SERIES Z (ALPHA OPPORTUNITY SERIES)

Guggenheim Variable Funds Trust

805 King Farm Blvd., Suite 600

Rockville, Maryland 20850

Supplement Dated March 13, 2017

to the currently effective Statutory Prospectus and Summary Prospectus (the "Prospectuses"), as each may be supplemented from time to time, for Series Z (Alpha Opportunity Series) (the "Series")

This supplement provides updated information beyond that contained in the Prospectuses and should be read in conjunction with the Prospectuses.

The Series has selected the BofA Merrill Lynch 3-Month U.S. Treasury Bill Index as its primary benchmark index as a replacement for the S&P 500 Index. The Series selected the BofA Merrill Lynch 3-Month U.S. Treasury Bill Index as its primary benchmark index because it believes that this index is more reflective of its investment style.

Effective immediately, the following entry is added to the table in the section of the Prospectuses entitled “Performance Information—Average Annual Total Returns (for the periods ended December 31, 2015)” as it relates to the Series:

Average Annual Total Returns	Label	1 Year	5 Years	10 Years
SERIES Z (ALPHA OPPORTUNITY SERIES) \| BofA Merrill Lynch 3-Month U.S. Treasury Bill Index	BofA Merrill Lynch 3-Month U.S. Treasury Bill Index (reflects no deductions for fees, expenses or taxes)	0.05%	0.08%	1.24%

- Definition

If the Fund has annual returns for at least one calendar year, provide a table showing the Fund's (A) average annual total return; (B) average annual total return (after taxes on distributions); and (C) average annual total return (after taxes on distributions and redemption). A Money Market Fund should show only the returns described in clause (A) of the preceding sentence. All returns should be shown for 1-, 5-, and 10- calendar year periods ending on the date of the most recently completed calendar year (or for the life of the Fund, if shorter), but only for periods subsequent to the effective date of the Fund's registration statement. The table also should show the returns of an appropriate broad-based securities market index as defined in Instruction 5 to Item 22(b)(7) for the same periods. A Fund that has been in existence for more than 10 years also may include returns for the life of the Fund. A Money Market Fund may provide the Fund's 7-day yield ending on the date of the most recent calendar year or disclose a toll-free (or collect) telephone number that investors can use to obtain the Fund's current 7-day yield. For a Fund (other than a Money Market Fund or a Fund described in General Instruction C.3.(d)(iii)), provide the information in the following table with the specified captions AVERAGE ANNUAL TOTAL RETURNS (For the periods ended December 31, _____). For a Fund that provides annual total returns for only one calendar year or for a Fund that does not include the bar chart because it does not have annual returns for a full calendar year, modify, as appropriate, the narrative explanation required by paragraph (c)(2)(i) (e.g., by stating that the information gives some indication of the risks of an investment in the Fund by comparing the Fund's performance with a broad measure of market performance).

+ References + Details