Secured Finance B.V.
5.50% due 01/15/27⁵		200,000	204,938
Level 3 Financing, Inc.
5.25% due 03/15/26		200,000	204,938

Series P (High Yield Series)
SCHEDULE OF INVESTMENTS (Unaudited)	September 30, 2017

	Face Amount^~		Value
CORPORATE BONDS^†† - 80.7% (continued)
Communications - 17.1% (continued)
EW Scripps Co.
5.13% due 05/15/25⁵		150,000	$	153,000
AMC Networks, Inc.
4.75% due 08/01/25		150,000		151,500
VeriSign, Inc.
4.75% due 07/15/27		125,000		128,750
Total Communications				16,185,649
Energy - 11.9%
Unit Corp.
6.63% due 05/15/21		1,225,000		1,228,062
American Midstream Partners Limited Partnership / American Midstream Finance Corp.
8.50% due 12/15/21⁴		1,100,000		1,135,750
Legacy Reserves Limited Partnership / Legacy Reserves Finance Corp.
6.63% due 12/01/21		625,000		395,313
8.00% due 12/01/20		505,000		348,450
CONSOL Energy, Inc.
8.00% due 04/01/23		450,000		478,152
5.88% due 04/15/22		200,000		202,000
Alta Mesa Holdings, LP / Alta Mesa Finance Services Corp.
7.88% due 12/15/24		600,000		647,999
Antero Resources Corp.
5.63% due 06/01/23		350,000		364,875
5.13% due 12/01/22		256,000		261,760
QEP Resources, Inc.
5.25% due 05/01/23		350,000		340,375
6.88% due 03/01/21		200,000		210,500
5.38% due 10/01/22		50,000		49,125
Exterran Energy Solutions Limited Partnership / EES Finance Corp.
8.13% due 05/01/25		575,000		595,125
EP Energy LLC / Everest Acquisition Finance, Inc.
8.00% due 02/15/25⁵		400,000		311,500
6.38% due 06/15/23		350,000		215,250
Comstock Resources, Inc.
10.00% due 03/15/20		500,000		497,500
Covey Park Energy LLC / Covey Park Finance Corp.
7.50% due 05/15/25⁵		475,000		492,219
Gibson Energy, Inc.
5.25% due 07/15/24⁵	CAD	600,000		479,617
TerraForm Power Operating LLC
6.37% due 02/01/23^5,6		400,000		416,000
Cheniere Corpus Christi Holdings LLC
5.88% due 03/31/25		200,000		215,250
5.13% due 06/30/27		150,000		154,500
Pattern Energy Group, Inc.
5.88% due 02/01/24⁵		325,000		342,875
NGPL PipeCo LLC
4.88% due 08/15/27⁵		300,000		314,355
Summit Midstream Holdings LLC / Summit Midstream Finance Corp.
5.75% due 04/15/25		275,000		279,125
Callon Petroleum Co.
6.13% due 10/01/24		250,000		258,750
Sabine Pass Liquefaction LLC
6.25% due 03/15/22		225,000		253,068
Crestwood Midstream Partners Limited Partnership / Crestwood Midstream Finance Corp.
5.75% due 04/01/25		175,000		178,719
NuStar Logistics, LP
5.63% due 04/28/27		150,000		158,250
Trinidad Drilling Ltd.
6.63% due 02/15/25⁵		150,000		140,250
PDC Energy, Inc.
7.75% due 10/15/22		100,000		104,125
Murphy Oil Corp.
5.75% due 08/15/25		100,000		102,990
Whiting Petroleum Corp.
5.75% due 03/15/21		75,000		73,688
BreitBurn Energy Partners Limited Partnership / BreitBurn Finance Corp.
7.88% due 04/15/22⁷		750,000		37,500
8.63% due 10/15/20⁷		250,000		12,500
Schahin II Finance Co. SPV Ltd.
5.88% due 09/25/22^7,8		173,733		17,373
Total Energy				11,312,890
Financial - 11.3%
Jefferies Finance LLC / JFIN Company-Issuer Corp.
7.38% due 04/01/20⁵		655,000		675,469
7.50% due 04/15/21⁵		500,000		517,500
6.88% due 04/15/22⁵		400,000		402,000
7.25% due 08/15/24⁵		400,000		401,000
FBM Finance, Inc.
8.25% due 08/15/21⁵		1,025,000		1,096,750
Kennedy-Wilson, Inc.
5.88% due 04/01/24		1,045,000		1,076,350
Icahn Enterprises, LP / Icahn Enterprises Finance Corp.
5.88% due 02/01/22		700,000		721,000
Citigroup, Inc.
6.30% ^10,11		650,000		705,250
Greystar Real Estate Partners LLC
8.25% due 12/01/22⁵		500,000		533,750
NewStar Financial, Inc.
7.25% due 05/01/20		500,000		515,000
GEO Group, Inc.
6.00% due 04/15/26		250,000		262,813
5.88% due 10/15/24		200,000		208,500
Wilton Re Finance LLC
5.88% due 03/30/33^5,11		400,000		421,999

Series P (High Yield Series)
SCHEDULE OF INVESTMENTS (Unaudited)	September 30, 2017

	Face Amount^~		Value
CORPORATE BONDS^††- 80.7% (continued)
Financial - 11.3% (continued)
American Equity Investment Life Holding Co.
5.00% due 06/15/27		350,000	$	362,731
EPR Properties
5.75% due 08/15/22		300,000		332,033
Jefferies LoanCore LLC / JLC Finance Corp.
6.88% due 06/01/20⁵		300,000		310,125
Compass Bank
3.88% due 04/10/25		300,000		299,371
Goldman Sachs Group, Inc.
5.30% (3 Month USD LIBOR + 383 bps) ^9,10		250,000		268,438
PNC Financial Services Group, Inc.
5.00% ^10,11		250,000		261,875
Hospitality Properties Trust
4.50% due 03/15/25		250,000		256,924
Capital One Financial Corp.
3.75% due 07/28/26		250,000		247,582
USIS Merger Sub, Inc.
6.88% due 05/01/25⁵		225,000		229,219
Fidelity & Guaranty Life Holdings, Inc.
6.38% due 04/01/21⁵		180,000		184,500
iStar, Inc.
4.63% due 09/15/20		90,000		92,025
5.25% due 09/15/22		85,000		86,275
NFP Corp.
6.88% due 07/15/25⁵		150,000		152,250
SBA Communications Corp.
4.00% due 10/01/22		125,000		125,625
Total Financial				10,746,354
Consumer, Non-cyclical - 10.3%
Vector Group Ltd.
6.13% due 02/01/25^4,5		1,700,000		1,759,500
Valeant Pharmaceuticals International, Inc.
7.00% due 03/15/24^4,5		1,100,000		1,174,349
6.50% due 03/15/22⁵		200,000		211,500
Tenet Healthcare Corp.
7.50% due 01/01/22		410,000		434,088
5.13% due 05/01/25		425,000		419,156
4.63% due 07/15/24		250,000		247,740
Great Lakes Dredge & Dock Corp.
8.00% due 05/15/22		900,000		933,749
Midas Intermediate Holdco II LLC / Midas Intermediate Holdco II Finance, Inc.
7.88% due 10/01/22⁵		675,000		683,438
Post Holdings, Inc.
5.50% due 03/01/25⁵		650,000		674,375
WEX, Inc.
4.75% due 02/01/23⁵		500,000		512,500
Halyard Health, Inc.
6.25% due 10/15/22		425,000		443,594
Central Garden & Pet Co.
6.13% due 11/15/23		350,000		372,750
KeHE Distributors LLC / KeHE Finance Corp.
7.63% due 08/15/21⁵		350,000		351,750
Albertsons Companies LLC / Safeway Incorporated / New Albertson's Inc / Albertson's LLC
6.63% due 06/15/24		225,000		210,094
5.75% due 03/15/25		100,000		88,000
Nielsen Company Luxembourg SARL
5.00% due 02/01/25⁵		250,000		260,313
Avantor, Inc.
4.75% due 10/01/24	EUR	100,000		120,294
6.00% due 10/01/24⁵		100,000		102,500
Acadia Healthcare Company, Inc.
6.50% due 03/01/24		200,000		214,750
HCA, Inc.
5.50% due 06/15/47		200,000		207,250
Beverages & More, Inc.
11.50% due 06/15/22⁵		200,000		187,500
AMN Healthcare, Inc.
5.13% due 10/01/24⁵		125,000		129,531
Total Consumer, Non-cyclical				9,738,721
Consumer, Cyclical - 9.2%
Ferrellgas, LP / Ferrellgas Finance Corp.
6.75% due 01/15/22		1,000,000		969,999
WMG Acquisition Corp.
6.75% due 04/15/22^4,5		815,000		856,768
Ferrellgas Limited Partnership / Ferrellgas Finance Corp.
6.75% due 06/15/23		600,000		579,000
6.50% due 05/01/21		200,000		194,000
Nathan's Famous, Inc.
10.00% due 03/15/20⁵		600,000		627,000
Seminole Hard Rock Entertainment Inc. / Seminole Hard Rock International LLC
5.88% due 05/15/21⁵		600,000		606,000
Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp.
5.50% due 03/01/25⁵		550,000		572,688
AMC Entertainment Holdings, Inc.
6.13% due 05/15/27		375,000		370,313
5.88% due 11/15/26		150,000		147,938
Delphi Jersey Holdings plc
5.00% due 10/01/25⁵		500,000		508,750
Carrols Restaurant Group, Inc.
8.00% due 05/01/22⁵		450,000		478,125
L Brands, Inc.
6.75% due 07/01/36		300,000		290,190
7.60% due 07/15/37		175,000		175,000

Series P (High Yield Series)
SCHEDULE OF INVESTMENTS (Unaudited)	September 30, 2017

	Face Amount^~		Value
CORPORATE BONDS^†† - 80.7% (continued)
Consumer, Cyclical - 9.2% (continued)
Suburban Propane Partners, LP / Suburban Energy Finance Corp.
5.50% due 06/01/24		350,000	$	351,750
Tesla, Inc.
5.30% due 08/15/25⁵		350,000		341,250
Suburban Propane Partners Limited Partnership/Suburban Energy Finance Corp.
5.88% due 03/01/27		300,000		297,000
TVL Finance PLC
8.50% due 05/15/23	GBP	180,000		266,351
Interval Acquisition Corp.
5.63% due 04/15/23		250,000		257,500
PetSmart, Inc.
5.88% due 06/01/25⁵		275,000		239,938
Lithia Motors, Inc.
5.25% due 08/01/25⁵		205,000		212,944
CalAtlantic Group, Inc.
5.00% due 06/15/27		170,000		171,806
Wabash National Corp.
5.50% due 10/01/25⁵		115,000		117,156
Allison Transmission, Inc.
4.75% due 10/01/27⁵		100,000		100,750
Total Consumer, Cyclical				8,732,216
Industrial - 5.9%
Grinding Media Inc. / MC Grinding Media Canada Inc.
7.38% due 12/15/23^4,5		1,000,000		1,084,999
Novelis Corp.
5.88% due 09/30/26⁵		700,000		710,500
6.25% due 08/15/24⁵		150,000		156,405
Amsted Industries, Inc.
5.38% due 09/15/24⁵		650,000		683,313
Summit Materials LLC / Summit Materials Finance Corp.
8.50% due 04/15/22		500,000		562,500
Tutor Perini Corp.
6.88% due 05/01/25⁵		475,000		515,375
StandardAero Aviation Holdings, Inc.
10.00% due 07/15/23⁵		460,000		509,450
BWAY Holding Co.
5.50% due 04/15/24⁵		350,000		365,750
Standard Industries, Inc.
5.50% due 02/15/23⁵		200,000		211,750
5.00% due 02/15/27⁵		100,000		104,250
Infor US, Inc.
5.75% due 05/15/22	EUR	150,000		185,113
Ardagh Packaging Finance plc / Ardagh Holdings USA, Inc.
7.25% due 05/15/24⁵		125,000		137,109
Actuant Corp.
5.63% due 06/15/22		100,000		102,625
Wrangler Buyer Corp.
6.00% due 10/01/25⁵		80,000		81,400
Multi-Color Corp.
4.88% due 11/01/25⁵		80,000		80,876
Reynolds Group Issuer Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer
6.88% due 02/15/21		64,814		66,434
Total Industrial				5,557,849
Utilities - 5.2%
LBC Tank Terminals Holding Netherlands B.V.
6.88% due 05/15/23⁵		1,300,000		1,365,000
Terraform Global Operating LLC
9.75% due 08/15/22⁵		1,150,000		1,276,500
AES Corp.
6.00% due 05/15/26⁴		850,000		914,813
5.13% due 09/01/27		100,000		102,500
AmeriGas Partners, LP / AmeriGas Finance Corp.
5.63% due 05/20/24		500,000		526,875
5.75% due 05/20/27		350,000		357,875
AmeriGas Partners Limited Partnership / AmeriGas Finance Corp.
5.50% due 05/20/25		350,000		359,625
Total Utilities				4,903,188
Basic Materials - 4.7%
Alcoa Nederland Holding B.V.
7.00% due 09/30/26^4,5		950,000		1,075,875
6.75% due 09/30/24⁵		350,000		387,625
Eldorado Gold Corp.
6.13% due 12/15/20⁵		1,290,000		1,310,962
Constellium N.V.
7.88% due 04/01/21⁵		400,000		424,000
Yamana Gold, Inc.
4.95% due 07/15/24		300,000		307,500
Big River Steel LLC / BRS Finance Corp.
7.25% due 09/01/25⁵		275,000		291,775
PQ Corp.
6.75% due 11/15/22⁵		200,000		216,500
Commercial Metals Co.
5.38% due 07/15/27		175,000		183,750
Clearwater Paper Corp.
5.38% due 02/01/25⁵		150,000		149,250
Valvoline, Inc.
4.38% due 08/15/25		109,000		111,044
Mirabela Nickel Ltd.
2.37% due 06/24/19		390,085		35,108
Total Basic Materials				4,493,389
Technology - 4.5%
Epicor Software
9.58% (3 Month USD LIBOR + 825 bps) due 06/21/23^†††^,1,9		1,150,000		1,123,550
Micron Technology, Inc.
5.25% due 08/01/23		525,000		547,575
7.50% due 09/15/23		435,000		483,394
First Data Corp.
5.75% due 01/15/24^4,5		850,000		889,312
NCR Corp.
6.38% due 12/15/23		350,000		373,310

Series P (High Yield Series)
SCHEDULE OF INVESTMENTS (Unaudited)	September 30, 2017

	Face Amount^~		Value
CORPORATE BONDS†† - 80.7% (continued)
Technology - 4.5% (continued)
Microsoft Corp.
4.20% due 11/03/35		200,000	$	222,349
Oracle Corp.
3.85% due 07/15/36		150,000		155,241
CDK Global, Inc.
4.88% due 06/01/27		150,000		154,125
Open Text Corp.
5.88% due 06/01/26⁵		125,000		137,188
Ascend Learning LLC
6.88% due 08/01/25⁵		100,000		105,500
Infor US, Inc.
6.50% due 05/15/22		100,000		103,687
Total Technology				4,295,231
Banks & Credit - 0.6%
UPCB FINANCE VII LTD
3.62% due 06/15/29	EUR	450,000		526,534
Total Corporate Bonds
(Cost $76,069,323)				76,492,021

SENIOR FLOATING RATE INTERESTS^††,9 - 23.4%
Industrial - 5.2%
Pregis Holding I Corp.
4.83% (3 Month USD LIBOR + 350 bps) due 05/20/21	448,555	447,433
Advanced Integration Technology LP
5.99% (1 Month USD LIBOR + 475 bps) due 04/03/23	426,606	424,473
Zodiac Pool Solutions LLC
5.33% (3 Month USD LIBOR + 400 bps) due 12/20/23	378,778	382,565
VC GB Holdings, Inc.
4.99% (1 Month USD LIBOR + 375 bps) due 02/28/24	348,285	351,332
CPG International LLC
5.08% (3 Month USD LIBOR + 375 bps) due 05/05/24	348,250	350,427
Hardware Holdings LLC
7.83% (3 Month USD LIBOR + 650 bps) due 03/30/20	291,375	282,634
RING Container Technologies Group LLC
2.75% (3 Month USD LIBOR + 275 bps) due 09/28/24¹⁴	275,000	275,688
DAE Aviation
4.99% (1 Month USD LIBOR + 375 bps) due 07/07/22	249,364	251,129
ProAmpac PG Borrower LLC
5.28% ((1 Month USD LIBOR + 400 bps) and (3 Month USD LIBOR + 800 bps)) due 11/20/23¹²	248,875	250,898
Dimora Brands, Inc.
5.24% (3 Month USD LIBOR + 400 bps) due 08/24/24	250,000	250,625
Hanjin International Corp.
2.50% (3 Month USD LIBOR + 95 bps) due 09/20/20	250,000	250,000
Resource Label Group LLC
9.83% (3 Month USD LIBOR + 850 bps) due 11/26/23	250,000	249,063
Diversitech Holdings, Inc.
8.84% (1 Month USD LIBOR + 750 bps) due 06/02/25	200,000	201,500
Arctic Long Carriers
5.74% (1 Month USD LIBOR + 450 bps) due 05/18/23	199,500	200,873
Imagine Print Solutions LLC
6.09% (3 Month USD LIBOR + 475 bps) due 06/21/22	199,000	199,000
ICSH Parent, Inc.
5.32% (3 Month USD LIBOR + 400 bps) due 04/29/24	178,682	179,576
Wrangler Buyer Corp.
3.00% (3 Month USD LIBOR + 300 bps) due 09/27/24¹³	175,000	175,802
ILPEA Parent, Inc.
6.74% (1 Month USD LIBOR + 550 bps) due 03/02/23	173,906	174,341
BWAY Holding Co.
4.48% (1 Month USD LIBOR + 325 bps) due 04/03/24	124,688	124,977
NANA Development Corp.
8.08% (3 Month USD LIBOR + 645 bps) due 03/15/18	4,537	4,446
Total Industrial		5,026,782
Consumer, Non-cyclical - 5.2%
IHC Holding Corp.
8.08% (3 Month LIBOR + 675 bps) due 04/30/21^†††^,1	524,779	520,075
Reddy Ice Holdings, Inc.
10.81% (3 Month USD LIBOR + 950 bps) due 11/01/19	530,000	496,875
NES Global Talent
6.81% (3 Month USD LIBOR + 550 bps) due 10/03/19	541,627	487,464
Immucor, Inc.
6.24% (1 Month USD LIBOR + 500 bps) due 06/15/21	349,125	353,925
Endo Luxembourg Finance Co.
5.50% (1 Month USD LIBOR + 425 bps) due 04/29/24	349,125	352,180
American Seafoods Group LLC / American Seafoods Finance, Inc.
4.56% ((1 Month USD LIBOR + 325 bps) and (3 Month USD LIBOR + 325 bps)) due 08/21/23¹²	300,000	300,375
CareCore National LLC
5.24% (1 Month USD LIBOR + 400 bps) due 03/05/21	290,506	293,411
Equian LLC
5.07% (3 Month USD LIBOR + 375 bps) due 05/20/24	190,699	193,082
5.06% (3 Month USD LIBOR + 375 bps) due 05/20/24	58,824	59,559
Project Ruby Ultimate Parent Corp.
4.99% (1 Month USD LIBOR + 375 bps) due 02/09/24	248,580	249,823

Series P (High Yield Series)
SCHEDULE OF INVESTMENTS (Unaudited)	September 30, 2017

	Face Amount^~		Value
SENIOR FLOATING RATE INTERESTS^††,9 - 23.4% (continued)
Consumer, Non-cyclical - 5.2% (continued)
CTI Foods Holding Co. LLC
8.49% (1 Month USD LIBOR + 725 bps) due 06/28/21		300,000	$	240,375
Refresco Group N.V.
2.75% (3 Month USD LIBOR + 275 bps) due 09/26/24¹³		200,000		200,500
Arctic Glacier Group Holdings, Inc.
5.49% (1 Month USD LIBOR + 425 bps) due 03/20/24		199,000		199,995
JBS USA Lux SA
3.80% (3 Month USD LIBOR + 250 bps) due 10/30/22		199,500		197,006
Authentic Brands
4.50% (3 Month USD LIBOR + 350 bps) due 09/27/24		175,000		175,438
Avantor, Inc.
5.00% (3 Month USD LIBOR + 400 bps) due 09/20/24		150,000		150,407
Sterigenics-Norion Holdings
4.24% (1 Month USD LIBOR + 300 bps) due 05/15/22		149,250		149,250
Surgery Center Holdings, Inc.
4.49% (1 Month USD LIBOR + 325 bps) due 09/02/24		150,000		148,688
Give and Go Prepared Foods Corp.
5.56% (3 Month USD LIBOR + 425 bps) due 07/29/23		130,000		131,625
Total Consumer, Non-cyclical				4,900,053
Consumer, Cyclical - 3.9%
Mavis Tire
6.49% (1 Month LIBOR + 525 bps) due 11/02/20^†††^,1		490,000		485,740
Acosta, Inc.
4.43% ((1 Month USD LIBOR + 325 bps) and (3 Month USD LIBOR + 325 bps)) due 09/26/19^†††^,1,12		311,111		294,630
4.48% (1 Month USD LIBOR + 325 bps) due 09/26/19^†††^,		200,000		189,405
Sears Holdings Corp.
5.74% (1 Month USD LIBOR + 450 bps) due 06/30/18		366,932		361,886
Leslie's Poolmart, Inc.
5.06% (3 Month USD LIBOR + 375 bps) due 08/16/23		347,368		347,243
Equinox Holdings, Inc.
4.49% (1 Month USD LIBOR + 325 bps) due 03/08/24		299,250		300,247
BBB Industries, LLC
5.74% (1 Month USD LIBOR + 450 bps) due 11/03/21		292,412		295,336
Navistar Inc.
5.24% (1 Month USD LIBOR + 400 bps) due 08/07/20		245,625		246,750
Truck Hero, Inc.
5.33% (3 Month USD LIBOR + 400 bps) due 04/22/24		225,000		224,624
Blue Nile, Inc.
7.83% (3 Month USD LIBOR + 650 bps) due 02/17/23		222,188		221,077
Amaya Holdings B.V.
4.83% (3 Month USD LIBOR + 350 bps) due 08/01/21		197,975		198,470
Belk, Inc.
6.05% (3 Month USD LIBOR + 475 bps) due 12/12/22		228,489		191,099
Fitness International LLC
7.50% (Commercial Prime Lending Rate + 325 bps) due 07/01/20		172,948		173,751
Landry's, Inc.
4.00% (3 Month USD LIBOR + 325 bps) due 10/04/23¹³		150,000		150,750
Total Consumer, Cyclical				3,681,008
Technology - 3.5%
Masergy Holdings, Inc.
5.08% (3 Month USD LIBOR + 375 bps) due 12/15/23		471,438		473,006
Cypress Intermediate Holdings III, Inc.
4.24% (1 Month USD LIBOR + 300 bps) due 04/29/24		399,000		398,202
Project Alpha (Qlik)
4.81% (3 Month USD LIBOR + 350 bps) due 04/26/24		395,013		385,137
Oberthur Technologies of America Corp.
5.08% (3 Month USD LIBOR + 375 bps) due 01/10/24		387,651		375,537
AVSC Holding Corp.
4.79% ((2 Month USD LIBOR + 350 bps) and (3 Month USD LIBOR + 350 bps)) due 04/29/24¹²		350,000		351,313
TIBCO Software, Inc.
4.74% (1 Month USD LIBOR + 350 bps) due 12/04/20		345,739		346,604
Planview, Inc.
6.49% (1 Month LIBOR + 525 bps) due 01/27/23^†††^,1		349,125		344,493
Kronos, Inc.
4.81% (3 Month USD LIBOR + 350 bps) due 11/01/23		248,128		249,436
EIG Investors Corp.
5.32% (3 Month USD LIBOR + 400 bps) due 02/09/23		202,691		204,609
Advanced Computer Software
10.81% (3 Month USD LIBOR + 950 bps) due 01/31/23		200,000		184,834

Series P (High Yield Series)
SCHEDULE OF INVESTMENTS (Unaudited)	September 30, 2017

	Face Amount^~		Value
SENIOR FLOATING RATE INTERESTS^††,9 - 23.4% (continued)
Technology - 3.5% (continued)
Aspect Software, Inc.
11.24% (1 Month USD LIBOR + 1000 bps) due 05/25/20²		14,463	$	14,228
Total Technology				3,327,399
Financial - 2.1%
National Financial Partners Corp.
4.74% (3 Month USD LIBOR + 350 bps) due 01/08/24		607,500		611,296
Misys Ltd.
4.82% (3 Month USD LIBOR + 350 bps) due 06/13/24		550,000		552,261
York Risk Services
4.99% (1 Month USD LIBOR + 375 bps) due 10/01/21		369,524		362,688
Acrisure LLC
6.27% (2 Month USD LIBOR + 500 bps) due 11/22/23		240,645		243,252
Vantiv LLC
2.00% (3 Month USD LIBOR + 200 bps) due 09/06/24¹³		175,692		175,692
Total Financial				1,945,189
Communications - 1.9%
Anaren, Inc.
9.58% (3 Month USD LIBOR + 825 bps) due 08/18/21		500,000		495,000
Cengage Learning Acquisitions, Inc.
5.49% (1 Month USD LIBOR + 425 bps) due 06/07/23		489,347		450,111
GTT Communications, Inc.
4.50% (1 Month USD LIBOR + 325 bps) due 01/09/24		397,000		398,489
Mcgraw-Hill Global Education Holdings LLC
5.24% (1 Month USD LIBOR + 400 bps) due 05/04/22		249,369		244,603
Neustar, Inc.
5.06% (3 Month USD LIBOR + 375 bps) due 08/08/24		175,000		176,239
Total Communications				1,764,442
Utilities - 1.0%
Invenergy Thermal Operating I, LLC
6.83% (3 Month USD LIBOR + 550 bps) due 10/19/22		367,149		348,791
Viva Alamo LLC
5.57% (3 Month USD LIBOR + 425 bps) due 02/22/21		346,415		329,094
Exgen Texas Power LLC
6.08% (3 Month LIBOR + 475 bps) due 09/18/21		400,916		248,568
Total Utilities				926,453
Energy - 0.4%
Moss Creek Resources LLC
9.50% (1 Month USD LIBOR + 800 bps) due 04/07/22^†††^,1		388,889		384,028
Basic Materials - 0.2%
ASP Chromaflo Dutch I B.V.
5.24% (1 Month USD LIBOR + 400 bps) due 11/20/23		112,208		112,628
ASP Chromaflo Intermediate Holdings, Inc.
5.24% (1 Month USD LIBOR + 400 bps) due 11/20/23		86,292		86,616
Total Basic Materials				199,244
Total Senior Floating Rate Interests
(Cost $22,210,635)				22,154,598
Total Investments - 109.2%
(Cost $105,425,872)			$	103,601,803
Other Assets & Liabilities, net - (9.2)%				(8,765,958	)
Total Net Assets - 100.0%			$	94,835,845

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS^††
Counterparty	Contracts to Sell			Currency	Settlement Date	Settlement Value		Value at September 30, 2017		Net Unrealized Appreciation/ Depreciation
Bank of America		(891,000	)	EUR	10/12/17	$	1,067,825	$	1,053,665	$	14,160
Barclays		(604,000	)	CAD	10/12/17		497,511		484,104		13,407
J.P. Morgan		(199,000	)	EUR	10/12/17		238,830		235,330		3,500
Barclays		(690,000	)	GBP	10/12/17		909,749		924,751		(15,002	)
										$	16,065

^~	The face amount is denominated in U.S. dollars unless otherwise indicated.
^*	Non-income producing security.
^†	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	Security was fair valued by the Valuation Committee at September 30, 2017. The total market value of fair valued securities amounts to $3,516,633, (cost $4,095,803) or 3.7% of total net assets.
²	Affiliated issuer.
³	Rate indicated is the 7 day yield as of September 30, 2017.
⁴	All or a portion of this security is pledged as reverse repurchase agreement collateral at September 30, 2017.

Series P (High Yield Series)
SCHEDULE OF INVESTMENTS (Unaudited)	September 30, 2017

⁵	Security is a 144A or Section 4(a)(2) security. These securities have been determined to be liquid under guidelines established by the Board of Trustees. The total market value of 144A or Section 4(a)(2) securities is $45,774,767 (cost $44,487,784), or 48.3% of total net assets.
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 is in default of interest and/or principal obligations.
⁸	Security is a 144A or Section 4(a)(2) security. These securities have been determined to be illiquid and restricted under guidelines established by the Board of Trustees. The total market value of 144A or Section 4(a)(2) illiquid and restricted securities is $17,373 (cost $111,437), or 0.0% of total net assets. See Note 6.
⁹	Variable rate security. Rate indicated is rate effective at September 30, 2017.
¹⁰	Perpetual maturity.
¹¹	Security has a fixed rate coupon which will convert to a floating or variable rate coupon on a future date.
¹²	The effective rate shown is based on a weighted average of the underlying reference rates and spread amounts listed.
¹³	This position was unsettled at period end. The underlying reference rate will not be applied to the effective rate until settlement occurs.

plc	Public Limited Company

LIBOR

London Interbank Offered Rate

CAD — Canadian Dollar

EUR — Euro

GBP — British Pound

See Sector Classification in Other Information section.

The following table summarizes the inputs used to value the Fund's investments at September 30, 2017 (See Note 3 in the Notes to Schedule of Investments):

Investments in Securities (Assets)	Level 1 Quoted Prices		Level 1 - Other*		Level 2 Significant Observable Inputs		Level 2 - Other*		Level 3 Significant Unobservable Inputs		Total
Common Stocks	$	379,505	$	—	$	16,329	$	—	$	376,158	$	771,992
Corporate Bonds		—		—		75,368,471		—		1,123,550		76,492,021
Exchange-Traded Funds		983,382		—		—		—		—		983,382
Forward Foreign Currency Exchange Contracts		—		—		—		31,067		—		31,067
Money Market Fund		3,159,451		—		—		—		—		3,159,451
Preferred Stocks		—		—		25,755		—		—		25,755
Senior Floating Rate Interests		—		—		19,936,227		—		2,218,371		22,154,598
Warrants		—		—		14,604		—		—		14,604
Total Assets	$	4,522,338	$	—	$	95,361,386	$	31,067	$	3,718,079	$	103,632,870

Investments in Securities (Liabilities)	Level 1 Quoted Prices		Level 1 - Other*		Level 2 Significant Observable Inputs		Level 2 - Other*		Level 3 Significant Unobservable Inputs		Total
Forward Foreign Currency Exchange Contracts	$	—	$	—	$	—	$	15,002	$	—	$	15,002
Unfunded Loan Commitments		—		—		215,685		—		—		215,685
Total Liabilities	$	—	$	—	$	215,685	$	15,002	$	—	$	230,678

*	Other financial instruments include forward foreign currency exchange contracts which are reported as unrealized gain/loss at period end.

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:

Category	Level 3		Valuation Technique	Unobservable Inputs	Input Values
Common Stocks	$	364,116	Enterprise Value	Valuation Multiple		9.1x
Common Stocks		12,042	Option Adjusted Spread off the prior month end broker mark over the 3 month LIBOR	Indicative Quote
Corporate Bonds		1,123,550	Model Price	Market Comparable Yields		9.0%
Senior Floating Rate Interests		1,834,343	Model Price	Purchase Price
Senior Floating Rate Interests		384,028	Model Price	Trade Price
Total	$	3,718,079

Any remaining Level 3 securities held by the Funds and excluded from the tables above, were not considered material to the Fund.

As of September 30, 2017, the Fund had securities with a total value of $189,405 transfer into Level 3 from Level 2 and securities with a total value of $498,319 transfer out of Level 3 into Level 2 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 and liabilities for which significant unobservable inputs were used to determine fair value for the period ended September 30, 2017:

LEVEL 3 - Fair value measurement using significant unobservable inputs

Assets													Liabilities
	Common Stocks			Corporate Bonds			Senior Floating Rate Interests			Total Assets			Unfunded Loan Commitments
Beginning Balance	$	541,378		$	1,123,550		$	3,020,265		$	4,685,193		$	(275,720	)
Purchases/Fundings		-			-			212,667		$	212,667			52,000
Sales, maturities and paydowns/Receipts		-			-			(923,511	)	$	(923,511	)		-
Total realized gains or losses included in earnings		(567,853	)		(77	)		(3,025	)	$	(570,955	)		48,600
Total change in unrealized gains or losses included in earnings		402,633			77			5,204		$	407,914			(40,565	)
Transfers into Level 3		-			-			189,405		$	189,405			-
Transfers out of Level 3		-			-			(282,634	)	$	(282,634	)		215,685
Ending Balance	$	376,158		$	1,123,550		$	2,218,371		$	3,718,079		$	-
Net Change in unrealized appreciation (depreciation) for investments in securities still held at September 30, 2017	$	(165,107	)	$	(876	)	$	15,331		$	(150,652	)	$	-

Series P (High Yield Series)
SCHEDULE OF INVESTMENTS (Unaudited)	September 30, 2017

Affiliated Transactions

Transactions during the period ended September 30, 2017, in which the portfolio company is an "affiliated person", were as follows:
Security Name	Value 12/31/16		Additions		Reductions			Corporate Actions			Realized Gain (Loss)			Change in Unrealized			Value 09/30/17		Shares 09/30/17		Investment Income
Aspect Software Parent, Inc.	$	–	$	18,336	$	–		$	233,566		$	(9	)	$	(558,441	)	$	364,116		35,351	$	–
Aspect Software, Inc.		–		–		(280	)		(233,566	)		73			(235	)		14,228		14,463		1,248
	$	–	$	18,336	$	(280	)		–		$	64		$	(558,676	)	$	378,344		–	$	1,248

Series Q (Small Cap Value Series)
SCHEDULE OF INVESTMENTS (Unaudited)	September 30, 2017

	Shares		Value
COMMON STOCKS^† - 97.5%
Financial - 38.5%
Wintrust Financial Corp.		23,644	$	1,851,561
Cathay General Bancorp		43,188		1,736,157
Berkshire Hills Bancorp, Inc.		40,563		1,571,816
Fulton Financial Corp.		83,819		1,571,605
First Citizens BancShares, Inc. — Class A		3,395		1,269,357
BancorpSouth, Inc.		37,653		1,206,779
Umpqua Holdings Corp.		60,085		1,172,258
Hanmi Financial Corp.		36,164		1,119,276
TriCo Bancshares		26,062		1,062,027
Radian Group, Inc.		56,743		1,060,527
Trustmark Corp.		31,926		1,057,389
Beneficial Bancorp, Inc.		61,603		1,022,610
Argo Group International Holdings Ltd.		16,577		1,019,486
Forestar Group, Inc.^*,^††		57,436		1,003,981
Investors Bancorp, Inc.		72,270		985,763
Horace Mann Educators Corp.		24,929		980,956
Redwood Trust, Inc. REIT		59,391		967,480
Federal Agricultural Mortgage Corp. — Class C		13,178		958,567
Valley National Bancorp		76,261		918,945
Hersha Hospitality Trust REIT		44,987		839,907
Old National Bancorp		44,259		809,940
1st Source Corp.		15,590		791,972
RLJ Lodging Trust REIT		34,535		759,770
Flagstar Bancorp, Inc.^*		21,385		758,740
MBIA, Inc.^*		86,189		749,844
Navigators Group, Inc.		12,574		733,693
iStar, Inc. REIT^*		61,544		726,219
Cousins Properties, Inc. REIT		70,595		659,357
Hancock Holding Co.		13,391		648,794
Capital Bank Financial Corp. — Class A		14,595		599,125
Sunstone Hotel Investors, Inc. REIT		36,027		578,954
Lexington Realty Trust REIT		54,490		556,888
MB Financial, Inc.		12,239		551,000
Summit Hotel Properties, Inc. REIT		33,928		542,509
LaSalle Hotel Properties REIT		18,258		529,847
IBERIABANK Corp.		6,424		527,732
Genworth Financial, Inc. — Class A^*		133,112		512,481
Equity Commonwealth REIT^*		15,165		461,016
Hanover Insurance Group, Inc.		4,716		457,122
Hilltop Holdings, Inc.		16,818		437,268
Washington Federal, Inc.		11,976		402,992
Stifel Financial Corp.		7,447		398,117
Tier REIT, Inc. REIT		20,491		395,476
Sterling Bancorp		13,443		331,370
ARMOUR Residential REIT, Inc. REIT		10,879		292,645
Invesco Mortgage Capital, Inc. REIT		16,835		288,384
Total Financial				37,877,702
Industrial - 13.7%
Methode Electronics, Inc.		25,662		1,086,785
Louisiana-Pacific Corp.^*		36,111		977,886
Sanmina Corp.^*		25,838		959,882
Werner Enterprises, Inc.		25,376		927,492
Plexus Corp.^*		16,317		915,057
GATX Corp.		13,553		834,322
Marten Transport Ltd.		39,576		813,287
TriMas Corp.^*		29,013		783,351
Summit Materials, Inc. — Class A^*		23,037		737,875
Argan, Inc.		9,946		668,869
Worthington Industries, Inc.		13,539		622,794
Crane Co.		7,542		603,285
GasLog Ltd.		32,163		561,244
Esterline Technologies Corp.^*		6,185		557,578
Trinseo S.A.		7,972		534,921
ITT, Inc.		11,807		522,696
Greenbrier Companies, Inc.		10,038		483,330
Apogee Enterprises, Inc.		9,433		455,237
Scorpio Tankers, Inc.		113,782		390,272
Rand Logistics, Inc.^*		119,809		38,519
Total Industrial				13,474,682
Consumer, Non-cyclical - 10.7%
Sanderson Farms, Inc.		10,607		1,713,242
Premier, Inc. — Class A^*		26,870		875,156
Lannett Company, Inc.^*		46,372		855,563
AMN Healthcare Services, Inc.^*		18,281		835,442
Dean Foods Co.		70,077		762,438
Fresh Del Monte Produce, Inc.		16,766		762,182
Molina Healthcare, Inc.^*		9,911		681,481
HealthSouth Corp.		14,520		673,002
Emergent BioSolutions, Inc.^*		14,020		567,109
Carriage Services, Inc. — Class A		21,530		551,168
AMAG Pharmaceuticals, Inc.^*		26,186		483,132
Navigant Consulting, Inc.^*		28,245		477,905
Community Health Systems, Inc.^*		60,830		467,174
FTI Consulting, Inc.^*		12,341		437,859
Universal Corp.		6,932		397,204
Total Consumer, Non-cyclical				10,540,057
Consumer, Cyclical - 9.8%
UniFirst Corp.		10,367		1,570,601
Wabash National Corp.		52,429		1,196,430
International Speedway Corp. — Class A		28,170		1,014,120
Cooper Tire & Rubber Co.		26,823		1,003,180
Hawaiian Holdings, Inc.^*		21,041		790,090
Meritage Homes Corp.^*		14,802		657,208
Unifi, Inc.^*		16,961		604,321
Asbury Automotive Group, Inc.^*		8,724		533,035
Tenneco, Inc.		8,007		485,785
Century Communities, Inc.^*		19,175		473,623
La-Z-Boy, Inc.		14,764		397,152
Caleres, Inc.		10,184		310,816
Deckers Outdoor Corp.^*		3,837		262,489
DSW, Inc. — Class A		9,988		214,542
Genesco, Inc.^*		4,519		120,205
Total Consumer, Cyclical				9,633,597
Utilities - 9.3%
Avista Corp.		38,357		1,985,741
Portland General Electric Co.		35,609		1,625,195
Spire, Inc.		19,285		1,439,626
Black Hills Corp.		17,849		1,229,261
ONE Gas, Inc.		10,744		791,188

Series Q (Small Cap Value Series)
SCHEDULE OF INVESTMENTS (Unaudited)	September 30, 2017

	Shares		Value
COMMON STOCKS^†- 97.5% (continued)
Utilities - 9.3% (continued)
Calpine Corp.^*		49,761	$	733,975
ALLETE, Inc.		6,984		539,793
Southwest Gas Holdings, Inc.		5,057		392,524
PNM Resources, Inc.		9,206		371,002
Total Utilities				9,108,305
Communications - 5.7%
Bankrate, Inc.^*		90,259		1,259,113
Viavi Solutions, Inc.^*		128,107		1,211,892
Ciena Corp.^*		31,730		697,108
Infinera Corp.^*		59,673		529,300
NeoPhotonics Corp.^*		84,384		469,175
Scholastic Corp.		12,352		459,494
InterDigital, Inc.		5,809		428,414
Finisar Corp.^*		17,505		388,086
Time, Inc.		14,200		191,700
Total Communications				5,634,282
Energy - 4.9%
Rowan Companies plc — Class A^*		88,728		1,140,154
Oasis Petroleum, Inc.^*		94,957		866,008
Laredo Petroleum, Inc.^*		55,839		721,998
Delek US Holdings, Inc.		21,535		575,631
Oceaneering International, Inc.		19,370		508,850
MRC Global, Inc.^*		26,118		456,804
Gulfport Energy Corp.^*		24,623		353,094
Jones Energy, Inc. — Class A^*		96,604		185,480
Total Energy				4,808,019
Basic Materials - 2.5%
Kaiser Aluminum Corp.		12,056		1,243,457
Olin Corp.		18,225		624,206
Reliance Steel & Aluminum Co.		7,979		607,760
Total Basic Materials				2,475,423
Technology - 2.4%
Photronics, Inc.^*		65,632		580,843
Cray, Inc.^*		26,117		507,976
MicroStrategy, Inc. — Class A^*		3,902		498,324
ManTech International Corp. — Class A		10,317		455,496
InnerWorkings, Inc.^*		27,332		307,485
Total Technology				2,350,124
Total Common Stocks
(Cost $81,815,919)				95,902,191

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

EXCHANGE-TRADED FUNDS^† - 1.0%
iShares Russell 2000 Value ETF	8,294	1,029,451
Total Exchange-Traded Funds
(Cost $986,112)		1,029,451

MONEY MARKET FUND^† - 1.4%
Dreyfus Treasury Securities Cash Management Fund - Institutional Class 0.90%³	1,330,822		1,330,822
Total Money Market Fund
(Cost $1,330,822)			1,330,822
Total Investments - 99.9%
(Cost $84,244,263)		$	98,262,465
Other Assets & Liabilities, net - 0.1%			50,681
Total Net Assets - 100.0%		$	98,313,145

^*	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	Security was fair valued by the Valuation Committee at September 30, 2017. The total market value of fair valued securities amounts to $1, (cost $111,410) or 0.0% of total net assets.
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	Rate indicated is the 7 day yield as of September 30, 2017.

plc	Public Limited Company

REIT	Real Estate Investment Trust

See Sector Classification in Other Information section.

Series Q (Small Cap Value Series)
SCHEDULE OF INVESTMENTS (Unaudited)	September 30, 2017

The following table summarizes the inputs used to value the Fund's investments at September 30, 2017 (See Note 3 in the Notes to Schedule of Investments):

Investments in Securities (Assets)	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs		Total
Common Stocks	$	94,898,210	$	1,003,981	$	—	$	95,902,191
Convertible Preferred Stocks		—		—		1		1
Exchanged Traded Funds	$	1,029,451	$	—	$	—	$	1,029,451
Money Market Fund		1,330,822		—		—		1,330,822
Total Assets	$	97,258,483	$	1,003,981	$	1	$	98,262,465

For the period ended September 30, 2017, there were $319,559 transfered between levels.

Series V (Mid Cap Value Series)
SCHEDULE OF INVESTMENTS (Unaudited)	September 30, 2017

	Shares		Value
COMMON STOCKS^† - 97.0%
Financial - 29.1%
Zions Bancorporation		120,024	$	5,662,731
KeyCorp		283,490		5,335,282
Wintrust Financial Corp.		59,683		4,673,776
Huntington Bancshares, Inc.		276,053		3,853,700
Unum Group		71,036		3,632,071
ETRADE Financial Corp.^		80,819		3,524,517
First American Financial Corp.		66,819		3,338,945
Radian Group, Inc.		166,959		3,120,464
Equity Commonwealth REIT^*		97,299		2,957,890
EastGroup Properties, Inc. REIT		29,454		2,595,486
Alexandria Real Estate Equities, Inc. REIT		21,150		2,516,216
Prosperity Bancshares, Inc.		33,197		2,182,039
Alleghany Corp.^*		3,835		2,124,628
Howard Hughes Corp.^*		17,500		2,063,775
Sun Communities, Inc. REIT		22,583		1,934,911
Cousins Properties, Inc. REIT		205,223		1,916,783
IBERIABANK Corp.		22,009		1,808,039
National Storage Affiliates Trust REIT		59,234		1,435,832
Redwood Trust, Inc. REIT		84,906		1,383,119
Lexington Realty Trust REIT		135,179		1,381,529
Customers Bancorp, Inc.^*		39,963		1,303,593
Camden Property Trust REIT		13,652		1,248,475
Umpqua Holdings Corp.		62,506		1,219,492
Piedmont Office Realty Trust, Inc. — Class A REIT		60,325		1,216,152
LaSalle Hotel Properties REIT		41,035		1,190,836
DCT Industrial Trust, Inc. REIT		20,357		1,179,077
First Industrial Realty Trust, Inc. REIT		38,670		1,163,580
Popular, Inc.		31,456		1,130,529
CoreCivic, Inc. REIT		36,363		973,438
Federal Agricultural Mortgage Corp. — Class C		12,634		918,997
Physicians Realty Trust REIT		31,994		567,254
Total Financial				69,553,156
Industrial - 17.2%
WestRock Co.		86,224		4,891,487
Carlisle Companies, Inc.		36,807		3,691,374
Crane Co.		39,225		3,137,608
Covenant Transportation Group, Inc. — Class A^*		104,272		3,021,803
Harris Corp.		19,530		2,571,710
Celadon Group, Inc.		350,970		2,369,048
Oshkosh Corp.		26,165		2,159,659
Scorpio Tankers, Inc.		564,402		1,935,899
FLIR Systems, Inc.		46,612		1,813,673
Kirby Corp.^*		27,076		1,785,662
Owens-Illinois, Inc.^*		60,899		1,532,219
Gentex Corp.		66,420		1,315,116
ITT, Inc.		29,325		1,298,218
Valmont Industries, Inc.		8,100		1,280,610
Dycom Industries, Inc.^*		14,791		1,270,251
Crown Holdings, Inc.^*		20,250		1,209,330
Golar LNG Ltd.		53,089		1,200,342
US Concrete, Inc.^*		15,159		1,156,632
Fabrinet^*		30,841		1,142,967
GasLog Ltd.		54,253		946,715
American Outdoor Brands Corp.^*		49,960		761,890
TriMas Corp.^*		26,107		704,889
Total Industrial				41,197,102
Consumer, Cyclical - 11.1%
UniFirst Corp.		24,785		3,754,928
PVH Corp.		29,633		3,735,535
DR Horton, Inc.		90,743		3,623,368
American Eagle Outfitters, Inc.		200,392		2,865,606
Goodyear Tire & Rubber Co.		59,964		1,993,803
Caleres, Inc.		53,933		1,646,035
Deckers Outdoor Corp.^*		21,616		1,478,750
GMS, Inc.^*		39,894		1,412,248
PACCAR, Inc.		18,973		1,372,507
CalAtlantic Group, Inc.		34,661		1,269,632
Unifi, Inc.^*		30,757		1,095,872
JetBlue Airways Corp.^*		59,103		1,095,179
Penske Automotive Group, Inc.		13,314		633,347
Asbury Automotive Group, Inc.^*		10,122		618,454
Total Consumer, Cyclical				26,595,264
Consumer, Non-cyclical - 10.8%
Emergent BioSolutions, Inc.^*		92,592		3,745,347
Perrigo Company plc		34,628		2,931,261
Bunge Ltd.		33,070		2,297,042
Hormel Foods Corp.		67,404		2,166,365
Myriad Genetics, Inc.^*		53,574		1,938,307
Dermira, Inc.^*		67,614		1,825,578
Premier, Inc. — Class A^*		55,293		1,800,893
Sanderson Farms, Inc.		11,037		1,782,696
Acadia Healthcare Company, Inc.^*		32,923		1,572,402
Eagle Pharmaceuticals, Inc.^*		24,488		1,460,464
HealthSouth Corp.		30,057		1,393,142
Fresh Del Monte Produce, Inc.		22,404		1,018,486
ACCO Brands Corp.^*		64,326		765,479
SP Plus Corp.^*		15,620		616,990
Quest Diagnostics, Inc.		6,409		600,139
Total Consumer, Non-cyclical				25,914,591
Utilities - 10.2%
OGE Energy Corp.		110,141		3,968,381
Ameren Corp.		52,979		3,064,305
Avista Corp.		57,557		2,979,726
Portland General Electric Co.		57,094		2,605,770
Black Hills Corp.		34,927		2,405,422
Pinnacle West Capital Corp.		28,096		2,375,798
UGI Corp.		41,401		1,940,051
Calpine Corp.^*		125,363		1,849,104
AES Corp.		161,810		1,783,146
ONE Gas, Inc.		20,367		1,499,826
Total Utilities				24,471,529
Energy - 6.3%
Rowan Companies plc — Class A^*		211,655		2,719,767
Andeavor		23,298		2,403,189
Marathon Oil Corp.		156,455		2,121,530
Whiting Petroleum Corp.^*		328,288		1,792,452
Oasis Petroleum, Inc.^*		189,551		1,728,705
Hess Corp.		28,152		1,320,047
Range Resources Corp.		59,745		1,169,210
MRC Global, Inc.^*		38,223		668,520

Series V (Mid Cap Value Series)
SCHEDULE OF INVESTMENTS (Unaudited)	September 30, 2017

	Shares		Value
COMMON STOCKS^†- 97.0% (continued)
Energy - 6.3% (continued)
WildHorse Resource Development Corp.^*		49,251	$	656,023
Gulfport Energy Corp.^*		40,709		583,767
HydroGen Corp.^*,^†††^,1,2		672,346		1
Total Energy				15,163,211
Communications - 4.8%
Scripps Networks Interactive, Inc. — Class A		34,514		2,964,407
Infinera Corp.^*		239,631		2,125,527
Ciena Corp.^*		74,305		1,632,481
Viavi Solutions, Inc.^*		163,328		1,545,083
Finisar Corp.^*		68,892		1,527,336
Time, Inc.		83,655		1,129,343
Oclaro, Inc.^*		73,342		632,941
Total Communications				11,557,118
Technology - 3.8%
CSRA, Inc.		75,971		2,451,584
Qorvo, Inc.^*		28,838		2,038,270
Cray, Inc.^*		98,287		1,911,682
Maxwell Technologies, Inc.^*		269,895		1,384,561
Cirrus Logic, Inc.^*		23,012		1,227,000
Total Technology				9,013,097
Basic Materials - 3.7%
Nucor Corp.		51,266		2,872,946
Reliance Steel & Aluminum Co.		29,757		2,266,591
Westlake Chemical Corp.		21,690		1,802,222
Olin Corp.		36,958		1,265,812
United States Steel Corp.		26,162		671,317
Total Basic Materials				8,878,888
Total Common Stocks
(Cost $197,809,962)				232,343,956

CONVERTIBLE PREFERRED STOCKS^††† - 0.0%
Convertible Preferred Stock - 0.0%
Thermoenergy Corp.^*,1,3	308,333	3
Total Convertible Preferred Stocks
(Cost $294,438)		3

MONEY MARKET FUND^† - 2.9%
Dreyfus Treasury Securities Cash Management Fund - Institutional Class 0.90%⁴	6,901,016		6,901,016
Total Money Market Fund
(Cost $6,901,016)			6,901,016
Total Investments - 99.9%
(Cost $205,005,416)		$	239,244,975
Other Assets & Liabilities, net - 0.1%			156,749
Total Net Assets - 100.0%		$	239,401,725

^*	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	Security was fair valued by the Valuation Committee at September 30, 2017. The total market value of fair valued securities amounts to $4, (cost $2,866,013) or 0.0% of total net assets.
²	Affiliated issuer.
³	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.
⁴	Rate indicated is the 7 day yield as of September 30, 2017.

plc	Public Limited Company

REIT	Real Estate Investment Trust

See Sector Classification in Other Information section.

The following table summarizes the inputs used to value the Fund's investments at September 30, 2017 (See Note 3 in the Notes to Schedule of Investments):

Investments in Securities (Assets)	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs		Total
Common Stocks	$	232,343,955	$	—	$	1	$	232,343,956
Convertible Preferred Stocks		—		—		3		3
Money Market Fund		6,901,016		—		—		6,901,016
Total Assets	$	239,244,971	$	—	$	4	$	239,244,975

Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.

For the period ended September 30, 2017, there were no transfers between levels.

Series V (Mid Cap Value Series)
SCHEDULE OF INVESTMENTS (Unaudited)	September 30, 2017

Affiliated Transactions

Transactions during the period ended September 30, 2017, in which the portfolio company is an "affiliated person", were as follows:

Security Name		Value 12/31/16				Additions				Reductions				Realized Gain (Loss)				Change in Unrealized				Value 9/30/17				Shares 9/30/17				Investment Income
HydroGen Corp.		$	1			$	–			$	–			$	–			$	1			$	1				672,346			$	–

Series X (StylePlus—Small Growth Series)
SCHEDULE OF INVESTMENTS (Unaudited)	September 30, 2017

	Shares		Value
COMMON STOCKS^† - 21.1%
Consumer, Non-cyclical - 8.6%
HealthSouth Corp.		2,407	$	111,564
Catalent, Inc.^*		2,681		107,026
Molina Healthcare, Inc.^*		1,287		88,494
Deluxe Corp.		1,157		84,414
Travelport Worldwide Ltd.		5,203		81,687
Prestige Brands Holdings, Inc.^*		1,621		81,196
Coca-Cola Bottling Company Consolidated		357		77,023
Haemonetics Corp.^*		1,691		75,875
Performance Food Group Co.^*		2,681		75,737
B&G Foods, Inc.		2,363		75,262
Vector Group Ltd.		3,662		74,961
Integra LifeSciences Holdings Corp.^*		1,323		66,785
PRA Health Sciences, Inc.^*		850		64,745
Exact Sciences Corp.^*		1,348		63,517
Masimo Corp.^*		682		59,034
Brink's Co.		697		58,722
Dean Foods Co.		5,219		56,783
Magellan Health, Inc.^*		647		55,836
CoStar Group, Inc.^*		200		53,650
US Physical Therapy, Inc.		820		50,389
Varex Imaging Corp.^*		1,472		49,812
Amedisys, Inc.^*		881		49,301
Select Medical Holdings Corp.^*		2,379		45,677
Chemed Corp.		226		45,663
Clovis Oncology, Inc.^*		552		45,485
Bluebird Bio, Inc.^*		325		44,638
On Assignment, Inc.^*		822		44,125
NuVasive, Inc.^*		793		43,980
Cimpress N.V.^*		442		43,166
TrueBlue, Inc.^*		1,903		42,722
Cardtronics plc — Class A^*		1,768		40,682
Monro, Inc.		717		40,188
Barrett Business Services, Inc.		706		39,910
Insulet Corp.^*		716		39,437
Globus Medical, Inc. — Class A^*		1,321		39,260
Central Garden & Pet Co. — Class A^*		1,032		38,380
USANA Health Sciences, Inc.^*		655		37,794
Chefs' Warehouse, Inc.^*		1,859		35,879
Capital Senior Living Corp.^*		2,856		35,843
Natus Medical, Inc.^*		937		35,138
Depomed, Inc.^*		5,909		34,213
Inter Parfums, Inc.		819		33,783
Revlon, Inc. — Class A^*		1,310		32,161
EVERTEC, Inc.		2,003		31,748
LHC Group, Inc.^*		434		30,779
AMN Healthcare Services, Inc.^*		664		30,345
HMS Holdings Corp.^*		1,522		30,227
Providence Service Corp.^*		538		29,095
Great Lakes Dredge & Dock Corp.^*		5,986		29,032
Civitas Solutions, Inc.^*		1,544		28,487
Nektar Therapeutics^*		1,179		28,296
Xencor, Inc.^*		1,229		28,169
RR Donnelley & Sons Co.		2,709		27,903
Quad/Graphics, Inc.		1,204		27,222
Amphastar Pharmaceuticals, Inc.^*		1,491		26,644
Halozyme Therapeutics, Inc.^*		1,483		25,760
Grand Canyon Education, Inc.^*		279		25,339
TriNet Group, Inc.^*		752		25,282
elf Beauty, Inc.^*		1,114		25,121
Avis Budget Group, Inc.^*		660		25,120
Triple-S Management Corp. — Class B^*		1,057		25,030
John B Sanfilippo & Son, Inc.		367		24,703
Eagle Pharmaceuticals, Inc.^*		414		24,691
Meridian Bioscience, Inc.		1,662		23,767
Sarepta Therapeutics, Inc.^*		512		23,224
Ultragenyx Pharmaceutical, Inc.^*		429		22,849
Matthews International Corp. — Class A		364		22,659
Sotheby's^*		488		22,502
Theravance Biopharma, Inc.^*		650		22,256
BioSpecifics Technologies Corp.^*		472		21,957
Tenet Healthcare Corp.^*		1,284		21,096
Incorporated Research Holdings, Inc. — Class A^*		395		20,659
Esperion Therapeutics, Inc.^*		411		20,599
Portola Pharmaceuticals, Inc.^*		380		20,531
ZIOPHARM Oncology, Inc.^*		3,268		20,066
Radius Health, Inc.^*		502		19,352
Pacira Pharmaceuticals, Inc.^*		504		18,925
Aerie Pharmaceuticals, Inc.^*		350		17,010
Sage Therapeutics, Inc.^*		272		16,946
Total Consumer, Non-cyclical				3,283,328
Industrial - 3.7%
Curtiss-Wright Corp.		866		90,531
Kennametal, Inc.		2,056		82,939
EMCOR Group, Inc.		1,151		79,856
Aerojet Rocketdyne Holdings, Inc.^*		2,141		74,956
EnerSys		960		66,404
Hillenbrand, Inc.		1,625		63,131
SYNNEX Corp.		485		61,356
Moog, Inc. — Class A^*		690		57,567
Littelfuse, Inc.		266		52,104
Advanced Disposal Services, Inc.^*		2,032		51,187
Tech Data Corp.^*		561		49,845
OSI Systems, Inc.^*		543		49,614
Generac Holdings, Inc.^*		1,053		48,364
Tetra Tech, Inc.		1,035		48,179
MasTec, Inc.^*		943		43,755
MSA Safety, Inc.		522		41,504
Itron, Inc.^*		530		41,049
Universal Forest Products, Inc.		402		39,460
Continental Building Products, Inc.^*		1,337		34,762
TTM Technologies, Inc.^*		2,203		33,860
Methode Electronics, Inc.		776		32,864
Watts Water Technologies, Inc. — Class A		467		32,316
Tutor Perini Corp.^*		1,054		29,934
Louisiana-Pacific Corp.^*		1,099		29,761
Dycom Industries, Inc.^*		346		29,714
Harsco Corp.^*		1,411		29,490

Series X (StylePlus—Small Growth Series)
SCHEDULE OF INVESTMENTS (Unaudited)	September 30, 2017

	Shares		Value
COMMON STOCKS^† - 21.1% (continued)
Industrial - 3.7% (continued)
Quanex Building Products Corp.		1,184	$	27,173
Matson, Inc.		925		26,067
Hyster-Yale Materials Handling, Inc.		333		25,455
Knight-Swift Transportation Holdings, Inc.^*		602		25,013
Advanced Drainage Systems, Inc.		1,123		22,741
Total Industrial				1,420,951
Technology - 3.2%
j2 Global, Inc.		1,379		101,880
Progress Software Corp.		2,531		96,607
Diodes, Inc.^*		2,471		73,956
Xperi Corp.		2,342		59,253
Acxiom Corp.^*		2,387		58,816
Entegris, Inc.^*		1,916		55,277
Verint Systems, Inc.^*		1,243		52,020
Diebold Nixdorf, Inc.		2,161		49,378
MAXIMUS, Inc.		757		48,826
Electronics for Imaging, Inc.^*		1,106		47,204
MKS Instruments, Inc.		488		46,092
Quality Systems, Inc.^*		2,805		44,123
Medidata Solutions, Inc.^*		531		41,450
Cirrus Logic, Inc.^*		689		36,737
Lumentum Holdings, Inc.^*		653		35,491
Syntel, Inc.		1,696		33,326
ACI Worldwide, Inc.^*		1,461		33,282
TeleTech Holdings, Inc.		782		32,649
Insight Enterprises, Inc.^*		701		32,190
CSG Systems International, Inc.		785		31,479
Sykes Enterprises, Inc.^*		1,055		30,764
Unisys Corp.^*		3,596		30,566
Inphi Corp.^*		726		28,815
Science Applications International Corp.		428		28,612
Synaptics, Inc.^*		702		27,504
Amkor Technology, Inc.^*		2,532		26,713
Computer Programs & Systems, Inc.		849		25,088
Total Technology				1,208,098
Consumer, Cyclical - 2.8%
Beacon Roofing Supply, Inc.^*		1,679		86,049
Cooper-Standard Holdings, Inc.^*		643		74,569
Taylor Morrison Home Corp. — Class A^*		3,208		70,736
Tenneco, Inc.		1,084		65,766
KB Home		2,343		56,513
Red Rock Resorts, Inc. — Class A		2,268		52,528
GMS, Inc.^*		1,466		51,897
MDC Holdings, Inc.		1,560		51,808
Wolverine World Wide, Inc.		1,770		51,064
Hawaiian Holdings, Inc.^*		1,268		47,613
BMC Stock Holdings, Inc.^*		2,197		46,906
Pinnacle Entertainment, Inc.^*		1,811		38,592
Rush Enterprises, Inc. — Class A^*		833		38,560
Bloomin' Brands, Inc.		2,144		37,734
Penn National Gaming, Inc.^*		1,528		35,740
Tailored Brands, Inc.		2,391		34,526
SeaWorld Entertainment, Inc.^*		2,363		30,695
Deckers Outdoor Corp.^*		414		28,322
HNI Corp.		666		27,619
Steelcase, Inc. — Class A		1,661		25,579
Brinker International, Inc.		783		24,946
Caesars Entertainment Corp.^*		1,868		24,938
DineEquity, Inc.		567		24,370
RH^*		293		20,604
Total Consumer, Cyclical				1,047,674
Communications - 2.2%
Shenandoah Telecommunications Co.		2,018		75,069
ORBCOMM, Inc.^*		5,916		61,940
InterDigital, Inc.		739		54,501
Cogent Communications Holdings, Inc.		1,107		54,133
Web.com Group, Inc.^*		2,112		52,800
Nexstar Media Group, Inc. — Class A		811		50,525
Shutterfly, Inc.^*		994		48,189
Boingo Wireless, Inc.^*		2,179		46,565
ViaSat, Inc.^*		718		46,182
Blucora, Inc.^*		1,698		42,959
CalAmp Corp.^*		1,845		42,896
Viavi Solutions, Inc.^*		4,456		42,154
Proofpoint, Inc.^*		446		38,900
Vonage Holdings Corp.^*		4,018		32,707
IDT Corp. — Class B		2,284		32,159
Extreme Networks, Inc.^*		2,664		31,675
Ciena Corp.^*		1,240		27,243
GTT Communications, Inc.^*		828		26,206
Endurance International Group Holdings, Inc.^*		3,123		25,609
Sinclair Broadcast Group, Inc. — Class A		656		21,025
Total Communications				853,437
Financial - 0.4%
WageWorks, Inc.^*		1,018		61,792
Blackhawk Network Holdings, Inc.^*		1,181		51,728
Sabra Health Care REIT, Inc.		1,100		24,134
Total Financial				137,654
Diversified - 0.2%
HRG Group, Inc.^*		5,712		89,164
Total Common Stocks
(Cost $7,440,264)				8,040,306

MUTUAL FUNDS^†- 73.6%
Guggenheim Strategy Fund III¹	428,860	10,738,644
Guggenheim Variable Insurance Strategy Fund III¹	354,261	8,891,957
Guggenheim Strategy Fund II¹	182,229	4,566,666
Guggenheim Strategy Fund I¹	150,694	3,783,930
Total Mutual Funds
(Cost $27,825,501)		27,981,197

Series X (StylePlus—Small Growth Series)
SCHEDULE OF INVESTMENTS (Unaudited)	September 30, 2017

	Shares		Value
MONEY MARKET FUND^† - 7.2%
Dreyfus Treasury Securities Cash Management Fund - Institutional Class 0.90%²		2,743,471	$	2,743,471
Total Money Market Fund
(Cost $2,743,471)				2,743,471
Total Investments - 101.9%
(Cost $38,009,236)			$	38,764,974
Other Assets & Liabilities, net - (1.9)%				(729,988	)
Total Net Assets - 100.0%			$	38,034,986

Futures Contracts

Description

Contracts

Expiration date

Notional Amount

Unrealized
Gain

Equity Futures Contracts Purchased^†

S&P MidCap 400 Index Mini Futures Contracts

Dec 2017

179,500

5,651

Total Return Swap Agreements

Counterparty

Index

Financing

Rate Pay

(Receive)

Payment

Frequency

Maturity Date

Units

Notional

Value

Unrealized

Gain

OTC Equity Index Swap Agreement^††

Deutsche Bank

Russell 2000 Growth Price Return Index

110.61

At Maturity

10/05/17

32,883

29,819,367

2,880,466

^*	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.
²	Rate indicated is the 7 day yield as of September 30, 2017.

plc	Public Limited Company

REIT	Real Estate Investment Trust

See Sector Classification in Other Information section.

The following table summarizes the inputs used to value the Fund's investments at September 30, 2017 (See Note 3 in the Notes to Schedule of Investments):

Investments in Securities (Assets)	Level 1 Quoted Prices		Level 1 - Other*		Level 2 Significant Observable Inputs		Level 2 - Other*		Level 3 Significant Unobservable Inputs		Total
Common Stocks	$	8,040,306	$	—	$	—	$	—	$	—	$	8,040,306
Equity Futures Contracts		—		5,651		—		—		—		5,651
Equity Index Swap Agreements		—		—		—		2,880,466		—		2,880,466
Money Market Fund		2,743,471		—		—		—		—		2,743,471
Mutual Funds		27,981,197		—		—		—		—		27,981,197
Total Assets	$	38,764,974	$	5,651	$	—	$	2,880,466	$	—	$	41,651,091

*	Other financial instruments include futures contracts and swaps, which are reported as unrealized gain/loss at period end.

Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.

For the period ended September 30, 2017, there were no transfers between levels.

Series X (StylePlus—Small Growth Series)
SCHEDULE OF INVESTMENTS (Unaudited)	September 30, 2017

Affiliated Transactions

Transactions during the period ended September 30, 2017, in which the portfolio company is an "affiliated person", were as follows:

Security Name	Value 12/31/16		Additions		Reductions			Realized Gain		Change in Unrealized		Value 09/30/17		Shares 09/30/17		Investment Income
Guggenheim Strategy Fund I	$	4,121,230	$	732,736	$	(1,087,401	)	$	7,688	$	9,677	$	3,783,930		150,694	$	52,956
Guggenheim Strategy Fund II		4,470,690		76,120		–			–		19,856		4,566,666		182,229		76,349
Guggenheim Strategy Fund III		8,949,495		1,762,300		–			–		26,849		10,738,644		428,860		202,864
Guggenheim Variable Insurance Strategy Fund III		8,484,186		383,801		–			–		23,970		8,891,957		354,261		184,417
	$	26,025,601	$	2,954,957	$	(1,087,401	)	$	7,688	$	80,352	$	27,981,197			$	516,586

Series Y (StylePlus—Large Growth Series)
SCHEDULE OF INVESTMENTS (Unaudited)	September 30, 2017

	Shares		Value
COMMON STOCKS^† - 16.3%
Consumer, Non-cyclical - 5.8%
UnitedHealth Group, Inc.		812	$	159,030
AbbVie, Inc.		1,336		118,716
Gilead Sciences, Inc.		1,388		112,456
Amgen, Inc.		593		110,565
Sysco Corp.		1,825		98,459
Altria Group, Inc.		1,490		94,496
KAR Auction Services, Inc.		1,819		86,840
Merck & Company, Inc.		1,325		84,840
Eli Lilly & Co.		979		83,744
Quintiles IMS Holdings, Inc.^*		868		82,521
PepsiCo, Inc.		733		81,678
Cigna Corp.		434		81,132
CoStar Group, Inc.^*		300		80,475
United Rentals, Inc.^*		579		80,330
Kimberly-Clark Corp.		672		79,081
Sabre Corp.		4,319		78,174
Spectrum Brands Holdings, Inc.		726		76,898
Humana, Inc.		304		74,064
General Mills, Inc.		1,379		71,377
McKesson Corp.		459		70,507
Kroger Co.		3,471		69,628
Kellogg Co.		1,052		65,613
HCA Healthcare, Inc.^*		790		62,876
Express Scripts Holding Co.^*		979		61,990
Live Nation Entertainment, Inc.^*		1,417		61,710
Aetna, Inc.		366		58,198
AmerisourceBergen Corp. — Class A		665		55,029
Western Union Co.		2,740		52,608
CoreLogic, Inc.^*		1,085		50,149
WellCare Health Plans, Inc.^*		289		49,633
TreeHouse Foods, Inc.^*		696		47,140
Centene Corp.^*		482		46,643
WEX, Inc.^*		413		46,347
Thermo Fisher Scientific, Inc.		200		37,840
Dr Pepper Snapple Group, Inc.		343		30,345
Celgene Corp.^*		188		27,414
Becton Dickinson and Co.		117		22,926
Medtronic plc		291		22,631
Coca-Cola Co.		495		22,280
Total Consumer, Non-cyclical				2,696,383
Technology - 3.4%
Apple, Inc.		2,979		459,124
Microsoft Corp.		3,961		295,055
International Business Machines Corp.		902		130,862
NetApp, Inc.		1,744		76,317
Dell Technologies Incorporated Class V — Class V^*		903		69,721
First Data Corp. — Class A^*		3,465		62,509
Western Digital Corp.		714		61,690
ON Semiconductor Corp.^*		3,019		55,761
Broadcom Ltd.		219		53,116
Oracle Corp.		1,066		51,541
NCR Corp.^*		1,329		49,864
Fidelity National Information Services, Inc.		501		46,788
Microsemi Corp.^*		860		44,273
Applied Materials, Inc.		817		42,558
CSRA, Inc.		1,185		38,240
Black Knight Financial Services, Inc. — Class A^*		544		23,419
DXC Technology Co.		233		20,010
Total Technology				1,580,848
Communications - 2.8%
Alphabet, Inc. — Class C^*		327		313,628
Amazon.com, Inc.^*		236		226,879
Facebook, Inc. — Class A^*		1,104		188,640
Verizon Communications, Inc.		2,668		132,039
Comcast Corp. — Class A		3,135		120,635
Omnicom Group, Inc.		1,222		90,513
Netflix, Inc.^*		365		66,193
CommScope Holding Company, Inc.^*		1,832		60,841
Expedia, Inc.		389		55,993
Interpublic Group of Companies, Inc.		1,334		27,734
Palo Alto Networks, Inc.^*		176		25,362
Total Communications				1,308,457
Industrial - 2.2%
Caterpillar, Inc.		1,015		126,581
FedEx Corp.		537		121,135
Waste Management, Inc.		1,258		98,464
Union Pacific Corp.		794		92,080
Ingersoll-Rand plc		1,005		89,616
Cummins, Inc.		529		88,888
Boeing Co.		291		73,975
Deere & Co.		589		73,973
Zebra Technologies Corp. — Class A^*		664		72,097
Parker-Hannifin Corp.		398		69,658
General Electric Co.		1,741		42,097
XPO Logistics, Inc.^*		456		30,908
3M Co.		114		23,929
Total Industrial				1,003,401
Consumer, Cyclical - 1.6%
CVS Health Corp.		1,319		107,260
Lions Gate Entertainment Corp. — Class A^*		2,302		77,002
Walgreens Boots Alliance, Inc.		890		68,726
Southwest Airlines Co.		1,149		64,321
BorgWarner, Inc.		1,251		64,089
Home Depot, Inc.		380		62,153
Lear Corp.		356		61,616
American Airlines Group, Inc.		1,024		48,630
Alaska Air Group, Inc.		590		44,999
Lowe's Companies, Inc.		429		34,294
Whirlpool Corp.		138		25,453
Costco Wholesale Corp.		151		24,808
Liberty Interactive Corporation QVC Group — Class A^*		1,008		23,759
Dick's Sporting Goods, Inc.		879		23,742
McDonald's Corp.		140		21,935
Total Consumer, Cyclical				752,787
Financial - 0.4%
Alliance Data Systems Corp.		375		83,081
Visa, Inc. — Class A		485		51,041
Air Lease Corp. — Class A		753		32,093
Mastercard, Inc. — Class A		159		22,451
Total Financial				188,666

Series Y (StylePlus—Large Growth Series)
SCHEDULE OF INVESTMENTS (Unaudited)	September 30, 2017

	Shares		Value
COMMON STOCKS^†- 16.3% (continued)
Basic Materials - 0.1%
Praxair, Inc.		175	$	24,454
DowDuPont, Inc.		330		22,846
Total Basic Materials				47,300
Total Common Stocks
(Cost $6,838,763)				7,577,842

MUTUAL FUNDS^†- 77.1%
Guggenheim Variable Insurance Strategy Fund III¹	506,509	12,713,386
Guggenheim Strategy Fund III¹	496,857	12,441,311
Guggenheim Strategy Fund II¹	275,307	6,899,197
Guggenheim Strategy Fund I¹	151,073	3,793,455
Total Mutual Funds
(Cost $35,652,490)		35,847,349

MONEY MARKET FUND^† - 5.9%
Dreyfus Treasury Securities Cash Management Fund - Institutional Class 0.90%²	2,720,270		2,720,270
Total Money Market Fund
(Cost $2,720,270)			2,720,270
Total Investments - 99.3%
(Cost $45,211,523)		$	46,145,461
Other Assets & Liabilities, net - 0.7%			320,281
Total Net Assets - 100.0%		$	46,465,742

Series Y (StylePlus—Large Growth Series)
SCHEDULE OF INVESTMENTS (Unaudited)	September 30, 2017

Futures Contracts
Description	Contracts		Expiration date	Notional Amount		Unrealized Gain
Equity Futures Contracts Purchased^†
S&P 500 Index Mini Futures Contracts		11	Dec 2017	$	1,383,525		$	14,037
NASDAQ-100 Index Mini Futures Contracts		5	Dec 2017		598,100			915
				$	1,981,625		$	14,952

Total Return Swap Agreements

Counterparty

Index

Financing

Rate Pay

(Receive)

Payment

Frequency

Maturity

Date

Units

Notional

Value

Unrealized

Gain

OTC Equity Index Swap Agreements^††

Bank of America Corporation

Russell 1000 Growth Index

1.42

At Maturity

10/5/17

29,282

36,839,479

3,348,551

^*	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.
²	Rate indicated is the 7 day yield as of September 30, 2017.

plc	Public Limited Company

See Sector Classification in Other Information section.

The following table summarizes the inputs used to value the Fund's investments at September 30, 2017 (See Note 3 in the Notes to Schedule of Investments):

Investments in Securities (Assets)	Level 1 Quoted Prices		Level 1 - Other*		Level 2 Significant Observable Inputs		Level 2 - Other*		Level 3 Significant Unobservable Inputs		Total
Common Stocks	$	7,577,842	$	—	$	—	$	—	$	—	$	7,577,842
Equity Futures Contracts		—		14,952		—		—		—		14,952
Equity Index Swap Agreements		—		—		—		3,348,551		—		3,348,551
Money Market Fund		2,720,270		—		—		—		—		2,720,270
Mutual Funds		35,847,349		—		—		—		—		35,847,349
Total Assets	$	46,145,461	$	14,952	$	—	$	3,348,551	$	—	$	49,508,964

*	Other financial instruments include futures contracts and/or swaps, which are reported as unrealized gain/loss at period end.

Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.

For the period ended September 30, 2017, there were no transfers between levels.

Affiliated Transactions

The Fund may invest in the Guggenheim Strategy Funds Trust consisting of Guggenheim Strategy Fund I, Guggenheim Strategy Fund II, Guggenheim Strategy Fund III, and Guggenheim Variable Insurance Strategy Fund III (collectively, the “Cash Management Funds”), open-end management investment companies managed by GI. The Cash Management Funds, which launched on March 11, 2014, are offered as cash management options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Cash Management Funds pay no investment management fees. The Cash Management Funds’ annual report on Form N-CSR dated September 30, 2016, is available publicly or upon request. This information is available from the EDGAR database on the SEC's website at http://www.sec.gov/Archives/edgar/data/1601445/000089180416001923/gug65857-ncsr.htm.

Series Y (StylePlus—Large Growth Series)
SCHEDULE OF INVESTMENTS (Unaudited)	September 30, 2017

Transactions during the period ended September 30, 2017, in which the portfolio company is an "affiliated person", were as follows:
Security Name	Value 12/31/16		Additions		Reductions			Realized Gain (Loss)		Change in Unrealized		Value 9/30/17		Shares 9/30/17		Investment Income
Guggenheim Strategy Fund I	$	2,098,122	$	1,680,494	$	–		$	–	$	14,839	$	3,793,455		151,073	$	47,478
Guggenheim Strategy Fund II		9,495,528		1,362,906		(3,999,994	)		22,747		18,010		6,899,197		275,307		163,543
Guggenheim Strategy Fund III		10,187,301		2,223,617		–			–		30,393		12,441,311		496,857		224,245
Guggenheim Variable Insurance Strategy Fund III		8,472,940		4,210,104		–			–		30,342		12,713,386		506,509		210,477
	$	30,253,891	$	9,477,121	$	(3,999,994	)	$	22,747	$	93,585	$	35,847,349		–	$	645,743

Series Z (Alpha Opportunity Series)
SCHEDULE OF INVESTMENTS (Unaudited)	September 30, 2017

	Shares		Value
COMMON STOCKS^†- 99.8%
Consumer, Non-cyclical - 29.8%
Pfizer, Inc.¹		5,539	$	197,741
Sysco Corp.¹		3,544		191,200
Deluxe Corp.		2,538		185,173
Kimberly-Clark Corp.		1,284		151,102
HCA Healthcare, Inc.^*,1		1,891		150,506
DaVita, Inc.^*,1		2,332		138,497
US Foods Holding Corp.^*		5,077		135,556
ManpowerGroup, Inc.		1,116		131,487
Express Scripts Holding Co.^*,1		2,036		128,920
Tyson Foods, Inc. — Class A¹		1,731		121,949
Aetna, Inc.		747		118,780
Humana, Inc.		487		118,648
AbbVie, Inc.¹		1,259		111,875
Robert Half International, Inc.		2,100		105,714
Quest Diagnostics, Inc.¹		1,114		104,315
HealthSouth Corp.		1,966		91,124
Ingredion, Inc.		742		89,515
Darling Ingredients, Inc.^*		4,588		80,382
Cardinal Health, Inc.		1,102		73,746
Dean Foods Co.		6,571		71,492
Conagra Brands, Inc.¹		2,022		68,222
Universal Corp.		1,106		63,374
United Natural Foods, Inc.^*		1,521		63,258
Zimmer Biomet Holdings, Inc.		540		63,228
AmerisourceBergen Corp. — Class A¹		744		61,566
United Rentals, Inc.^*		433		60,074
Flowers Foods, Inc.		3,020		56,806
Centene Corp.^*		585		56,610
Universal Health Services, Inc. — Class B		508		56,358
MEDNAX, Inc.^*		1,194		51,485
SpartanNash Co.		1,952		51,474
United Therapeutics Corp.^*		431		50,509
Sabre Corp.		2,613		47,295
Medtronic plc		604		46,973
USANA Health Sciences, Inc.^*		814		46,968
Boston Beer Company, Inc. — Class A^*		296		46,235
Chemed Corp.		225		45,461
Molina Healthcare, Inc.^*		609		41,875
Pilgrim's Pride Corp.^*		1,418		40,285
TreeHouse Foods, Inc.^*		590		39,961
Laboratory Corporation of America Holdings^*		257		38,799
Baxter International, Inc.		593		37,211
Spectrum Brands Holdings, Inc.		345		36,542
Total Consumer, Non-cyclical				3,668,291
Industrial - 14.1%
TE Connectivity Ltd.¹		1,753		145,603
Energizer Holdings, Inc.		3,054		140,637
Jacobs Engineering Group, Inc.		2,090		121,784
Benchmark Electronics, Inc.^*		3,359		114,710
Fluor Corp.		2,626		110,555
Timken Co.		1,927		93,556
Huntington Ingalls Industries, Inc.		404		91,482
Arrow Electronics, Inc.^*		903		72,610
Avnet, Inc.		1,836		72,155
Snap-on, Inc.		481		71,674
ITT, Inc.		1,474		65,254
Norfolk Southern Corp.		479		63,343
Plexus Corp.^*		1,127		63,202
Vishay Intertechnology, Inc.		3,108		58,430
Crane Co.		717		57,353
USG Corp.^*		1,699		55,472
Trinity Industries, Inc.		1,601		51,072
Methode Electronics, Inc.		1,185		50,185
Sanmina Corp.^*		1,350		50,153
Oshkosh Corp.		587		48,451
Applied Industrial Technologies, Inc.		710		46,718
Belden, Inc.		508		40,909
Owens-Illinois, Inc.^*		1,568		39,451
Total Industrial				1,724,759
Consumer, Cyclical - 13.6%
CVS Health Corp.¹		2,649		215,418
Walgreens Boots Alliance, Inc.¹		2,238		172,818
Wal-Mart Stores, Inc.¹		1,822		142,371
Tailored Brands, Inc.		9,776		141,165
Lear Corp.		567		98,136
Alaska Air Group, Inc.¹		1,153		87,939
Big Lots, Inc.		1,529		81,909
Southwest Airlines Co.¹		1,320		73,894
UniFirst Corp.		430		65,145
PACCAR, Inc.		740		53,532
Hawaiian Holdings, Inc.^*		1,380		51,819
JetBlue Airways Corp.^*		2,738		50,735
Goodyear Tire & Rubber Co.		1,522		50,607
Cooper-Standard Holdings, Inc.^*		421		48,823
Brinker International, Inc.		1,458		46,452
Ralph Lauren Corp. — Class A		510		45,028
Nu Skin Enterprises, Inc. — Class A		707		43,466
DineEquity, Inc.		949		40,788
Herman Miller, Inc.		1,116		40,064
CalAtlantic Group, Inc.		1,078		39,487
Dick's Sporting Goods, Inc.		1,392		37,598
American Airlines Group, Inc.		758		35,997
Total Consumer, Cyclical				1,663,191
Technology - 11.8%
International Business Machines Corp.¹		1,294		187,733
Convergys Corp.		5,261		136,207
HP, Inc.¹		6,772		135,169
KLA-Tencor Corp.		1,238		131,228
NetApp, Inc.¹		2,868		125,504
Oracle Corp.¹		2,099		101,487
Xerox Corp.		2,948		98,139
NCR Corp.^*		1,956		73,389
Western Digital Corp.		819		70,762
CACI International, Inc. — Class A^*		416		57,970
CSRA, Inc.		1,672		53,955
Cirrus Logic, Inc.^*		925		49,321
Seagate Technology plc		1,304		43,254
ON Semiconductor Corp.^*		2,281		42,130
Akamai Technologies, Inc.^*		802		39,073
Skyworks Solutions, Inc.¹		381		38,824
CA, Inc.		1,121		37,419

Series Z (Alpha Opportunity Series)
SCHEDULE OF INVESTMENTS (Unaudited)	September 30, 2017

	Shares		Value
COMMON STOCKS^†- 99.8% (continued)
Technology - 11.8% (continued)
Icad, Inc.^*		6,469	$	28,593
Total Technology				1,450,157
Utilities - 11.6%
FirstEnergy Corp.¹		5,556		171,292
Exelon Corp.¹		4,159		156,670
Ameren Corp.¹		2,661		153,912
UGI Corp.		3,199		149,905
Hawaiian Electric Industries, Inc.		4,162		138,886
Edison International¹		1,711		132,038
Portland General Electric Co.		2,600		118,664
National Fuel Gas Co.		2,037		115,315
American Electric Power Company, Inc.¹		1,206		84,709
Xcel Energy, Inc.¹		1,509		71,406
AES Corp.		5,173		57,006
Southwest Gas Holdings, Inc.		510		39,586
CMS Energy Corp.		756		35,018
Total Utilities				1,424,407
Financial - 8.9%
Prudential Financial, Inc.¹		1,795		190,843
Aflac, Inc.¹		1,864		151,711
Allstate Corp.		1,192		109,557
Lazard Ltd. — Class A		2,166		97,947
Old Republic International Corp.		4,937		97,210
JPMorgan Chase & Co.		882		84,240
CIT Group, Inc.		1,326		65,040
CNO Financial Group, Inc.		2,438		56,903
LaSalle Hotel Properties REIT		1,923		55,806
Franklin Resources, Inc.		1,155		51,409
Bank of New York Mellon Corp.		879		46,605
Hospitality Properties Trust REIT		1,554		44,273
Sabra Health Care REIT, Inc. REIT		1,833		40,216
Irish Bank Resolution Corporation Ltd.^*,^†††^,2		16,638		–
Total Financial				1,091,760
Communications - 6.9%
Verizon Communications, Inc.¹		3,291		162,872
Juniper Networks, Inc.¹		4,934		137,313
Iridium Communications, Inc.^*		11,218		115,545
ATN International, Inc.		2,037		107,350
F5 Networks, Inc.^*		643		77,520
Omnicom Group, Inc.		982		72,737
ARRIS International plc^*		1,906		54,302
Viavi Solutions, Inc.^*		4,184		39,581
CommScope Holding Company, Inc.^*		1,168		38,789
Viacom, Inc. — Class B		1,289		35,886
Total Communications				841,895
Basic Materials - 1.6%
LyondellBasell Industries N.V. — Class A		449		44,473
Mosaic Co.		1,816		39,207
International Paper Co.		685		38,922
Freeport-McMoRan, Inc.^*		2,765		38,821
AK Steel Holding Corp.^*		6,941		38,800
Total Basic Materials				200,223
Energy - 1.5%
Devon Energy Corp.		2,163		79,404
Anadarko Petroleum Corp.		1,172		57,252
Marathon Oil Corp.		3,395		46,036
Total Energy				182,692
Total Common Stocks
(Cost $11,587,267)				12,247,375

MONEY MARKET FUND^†- 4.5%
Goldman Sachs Financial Square Treasury Instruments Fund 0.86%³	553,097		553,097
Total Money Market Fund
(Cost $553,097)			553,097
Total Investments - 104.3%
(Cost $12,140,364)		$	12,800,472
Other Assets & Liabilities, net - (4.3)%			(528,069	)
Total Net Assets - 100.0%		$	12,272,403

Total Return Swap Agreements
Counterparty	Index	Financing Rate Pay (Receive)			Payment Frequency	Maturity Date	Units		Notional Value		Unrealized Gain (Loss)
OTC Equity Index Swap Agreements Sold Short^††,4
Morgan Stanley	Alpha Opportunity Portfolio Short Custom Basket Swap⁵		(0.81	)%	At Maturity	02/01/19		230,580	$	12,588,177	$	(755,811	)

OTC Equity Index Swap Agreements^††,5
Morgan Stanley	Alpha Opportunity Portfolio Long Custom Basket Swap⁴		1.64	%	At Maturity	02/01/19		97,900		5,391,025		208,341

Series Z (Alpha Opportunity Series)
SCHEDULE OF INVESTMENTS	September 30, 2017

	Shares		Unrealized Gain (Loss)
CUSTOM BASKET OF LONG SECURITIES⁵
Lam Research Corp.		541	$	22,509
Amgen, Inc.		830		21,553
Gilead Sciences, Inc.		1,549		18,548
Cisco Systems, Inc.		5,909		17,033
Teradata Corp.^*		3,680		16,755
CenterPoint Energy, Inc.		5,386		16,719
Cigna Corp.		798		15,980
Intel Corp.		4,515		15,260
Corning, Inc.		5,757		15,062
Cummins, Inc.		743		14,301
WellCare Health Plans, Inc.^*		568		13,598
Discover Financial Services		2,393		12,478
Reinsurance Group of America, Inc. — Class A		896		11,621
Biogen, Inc.^*		273		10,995
Applied Materials, Inc.		1,554		10,779
FedEx Corp.		560		9,452
Wabash National Corp.		3,305		8,658
Michael Kors Holdings Ltd.^*		867		8,554
Union Pacific Corp.		1,274		8,414
Principal Financial Group, Inc.		2,367		8,291
McKesson Corp.		472		6,992
Northern Trust Corp.		1,510		6,540
Entergy Corp.		1,459		6,445
WW Grainger, Inc.		538		6,061
Texas Instruments, Inc.		627		5,913
Public Service Enterprise Group, Inc.		1,826		5,457
Travelers Companies, Inc.		1,037		4,562
PG&E Corp.		2,102		3,413
UnitedHealth Group, Inc.		374		3,398
Hartford Financial Services Group, Inc.		486		3,397
Apple, Inc.		224		1,978
Delta Air Lines, Inc.		1,944		1,704
Merck & Company, Inc.		1,444		1,525
Anthem, Inc.		743		923
CoStar Group, Inc.^*		93		204
Performance Food Group Co.^*		877		72
Catalent, Inc.^*		626		38
GoDaddy, Inc. — Class A^*		339		(74	)
Jabil, Inc.		2,476		(244	)
EMCOR Group, Inc.		1,049		(346	)
Cloudera, Inc.^*		717		(452	)
AECOM^*		1,276		(498	)
Portola Pharmaceuticals, Inc.^*		639		(712	)
Synchrony Financial		1,787		(1,883	)
Consolidated Edison, Inc.		911		(2,007	)
Motorola Solutions, Inc.		1,279		(2,030	)
Telephone & Data Systems, Inc.		4,225		(4,127	)
Western Union Co.		6,156		(4,360	)
Archer-Daniels-Midland Co.		3,558		(4,427	)
Kroger Co.		3,128		(8,651	)
Carlisle Companies, Inc.		1,849		(8,947	)
Mylan N.V.^*		1,966		(11,788	)
Owens & Minor, Inc.		2,037		(13,290	)
United Continental Holdings, Inc.^*		1,325		(16,323	)
InterDigital, Inc.		1,128		(22,106	)
Bed Bath & Beyond, Inc.		1,908		(28,682	)
Total Custom Basket of Long Securities				204,235

CUSTOM BASKET OF SHORT SECURITIES⁴
Compass Minerals International, Inc.	(2,454	)	24,397
NewMarket Corp.	(378	)	16,115
Ulta Beauty, Inc.^*	(177	)	11,115
General Electric Co.	(1,926	)	10,484
Sensient Technologies Corp.	(2,154	)	9,995
Martin Marietta Materials, Inc.	(431	)	9,909
Wabtec Corp.	(571	)	9,295
Vulcan Materials Co.	(1,024	)	8,886
NIKE, Inc. — Class B	(1,372	)	8,849
American Campus Communities, Inc.	(2,044	)	8,313
Pool Corp.	(739	)	8,206
Dave & Buster's Entertainment, Inc.^*	(598	)	8,111
Retail Opportunity Investments Corp.	(2,704	)	7,632
Education Realty Trust, Inc.	(1,964	)	7,419
Charter Communications, Inc. — Class A^*	(244	)	6,503
Federal Realty Investment Trust	(884	)	6,167
Mercury General Corp.	(883	)	6,057
Balchem Corp.	(1,053	)	5,606
Shake Shack, Inc. — Class A^*	(1,270	)	5,306
People's United Financial, Inc.	(7,483	)	5,289
Toro Co.	(515	)	4,469
Realty Income Corp.	(1,116	)	3,950
Ultimate Software Group, Inc.^*	(232	)	3,891
Papa John's International, Inc.	(689	)	3,845
Financial Engines, Inc.	(1,133	)	3,739
Sun Communities, Inc.	(996	)	3,590
RPM International, Inc.	(2,106	)	3,261
Starbucks Corp.	(702	)	3,260
Acadia Realty Trust	(1,293	)	3,149
Yum! Brands, Inc.	(1,015	)	2,785
Wendy's Co.	(3,919	)	2,583
Axon Enterprise, Inc.^*	(1,667	)	2,413
Kilroy Realty Corp.	(743	)	2,188
Equity LifeStyle Properties, Inc.	(670	)	2,053
MarketAxess Holdings, Inc.	(389	)	1,853
Dunkin' Brands Group, Inc.	(915	)	1,850
Corporate Office Properties Trust	(1,385	)	1,812
SPS Commerce, Inc.^*	(608	)	1,785
Healthcare Trust of America, Inc. — Class A	(2,620	)	1,208
Public Storage	(322	)	1,199
Atlassian Corporation plc — Class A^*	(1,958	)	1,079
Cable One, Inc.	(49	)	983
Tesla, Inc.^*	(160	)	904
ANSYS, Inc.^*	(497	)	692
McCormick & Company, Inc.	(372	)	532
Trustmark Corp.	(1,674	)	365
CareTrust REIT, Inc.	(1,882	)	233
Southern Co.	(1,267	)	207
SBA Communications Corp.^*	(573	)	178
TripAdvisor, Inc.^*	(1,133	)	155
Valley National Bancorp	(3,375	)	132
Rexford Industrial Realty, Inc.	(1,967	)	(28	)
Healthcare Realty Trust, Inc.	(1,234	)	(29	)
Mohawk Industries, Inc.^*	(246	)	(55	)
NiSource, Inc.	(2,893	)	(102	)
Howard Hughes Corp.^*	(418	)	(228	)

Series Z (Alpha Opportunity Series)
SCHEDULE OF INVESTMENTS	September 30, 2017

	Shares			Unrealized Gain (Loss)
CUSTOM BASKET OF SHORT SECURITIES⁴(continued)
Lamb Weston Holdings, Inc.		(814	)	$	(297	)
Madison Square Garden Co. — Class A^*		(204	)		(495	)
Provident Financial Services, Inc.		(1,518	)		(671	)
Aqua America, Inc.		(1,470	)		(684	)
Ladder Capital Corp. — Class A		(2,692	)		(707	)
Bio-Techne Corp.		(466	)		(755	)
Bank of Hawaii Corp.		(460	)		(790	)
Amazon.com, Inc.^*		(63	)		(827	)
Workday, Inc. — Class A^*		(368	)		(1,090	)
Air Products & Chemicals, Inc.		(249	)		(1,291	)
Fulton Financial Corp.		(2,920	)		(1,460	)
Commerce Bancshares, Inc.		(696	)		(1,489	)
S&P Global, Inc.		(348	)		(1,544	)
Terreno Realty Corp.		(1,613	)		(1,552	)
Washington Federal, Inc.		(1,721	)		(1,635	)
Douglas Emmett, Inc.		(1,464	)		(1,700	)
BWX Technologies, Inc.		(684	)		(1,886	)
EastGroup Properties, Inc.		(811	)		(1,924	)
WD-40 Co.		(341	)		(2,000	)
Vail Resorts, Inc.		(314	)		(2,037	)
First Midwest Bancorp, Inc.		(2,459	)		(2,039	)
Old National Bancorp		(2,921	)		(2,046	)
BB&T Corp.		(1,359	)		(2,284	)
Willis Towers Watson plc		(245	)		(2,326	)
Alexander & Baldwin, Inc.		(862	)		(2,329	)
Intercontinental Exchange, Inc.		(733	)		(2,377	)
Ingevity Corp.^*		(642	)		(2,638	)
KeyCorp		(3,981	)		(2,773	)
Iron Mountain, Inc.		(1,114	)		(2,893	)
WABCO Holdings, Inc.^*		(266	)		(2,917	)
ServiceNow, Inc.^*		(421	)		(3,081	)
Ollie's Bargain Outlet Holdings, Inc.^*		(978	)		(3,101	)
CME Group, Inc. — Class A		(321	)		(3,185	)
Cabot Oil & Gas Corp. — Class A		(2,025	)		(3,213	)
Avery Dennison Corp.		(656	)		(3,269	)
Eaton Vance Corp.		(1,667	)		(3,287	)
Black Hills Corp.		(1,435	)		(3,317	)
Dominion Energy, Inc.		(1,265	)		(3,559	)
ABIOMED, Inc.^*		(245	)		(3,718	)
Laredo Petroleum, Inc.^*		(3,070	)		(3,724	)
Bright Horizons Family Solutions, Inc.^*		(701	)		(4,032	)
Texas Roadhouse, Inc. — Class A		(817	)		(4,125	)
Jack in the Box, Inc.		(768	)		(4,178	)
Mid-America Apartment Communities, Inc.		(893	)		(4,232	)
Glacier Bancorp, Inc.		(1,128	)		(4,288	)
Extra Space Storage, Inc.		(562	)		(4,327	)
Ross Stores, Inc.		(769	)		(4,401	)
PTC, Inc.^*		(1,140	)		(4,663	)
Alexandria Real Estate Equities, Inc.		(1,107	)		(4,815	)
National Instruments Corp.		(1,236	)		(4,851	)
Domino's Pizza, Inc.		(223	)		(4,892	)
Bio-Rad Laboratories, Inc. — Class A^*		(335	)		(4,909	)
Priceline Group, Inc.^*		(20	)		(5,077	)
Silicon Laboratories, Inc.^*		(666	)		(5,095	)
BankUnited, Inc.		(1,997	)		(5,115	)
VF Corp.		(662	)		(5,166	)
Investors Bancorp, Inc.		(7,908	)		(5,249	)
Essex Property Trust, Inc.		(344	)		(5,276	)
Semtech Corp.^*		(1,287	)		(5,277	)
AptarGroup, Inc.		(446	)		(5,517	)
John Bean Technologies Corp.		(425	)		(5,565	)
Graco, Inc.		(562	)		(5,774	)
Spire, Inc.		(1,205	)		(5,991	)
Red Hat, Inc.^*		(478	)		(6,056	)
WR Grace & Co.		(1,647	)		(6,237	)
Summit Materials, Inc. — Class A^*		(1,676	)		(6,315	)
EnPro Industries, Inc.		(625	)		(6,444	)
Century Aluminum Co.^*		(3,101	)		(6,507	)
Neurocrine Biosciences, Inc.^*		(704	)		(6,574	)
CyrusOne, Inc.		(1,210	)		(6,605	)
Lithia Motors, Inc. — Class A		(371	)		(6,724	)
Goldman Sachs Group, Inc.		(295	)		(6,788	)
Woodward, Inc.		(720	)		(6,867	)
CommVault Systems, Inc.^*		(784	)		(7,134	)
Allegheny Technologies, Inc.^*		(3,089	)		(7,317	)
PayPal Holdings, Inc.^*		(1,076	)		(7,335	)
KBR, Inc.		(2,472	)		(7,964	)
Trex Company, Inc.^*		(499	)		(8,098	)
O'Reilly Automotive, Inc.^*		(456	)		(8,142	)
AO Smith Corp.		(1,130	)		(8,352	)
Tyler Technologies, Inc.^*		(321	)		(8,395	)
Monro, Inc.		(808	)		(8,462	)
Matador Resources Co.^*		(1,668	)		(8,591	)
Medidata Solutions, Inc.^*		(792	)		(8,791	)
First Republic Bank		(1,160	)		(8,862	)
Cantel Medical Corp.		(479	)		(9,101	)
Cimarex Energy Co.		(613	)		(9,149	)
Cousins Properties, Inc.		(10,218	)		(9,251	)
Rollins, Inc.		(2,363	)		(9,300	)
Crown Castle International Corp.		(886	)		(9,562	)
American Tower Corp. — Class A		(613	)		(9,927	)
Cognex Corp.		(553	)		(10,050	)
Ecolab, Inc.		(1,399	)		(10,146	)
McDonald's Corp.		(786	)		(10,548	)
Five Below, Inc.^*		(747	)		(10,550	)
Trimble, Inc.^*		(1,106	)		(10,651	)
Scotts Miracle-Gro Co. — Class A		(1,892	)		(10,817	)
Ligand Pharmaceuticals, Inc. — Class B^*		(363	)		(10,927	)
Moody's Corp.		(532	)		(10,936	)
Mercury Systems, Inc.^*		(867	)		(11,106	)
CF Industries Holdings, Inc.		(1,451	)		(11,599	)
First Industrial Realty Trust, Inc.		(2,572	)		(11,856	)
Monolithic Power Systems, Inc.		(944	)		(11,884	)
Deltic Timber Corp.		(915	)		(12,098	)
Marriott Vacations Worldwide Corp.		(327	)		(12,196	)
Equinix, Inc.		(243	)		(12,326	)
Alliant Energy Corp.		(3,232	)		(12,859	)
Wynn Resorts Ltd.		(263	)		(13,533	)
Atmos Energy Corp.		(2,025	)		(13,841	)
Albemarle Corp.		(685	)		(14,182	)
Royal Gold, Inc.		(873	)		(14,789	)
salesforce.com, Inc.^*		(1,205	)		(15,436	)
NVIDIA Corp.		(226	)		(15,500	)
Crocs, Inc.^*		(4,869	)		(15,636	)
Marriott International, Inc. — Class A		(876	)		(17,369	)
Autodesk, Inc.^*		(615	)		(17,780	)
Adobe Systems, Inc.^*		(520	)		(17,821	)
CoreSite Realty Corp.		(693	)		(18,157	)
Ball Corp.		(4,421	)		(19,539	)
DCT Industrial Trust, Inc.		(1,958	)		(19,606	)
Facebook, Inc. — Class A^*		(849	)		(19,748	)
CarMax, Inc.^*		(1,642	)		(19,860	)

Series Z (Alpha Opportunity Series)
SCHEDULE OF INVESTMENTS	September 30, 2017

	Shares			Unrealized Gain (Loss)
CUSTOM BASKET OF SHORT SECURITIES⁴ (continued)
Xylem, Inc.		(1,621	)	$	(22,728	)
International Flavors & Fragrances, Inc.		(1,263	)		(25,144	)
Healthcare Services Group, Inc.		(1,908	)		(25,663	)
FMC Corp.		(1,064	)		(30,547	)
Take-Two Interactive Software, Inc.^*		(653	)		(31,259	)
Total Custom Basket of Short Securities					(739,709	)

Series Z (Alpha Opportunity Series)
SCHEDULE OF INVESTMENTS (Unaudited)	September 30, 2017

^*	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	All or a portion of this security is pledged as equity index swap collateral at September 30, 2017.
²	Security was fair valued by the Valuation Committee at September 30, 2017. The total market value of fair valued securities amounts to $0, (cost $101,261) or 0.0% of total net assets.
³	Rate indicated is the 7 day yield as of September 30, 2017.
⁴	Total Return is based on the return of custom long basket of securities +/- financing at a variable rate. Rate indicated is rate eff ective at September 30, 2017.
⁵	Total Return is based on the return of custom short basket of securities +/- financing at a variable rate. Rate indicated is rate eff ective at September 30, 2017.

plc	Public Limited Company

REIT	Real Estate Investment Trust

See Sector Classification in Other Information section.

The following table summarizes the inputs used to value the Fund's investments at September 30, 2017 (See Note 3 in the Notes to Schedule of Investments):

Investments in Securities (Assets)	Level 1 Quoted Prices		Level 1 - Other*		Level 2 Significant Observable Inputs		Level 2 - Other*		Level 3 Significant Unobservable Inputs			Total
Common Stocks	$	12,247,375	$	—	$	—	$	—	$	—	**	$	12,247,375
Equity Index Swap Agreements		—		—		—		208,341		—			208,341
Money Market Fund		553,097		—		—		—		—			553,097
Total Assets	$	12,800,472	$	—	$	—	$	208,341	$	—		$	13,008,813

Investments in Securities (Liabilities)	Level 1 Quoted Prices		Level 1 - Other*		Level 2 Significant Observable Inputs		Level 2 - Other*		Level 3 Significant Unobservable Inputs			Total
Equity Index Swap Agreements	$	—	$	—	$	—	$	755,811	$	—		$	755,811

*	Other financial instruments include futures contracts and/or swaps, which are reported as unrealized gain/loss at period end.
**	Market value of security is $0.

Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.

For the period ended September 30, 2017, there were no transfers between levels.

NOTES TO FINANCIAL STATEMENTS (Unaudited)

Note 1 - Organization and Significant Accounting Policies

Organization

Guggenheim Variable Funds Trust (the "Trust"), a Delaware statutory trust, is registered with the SEC under the Investment Company Act of 1940 ("1940 Act”), as an open-ended investment company of the series type. Each series, in effect, is representing a separate Fund. The Trust is authorized to issue an unlimited number of shares. The Trust accounts for the assets of each Fund separately. At September 30, 2017, the Trust consisted of sixteen funds.

This report covers the Series A (StylePlus—Large Core Series), Series B (Large Cap Value Series), Series D (World Equity Income Series), Series E (Total Return Bond Series), Series F (Floating Rate Strategies Series), Series J (StylePlus—Mid Growth Series), Series N (Managed Asset Allocation Series), Series O (All Cap Value Series), Series P (High Yield Series), Series Q (Small Cap Value Series), Series V (MidCap Value Series), Series X (StylePlus—Small Growth Series), and Series Z (Alpha Opportunity Series) (the “Funds”), each a diversified investment company, with the exception of Series B (Large Cap Value Series) and Series Y (StylePlus—Large Growth Series), which are each a non-diversified investment company.

Security Investors, LLC, which operates under the name Guggenheim Investments (“GI”), provides advisory services. Guggenheim Funds Distributors, LLC (“GFD”) acts as principal underwriter for the Trust. GI and GFD are affiliated entities.

Significant Accounting Policies

The Funds operate as investment companies and, accordingly, follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 Financial Services – Investment Companies.

The following significant accounting policies are in conformity with U.S. generally accepted accounting principles ("U.S. GAAP") and are consistently followed by the Trust. This requires management to make estimates and assumptions that affect the reported amount of assets and liabilities, contingent assets and liabilities at the date of the financial statements, and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from these estimates. All time references are based on Eastern Time.

The net asset value (“NAV”) per share of a fund is calculated by dividing the market value of the fund’s securities and other assets, less all liabilities, by the number of outstanding shares of the fund.

(a) Valuation of Investments

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 and/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, to 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 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 sale 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 currencies are valued in U.S. dollars on the basis of the foreign currency exchange rates prevailing at the close of U.S. business at 4:00 p.m. 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 Securities. In addition, under the Valuation Procedures, the Valuation Committee and GI are authorized to use prices and other information supplied by a third party pricing vendor in valuing foreign securities.

NOTES TO FINANCIAL STATEMENTS (Unaudited)

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 sale price.

U.S. Government securities are valued by either independent pricing services, the last traded fill price, or at the reported bid price at the close of business.

Debt securities with a maturity of greater than 60 days at acquisition are valued at prices that reflect broker-dealer supplied valuations or are obtained from independent pricing services, which may consider the trade activity, treasury spreads, yields or price of bonds of comparable quality, coupon, maturity, and type, as well as prices quoted by dealers who make markets in such securities. Short-term debt securities with a maturity of 60 days or less at acquisition are valued at amortized cost, provided such amount approximates market value. Money market funds are valued at net asset 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 ("OTC") 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).

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 values of over-the-counter ("OTC") swap agreements entered into by a Fund are accounted for using the unrealized gains or losses on the agreements that are determined by marking the agreements to the last quoted value of the index that the swaps pertain to at the close of the NYSE. The swaps' values are then adjusted to include dividends accrued, financing charges and/or interest associated with the swap agreements.

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

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

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

NOTES TO FINANCIAL STATEMENTS (Unaudited)

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, the 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.

Note 2 – Financial Instruments and Derivatives

As part of their investment strategy, the Funds utilize short sales and a variety of derivative instruments. These investments involve, to varying degrees, elements of market risk. Valuation and accounting treatment of these instruments can be found under Significant Accounting Policies in Note 1 to Schedule of Investments.

Short Sales

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, the Fund will realize a gain on the transaction. Conversely, if the security increases in price during the period, the Fund will realize a loss on the transaction. The risk of such price increases is the principal risk of engaging in short sales.

Derivatives

Derivatives are instruments whose values depend on, or are derived from, in whole or in part, the value of one or more other assets, such as securities, currencies, commodities or indices. Derivative instruments may be used to increase investment flexibility (including to maintain cash reserves while maintaining exposure to certain other assets), for risk management (hedging) purposes, to facilitate trading, to reduce transaction costs and to pursue higher investment returns. Derivative instruments may also be used to mitigate certain investment risks, such as foreign currency exchange rate risk, interest rate risk and credit risk. U.S. GAAP requires disclosures to enable investors to better understand how and why a Fund uses derivative instruments, how these derivative instruments are accounted for and their effects on the Fund’s financial position and results of operations.

The Funds may utilize derivatives for the following purposes:

Duration: the use of an instrument to manage the interest rate risk of a portfolio.

Hedge: an investment made in order to reduce the risk of adverse price movements in a security, by taking an offsetting position to protect against broad market moves.

Index Exposure: the use of an instrument to obtain exposure to a listed or other type of index.

Leverage: gaining total exposure to equities or other assets on the long and short sides at greater than 100% of invested capital.

Speculation: the use of an instrument to express macro-economic and other investment views.

For any Fund whose investment strategy consistently involves applying 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 or other asset. In addition, because an investment in derivative instruments generally requires a small investment relative to the amount of investment exposure assumed, an opportunity for increased net income is created; but, at the same time, leverage risk will increase. The Fund’s use of leverage, through borrowings or instruments such as derivatives, may cause the Fund to be more volatile and riskier than if they had not been leveraged.

NOTES TO FINANCIAL STATEMENTS (Unaudited)

Options Purchased and Written

A call option on a security gives the purchaser of the option the right to buy, and the writer of a call option the obligation to sell, the underlying security. The purchaser of a put option has the right to sell, and the writer of the put option the obligation to buy, the underlying security 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 where a Fund may not be able to enter into a closing transaction because of an illiquid secondary market; or, for OTC options, a Fund may be at risk because of the counterparty’s inability to perform.

Futures

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 a Fund because futures are exchange-traded and the exchange’s clearinghouse, as counterparty to all exchange-traded futures, guarantees against default. Securities held as collateral are noted on the Schedules of Investments.

Swaps

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 or if the underlying asset declines in value. Certain standardized swaps are subject to mandatory central clearing and are executed on a multi-lateral or other trade facility platform, such as a registered exchange. There is limited counterparty credit risk with respect to centrally-cleared swaps as the transaction is facilitated through a central clearinghouse, much like an exchange-traded futures contract. Upon entering into a centrally-cleared swap transaction, the Fund is required to deposit with its clearing broker an amount of cash or securities as an initial margin. Subsequent variation margin payments or receipts are made or received by the Fund, depending on fluctuations in the fair value of the reference entity. For Funds utilizing interest rate swaps, the exchange bears the risk of loss.

Total return swaps involve commitments where single or multiple cash flows are exchanged based on the price of an underlying reference asset (such as index or basket) or a fixed or variable interest rate. Index swaps will usually be computed based on the current index value as of the close of regular trading on the NYSE or other exchange, with the swap value being adjusted to include dividends accrued, financing charges and/or interest associated with the swap agreement. A fund utilizing a total return index swap 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 or if the underlying index declines in value.

Interest rate swaps involve the exchange by the Funds with another party for their respective commitment to pay or receive a fixed or variable interest rate on a notional amount of principal. Interest rate swaps are generally centrally-cleared, but central clearing does not make interest rate swap transactions risk free.

Forward Foreign Currency Exchange Contracts

A forward foreign currency exchange contract is an agreement between two parties to exchange two designated currencies at a specific time in the future. Certain types of contracts may be cash settled, in an amount equal to the change in exchange rates during the term of the contract. The contracts can be used to hedge or manage exposure to foreign currency risks with portfolio investments or to gain exposure to foreign currencies.

The market value of a forward foreign currency exchange contract changes with fluctuations in foreign currency exchange rates. Furthermore, the Funds may be exposed to risk if the counterparties cannot meet the contract terms or if the currency value changes unfavorably as compared to the U.S. dollar.

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 the Funds.

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 risks 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.

NOTES TO FINANCIAL STATEMENTS (Unaudited)

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.

Note 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.

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.

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 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.

NOTES TO FINANCIAL STATEMENTS (Unaudited)

Note 4– Federal Income Tax Information

The Funds intend to comply with the provisions of Subchapter M of the Internal Revenue Code applicable to regulated investment companies and will distribute substantially all taxable net investment income and capital gains sufficient to relieve the Funds from all, or substantially all, federal income, excise and state income taxes. Therefore, no provision for federal or state income tax is required.

Tax positions taken or expected to be taken in the course of preparing the Funds' tax returns are evaluated to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. Management has analyzed the Funds' tax positions taken, or to be taken, on federal income tax returns for all open tax years, and has concluded that no provision for income tax is required in the Funds' financial statements. The Funds' federal tax returns are subject to examination by the Internal Revenue Service for a period of three years after they are filed.

At September 30, 2017, the cost of securities for federal income tax purposes, the aggregate gross unrealized gain for all securities for which there was an excess of value over tax cost, and the aggregate gross unrealized loss for all securities for which there was an excess of tax cost over value were as follows:

INSERT TABLE

Note 5 – Unfunded Loan Commitments

Pursuant to the terms of certain loan agreements, certain Funds held unfunded loan commitments as of September 30, 2017. The Funds are obligated to fund these loan commitments at the borrower’s discretion.

The unfunded loan commitments as of September 30, 2017, were as follows:

Fund	Borrower	Maturity Date	Face Amount*		Value
Series F (Floating Rate Strategies Series)
	Beacon Roofing Supply, Inc.	2/28/18	$	300,000	$	–
	Engineered Machinery Holdings, Inc.	7/19/24		6,692		16
			$	306,692	$	16
Series P (High Yield Series)
	Acosta, Inc.	9/26/19		488,889		25,900
	Advantage Sales & Marketing LLC	7/25/19		900,000		42,059
	BBB Industries, LLC	11/4/19		775,000		44,715
	Beacon Roofing Supply, Inc.	2/28/18		1,550,000		–
	Epicor Software	6/1/20		600,000		39,776
	ICSH Parent, Inc.	4/29/24		21,318		–
	Signode Industrial Group US, Inc.	5/1/19		1,600,000		63,235
	Vantiv LLC	9/8/24		49,308		–
			$	5,984,514	$	215,685

*	The face amount is denominated in U.S. dollars unless otherwise indicated.

Note 6 – 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)
	ACC Group Housing LLC
	6.35% due 07/15/54	06/03/14	$	250,000	$	292,197
	Atlantic Marine Corporations Communities LLC
	5.43% due 12/01/50	07/25/14		318,828		330,270
	Copper River CLO Ltd.
	2007-1A, due 01/20/21	05/09/14		702,000		81,756
	GMAC Commercial Mortgage Asset Corp.
	2007-HCKM, 6.11% due 08/10/52	10/07/16		1,119,949		1,073,908
	Northern Group Housing LLC
	6.80% due 08/15/53	07/25/13		600,000		737,568
	Pacific Northwest Communities LLC
	5.91% due 06/15/50	05/22/14		400,000		441,308
	Turbine Engines Securitization Ltd.
	2013-1A, 5.13% due 12/13/48	11/27/13		630,978		625,775
	Woodbourne Capital Trust I
	(1 Month USD LIBOR + 250 bps) 3.13%	01/20/06		301,449		226,254
	Woodbourne Capital Trust II
	(1 Month USD LIBOR + 250 bps) 3.13%	01/20/06		301,449		226,254
	Woodbourne Capital Trust III
	(1 Month USD LIBOR + 250 bps) 3.14%	01/20/06		301,449		226,255
	Woodbourne Capital Trust IV
	(1 Month USD LIBOR + 250 bps) 3.14%	01/20/06		301,449		226,255
				5,227,551		4,487,800

Series P (High Yield Series)
	Schahin II Finance Co. SPV Ltd.	03/12/15	$	111,437	$	17,373
	5.88% due 09/25/22

OTHER INFORMATION (Unaudited)

Sector Classification

Information in the “Schedule of Investments” is categorized by sectors using sector-level Classifications defined by the Bloomberg Industry Classification System, a widely recognized industry classification system provider. Each Fund’s registration statement has investment policies relating to concentration in specific sectors/industries. For purposes of these investment policies, the Funds usually classify sectors/industries based on industry-level Classifications used by widely recognized industry classification system providers such as Bloomberg Industry Classification System, Global Industry Classification Standards and Barclays Global Classification Scheme.

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/ Amy J. Lee
	Amy J. Lee, Chief Executive Officer and President

Date	November 29, 2017

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/ Amy J. Lee
	Amy J. Lee, Chief Executive Officer and President

Date	November 29, 2017

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

Date	November 29, 2017

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