N-CSR 1 fp0079697_ncsr.htm

 

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

 

FORM N-CSR

 

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT

INVESTMENT COMPANIES

 

Investment Company Act file number 811- 01136

 

Guggenheim 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

Guggenheim 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: 1-301-296-5100

 

Date of fiscal year end: September 30

 

Date of reporting period: October 1, 2021 - September 30, 2022

 

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

 

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

 

 

 

 

Item 1.Reports to Stockholders.

 

The registrant’s annual report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940, as amended (the “Investment Company Act”), is as follows:

 

 

9.30.2022

 

Guggenheim Funds Annual Report

 

Guggenheim Funds Trust-Equity

Guggenheim Alpha Opportunity Fund

   

Guggenheim Large Cap Value Fund

   

Guggenheim Market Neutral Real Estate Fund

   

Guggenheim Risk Managed Real Estate Fund

   

Guggenheim Small Cap Value Fund

   

Guggenheim StylePlus—Large Core Fund

   

Guggenheim StylePlus—Mid Growth Fund

   

Guggenheim World Equity Income Fund

   

 

GuggenheimInvestments.com

SBE-ANN-0922x0923

 

 

 

 

TABLE OF CONTENTS

 

   

DEAR SHAREHOLDER

2

ECONOMIC AND MARKET OVERVIEW

5

ABOUT SHAREHOLDERS’ FUND EXPENSES

7

ALPHA OPPORTUNITY FUND

10

LARGE CAP VALUE FUND

30

MARKET NEUTRAL REAL ESTATE FUND

40

RISK MANAGED REAL ESTATE FUND

51

SMALL CAP VALUE FUND

67

STYLEPLUS—LARGE CORE FUND

78

STYLEPLUS—MID GROWTH FUND

88

WORLD EQUITY INCOME FUND

99

NOTES TO FINANCIAL STATEMENTS

110

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

126

OTHER INFORMATION

127

INFORMATION ON BOARD OF TRUSTEES AND OFFICERS

136

GUGGENHEIM INVESTMENTS PRIVACY NOTICE

142

LIQUIDITY RISK MANAGEMENT PROGRAM

145

 

 

THE GUGGENHEIM FUNDS ANNUAL REPORT | 1

 

 

 

September 30, 2022

 

Dear Shareholder:

 

Security Investors, LLC and Guggenheim Partners Investment Management, LLC (the “Investment Advisers”) are pleased to present the shareholder report for a selection of our Funds (the “Funds”) for the annual fiscal period ended September 30, 2022.

 

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

 

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

 

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

 

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

 

Sincerely,

 

Security Investors, LLC,

 

Guggenheim Partners Investment Management, LLC,

 

October 31, 2022

 

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

 

This material is not intended as a recommendation or as investment advice of any kind, including in connection with rollovers, transfers, and distributions. Such material is not provided in a fiduciary capacity, may not be relied upon for or in connection with the making of investment decisions, and does not constitute a solicitation of an offer to buy or sell securities. All content has been provided for informational or educational purposes only and is not intended to be and should not be construed as legal or tax advice and/or a legal opinion. Always consult a financial, tax and/ or legal professional regarding your specific situation.

 

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

 

2 | THE GUGGENHEIM FUNDS ANNUAL REPORT

 

 

 

 

September 30, 2022

 

Large Cap Value Fund may not be suitable for all investors. ● An investment in the Fund will fluctuate and is subject to investment risks, which means an investor could lose money. ● The intrinsic value of the underlying stocks may never be realized, or the stock may decline in value. The Fund is subject to risk that large-capitalization stocks may underperform other segments of the equity market or the equity markets as a whole. ● It is important to note that the Fund is not guaranteed by the U.S. Government. ● Please read the prospectus for more detailed information regarding these and other risks.

 

Market Neutral Real Estate Fund may not be suitable for all investors. ● Investing involves risk, including the possible loss of principal. ● There are no assurances that any fund will achieve its objective and/or strategy. ● The Fund’s investments in real estate securities subject the Fund to the same risks as direct investments in real estate, which is particularly sensitive to economic downturns. ● The Fund’s use of derivatives such as futures, options, and swap agreements may expose the Fund to additional risks that it would not be subject to if it invested directly in the securities underlying those derivatives. ● When market conditions are deemed appropriate, the Fund will leverage to the full extent permitted by its investment policies and restrictions and applicable law. Leveraging will exaggerate the effect on net asset value of any increase or decrease in the market value of the Fund’s portfolio. ● The more the Fund invests in leveraged instruments, the more the leverage will magnify any gains or losses on those investments. ● The Fund’s use of short selling involves increased risk and costs. The Fund risks paying more for a security than it received from its sale. ● The Fund’s investments in other investment vehicles subject the Fund to those risks and expenses affecting the investment vehicle. ● The Fund’s investments in foreign securities carry additional risks when compared to U.S. securities, due to the impact of diplomatic, political, or economic developments in the country in question (investments in emerging markets securities are generally subject to an even greater level of risk). ● The Fund may invest in derivative instruments, which may be more volatile and less liquid, increasing the risk of loss when compared to traditional securities. Certain of the derivative instruments are also subject to the risks of counterparty default and adverse tax treatment. ● Investing in sector funds is more volatile than investing in broadly diversified funds, as there is a greater risk due to the concentration of the funds’ holdings in issuers of the same or similar offerings. ● Short selling involves increased risks and costs. You risk paying more for a security than you received from its sale. This strategy may not be suitable for all investors. ● The Fund is subject to active trading risks that may increase volatility and impact its ability to achieve its investment objective. ● You may have a gain or loss when you sell your shares. ● It is important to note that the Fund is not guaranteed by the U.S. government. ● Please read the prospectus for more detailed information regarding these and other risks.

 

Risk Managed Real Estate Fund may not be suitable for all investors. ● Investments in securities in general are subject to market risks that may cause their prices to fluctuate over time ● Investing involves risk, including the possible loss of principal. ● There are no assurances that any fund will achieve its objective and/or strategy. ● The Fund’s investments in real estate securities subject the Fund to the same risks as direct investments in real estate, which is particularly sensitive to economic downturns. ● The Fund’s use of derivatives such as futures, options and swap agreements may expose the Fund to additional risks that it would not be subject to if it invested directly in the securities underlying those derivatives. ● When market conditions are deemed appropriate, the Fund will leverage to the full extent permitted by its investment policies and restrictions and applicable law. Leveraging will exaggerate the effect on net asset value of any increase or decrease in the market value of the Fund’s portfolio. ● The more the Fund invests in leveraged instruments, the more the leverage will magnify any gains or losses on those investments. ● The Fund’s use of short selling involves increased risk and costs. The Fund risks paying more for a security than it received from its sale. ● The Fund’s investments in other investment vehicles subject the Fund to those risks and expenses affecting the investment vehicle. ● The Fund’s investments in foreign securities carry additional risks when compared to U.S. securities, due to the impact of diplomatic, political or economic developments in the country in question (investments in emerging markets securities are generally subject to an even greater level of risk). ● The Fund may invest in derivative instruments, which may be more volatile and less liquid, increasing the risk of loss when compared to traditional securities. Certain of the derivative instruments are also subject to the risks of counterparty default and adverse tax treatment. ● Investing in sector funds is more volatile than investing in broadly diversified funds, as there is a greater risk due to the concentration of the funds’ holdings in issuers of the same or similar offerings. ● Short selling involves increased risks and costs. You risk paying more for a security than you received from its sale. This strategy may not be suitable for all investors. ● The Fund is subject to active trading risks that may increase volatility and impact its ability to achieve its investment objective. ● You may have a gain or loss when you sell you shares. ● It is important to note that the Fund is not guaranteed by the U.S. government. ● Please read the prospectus for more detailed information regarding these and other risks.

 

Small Cap Value Fund may not be suitable for all investors. ● An investment in the Fund will fluctuate and is subject to investment risks, which means investors could lose money. ● The intrinsic value of the underlying stocks may never be realized, or the stock may decline in value. ● Investing in securities of small-capitalization companies may involve a greater risk of loss and more abrupt fluctuations in market price than investments in larger-capitalization companies. ● It is important to note that the Fund is not guaranteed by the U.S. Government.● Please read the prospectus for more detailed information regarding these and other risks.

 

StylePlus—Large Core Fund may not be suitable for all investors. ● Investments in large capitalization stocks may underperform other segments of the equity market or the equity market as a whole. ● Growth stocks may be more volatile than other stocks because they are more sensitive to investor perceptions regarding the growth potential of the issuing companies. Value stocks are subject to the risk that the intrinsic value of the stock may never be realized by the market or that the price goes down.● The Fund may invest in derivative instruments, which may be more volatile and less liquid, increasing the risk of loss when compared to traditional securities. Certain of the derivative instruments are also subject to the risks of counterparty default and adverse tax treatment. ● The Fund’s use of leverage, through borrowings or instruments such as derivatives, may cause the Fund to be more volatile than if it had not been leveraged. ● The Fund’s investments in other investment vehicles subject the Fund to those risks and expenses affecting the investment vehicle. ● The Fund may invest in foreign securities which carry additional risks when compared to U.S. securities, due to the impact of diplomatic, political or economic developments in the country in question (investments in emerging markets securities are generally subject to an even greater level of risk). ● The Fund may invest in fixed income securities whose market value will change in response to interest rate changes and market conditions among other factors. In general, bond prices rise when interest rates fall and vice versa. ● The Fund’s exposure to high yield securities may subject the Fund to greater volatility. ● The Fund may invest in bank loans and asset-backed securities, including mortgage backed, which involve special types of risks. ● The Fund may invest in restricted securities which may involve financial and liquidity risk. ● You may have a gain or loss when you sell your shares. ● It is important to note that the Fund is not guaranteed by the U.S. government. ● Please read the prospectus for more detailed information regarding these and other risks.

 

StylePlus—Mid Growth Fund may not be suitable for all investors. ● Investments in mid-sized company securities may present additional risks such as less predictable earnings, higher volatility and less liquidity than larger, more established companies. ● Growth stocks may be more volatile than other stocks because they are more sensitive to investor perceptions regarding the growth potential of the issuing companies. ● The Fund may invest in derivative instruments, which may be more volatile and less liquid, increasing the risk of loss when compared to traditional securities. Certain of the derivative instruments are also subject to the risks of counterparty default and adverse tax treatment. ● The Fund’s use of leverage, through borrowings or instruments such as derivatives, may cause the Fund to be more volatile than if it had not been leveraged. ● The Fund’s investments in other investment vehicles subject the Fund to those risks and expenses affecting the investment vehicle. ● The Fund may invest in foreign securities which carry additional risks when compared to U.S. securities, due to the impact of diplomatic, political or economic developments in the country in question (investments in emerging markets securities are generally subject to an even greater level of risk). ● The Fund may invest in fixed income securities

 

 

THE GUGGENHEIM FUNDS ANNUAL REPORT | 3

 

 

 

September 30, 2022

 

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

 

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

 

4 | THE GUGGENHEIM FUNDS ANNUAL REPORT

 

 

 

ECONOMIC AND MARKET OVERVIEW (Unaudited)

September 30, 2022

 

Equity and fixed income markets declined during the 12-month period ended September 30, 2022, amid continued market volatility, Federal Reserve policy, and global economic headwinds.

 

The Federal Reserve (the “Fed”) has abandoned talk of a soft or even “softish” landing, with the latest Summary of Economic Projections pointing to a 90-basis-point rise in the unemployment rate, an increase never before experienced without a recession. One basis point equals 0.01%. The seemingly endless string of upside inflation surprises has cemented the Fed’s view that the labor market needs to soften and economic activity needs to weaken further, which could require interest rates heading even higher.

 

Signs are indicating that the economy is heading in the direction the Fed wants. While gross domestic product (“GDP”) rebounded in the third quarter of 2022 to an inflation-adjusted 2.6%, private domestic demand (consumption and fixed investment) continued to slow, growing just 0.1%. The slowdown was led by a significant contraction in housing activity, historically the first sector to be hit by rising rates, cutting about 1.4 percentage points from GDP’s growth rate. The sharp tightening in financial conditions indicates a broader economic slowdown is ahead, which may help to loosen up the labor market. Signs of a labor market slowdown are already evident, with monthly job growth at less than half the pace of early 2022, wage growth cooling, and job openings falling sharply.

 

Inflation remains high, but a variety of factors point to a substantial moderation in 2023. Goods prices have stopped rising, and supply chain improvement and input and import costs suggest outright deflation could lie ahead. Services inflation is now the main price stability concern, but even the Bureau of Labor Statistics and several Fed speakers have acknowledged that the lagged data on home rental prices doesn’t reflect the sharp slowdown in market rents that has taken place (and that would start to show up in the data next year).

 

With the economy cooling and inflation likely to fall, it is fair to expect that rate hikes are nearly coming to an end, particularly with rising strains in financial markets and overseas. But having been repeatedly burned by expectations that inflation would cool and fearing a replay of the “stop-start” rate hike campaigns of the 1970s, the Fed will likely err on the side of overdoing it with rate hikes, viewing a recession as the “least bad” outcome for the economy.

 

For the 12-month period ended September 30, 2022, the S&P 500® Index* returned -15.47%. The MSCI Europe-Australasia-Far East (“EAFE”) Index* returned -25.13%. The return of the MSCI Emerging Markets Index* was -28.11%.

 

In the bond market, the Bloomberg U.S. Aggregate Bond Index* posted a -14.60% return for the 12-month period, while the Bloomberg U.S. Corporate High Yield Index* returned -14.14%. The return of the ICE Bank of America (“BofA”) 3-Month U.S. Treasury Bill Index* was 0.62% for the 12-month period.

 

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

 

*Index Definitions:

 

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

 

Bloomberg U.S. Aggregate Bond Index is a broad-based flagship benchmark that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market, including U.S. Treasuries, government-related and corporate securities, mortgage-backed securities or “MBS” (agency fixed-rate and hybrid adjustable-rate mortgage, or “ARM”, pass-throughs), asset-backed securities (“ABS”), and commercial mortgage-backed securities (“CMBS”) (agency and non-agency).

 

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

 

 

THE GUGGENHEIM FUNDS ANNUAL REPORT | 5

 

 

ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded)

September 30, 2022

 

FTSE NAREIT Equity REITs Total Return Index (“FNRE”) is one of the FTSE NAREIT U.S. Real Estate Index Series that contains all Equity REITs not designated as Timber REITs or Infrastructure REITs. FTSE NAREIT U.S. Real Estate Index Series is designed to present investors with a comprehensive family of REIT performance indexes that spans the commercial real estate space across the US economy. The index series provides investors with exposure to all investment and property sectors. In addition, the more narrowly focused property sector and sub-sector indexes provide the facility to concentrate commercial real estate exposure in more selected markets. The National Association of Real Estate Investment Trusts (NAREIT) is the trade association for REITs and publicly traded real estate companies with an interest in the U.S. property and investment markets.

 

ICE BofA 3-Month U.S. Treasury Bill Index is an unmanaged market index of U.S. Treasury securities maturing in 90 days that assumes reinvestment of all income.

 

Morningstar Long/Short Equity Category Average is the average return of funds Morningstar places in a given category based on their portfolio statistics and compositions over the past three years. Long-short portfolios hold sizeable stakes in both long and short positions in equities, exchange traded funds, and related derivatives. Some funds that fall into this category will shift their exposure to long and short positions depending on their macro outlook or the opportunities they uncover through bottom-up research. At least 75% of the assets are in equity securities or derivatives, and funds in the category will typically have beta values to relevant benchmarks of between 0.3 and 0.8 over a three-year period.

 

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

 

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

 

MSCI World Index (Net) is calculated with net dividends reinvested. It is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed markets.

 

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

 

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

 

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

 

S&P 500® is a broad-based index, the performance of which is based on the performance of 500 widely held common stocks chosen for market size, liquidity, and industry group representation.

 

6 | THE GUGGENHEIM FUNDS ANNUAL REPORT

 

 

 

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)

 

 

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

 

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

 

The examples are based on an investment of $1,000 made at the beginning of the period and held for the entire six-month period beginning March 31, 2022 and ending September 30, 2022.

 

The following tables illustrate the Funds’ costs in two ways:

 

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

 

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

 

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

 

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

 

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

 

 

THE GUGGENHEIM FUNDS ANNUAL REPORT | 7

 

 

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(continued)

 

 

 

Expense
Ratio
1

Fund
Return

Beginning
Account Value
March 31, 2022

Ending
Account Value
September 30, 2022

Expenses
Paid During
Period
2

Table 1. Based on actual Fund return3

         

Alpha Opportunity Fund

         

A-Class

1.75%

(7.82%)

$ 1,000.00

$ 921.80

$ 8.43

C-Class

2.51%

(8.18%)

1,000.00

918.20

12.07

P-Class

1.75%

(7.81%)

1,000.00

921.90

8.43

Institutional Class

1.50%

(7.70%)

1,000.00

923.00

7.23

Large Cap Value Fund

         

A-Class

1.13%

(16.03%)

1,000.00

839.70

5.21

C-Class

1.88%

(16.33%)

1,000.00

836.70

8.66

P-Class

1.13%

(16.03%)

1,000.00

839.70

5.21

Institutional Class

0.88%

(15.92%)

1,000.00

840.80

4.06

Market Neutral Real Estate Fund

         

A-Class

1.64%

(2.53%)

1,000.00

974.70

8.12

C-Class

2.39%

(2.88%)

1,000.00

971.20

11.81

P-Class

1.64%

(2.54%)

1,000.00

974.60

8.12

Institutional Class

1.39%

(2.37%)

1,000.00

976.30

6.89

Risk Managed Real Estate Fund

         

A-Class

1.99%

(22.82%)

1,000.00

771.80

8.84

C-Class

2.64%

(23.09%)

1,000.00

769.10

11.71

P-Class

2.04%

(22.83%)

1,000.00

771.70

9.06

Institutional Class

1.68%

(22.69%)

1,000.00

773.10

7.47

Small Cap Value Fund

         

A-Class

1.29%

(16.31%)

1,000.00

836.90

5.94

C-Class

2.04%

(16.66%)

1,000.00

833.40

9.38

P-Class

1.28%

(16.30%)

1,000.00

837.00

5.89

Institutional Class

1.04%

(16.19%)

1,000.00

838.10

4.79

StylePlus—Large Core Fund

         

A-Class

1.17%

(22.25%)

1,000.00

777.50

5.21

C-Class

2.01%

(22.60%)

1,000.00

774.00

8.94

P-Class

1.38%

(22.33%)

1,000.00

776.70

6.15

Institutional Class

0.98%

(22.18%)

1,000.00

778.20

4.37

StylePlus—Mid Growth Fund

         

A-Class

1.33%

(23.12%)

1,000.00

768.80

5.90

C-Class

2.20%

(23.46%)

1,000.00

765.40

9.74

P-Class

1.79%

(23.32%)

1,000.00

766.80

7.93

Institutional Class

1.33%

(23.10%)

1,000.00

769.00

5.90

World Equity Income Fund

         

A-Class

1.20%

(17.19%)

1,000.00

828.10

5.50

C-Class

1.95%

(17.50%)

1,000.00

825.00

8.92

P-Class

1.20%

(17.16%)

1,000.00

828.40

5.50

Institutional Class

0.95%

(17.06%)

1,000.00

829.40

4.36

 

8 | THE GUGGENHEIM FUNDS ANNUAL REPORT

 

 

 

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(concluded)

 

 

 

Expense
Ratio
1

Fund
Return

Beginning
Account Value
March 31, 2022

Ending
Account Value
September 30, 2022

Expenses
Paid During
Period
2

Table 2. Based on hypothetical 5% return (before expenses)

 

     

Alpha Opportunity Fund

 

 

     

A-Class

1.75%

5.00%

$ 1,000.00

$ 1,016.29

$ 8.85

C-Class

2.51%

5.00%

1,000.00

1,012.48

12.66

P-Class

1.75%

5.00%

1,000.00

1,016.29

8.85

Institutional Class

1.50%

5.00%

1,000.00

1,017.55

7.59

Large Cap Value Fund

         

A-Class

1.13%

5.00%

1,000.00

1,019.40

5.72

C-Class

1.88%

5.00%

1,000.00

1,015.64

9.50

P-Class

1.13%

5.00%

1,000.00

1,019.40

5.72

Institutional Class

0.88%

5.00%

1,000.00

1,020.66

4.46

Market Neutral Real Estate Fund

         

A-Class

1.64%

5.00%

1,000.00

1,016.85

8.29

C-Class

2.39%

5.00%

1,000.00

1,013.09

12.06

P-Class

1.64%

5.00%

1,000.00

1,016.85

8.29

Institutional Class

1.39%

5.00%

1,000.00

1,018.10

7.03

Risk Managed Real Estate Fund

         

A-Class

1.99%

5.00%

1,000.00

1,015.09

10.05

C-Class

2.64%

5.00%

1,000.00

1,011.83

13.31

P-Class

2.04%

5.00%

1,000.00

1,014.84

10.30

Institutional Class

1.68%

5.00%

1,000.00

1,016.65

8.49

Small Cap Value Fund

         

A-Class

1.29%

5.00%

1,000.00

1,018.60

6.53

C-Class

2.04%

5.00%

1,000.00

1,014.84

10.30

P-Class

1.28%

5.00%

1,000.00

1,018.65

6.48

Institutional Class

1.04%

5.00%

1,000.00

1,019.85

5.27

StylePlus—Large Core Fund

         

A-Class

1.17%

5.00%

1,000.00

1,019.20

5.92

C-Class

2.01%

5.00%

1,000.00

1,014.99

10.15

P-Class

1.38%

5.00%

1,000.00

1,018.15

6.98

Institutional Class

0.98%

5.00%

1,000.00

1,020.16

4.96

StylePlus—Mid Growth Fund

         

A-Class

1.33%

5.00%

1,000.00

1,018.40

6.73

C-Class

2.20%

5.00%

1,000.00

1,014.04

11.11

P-Class

1.79%

5.00%

1,000.00

1,016.09

9.05

Institutional Class

1.33%

5.00%

1,000.00

1,018.40

6.73

World Equity Income Fund

         

A-Class

1.20%

5.00%

1,000.00

1,019.05

6.07

C-Class

1.95%

5.00%

1,000.00

1,015.29

9.85

P-Class

1.20%

5.00%

1,000.00

1,019.05

6.07

Institutional Class

0.95%

5.00%

1,000.00

1,020.31

4.81

 

1

This ratio represents annualized net expenses, which may include short dividend and interest expense. Excluding these expenses, the operating expense ratio for the Risk Managed Real Estate Fund would be 1.22%, 1.95%, 1.28% and 0.92% for the A-Class, C-Class, P-Class and Institutional Class, respectively. Excludes expenses of the underlying funds in which the Funds invest, if any.

2

Expenses are equal to the Fund’s annualized expense ratio, net of any applicable fee waivers, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period).

3

Actual cumulative return at net asset value for the period March 31, 2022 to September 30, 2022.

 

 

THE GUGGENHEIM FUNDS ANNUAL REPORT | 9

 

 

MANAGERS’ COMMENTARY (Unaudited)

September 30, 2022

 

To Our Shareholders

 

Security Investors, LLC (“SI”) serves as the investment adviser to Guggenheim Alpha Opportunity Fund (the “Fund”). The Fund is managed by a team of seasoned professionals, including Farhan Sharaff, Senior Managing Director and Assistant Chief Investment Officer, Equities, and Portfolio Manager; Samir Sanghani, CFA, Managing Director and Portfolio Manager; and Burak Hurmeydan, Ph.D., Director and Portfolio Manager. In the subsequent paragraphs, the investment team discusses the Fund’s performance and the market environment for the 12-month period ended September 30, 2022 (the “Reporting Period”).

 

For the Reporting Period, the Fund provided a total return of -6.55%1, underperforming the ICE BofA 3-Month U.S. Treasury Bill Index (“Index”), the Fund’s benchmark, which returned 0.62% for the same period.

 

What factors contributed or detracted from the Fund’s performance during the Reporting Period?

 

This Reporting Period, the broad market reversed its ”reopening” excitement and began a steady bear market. The economic ramifications of the COVID-19 pandemic continued, as supply constraints and worker shortages drove inflation steadily higher. Despite rebounding demand and consumers flush with money, many industries and service companies could not keep enough parts or employees, causing shortages and driving wages higher. Exacerbating the underlying inflation was the sudden war in Ukraine and continued rolling China COVID-related shutdowns. Both were human tragedies in their own rights. And both threw supply chains into more chaos. The Federal Reserve board went completely all in with interest rate increases to halt the inflation at a pace not seen in 40 years. The rapid and steady rise in interest rates led to a corresponding drop in stocks and bonds.

 

In this environment, the Fund ended the year with a negative -6.55% return. The overall market decline contributed about -1.9% drag due to the Fund’s net long exposure. The realized beta (sensitivity of daily returns to broad stock benchmark moves) was about 0.20 for the year–lower than most long/short managers. The ‘Value’ names generally held up better than ‘Growth’. Our Value-style positioning paid off by about +10% of attribution for the year.

 

Offsetting those contributions, the Fund’s industry tilts caused about -3% drag for the year. A net short in the Energy sector during the early part of the year caused substantial damage when oil and gas prices spiked during the Ukraine war. Additionally, our larger net long sector exposure to Health Care stocks performed worse than their typical beta would suggest,partly due to recent legislation threatening government price caps.

 

Security selection (the impact of returns within style and industry groups) was a drag this past year. Within the Information Technology sector, the Fund was overweight semiconductor names that appeared to be cheap versus their cash generation–but began underperforming in the latter part of the year on fears of a new down-cycle coming.

 

How did the Fund use derivatives during the Reporting Period?

 

The Fund uses total return swaps to gain exposure to short positions and to attain some leverage on the long side when surpassing 100% long weights. In total, the derivatives have a net negative market exposure, creating a partial market hedge against assets that are invested in long stocks. The net performance impact of these derivatives was positive this fiscal year as the overall market had a large negative return.

 

How was the Fund positioned at the end of the Reporting Period?

 

At period end, the Fund held about 140% of assets in long securities, and 89% short, for a net-dollar exposure of 51%. Because the long side exposure holds higher quality and more defensive sectors, while the short side focuses on higher risk names, the actual expected net ‘beta’ of the Fund is in the 0.10 to 0.20 range, on the low end of positioning for the Fund during the last few years.

 

The Fund maintains its style bias towards cheaper valuation names. Our bias towards higher profitability and low stock-volatility remains–but at much reduced levels from last year as those factors have paid off significantly and look less underpriced than usual. The Fund’s short position in Growth names has also shrunk as those names declined rapidly last year–we are now much closer to neutral on this factor bias. The Fund remains small-size-cap biased–a shift that first began about a year ago. While small caps are generally riskier than large caps, the additional risk appears to be compensated with a much wider expected return based on fundamentals and valuations.

 

10 | THE GUGGENHEIM FUNDS ANNUAL REPORT

 

 

 

MANAGERS’ COMMENTARY (Unaudited)(concluded)

September 30, 2022

 

From an industry perspective, the Fund’s largest net long sectors are the Healthcare and Information Technology sectors, with our names mostly focused on cheaper and higher cash-flow-generating groups within those otherwise growth-oriented sectors. The largest net short exposures are the Real Estate and Communication Services sector. Notably, the Fund has flipped to a net long exposure to the Energy and Materials sectors, while cutting back on weights in Staples and Utilities. With considerable moves in relative stock prices and changing fundamentals, the dynamic industry weight reallocation was substantial this year.

 

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

 

1

Performance figures are based on Class A shares and do not reflect taxes that a shareholder would pay on distributions or the redemption of shares.

 

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

 

 

THE GUGGENHEIM FUNDS ANNUAL REPORT | 11

 

 

PERFORMANCE REPORT AND FUND PROFILE (Unaudited)

September 30, 2022

 

ALPHA OPPORTUNITY FUND

 

OBJECTIVE: Seeks long-term growth of capital.

 

Holdings Diversification (Market Exposure as % of Net Assets)

 

 

“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.

 

Inception Dates:

A-Class

July 7, 2003

C-Class

July 7, 2003

P-Class

May 1, 2015

Institutional Class

November 7, 2008

 

Ten Largest Holdings (% of Total Net Assets)

Bristol-Myers Squibb Co.

1.0%

Associated Banc-Corp.

1.0%

Johnson & Johnson

1.0%

S&T Bancorp, Inc.

1.0%

Ironwood Pharmaceuticals, Inc. — Class A

1.0%

BankUnited, Inc.

0.9%

Eagle Bancorp, Inc.

0.9%

John B Sanfilippo & Son, Inc.

0.9%

Conagra Brands, Inc.

0.9%

Amgen, Inc.

0.9%

Top Ten Total

9.5%

   

“Ten Largest Holdings” excludes any temporary cash or derivative investments.

 

12 | THE GUGGENHEIM FUNDS ANNUAL REPORT

 

 

 

PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded)

September 30, 2022

 

Cumulative Fund Performance*

 

 

Average Annual Returns*

Periods Ended September 30, 2022

 

 

1 Year

5 Year

10 Year

A Class Shares

(6.55%)

(2.44%)

3.42%

A-Class Shares with sales charge

(10.99%)

(3.38%)

2.93%

C Class Shares

(7.25%)

(3.20%)

2.63%

C-Class Shares with CDSC§

(8.17%)

(3.20%)

2.63%

Institutional Class Shares

(6.31%)

(2.12%)

3.78%

Morningstar Long/Short Equity Category Average

(8.34%)

1.71%

3.25%

S&P 500 Index

(15.47%)

9.24%

11.70%

S&P 500 Index Blended**

0.62%

1.15%

6.79%

ICE BofA 3-Month U.S. Treasury Bill Index

0.62%

1.15%

0.68%

 

 

1 Year

5 Year

Since
Inception
(05/01/15)

P Class Shares

(6.54%)

(2.44%)

(0.26%)

Morningstar Long/Short Equity Category Average

(8.34%)

1.71%

1.66%

S&P 500 Index

(15.47%)

9.24%

9.48%

S&P 500 Index Blended**

0.62%

1.15%

8.86%

ICE BofA 3-Month U.S. Treasury Bill Index

0.62%

1.15%

0.90%

 

*

The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The ICE BofA 3-Month U.S. Treasury Bill Index, S&P 500 Index, and the Morningstar Long/Short Equity Category Average are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. The graph is based on A-Class shares only; performance for C-Class, P-Class and Institutional Class will vary due to differences in fee structures

**

Effective March 13, 2017, the Fund changed its principal investment strategy. As a result of the investment strategy change, the Fund’s new benchmark is the ICE BofA 3-Month U.S. Treasury Bill Index. The Fund’s performance was previously compared to the S&P 500 Index. The S&P 500 Index-Blended uses performance data for the S&P 500 Index from 09/30/12 to 03/12/17, and the ICE BofA 3-Month U.S. Treasury Bill index from 03/13/17 to 09/30/22.

Fund returns are calculated using the maximum sales charge of 4.75%.

§

Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.

 

 

THE GUGGENHEIM FUNDS ANNUAL REPORT | 13

 

 

SCHEDULE OF INVESTMENTS

September 30, 2022

ALPHA OPPORTUNITY FUND

 

 

 

 

Shares

   

Value

 

COMMON STOCKS - 86.3%

                 

Consumer, Non-cyclical - 26.5%

Bristol-Myers Squibb Co.

    4,291     $ 305,047  

Johnson & Johnson

    1,818       296,989  

Ironwood Pharmaceuticals, Inc. — Class A*

    27,936       289,417  

John B Sanfilippo & Son, Inc.

    3,731       282,549  

Conagra Brands, Inc.

    8,657       282,478  

Amgen, Inc.

    1,219       274,763  

Hologic, Inc.*

    4,175       269,371  

Mondelez International, Inc. — Class A

    4,910       269,215  

Colgate-Palmolive Co.

    3,798       266,810  

Avery Dennison Corp.

    1,566       254,788  

AbbVie, Inc.

    1,872       251,241  

Perdoceo Education Corp.*

    24,273       250,012  

Post Holdings, Inc.*

    2,968       243,109  

Varex Imaging Corp.*

    11,101       234,675  

Tyson Foods, Inc. — Class A

    3,522       232,205  

USANA Health Sciences, Inc.*

    4,032       225,994  

Archer-Daniels-Midland Co.

    2,774       223,168  

Pilgrim’s Pride Corp.*

    9,472       218,045  

Reynolds Consumer Products, Inc.

    8,351       217,209  

Prestige Consumer Healthcare, Inc.*

    4,341       216,312  

Philip Morris International, Inc.

    2,515       208,770  

United Therapeutics Corp.*

    945       197,864  

CVS Health Corp.

    2,074       197,797  

Altria Group, Inc.

    4,898       197,781  

Regeneron Pharmaceuticals, Inc.*

    260       179,106  

Integra LifeSciences Holdings Corp.*

    4,135       175,159  

Ingredion, Inc.

    1,967       158,383  

Merck & Company, Inc.

    1,549       133,400  

SpartanNash Co.

    4,529       131,432  

Eli Lilly & Co.

    367       118,669  

Vanda Pharmaceuticals, Inc.*

    11,466       113,284  

Vertex Pharmaceuticals, Inc.*

    389       112,631  

Eagle Pharmaceuticals, Inc.*

    4,140       109,379  

Innoviva, Inc.*

    8,743       101,506  

Universal Corp.

    2,035       93,692  

Amphastar Pharmaceuticals, Inc.*

    2,867       80,563  

Medtronic plc

    968       78,166  

Quanex Building Products Corp.

    3,854       69,989  

Viatris, Inc.

    7,933       67,589  

Global Payments, Inc.

    605       65,370  

EVERTEC, Inc.

    1,955       61,289  

Globus Medical, Inc. — Class A*

    1,002       59,689  

Quest Diagnostics, Inc.

    470       57,664  

Hain Celestial Group, Inc.*

    3,194       53,915  

Sotera Health Co.*

    5,380       36,692  

Total Consumer, Non-cyclical

            7,963,176  
                 

Industrial - 12.5%

Barnes Group, Inc.

    9,456       273,089  

Standex International Corp.

    3,085       251,890  

OSI Systems, Inc.*

    3,432       247,310  

Eagle Materials, Inc.

    2,213       237,189  

Snap-on, Inc.

    1,173       236,184  

Sonoco Products Co.

    4,054     229,983  

Sturm Ruger & Company, Inc.

    4,153       210,931  

Westrock Co.

    6,611       204,214  

Vishay Intertechnology, Inc.

    11,392       202,664  

Albany International Corp. — Class A

    2,353       185,487  

AptarGroup, Inc.

    1,938       184,168  

Timken Co.

    2,546       150,316  

Energizer Holdings, Inc.

    5,607       140,960  

EMCOR Group, Inc.

    1,158       133,726  

EnPro Industries, Inc.

    1,540       130,869  

Arrow Electronics, Inc.*

    1,139       105,005  

Knowles Corp.*

    7,278       88,573  

Sanmina Corp.*

    1,728       79,626  

Dorian LPG Ltd.

    5,561       75,463  

Louisiana-Pacific Corp.

    1,402       71,768  

Packaging Corporation of America

    631       70,855  

TTM Technologies, Inc.*

    5,195       68,470  

Insteel Industries, Inc.

    2,291       60,780  

Agilent Technologies, Inc.

    458       55,670  

Lennox International, Inc.

    235       52,328  

Total Industrial

            3,747,518  
                 

Financial - 11.1%

Associated Banc-Corp.

    15,075       302,735  

S&T Bancorp, Inc.

    10,116       296,500  

BankUnited, Inc.

    8,366       285,866  

Eagle Bancorp, Inc.

    6,340       284,159  

Renasant Corp.

    8,383       262,220  

Preferred Bank/Los Angeles CA

    3,646       237,829  

Global Net Lease, Inc. REIT

    21,267       226,493  

National Bank Holdings Corp. — Class A

    5,809       214,875  

Office Properties Income Trust REIT

    11,831       166,226  

Central Pacific Financial Corp.

    6,106       126,333  

Getty Realty Corp. REIT

    4,636       124,662  

Stewart Information Services Corp.

    2,700       117,828  

Everest Re Group Ltd.

    408       107,075  

Hilltop Holdings, Inc.

    4,210       104,619  

Highwoods Properties, Inc. REIT

    3,671       98,970  

Marcus & Millichap, Inc.

    2,674       87,654  

Bank of Hawaii Corp.

    1,150       87,538  

NMI Holdings, Inc. — Class A*

    3,737       76,123  

PennyMac Financial Services, Inc.

    1,595       68,426  

Pathward Financial, Inc.

    1,893       62,393  

Total Financial

            3,338,524  
                 

Energy - 8.4%

Kinder Morgan, Inc.

    14,547       242,062  

Chevron Corp.

    1,667       239,498  

DT Midstream, Inc.

    4,444       230,599  

Phillips 66

    2,856       230,536  

Antero Midstream Corp.

    24,396       223,955  

Marathon Petroleum Corp.

    2,234       221,903  

HF Sinclair Corp.

    3,706       199,531  

Valero Energy Corp.

    1,622       173,311  

Exxon Mobil Corp.

    1,861       162,484  

Targa Resources Corp.

    2,057       124,119  

Equitrans Midstream Corp.

    13,620       101,878  

 

14 | THE GUGGENHEIM FUNDS ANNUAL REPORT

SEE NOTES TO FINANCIAL STATEMENTS.

 

 

SCHEDULE OF INVESTMENTS (continued)

September 30, 2022

ALPHA OPPORTUNITY FUND

 

 

 

 

Shares

   

Value

 

Williams Companies, Inc.

    3,375     $ 96,626  

REX American Resources Corp.*

    2,969       82,895  

SunCoke Energy, Inc.

    13,668       79,411  

CVR Energy, Inc.

    2,298       66,596  

ONEOK, Inc.

    1,206       61,796  

Total Energy

            2,537,200  
                 

Utilities - 7.1%

Avista Corp.

    5,866       217,335  

Portland General Electric Co.

    4,948       215,040  

PPL Corp.

    8,101       205,360  

Duke Energy Corp.

    2,185       203,249  

WEC Energy Group, Inc.

    2,262       202,291  

MGE Energy, Inc.

    3,055       200,500  

NiSource, Inc.

    7,929       199,731  

UGI Corp.

    6,164       199,282  

Chesapeake Utilities Corp.

    1,643       189,586  

NorthWestern Corp.

    3,391       167,108  

Otter Tail Corp.

    2,078       127,839  

Total Utilities

            2,127,321  
                 

Technology - 5.6%

SS&C Technologies Holdings, Inc.

    5,397       257,707  

Diodes, Inc.*

    3,534       229,392  

Texas Instruments, Inc.

    1,438       222,574  

Cirrus Logic, Inc.*

    2,643       181,839  

Rambus, Inc.*

    5,810       147,690  

IPG Photonics Corp.*

    1,216       102,570  

NetApp, Inc.

    1,363       84,302  

ACI Worldwide, Inc.*

    3,999       83,579  

Hewlett Packard Enterprise Co.

    5,892       70,586  

Fiserv, Inc.*

    701       65,592  

CSG Systems International, Inc.

    1,200       63,456  

Amkor Technology, Inc.

    3,687       62,863  

Lumentum Holdings, Inc.*

    785       53,827  

Synaptics, Inc.*

    536       53,069  

Total Technology

            1,679,046  
                 

Basic Materials - 5.4%

Minerals Technologies, Inc.

    4,571       225,853  

Eastman Chemical Co.

    2,860       203,203  

Balchem Corp.

    1,583       192,461  

Steel Dynamics, Inc.

    2,222       157,651  

NewMarket Corp.

    456       137,179  

LyondellBasell Industries N.V. — Class A

    1,711       128,804  

Nucor Corp.

    923       98,751  

AdvanSix, Inc.

    2,513       80,667  

Ingevity Corp.*

    1,293       78,395  

Huntsman Corp.

    3,132       76,859  

American Vanguard Corp.

    4,024       75,249  

FMC Corp.

    632       66,802  

Westlake Corp.

    684       59,426  

Mercer International, Inc.

    4,756       58,499  

Total Basic Materials

            1,639,799  
                 

Communications - 5.1%

Verizon Communications, Inc.

    6,204     235,566  

T-Mobile US, Inc.*

    1,656       222,186  

Meta Platforms, Inc. — Class A*

    1,419       192,530  

Viavi Solutions, Inc.*

    14,355       187,333  

InterDigital, Inc.

    4,469       180,637  

VeriSign, Inc.*

    906       157,372  

Alphabet, Inc. — Class C*

    1,454       139,802  

Gogo, Inc.*

    8,886       107,698  

Cisco Systems, Inc.

    2,532       101,280  

Total Communications

            1,524,404  
                 

Consumer, Cyclical - 4.6%

Home Depot, Inc.

    849       234,273  

Brunswick Corp.

    2,983       195,237  

Methode Electronics, Inc.

    4,364       162,123  

Allison Transmission Holdings, Inc.

    4,492       151,650  

Haverty Furniture Companies, Inc.

    6,065       151,019  

Boyd Gaming Corp.

    2,710       129,131  

McDonald’s Corp.

    524       120,908  

G-III Apparel Group Ltd.*

    7,822       116,939  

GMS, Inc.*

    2,023       80,940  

Papa John’s International, Inc.

    735       51,457  

Total Consumer, Cyclical

            1,393,677  
                 

Total Common Stocks

       

(Cost $29,756,408)

            25,950,665  
                 

MONEY MARKET FUND - 4.5%

Goldman Sachs Financial Square Treasury Instruments Fund — Institutional Shares, 2.49%1

    1,359,913       1,359,913  

Total Money Market Fund

       

(Cost $1,359,913)

            1,359,913  
                 

Total Investments - 90.8%

       

(Cost $31,116,321)

    27,310,578  
                 

Other Assets & Liabilities, net - 9.2%

    2,776,582  

Total Net Assets - 100.0%

  $ 30,087,160  

 

SEE NOTES TO FINANCIAL STATEMENTS.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 15

 

 

SCHEDULE OF INVESTMENTS (continued)

September 30, 2022

ALPHA OPPORTUNITY FUND

 

 

Custom Basket Swap Agreements

Counterparty

Reference Obligation

Type

Financing Rate

 

Payment
Frequency

   

Maturity
Date

   

Notional
Amount

   

Value and
Unrealized
Appreciation
(Depreciation)

 

Centrally Cleared Custom Basket Swap Agreements††

Goldman Sachs International

GS Equity Custom Basket

Pay

3.53% (Federal Funds Rate + 0.45%)

    At Maturity  

05/06/24

  $ 6,753,620     $ (859,754 )

Morgan Stanley Capital Services LLC

MS Equity Custom Basket

Pay

3.48% (Federal Funds Rate + 0.40%)

    At Maturity  

02/01/24

    6,753,620       (863,302 )
                          $ 13,507,240     $ (1,723,056 )

OTC Custom Basket Swap Agreements Sold Short††

Morgan Stanley Capital Services LLC

MS Equity Custom Basket

Receive

2.78% (Federal Funds Rate - 0.30%)

    At Maturity  

02/01/24

  $ 12,374,681     $ 2,506,327  

Goldman Sachs International

GS Equity Custom Basket

Receive

2.88% (Federal Funds Rate - 0.20%)

    At Maturity  

05/06/24

    12,134,521       2,475,779  
                          $ 24,509,202     $ 4,982,106  

 

 

 

 

Shares

   

Percentage
Notional
Amount

   

Value and
Unrealized
Appreciation
(Depreciation)

 

MS EQUITY LONG CUSTOM BASKET

       

Consumer, Non-cyclical

               

Regeneron Pharmaceuticals, Inc.

    67       0.71 %   $ 10,027  

Bristol-Myers Squibb Co.

    1,115       1.17 %     9,315  

Vertex Pharmaceuticals, Inc.

    101       0.43 %     9,252  

Amphastar Pharmaceuticals, Inc.

    745       0.31 %     6,554  

AbbVie, Inc.

    486       0.97 %     5,914  

Merck & Company, Inc.

    402       0.51 %     3,759  

Archer-Daniels-Midland Co.

    721       0.86 %     2,616  

Eli Lilly & Co.

    95       0.45 %     1,202  

Globus Medical, Inc. — Class A

    260       0.23 %     (263 )

Varex Imaging Corp.

    2,886       0.90 %     (877 )

Medtronic plc

    251       0.30 %     (1,380 )

Hain Celestial Group, Inc.

    830       0.21 %     (1,542 )

Quest Diagnostics, Inc.

    122       0.22 %     (1,617 )

Universal Corp.

    529       0.36 %     (1,741 )

Innoviva, Inc.

    2,273       0.39 %     (2,216 )

CVS Health Corp.

    539       0.76 %     (2,800 )

Prestige Consumer Healthcare, Inc.

    1,128       0.83 %     (2,903 )

Altria Group, Inc.

    1,273       0.76 %     (3,102 )

Global Payments, Inc.

    157       0.25 %     (3,289 )

Conagra Brands, Inc.

    2,250       1.09 %     (3,616 )

SpartanNash Co.

    1,177       0.51 %     (3,634 )

Viatris, Inc.

    2,062       0.26 %     (3,693 )

Perdoceo Education Corp.

    6,310       0.96 %     (3,810 )

Ingredion, Inc.

    511       0.61 %   (4,286 )

Reynolds Consumer Products, Inc.

    2,171       0.84 %     (4,441 )

Quanex Building Products Corp.

    1,002       0.27 %     (4,585 )

United Therapeutics Corp.

    245       0.76 %     (4,790 )

Johnson & Johnson

    472       1.14 %     (5,309 )

John B Sanfilippo & Son, Inc.

    970       1.09 %     (5,458 )

Ironwood Pharmaceuticals, Inc. — Class A

    7,263       1.11 %     (5,879 )

Post Holdings, Inc.

    771       0.94 %     (5,900 )

EVERTEC, Inc.

    508       0.24 %     (6,488 )

Amgen, Inc.

    317       1.06 %     (7,033 )

Avery Dennison Corp.

    407       0.98 %     (7,866 )

Hologic, Inc.

    1,270       1.21 %     (7,989 )

Colgate-Palmolive Co.

    987       1.03 %     (10,810 )

Philip Morris International, Inc.

    654       0.80 %     (10,818 )

Sotera Health Co.

    1,398       0.14 %     (12,956 )

Mondelez International, Inc. — Class A

    1,276       1.04 %     (13,041 )

Integra LifeSciences Holdings Corp.

    1,075       0.67 %     (14,082 )

Pilgrim’s Pride Corp.

    2,462       0.84 %     (15,100 )

Vanda Pharmaceuticals, Inc.

    2,981       0.44 %     (15,350 )

Eagle Pharmaceuticals, Inc.

    1,076       0.42 %     (17,918 )

 

16 | THE GUGGENHEIM FUNDS ANNUAL REPORT

SEE NOTES TO FINANCIAL STATEMENTS.

 

 

SCHEDULE OF INVESTMENTS (continued)

September 30, 2022

ALPHA OPPORTUNITY FUND

 

 

 

 

Shares

   

Percentage
Notional
Amount

   

Value and
Unrealized
Appreciation
(Depreciation)

 

Tyson Foods, Inc. — Class A

    915       0.89 %   $ (20,495 )

USANA Health Sciences, Inc.

    1,048       0.87 %     (26,593 )

Total Consumer, Non-cyclical

                    (215,031 )
                         

Technology

                       

Rambus, Inc.

    1,510       0.57 %     7,141  

CSG Systems International, Inc.

    312       0.24 %     2,460  

NetApp, Inc.

    354       0.32 %     1,195  

IPG Photonics Corp.

    316       0.39 %     (1,537 )

Amkor Technology, Inc.

    958       0.24 %     (1,674 )

Synaptics, Inc.

    139       0.20 %     (1,895 )

Hewlett Packard Enterprise Co.

    1,531       0.27 %     (1,929 )

Fiserv, Inc.

    182       0.25 %     (2,135 )

Lumentum Holdings, Inc.

    204       0.21 %     (2,158 )

Diodes, Inc.

    919       0.88 %     (3,303 )

ACI Worldwide, Inc.

    1,039       0.32 %     (6,425 )

Cirrus Logic, Inc.

    687       0.70 %     (8,775 )

Texas Instruments, Inc.

    373       0.85 %     (10,609 )

SS&C Technologies Holdings, Inc.

    1,403       0.99 %     (18,068 )

Total Technology

                    (47,712 )
                         

Basic Materials

                       

FMC Corp.

    164       0.26 %     (453 )

Ingevity Corp.

    336       0.30 %     (805 )

NewMarket Corp.

    118       0.53 %     (892 )

Nucor Corp.

    240       0.38 %     (1,272 )

Westlake Corp.

    177       0.23 %     (1,802 )

American Vanguard Corp.

    1,046       0.29 %     (2,374 )

Steel Dynamics, Inc.

    577       0.61 %     (3,645 )

Balchem Corp.

    411       0.74 %     (4,522 )

Mercer International, Inc.

    1,236       0.23 %     (4,690 )

Huntsman Corp.

    814       0.30 %     (6,200 )

AdvanSix, Inc.

    653       0.31 %     (6,580 )

LyondellBasell Industries N.V. — Class A

    445       0.50 %     (7,044 )

Eastman Chemical Co.

    743       0.78 %     (16,835 )

Minerals Technologies, Inc.

    1,188       0.87 %     (19,455 )

Total Basic Materials

                    (76,569 )
                         

Industrial

                       

Dorian LPG Ltd.

    1,446       0.29 %     1,337  

EnPro Industries, Inc.

    400       0.50 %     278  

EMCOR Group, Inc.

    301       0.51 %     (113 )

Sanmina Corp.

    449       0.31 %     (651 )

Agilent Technologies, Inc.

    119       0.21 %     (1,122 )

Lennox International, Inc.

    61       0.20 %     (1,299 )

Louisiana-Pacific Corp.

    364       0.28 %     (2,358 )

TTM Technologies, Inc.

    1,350       0.26 %     (2,511 )

Snap-on, Inc.

    305       0.91 %     (2,546 )

Arrow Electronics, Inc.

    296       0.40 %   (2,626 )

Vishay Intertechnology, Inc.

    2,961       0.78 %     (3,000 )

Timken Co.

    661       0.58 %     (3,333 )

Packaging Corporation of America

    164       0.27 %     (3,366 )

AptarGroup, Inc.

    504       0.71 %     (5,243 )

Energizer Holdings, Inc.

    1,457       0.54 %     (6,043 )

Standex International Corp.

    802       0.97 %     (6,630 )

Insteel Industries, Inc.

    595       0.23 %     (6,688 )

OSI Systems, Inc.

    892       0.95 %     (6,777 )

Albany International Corp. — Class A

    611       0.71 %     (7,767 )

Sonoco Products Co.

    1,054       0.89 %     (7,967 )

Knowles Corp.

    1,892       0.34 %     (9,735 )

Eagle Materials, Inc.

    575       0.91 %     (10,020 )

Barnes Group, Inc.

    2,458       1.05 %     (12,075 )

Westrock Co.

    1,718       0.79 %     (16,106 )

Sturm Ruger & Company, Inc.

    1,079       0.81 %     (18,451 )

Total Industrial

                    (134,812 )
                         

Consumer, Cyclical

                       

Papa John’s International, Inc.

    191       0.20 %     (2,249 )

Allison Transmission Holdings, Inc.

    1,168       0.58 %     (2,632 )

GMS, Inc.

    526       0.31 %     (2,655 )

McDonald’s Corp.

    136       0.46 %     (3,785 )

Home Depot, Inc.

    220       0.90 %     (4,203 )

Methode Electronics, Inc.

    1,134       0.62 %     (5,323 )

Boyd Gaming Corp.

    704       0.50 %     (5,485 )

Haverty Furniture Companies, Inc.

    1,577       0.58 %     (6,060 )

Brunswick Corp.

    775       0.75 %     (9,813 )

G-III Apparel Group Ltd.

    2,033       0.45 %     (11,714 )

Total Consumer, Cyclical

                    (53,919 )
                         

Communications

                       

T-Mobile US, Inc.

    430       0.85 %     458  

Viavi Solutions, Inc.

    3,732       0.72 %     (313 )

Alphabet, Inc. — Class C

    141       0.20 %     (2,409 )

VeriSign, Inc.

    235       0.60 %     (3,057 )

Cisco Systems, Inc.

    658       0.39 %     (3,248 )

Meta Platforms, Inc. — Class A

    384       0.77 %     (8,441 )

Gogo, Inc.

    2,310       0.41 %     (13,127 )

Verizon Communications, Inc.

    1,613       0.91 %     (20,264 )

InterDigital, Inc.

    1,162       0.70 %     (28,321 )

Total Communications

                    (78,722 )
                         

 

SEE NOTES TO FINANCIAL STATEMENTS.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 17

 

 

SCHEDULE OF INVESTMENTS (continued)

September 30, 2022

ALPHA OPPORTUNITY FUND

 

 

 

 

Shares

   

Percentage
Notional
Amount

   

Value and
Unrealized
Appreciation
(Depreciation)

 

Energy

                       

Equitrans Midstream Corp.

    3,541       0.39 %   $ 1,985  

HF Sinclair Corp.

    963       0.77 %     956  

Marathon Petroleum Corp.

    580       0.85 %     902  

REX American Resources Corp.

    772       0.32 %     (939 )

CVR Energy, Inc.

    597       0.26 %     (1,615 )

Valero Energy Corp.

    421       0.67 %     (2,266 )

ONEOK, Inc.

    313       0.24 %     (2,775 )

Phillips 66

    742       0.89 %     (3,859 )

Williams Companies, Inc.

    877       0.37 %     (3,979 )

DT Midstream, Inc.

    1,155       0.89 %     (4,012 )

Targa Resources Corp.

    534       0.48 %     (4,156 )

Kinder Morgan, Inc.

    3,782       0.93 %     (4,382 )

Exxon Mobil Corp.

    484       0.63 %     (4,696 )

Chevron Corp.

    433       0.92 %     (5,184 )

Antero Midstream Corp.

    6,342       0.86 %     (5,733 )

SunCoke Energy, Inc.

    3,553       0.31 %     (9,222 )

Total Energy

                    (48,975 )
                         

Financial

                       

S&T Bancorp, Inc.

    2,630       1.14 %     2,945  

NMI Holdings, Inc. — Class A

    971       0.29 %     1,876  

Everest Re Group Ltd.

    106       0.41 %     999  

Getty Realty Corp.

    1,205       0.48 %     637  

Associated Banc-Corp.

    3,919       1.17 %     180  

Douglas Elliman, Inc.

    1       0.00 %     (1 )

Bank of Hawaii Corp.

    299       0.34 %     (485 )

Preferred Bank/Los Angeles CA

    948       0.92 %     (1,788 )

PennyMac Financial Services, Inc.

    414       0.26 %     (1,867 )

Marcus & Millichap, Inc.

    695       0.34 %     (2,930 )

Hilltop Holdings, Inc.

    1,094       0.40 %     (4,059 )

National Bank Holdings Corp. — Class A

    1,510       0.83 %     (6,242 )

Renasant Corp.

    2,805       1.30 %     (6,246 )

Pathward Financial, Inc.

    492       0.24 %     (7,437 )

Central Pacific Financial Corp.

    1,587       0.49 %     (9,174 )

BankUnited, Inc.

    2,175       1.10 %     (9,345 )

Highwoods Properties, Inc.

    954       0.38 %     (10,301 )

Stewart Information Services Corp.

    702       0.45 %     (11,044 )

Eagle Bancorp, Inc.

    1,648       1.09 %     (12,991 )

Global Net Lease, Inc.

    5,529       0.87 %     (20,458 )

Office Properties Income Trust

    3,076       0.64 %     (20,882 )

Total Financial

                    (118,613 )
                         

Utilities

                       

Otter Tail Corp.

    540       0.49 %     (693 )

Chesapeake Utilities Corp.

    427       0.73 %     (2,056 )

Avista Corp.

    1,525       0.84 %     (5,680 )

PPL Corp.

    2,106       0.79 %   (8,040 )

MGE Energy, Inc.

    794       0.77 %     (8,315 )

Duke Energy Corp.

    568       0.78 %     (9,493 )

Portland General Electric Co.

    1,286       0.83 %     (9,568 )

NorthWestern Corp.

    881       0.64 %     (9,644 )

WEC Energy Group, Inc.

    588       0.78 %     (9,725 )

NiSource, Inc.

    2,061       0.77 %     (10,591 )

UGI Corp.

    1,602       0.77 %     (15,144 )

Total Utilities

                    (88,949 )

Total MS Equity Long Custom Basket

          $ (863,302 )
                         

MS EQUITY SHORT CUSTOM BASKET

               

Consumer, Non-cyclical

                       

TransUnion

    3,017       (1.42 )%   $ 101,928  

Equifax, Inc.

    747       (1.01 )%     63,280  

ASGN, Inc.

    1,669       (1.22 )%     50,441  

Viad Corp.

    3,299       (0.84 )%     41,610  

Verisk Analytics, Inc. — Class A

    1,039       (1.43 )%     37,737  

CoStar Group, Inc.

    1,343       (0.76 )%     24,397  

Patterson Companies, Inc.

    3,514       (0.68 )%     23,338  

ABM Industries, Inc.

    3,949       (1.22 )%     21,494  

Cintas Corp.

    466       (1.46 )%     17,943  

FTI Consulting, Inc.

    289       (0.39 )%     6,318  

Driven Brands Holdings, Inc.

    4,512       (1.02 )%     4,562  

Quanta Services, Inc.

    792       (0.82 )%     3,544  

Robert Half International, Inc.

    709       (0.44 )%     606  

Total Consumer, Non-cyclical

                    397,198  
                         

Financial

                       

Signature Bank

    826       (1.01 )%     78,371  

Howard Hughes Corp.

    2,315       (1.04 )%     75,981  

Welltower, Inc.

    2,860       (1.49 )%     68,354  

Equinix, Inc.

    310       (1.43 )%     64,052  

Western Alliance Bancorporation

    1,815       (0.96 )%     63,766  

Outfront Media, Inc.

    5,776       (0.71 )%     54,898  

Sun Communities, Inc.

    1,048       (1.15 )%     54,055  

Americold Realty Trust, Inc.

    4,839       (0.96 )%     50,455  

Invitation Homes, Inc.

    5,905       (1.61 )%     45,409  

Kite Realty Group Trust

    10,056       (1.40 )%     44,351  

Crown Castle, Inc.

    1,148       (1.34 )%     42,788  

State Street Corp.

    1,547       (0.76 )%     41,793  

Rexford Industrial Realty, Inc.

    3,138       (1.32 )%     41,760  

KKR & Company, Inc. — Class A

    2,924       (1.02 )%     35,199  

Digital Realty Trust, Inc.

    1,273       (1.02 )%     33,219  

Goldman Sachs Group, Inc.

    1,376       (3.26 )%     32,704  

Ares Management Corp. — Class A

    1,865       (0.93 )%     31,130  

 

18 | THE GUGGENHEIM FUNDS ANNUAL REPORT

SEE NOTES TO FINANCIAL STATEMENTS.

 

 

SCHEDULE OF INVESTMENTS (continued)

September 30, 2022

ALPHA OPPORTUNITY FUND

 

 

 

 

Shares

   

Percentage
Notional
Amount

   

Value and
Unrealized
Appreciation
(Depreciation)

 

Realty Income Corp.

    2,184       (1.03 )%   $ 30,921  

Apollo Global Management, Inc.

    2,796       (1.05 )%     30,797  

Ryman Hospitality Properties, Inc.

    1,906       (1.13 )%     30,016  

Bank of America Corp.

    3,756       (0.92 )%     28,117  

BlackRock, Inc. — Class A

    220       (0.98 )%     26,888  

Invesco Ltd.

    9,033       (1.00 )%     25,453  

Iron Mountain, Inc.

    3,917       (1.39 )%     25,312  

SBA Communications Corp.

    465       (1.07 )%     22,746  

Equitable Holdings, Inc.

    6,665       (1.42 )%     20,957  

Kennedy-Wilson Holdings, Inc.

    2,845       (0.36 )%     20,573  

American Tower Corp. — Class A

    563       (0.98 )%     19,882  

Extra Space Storage, Inc.

    587       (0.82 )%     18,671  

First Republic Bank

    589       (0.62 )%     18,026  

SLM Corp.

    3,096       (0.35 )%     17,608  

Ventas, Inc.

    1,987       (0.65 )%     16,879  

Northern Trust Corp.

    1,189       (0.82 )%     16,867  

Independence Realty Trust, Inc.

    3,706       (0.50 )%     14,748  

Xenia Hotels & Resorts, Inc.

    3,475       (0.39 )%     14,276  

Public Storage

    287       (0.68 )%     13,899  

Marsh & McLennan Companies, Inc.

    851       (1.03 )%     13,213  

Alexandria Real Estate Equities, Inc.

    924       (1.05 )%     13,031  

Wells Fargo & Co.

    2,872       (0.93 )%     11,764  

CBRE Group, Inc. — Class A

    979       (0.53 )%     10,906  

Life Storage, Inc.

    512       (0.46 )%     10,208  

Intercontinental Exchange, Inc.

    824       (0.60 )%     9,351  

Progressive Corp.

    841       (0.79 )%     8,305  

Popular, Inc.

    1,486       (0.87 )%     8,001  

Comerica, Inc.

    1,870       (1.07 )%     6,680  

Assurant, Inc.

    372       (0.44 )%     5,946  

Mid-America Apartment Communities, Inc.

    278       (0.35 )%     3,972  

Allstate Corp.

    494       (0.50 )%     (24 )

Charles Schwab Corp.

    1,378       (0.80 )%     (392 )

Cullen/Frost Bankers, Inc.

    556       (0.59 )%     (484 )

Arthur J Gallagher & Co.

    379       (0.52 )%     (3,660 )

LPL Financial Holdings, Inc.

    511       (0.90 )%     (19,101 )

Total Financial

                    1,348,637  
                         

Consumer, Cyclical

                       

MillerKnoll, Inc.

    6,162       (0.78 )%     133,262  

American Airlines Group, Inc.

    8,785       (0.85 )%     42,900  

Healthcare Services Group, Inc.

    6,870       (0.67 )%   33,616  

CarMax, Inc.

    724       (0.39 )%     25,009  

Copart, Inc.

    1,931       (1.66 )%     23,432  

Genuine Parts Co.

    1,393       (1.68 )%     16,725  

Hilton Worldwide Holdings, Inc.

    636       (0.62 )%     16,125  

Dana, Inc.

    4,334       (0.40 )%     13,352  

Live Nation Entertainment, Inc.

    827       (0.51 )%     11,623  

Delta Air Lines, Inc.

    3,157       (0.72 )%     11,168  

Southwest Airlines Co.

    1,330       (0.33 )%     10,891  

Lear Corp.

    501       (0.48 )%     9,069  

Tesla, Inc.

    147       (0.32 )%     6,102  

Floor & Decor Holdings, Inc. — Class A

    886       (0.50 )%     4,183  

WESCO International, Inc.

    716       (0.69 )%     1,819  

Royal Caribbean Cruises Ltd.

    1,291       (0.40 )%     (2,945 )

Las Vegas Sands Corp.

    2,328       (0.71 )%     (3,374 )

Total Consumer, Cyclical

                    352,957  
                         

Energy

                       

Patterson-UTI Energy, Inc.

    6,660       (0.63 )%     35,150  

Helmerich & Payne, Inc.

    2,694       (0.80 )%     28,037  

Baker Hughes Co.

    5,504       (0.93 )%     22,214  

Hess Corp.

    1,228       (1.08 )%     14,392  

NexTier Oilfield Solutions, Inc.

    8,065       (0.48 )%     10,747  

ChampionX Corp.

    3,080       (0.49 )%     5,623  

Liberty Energy, Inc. — Class A

    5,275       (0.54 )%     5,438  

Valaris Ltd.

    1,689       (0.67 )%     1,371  

Continental Resources, Inc.

    909       (0.49 )%     1,170  

Schlumberger N.V.

    4,056       (1.18 )%     511  

Equities Corp.

    1,534       (0.51 )%     (9,207 )

EOG Resources, Inc.

    1,537       (1.39 )%     (11,995 )

Total Energy

                    103,451  
                         

Industrial

                       

Stanley Black & Decker, Inc.

    1,278       (0.78 )%     50,914  

Stericycle, Inc.

    1,132       (0.39 )%     36,306  

Boeing Co.

    929       (0.91 )%     35,571  

Jacobs Solutions, Inc.

    1,502       (1.32 )%     30,043  

Old Dominion Freight Line, Inc.

    472       (0.95 )%     21,389  

CSX Corp.

    3,493       (0.75 )%     19,309  

Waste Management, Inc.

    1,141       (1.48 )%     15,029  

MSA Safety, Inc.

    819       (0.72 )%     13,597  

Union Pacific Corp.

    389       (0.61 )%     13,112  

Eaton Corporation plc

    1,623       (1.75 )%     12,145  

CH Robinson Worldwide, Inc.

    486       (0.38 )%     6,347  

Exponent, Inc.

    1,451       (1.03 )%     3,611  

 

SEE NOTES TO FINANCIAL STATEMENTS.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 19

 

 

SCHEDULE OF INVESTMENTS (continued)

September 30, 2022

ALPHA OPPORTUNITY FUND

 

 

 

 

Shares

   

Percentage
Notional
Amount

   

Value and
Unrealized
Appreciation
(Depreciation)

 

TransDigm Group, Inc.

    84       (0.36 )%   $ 1,158  

General Electric Co.

    1       0.00 %     20  

Casella Waste Systems, Inc. — Class A

    1,947       (1.20 )%     (28,777 )

Total Industrial

                    229,774  
                         

Utilities

                       

Dominion Energy, Inc.

    2,721       (1.52 )%     38,414  

Public Service Enterprise Group, Inc.

    1,286       (0.58 )%     11,757  

Total Utilities

                    50,171  
                         

Technology

                       

MSCI, Inc. — Class A

    182       (0.62 )%     8,385  

Veeva Systems, Inc. — Class A

    408       (0.54 )%     4,476  

Total Technology

                    12,861  
                         

Communications

                       

Paramount Global — Class B

    4,471       (0.69 )%     17,847  

Uber Technologies, Inc.

    3,785       (0.81 )%     (6,569 )

Total Communications

                    11,278  

Total MS Equity Short Custom Basket

                  $ 2,506,327  
                         

GS EQUITY LONG CUSTOM BASKET

               

Consumer, Non-cyclical

                       

Regeneron Pharmaceuticals, Inc.

    67       0.71 %   $ 10,037  

Bristol-Myers Squibb Co.

    1,115       1.17 %     9,361  

Vertex Pharmaceuticals, Inc.

    101       0.43 %     9,206  

Amphastar Pharmaceuticals, Inc.

    745       0.31 %     6,547  

AbbVie, Inc.

    486       0.97 %     5,912  

Merck & Company, Inc.

    402       0.51 %     3,752  

Archer-Daniels-Midland Co.

    721       0.86 %     2,705  

Eli Lilly & Co.

    95       0.45 %     1,211  

Globus Medical, Inc. — Class A

    260       0.23 %     (170 )

Varex Imaging Corp.

    2,886       0.90 %     (654 )

Medtronic plc

    251       0.30 %     (1,368 )

Hain Celestial Group, Inc.

    830       0.21 %     (1,490 )

Quest Diagnostics, Inc.

    122       0.22 %     (1,615 )

Universal Corp.

    529       0.36 %     (1,750 )

Innoviva, Inc.

    2,273       0.39 %     (2,197 )

CVS Health Corp.

    539       0.76 %     (2,808 )

Prestige Consumer Healthcare, Inc.

    1,128       0.83 %     (2,927 )

Altria Group, Inc.

    1,273       0.76 %     (3,115 )

Global Payments, Inc.

    157       0.25 %     (3,287 )

SpartanNash Co.

    1,177       0.51 %     (3,583 )

Conagra Brands, Inc.

    2,250       1.09 %   (3,588 )

Viatris, Inc.

    2,062       0.26 %     (3,737 )

Perdoceo Education Corp.

    6,310       0.96 %     (3,899 )

Ingredion, Inc.

    511       0.61 %     (4,241 )

Reynolds Consumer Products, Inc.

    2,171       0.84 %     (4,426 )

Quanex Building Products Corp.

    1,002       0.27 %     (4,604 )

United Therapeutics Corp.

    245       0.76 %     (4,826 )

Johnson & Johnson

    472       1.14 %     (5,323 )

John B Sanfilippo & Son, Inc.

    970       1.09 %     (5,415 )

Post Holdings, Inc.

    771       0.94 %     (5,421 )

Ironwood Pharmaceuticals, Inc. — Class A

    7,263       1.11 %     (5,997 )

EVERTEC, Inc.

    508       0.24 %     (6,530 )

Amgen, Inc.

    317       1.06 %     (7,022 )

Avery Dennison Corp.

    407       0.98 %     (7,788 )

Hologic, Inc.

    1,270       1.21 %     (7,953 )

Colgate-Palmolive Co.

    987       1.03 %     (10,700 )

Philip Morris International, Inc.

    654       0.80 %     (10,863 )

Sotera Health Co.

    1,398       0.14 %     (12,890 )

Mondelez International, Inc. — Class A

    1,276       1.04 %     (13,025 )

Integra LifeSciences Holdings Corp.

    1,075       0.67 %     (14,270 )

Pilgrim’s Pride Corp.

    2,462       0.84 %     (14,945 )

Vanda Pharmaceuticals, Inc.

    2,981       0.44 %     (15,389 )

Eagle Pharmaceuticals, Inc.

    1,076       0.42 %     (18,147 )

Tyson Foods, Inc. — Class A

    915       0.89 %     (20,433 )

USANA Health Sciences, Inc.

    1,048       0.87 %     (26,719 )

Total Consumer, Non-cyclical

                    (214,384 )
                         

Technology

                       

Rambus, Inc.

    1,510       0.57 %     7,117  

CSG Systems International, Inc.

    312       0.24 %     2,419  

NetApp, Inc.

    354       0.32 %     1,199  

IPG Photonics Corp.

    316       0.39 %     (1,411 )

Amkor Technology, Inc.

    958       0.24 %     (1,498 )

Synaptics, Inc.

    139       0.20 %     (1,820 )

Hewlett Packard Enterprise Co.

    1,531       0.27 %     (1,904 )

Lumentum Holdings, Inc.

    204       0.21 %     (2,105 )

Fiserv, Inc.

    182       0.25 %     (2,135 )

Diodes, Inc.

    919       0.88 %     (3,324 )

ACI Worldwide, Inc.

    1,039       0.32 %     (6,368 )

Cirrus Logic, Inc.

    687       0.70 %     (8,945 )

 

20 | THE GUGGENHEIM FUNDS ANNUAL REPORT

SEE NOTES TO FINANCIAL STATEMENTS.

 

 

SCHEDULE OF INVESTMENTS (continued)

September 30, 2022

ALPHA OPPORTUNITY FUND

 

 

 

 

Shares

   

Percentage
Notional
Amount

   

Value and
Unrealized
Appreciation
(Depreciation)

 

Texas Instruments, Inc.

    373       0.85 %   $ (10,586 )

SS&C Technologies Holdings, Inc.

    1,403       0.99 %     (17,912 )

Total Technology

                    (47,273 )
                         

Basic Materials

                       

FMC Corp.

    164       0.26 %     (347 )

NewMarket Corp.

    118       0.53 %     (812 )

Ingevity Corp.

    336       0.30 %     (869 )

Nucor Corp.

    240       0.38 %     (1,222 )

Westlake Corp.

    177       0.23 %     (1,681 )

American Vanguard Corp.

    1,046       0.29 %     (2,431 )

Steel Dynamics, Inc.

    577       0.61 %     (3,584 )

Balchem Corp.

    411       0.74 %     (4,531 )

Mercer International, Inc.

    1,236       0.23 %     (4,679 )

Huntsman Corp.

    814       0.30 %     (6,245 )

AdvanSix, Inc.

    653       0.31 %     (6,610 )

LyondellBasell Industries N.V. — Class A

    445       0.50 %     (7,055 )

Eastman Chemical Co.

    743       0.78 %     (16,581 )

Minerals Technologies, Inc.

    1,188       0.87 %     (19,382 )

Total Basic Materials

                    (76,029 )
                         

Industrial

                       

Dorian LPG Ltd.

    1,446       0.29 %     1,313  

EnPro Industries, Inc.

    400       0.50 %     190  

EMCOR Group, Inc.

    301       0.51 %     (75 )

Sanmina Corp.

    449       0.31 %     (500 )

Agilent Technologies, Inc.

    119       0.21 %     (1,136 )

Lennox International, Inc.

    61       0.20 %     (1,268 )

Louisiana-Pacific Corp.

    364       0.28 %     (2,367 )

TTM Technologies, Inc.

    1,350       0.26 %     (2,432 )

Arrow Electronics, Inc.

    296       0.40 %     (2,566 )

Snap-on, Inc.

    305       0.91 %     (2,592 )

Vishay Intertechnology, Inc.

    2,961       0.78 %     (3,046 )

Timken Co.

    661       0.58 %     (3,293 )

Packaging Corporation of America

    164       0.27 %     (3,390 )

AptarGroup, Inc.

    504       0.71 %     (5,278 )

Energizer Holdings, Inc.

    1,457       0.54 %     (6,094 )

Insteel Industries, Inc.

    595       0.23 %     (6,357 )

Standex International Corp.

    802       0.97 %     (6,753 )

OSI Systems, Inc.

    892       0.95 %     (6,876 )

Albany International Corp. — Class A

    611       0.71 %     (7,815 )

Sonoco Products Co.

    1,054       0.89 %     (7,864 )

Knowles Corp.

    1,892       0.34 %     (9,729 )

Eagle Materials, Inc.

    575       0.91 %     (9,998 )

Barnes Group, Inc.

    2,458       1.05 %     (12,202 )

Westrock Co.

    1,718       0.79 %     (15,709 )

Sturm Ruger & Company, Inc.

    1,079       0.81 %     (18,956 )

Total Industrial

                    (134,793 )

Consumer, Cyclical

                       

Papa John’s International, Inc.

    191       0.20 %   (2,180 )

GMS, Inc.

    526       0.31 %     (2,577 )

Allison Transmission Holdings, Inc.

    1,168       0.58 %     (2,662 )

McDonald’s Corp.

    136       0.46 %     (3,804 )

Home Depot, Inc.

    220       0.90 %     (4,103 )

Methode Electronics, Inc.

    1,134       0.62 %     (5,343 )

Boyd Gaming Corp.

    704       0.50 %     (5,377 )

Haverty Furniture Companies, Inc.

    1,577       0.58 %     (6,082 )

Brunswick Corp.

    775       0.75 %     (9,600 )

G-III Apparel Group Ltd.

    2,033       0.45 %     (11,786 )

Total Consumer, Cyclical

                    (53,514 )
                         

Communications

                       

T-Mobile US, Inc.

    430       0.85 %     397  

Viavi Solutions, Inc.

    3,732       0.72 %     (394 )

Alphabet, Inc. — Class C

    141       0.20 %     (2,436 )

VeriSign, Inc.

    235       0.60 %     (2,961 )

Cisco Systems, Inc.

    658       0.39 %     (3,260 )

Meta Platforms, Inc. — Class A

    384       0.77 %     (8,421 )

Gogo, Inc.

    2,310       0.41 %     (13,294 )

Verizon Communications, Inc.

    1,613       0.91 %     (20,307 )

InterDigital, Inc.

    1,162       0.70 %     (28,424 )

Total Communications

                    (79,100 )
                         

Energy

                       

Equitrans Midstream Corp.

    3,541       0.39 %     1,852  

HF Sinclair Corp.

    963       0.77 %     1,148  

Marathon Petroleum Corp.

    580       0.85 %     962  

REX American Resources Corp.

    772       0.32 %     (791 )

CVR Energy, Inc.

    597       0.26 %     (1,502 )

Valero Energy Corp.

    421       0.67 %     (2,183 )

ONEOK, Inc.

    313       0.24 %     (2,750 )

Phillips 66

    742       0.89 %     (3,775 )

DT Midstream, Inc.

    1,155       0.89 %     (3,940 )

Williams Companies, Inc.

    877       0.37 %     (3,952 )

Targa Resources Corp.

    534       0.48 %     (4,205 )

Kinder Morgan, Inc.

    3,782       0.93 %     (4,294 )

Exxon Mobil Corp.

    484       0.63 %     (4,677 )

Chevron Corp.

    433       0.92 %     (5,109 )

Antero Midstream Corp.

    6,342       0.86 %     (5,638 )

SunCoke Energy, Inc.

    3,553       0.31 %     (9,227 )

Total Energy

                    (48,081 )
                         

Financial

                       

S&T Bancorp, Inc.

    2,630       1.14 %     2,906  

NMI Holdings, Inc. — Class A

    971       0.29 %     1,923  

Everest Re Group Ltd.

    106       0.41 %     985  

Getty Realty Corp.

    1,205       0.48 %     632  

 

SEE NOTES TO FINANCIAL STATEMENTS.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 21

 

 

SCHEDULE OF INVESTMENTS (continued)

September 30, 2022

ALPHA OPPORTUNITY FUND

 

 

 

 

Shares

   

Percentage
Notional
Amount

   

Value and
Unrealized
Appreciation
(Depreciation)

 

Associated Banc-Corp.

    3,919       1.17 %   $ 434  

Bank of Hawaii Corp.

    299       0.34 %     (491 )

PennyMac Financial Services, Inc.

    414       0.26 %     (1,827 )

Preferred Bank/Los Angeles CA

    948       0.92 %     (1,827 )

Marcus & Millichap, Inc.

    695       0.34 %     (2,929 )

Hilltop Holdings, Inc.

    1,094       0.40 %     (4,065 )

National Bank Holdings Corp. — Class A

    1,510       0.83 %     (5,962 )

Renasant Corp.

    2,805       1.30 %     (6,279 )

Pathward Financial, Inc.

    492       0.24 %     (7,510 )

Central Pacific Financial Corp.

    1,587       0.49 %     (9,205 )

BankUnited, Inc.

    2,175       1.10 %     (9,325 )

Highwoods Properties, Inc.

    954       0.38 %     (10,383 )

Stewart Information Services Corp.

    702       0.45 %     (11,051 )

Eagle Bancorp, Inc.

    1,648       1.09 %     (12,998 )

Global Net Lease, Inc.

    5,529       0.87 %     (20,378 )

Office Properties Income Trust

    3,077       0.64 %     (20,840 )

Total Financial

                    (118,190 )
                         

Utilities

                       

Otter Tail Corp.

    540       0.49 %     (720 )

Chesapeake Utilities Corp.

    427       0.73 %     (2,141 )

Avista Corp.

    1,525       0.84 %     (5,676 )

PPL Corp.

    2,106       0.79 %     (8,034 )

MGE Energy, Inc.

    794       0.77 %     (8,341 )

Duke Energy Corp.

    568       0.78 %     (9,419 )

Portland General Electric Co.

    1,286       0.83 %     (9,464 )

WEC Energy Group, Inc.

    588       0.78 %     (9,613 )

NorthWestern Corp.

    881       0.64 %     (9,664 )

NiSource, Inc.

    2,061       0.77 %     (10,291 )

UGI Corp.

    1,602       0.77 %     (15,027 )

Total Utilities

                    (88,390 )

Total GS Equity Long Custom Basket

          $ (859,754 )
                         

 

GS EQUITY SHORT CUSTOM BASKET

               

Consumer, Non-cyclical

                       

TransUnion

    3,017       (1.48 )%   $ 101,455  

Equifax, Inc.

    747       (1.06 )%     63,110  

ASGN, Inc.

    1,669       (1.24 )%     50,661  

Viad Corp.

    3,299       (0.86 )%     41,187  

Verisk Analytics, Inc. — Class A

    1,039       (1.46 )%     37,698  

CoStar Group, Inc.

    1,343       (0.77 )%     24,340  

Patterson Companies, Inc.

    3,514       (0.70 )%     23,031  

ABM Industries, Inc.

    3,949       (1.24 )%     21,492  

Cintas Corp.

    466       (1.49 )%     17,200  

FTI Consulting, Inc.

    289       (0.39 )%     6,311  

Driven Brands Holdings, Inc.

    4,512       (1.04 )%     4,775  

Quanta Services, Inc.

    792       (0.83 )%   3,671  

Robert Half International, Inc.

    709       (0.45 )%     540  

Total Consumer, Non-cyclical

                    395,471  
                         

 

Financial

                       

Signature Bank

    826       (1.03 )%     78,255  

Howard Hughes Corp.

    2,315       (1.06 )%     76,091  

Welltower, Inc.

    2,860       (1.52 )%     68,434  

Western Alliance Bancorporation

    1,815       (0.98 )%     63,877  

Equinix, Inc.

    310       (1.45 )%     63,784  

Outfront Media, Inc.

    5,776       (0.72 )%     54,960  

Sun Communities, Inc.

    1,048       (1.17 )%     53,849  

Americold Realty Trust, Inc.

    4,839       (0.98 )%     50,247  

Invitation Homes, Inc.

    5,905       (1.64 )%     45,431  

Kite Realty Group Trust

    10,056       (1.43 )%     44,484  

Crown Castle, Inc.

    1,148       (1.37 )%     42,757  

Rexford Industrial Realty, Inc.

    3,138       (1.34 )%     42,404  

State Street Corp.

    1,547       (0.78 )%     41,799  

KKR & Company, Inc. — Class A

    2,924       (1.04 )%     35,436  

Digital Realty Trust, Inc.

    1,273       (1.04 )%     33,023  

Realty Income Corp.

    2,184       (1.05 )%     31,272  

Ares Management Corp. — Class A

    1,865       (0.95 )%     31,115  

Apollo Global Management, Inc.

    2,796       (1.07 )%     30,889  

Ryman Hospitality Properties, Inc.

    1,906       (1.16 )%     29,998  

Bank of America Corp.

    3,756       (0.93 )%     28,236  

BlackRock, Inc. — Class A

    220       (1.00 )%     26,850  

Iron Mountain, Inc.

    3,917       (1.42 )%     25,266  

Invesco Ltd.

    9,033       (1.02 )%     25,156  

SBA Communications Corp.

    465       (1.09 )%     22,747  

Kennedy-Wilson Holdings, Inc.

    2,845       (0.36 )%     20,546  

Equitable Holdings, Inc.

    6,665       (1.45 )%     20,066  

American Tower Corp. — Class A

    563       (1.00 )%     19,930  

Extra Space Storage, Inc.

    587       (0.84 )%     18,489  

First Republic Bank

    589       (0.63 )%     17,976  

SLM Corp.

    3,096       (0.36 )%     17,725  

Northern Trust Corp.

    1,189       (0.84 )%     16,882  

Ventas, Inc.

    1,987       (0.66 )%     16,475  

Xenia Hotels & Resorts, Inc.

    3,475       (0.39 )%     15,621  

Independence Realty Trust, Inc.

    3,706       (0.51 )%     14,644  

Public Storage

    287       (0.69 )%     13,863  

Marsh & McLennan Companies, Inc.

    851       (1.05 )%     12,943  

Alexandria Real Estate Equities, Inc.

    924       (1.07 )%     12,459  

 

22 | THE GUGGENHEIM FUNDS ANNUAL REPORT

SEE NOTES TO FINANCIAL STATEMENTS.

 

 

SCHEDULE OF INVESTMENTS (continued)

September 30, 2022

ALPHA OPPORTUNITY FUND

 

 

 

 

Shares

   

Percentage
Notional
Amount

   

Value and
Unrealized
Appreciation
(Depreciation)

 

Wells Fargo & Co.

    2,872       (0.95 )%   $ 11,726  

Morgan Stanley

    2,064       (1.34 )%     10,489  

CBRE Group, Inc. — Class A

    979       (0.54 )%     10,203  

Life Storage, Inc.

    512       (0.47 )%     10,185  

Intercontinental Exchange, Inc.

    824       (0.61 )%     9,276  

Progressive Corp.

    841       (0.81 )%     8,088  

Popular, Inc.

    1,486       (0.88 )%     8,018  

Comerica, Inc.

    1,870       (1.10 )%     6,746  

Assurant, Inc.

    372       (0.45 )%     5,914  

Mid-America Apartment Communities, Inc.

    278       (0.36 )%     3,975  

Allstate Corp.

    494       (0.51 )%     (119 )

Cullen/Frost Bankers, Inc.

    556       (0.61 )%     (494 )

Charles Schwab Corp.

    1,378       (0.82 )%     (632 )

Arthur J Gallagher & Co.

    379       (0.53 )%     (3,505 )

LPL Financial Holdings, Inc.

    511       (0.92 )%     (18,915 )

Total Financial

                    1,324,934  
                         

Consumer, Cyclical

                       

MillerKnoll, Inc.

    6,162       (0.79 )%     133,259  

American Airlines Group, Inc.

    8,785       (0.87 )%     43,024  

Healthcare Services Group, Inc.

    6,870       (0.68 )%     33,999  

CarMax, Inc.

    724       (0.39 )%     25,187  

Copart, Inc.

    1,931       (1.69 )%     22,044  

Genuine Parts Co.

    1,393       (1.71 )%     16,352  

Hilton Worldwide Holdings, Inc.

    636       (0.63 )%     16,128  

Dana, Inc.

    4,334       (0.41 )%     13,603  

Live Nation Entertainment, Inc.

    827       (0.52 )%     11,728  

Delta Air Lines, Inc.

    3,157       (0.73 )%     11,157  

Southwest Airlines Co.

    1,330       (0.34 )%     10,892  

Lear Corp.

    501       (0.49 )%     8,784  

Tesla, Inc.

    147       (0.32 )%     6,102  

Floor & Decor Holdings, Inc. — Class A

    886       (0.51 )%     4,231  

WESCO International, Inc.

    716       (0.70 )%     2,114  

Royal Caribbean Cruises Ltd.

    1,291       (0.40 )%     (3,005 )

Las Vegas Sands Corp.

    2,328       (0.72 )%     (3,323 )

Total Consumer, Cyclical

                    352,276  
                         

Energy

                       

Patterson-UTI Energy, Inc.

    6,660       (0.64 )%     35,558  

Helmerich & Payne, Inc.

    2,694       (0.82 )%     27,965  

Baker Hughes Co.

    5,504       (0.95 )%     22,100  

Hess Corp.

    1,228       (1.10 )%     14,538  

NexTier Oilfield Solutions, Inc.

    8,065       (0.49 )%     10,274  

ChampionX Corp.

    3,080       (0.50 )%     5,405  

Liberty Energy, Inc. — Class A

    5,275       (0.55 )%   5,030  

Continental Resources, Inc.

    909       (0.50 )%     1,247  

Valaris Ltd.

    1,689       (0.68 )%     1,110  

Schlumberger N.V.

    4,056       (1.20 )%     357  

Equities Corp.

    1,534       (0.52 )%     (9,396 )

EOG Resources, Inc.

    1,537       (1.42 )%     (12,746 )

Total Energy

                    101,442  
                         

Industrial

                       

Stanley Black & Decker, Inc.

    1,279       (0.79 )%     50,756  

Stericycle, Inc.

    1,132       (0.39 )%     36,287  

Boeing Co.

    929       (0.93 )%     35,306  

Jacobs Solutions, Inc.

    1,502       (1.34 )%     30,275  

Old Dominion Freight Line, Inc.

    472       (0.97 )%     21,118  

CSX Corp.

    3,493       (0.77 )%     19,119  

Waste Management, Inc.

    1,141       (1.51 )%     14,597  

MSA Safety, Inc.

    819       (0.74 )%     13,596  

Union Pacific Corp.

    389       (0.62 )%     13,054  

Eaton Corporation plc

    1,623       (1.78 )%     10,852  

CH Robinson Worldwide, Inc.

    486       (0.39 )%     6,167  

Exponent, Inc.

    1,451       (1.05 )%     3,546  

TransDigm Group, Inc.

    84       (0.36 )%     1,169  

Casella Waste Systems, Inc. — Class A

    1,947       (1.23 )%     (28,813 )

Total Industrial

                    227,029  
                         

Utilities

                       

Dominion Energy, Inc.

    2,721       (1.55 )%     38,333  

Public Service Enterprise Group, Inc.

    1,286       (0.60 )%     11,942  

Total Utilities

                    50,275  
                         

Technology

                       

MSCI, Inc. — Class A

    182       (0.63 )%     8,583  

Veeva Systems, Inc. — Class A

    408       (0.55 )%     4,379  

Total Technology

                    12,962  
                         

Communications

                       

Paramount Global — Class B

    4,471       (0.70 )%     17,862  

Uber Technologies, Inc.

    3,785       (0.83 )%     (6,472 )

Total Communications

                    11,390  

Total GS Equity Short Custom Basket

                  $ 2,475,779  

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

THE GUGGENHEIM FUNDS ANNUAL REPORT | 23

 

 

SCHEDULE OF INVESTMENTS (concluded)

September 30, 2022

ALPHA OPPORTUNITY FUND

 

 

*

Non-income producing security.

Value determined based on Level 1 inputs — See Note 4.

††

Value determined based on Level 2 inputs — See Note 4.

1

Rate indicated is the 7-day yield as of September 30, 2022.

 

GS — Goldman Sachs International

 

MS — Morgan Stanley Capital Services LLC

 

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, 2022 (See Note 4 in the Notes to Financial Statements):

 

Investments in Securities (Assets)

 

Level 1
Quoted
Prices

   

Level 2
Significant
Observable
Inputs

   

Level 3
Significant
Unobservable
Inputs

   

Total

 

Common Stocks

  $ 25,950,665     $     $     $ 25,950,665  

Money Market Fund

    1,359,913                   1,359,913  

Equity Custom Basket Swap Agreements**

          4,982,106             4,982,106  

Total Assets

  $ 27,310,578     $ 4,982,106     $     $ 32,292,684